The New Keynesian Phillips Curve (NKPC) model of inflation dynamics based on forward-looking expectations is of great theoretical significance in monetary policy analysis. Empirical studies, however, often find that inflation inertia, rather than inflation expectations, dominate the dynamics of...

This study extends the dynamic conditional correlation model to allow day-specific correlations of shocks across international stock markets. The properties of the resulting periodic dynamic conditional correlation (PDCC) model are examined, with the model then applied to study the intra-week...

We examine business cycle synchronizations between the euro area and the recently acceded EU and currently negotiating countries. Strong evidence is uncovered of time-variation in the degree of comovement between the cyclical components of monthly industrial production indicators for each of...

Empirical studies often find that the spread between longer and shorter rates does not have predictive power for future longer rates, violating the Expectations Theory (ET). Although the predictive power of the spread for future shorter rates is largely in accordance with the ET, especially when...

This chapter reviews the principal methods used by researchers when forecasting seasonal time series. In addition, the often overlooked implications of forecasting and feedback for seasonal adjustment are discussed. After an introduction in Section 1, Section 2 examines traditional univariate...

The New Keynesian Phillips Curve (NKPC) model of inflation dynamics based on forward-looking expectations is of great theoretical significance in monetary policy analysis. Empirical studies, however, often find that backward-looking inflation inertia dominates the dynamics of the short-run...

Time series analysis for the Euro Area requires the availability of sufficiently long historical data series, but the appropriate construction methodology has received little attention. The benchmark dataset, developed by the European Central Bank for use in its Area Wide Model (AWM), is based...

Forecast combination methodologies exploit complementary relations between different types of econometric models and often deliver more accurate forecasts than the individual models on which they are based. This paper examines forecasts of seasonally unadjusted monthly industrial production data...