Giannone, Domenico; Reichlin, Lucrezia; Sala, Luca - IGIER (Innocenzo Gasparini Institute for Economic … - 2005
We analyse the panel of the Greenbook forecasts (sample 1970-1996) and a large panel of monthly variables for the US (sample 1970-2003) and show that the bulk of dynamics of both the variables and their forecasts is explained by two shocks. Moreover, a two factor model which exploits, in real...