To analyze the international transmission of business cycle fluctuations, we propose a new multilevel dynamic factor model with a block structure that (i) does not restrict the factors to being orthogonal and (ii) mixes data sampled at quarterly and monthly frequencies. By means of Monte Carlo...

To analyze the international transmission of business cycle fluctuations, we propose a new multilevel dynamic factor model with a block structure that (i) does not restrict the factors to being orthogonal and (ii) mixes data sampled at quarterly and monthly frequencies. By means of Monte Carlo...

We propose a new measure of underlying inflation that provides real-time information on asymmetric risks in the outlook for inflation. The asymmetries are generated by nonlinearities induced by economic activity. The new indicator is based on a multivariate regime-switching framework estimated...

Daily financial market returns (as log difference in closing prices) may be quite sensitive to operation with low trading volumes and big changes in prices frequently traded at market closing times. This paper proposes a more robust estimation of market returns by providing a new indicator that...

Daily financial market returns (as log difference in closing prices) may be quite sensitive to operation with low trading volumes and big changes in prices frequently traded at market closing times. This paper proposes a more robust estimation of market returns by providing a new indicator that...

This paper describes the econometric models used by the Banco de España to monitor consumer price inflation and forecast its future trends. The strategy followed heavily relies on the results from a set of econometric models, supplemented by expert judgment. We consider three different types of...