The purpose of the present paper is to investigate the structure and dynamics of professionals' forecast of inflation. Recent papers have focused on their forecast errors and how they may be affected by informational rigidities, or inattentiveness. In this paper we extend the existing literature...

In order to provide medium run forecasts of headline and core HICP inflation for the euro area, we assess the usefulness of dynamic factor models. We use Stock and Watson's (1999) out-of-sample methodology for models estimated over the 1988:1-2002:3 period, with balanced and unbalanced panels....

Two often-divergent U.S. GDP estimates are available, a widely-used expenditure side version, GDPE, and a much less widely-used income-side version GDPI . We propose and explore a "forecast combination" approach to combining them. We then put the theory to work, producing a superior combined...

Research examining the usefulness of non-linear models for stock market returns has almost reached an impasse. While there is general recognition of the superior ability of non-linear models to describe the data, there is less certainty about their ability to forecast the data. As such simple...

There is a generalized conviction that variation in dividend yields is exclusively related to expected returns and not to expected dividend growth - e.g. Cochrane's presidential address (Cochrane (2011)). We show that this pattern, although valid for the aggregate stock market, is not true for...

Those of professional forecasters do. For a wide range of time series models for the euro area and its member states we find a higher average forecast accuracy of models that incorporate information on inflation expectations from the ECB's SPF and Consensus Economics compared to their...

Those of professional forecasters do. For a wide range of time series models for the euro area and its member states we find a higher average forecast accuracy of models that incorporate information on inflation expectations from the ECB’s SPF and Consensus Economics compared to their...