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A Simple Benchmark for Forecasts of Growth and Inflation

Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2006

A theoretical model for growth or inflation should be able to reproduce the empirical features of these variables … the real business cycle literature or by new-keynesian studies on inflation persistence. While a time series model can … series models can really outperform standard linear models for GDP growth and inflation, and should therefore substitute them …

Persistent link: https://www.econbiz.de/10005656192

Dating the Euro Area Business Cycle

Artis, Michael J; Marcellino, Massimiliano; Proietti, … - C.E.P.R. Discussion Papers - 2003

In this Paper we compare alternative approaches for dating the euro area business cycle and analysing its characteristics. First, we extend a commonly used dating procedure to allow for length, size and amplitude restrictions, and to compute the probability of a phase change. Second, we apply...

Persistent link: https://www.econbiz.de/10005504746

Forecasting EMU Macroeconomic Variables

Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2002

After the creation of the European Monetary Union (EMU), both the European Commission (EC) and the European Central Bank (ECB) are focusing more and more on the evolution of the EMU as a whole, rather than on single member countries. A particularly relevant issue from a policy point of view is...

Persistent link: https://www.econbiz.de/10005124368

Instability and Non-Linearity in the EMU

Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2002

, inflation and unemployment. It turns out that this is often the case. Hence, overall, our results indicate that there is a …

Persistent link: https://www.econbiz.de/10005504487

Forecast Pooling for Short Time Series of Macroeconomic Variables

Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2002

variables, namely, industrial production, unemployment and inflation. …

Persistent link: https://www.econbiz.de/10005504619

EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro

Grassi, Stefano; Proietti, Tommaso; Frale, Cecilia; … - School of Economics, University of Kent - 2014

The paper deals with the estimation of monthly indicators of economic activity for the Euro area and its largest member countries that possess the following attributes: relevance, representativeness and timeliness. Relevance is obtained by referring our monthly indicators to gross domestic...

Persistent link: https://www.econbiz.de/10010934823

A Markov-Switching Vector Equilibrium Correction Model of the UK Labour Market

Krolzig, Hans-Martin; Marcellino, Massimiliano - Department of Economics, Oxford University - 2000

There is a wide literature on the dynamic adjustment of employment and its relationship with the business cycle. Our aim is to propose a statistical model that offers a congruent representation of post-war UK labour market. We use a cointegrated vector autoregressive Markov-switching model where...

Persistent link: https://www.econbiz.de/10011277856

Mixed frequency structural VARs

Foroni, Claudia; Marcellino, Massimiliano - Norges Bank - 2014

A mismatch between the time scale of a structural VAR (SVAR) model and that of the time series data used for its estimation can have serious consequences for identification, estimation and interpretation of the impulse response functions. However, the use of mixed frequency data, combined with a...

Persistent link: https://www.econbiz.de/10010835425

The Transmission Mechanism in a Changing World

Artis, Michael J; Galvão, Ana Beatriz C; Marcellino, … - C.E.P.R. Discussion Papers - 2003

This Paper aims at improving the understanding of the transmission of shocks across countries and how this transmission may have changed over time. By employing a model that allows for parameter changes across regimes, we show that transmission of shocks from the US to European countries may...

Persistent link: https://www.econbiz.de/10005498077

A Monthly Indicator of the Euro Area GDP

Frale, Cecilia; Marcellino, Massimiliano; Mazzi, Gian Luigi - C.E.P.R. Discussion Papers - 2008

A continuous monitoring of the evolution of the economy is fundamental for the decisions of public and private decision makers. This paper proposes a new monthly indicator of the euro area real Gross Domestic Product (GDP), with several original features. First, it considers both the output side...

Persistent link: https://www.econbiz.de/10005498158