We explore the use of nowcasts from the Philadelphia Survey of Professional Forecasters as a starting point for macroeconomic forecasting. Specifically, survey nowcasts are treated as anadditional observation of the time series of interest. This simple approach delivers enhanced model...

We compare theoretical and empirical forecasts computed by rational agents living in a model economy to those produced by professional forecasters. We focus on the variance of the prediction errors as a function of the forecast horizon and analyze the speed with which it converges to a constant...

We show how monetary aggregates can be usefully incorporated in forecasts of inflation. This requires fully disregarding the high-frequency fluctuations blurring the money/inflation relation, i.e., the projection of inflation onto monetary aggregates must be restricted to the low frequencies....

We explore the use of univariate low-frequency filters in macroeconomic forecasting. This amounts to targeting only specific fluctuations of the time series of interest. We show through simulations that such approach is warranted and, using US data, we confirm empirically that consistent gains...

We take to the data an RBC model with two salient features. First, we allow government consumption to directly affect the marginal utility of consumption. Second, we allow public capital to affect the productivity of private factors. On the one hand, private and government consumption are...

We investigate the reaction of output to government spending shocks at the zero lower bound (ZLB) on the nominal interest rate when government and private consumption are non-separable in preferences. In particular, substitutability between private and government consumption significantly...

We derive the limit of the expected periodogram in the unit-root case under general conditions. This function is seen to be independent of time, thus sharing a fundamental property with the stationary case equivalent. We discuss the consequences of this result to the frequency domain...

This paper proposes a new model-based method to obtain a coincident indicator for the business cycle. A dynamic factor model with trend components and a common cycle component is considered which can be estimated using standard maximum likelihood methods. The multivariate unobserved components...

This paper provides a descriptive analysis of the business cycles of the European Union countries and of the two main industrialised countries outside the Union, the United States and Japan. We use the spectral analysis to identify three main features of the business cycles:   1- The duration...

We develop a multivariate filter which is an optimal (in the mean squared error sense) approximation to the ideal filter that isolates a specified range of fluctuations in a time series, e.g., business cycle fluctuations in macroeconomic time series. This requires knowledge of the true...