We suggest the use of an index of Internet job-search intensity (the Google Index, GI) as the best leading indicator to predict the US monthly unemployment rate. We perform a deep out-of-sample forecasting comparison analyzing many models that adopt our preferred leading indicator (GI), the more...

In this paper we develop a mixed frequency dynamic factor model featuring stochastic shifts in the volatility of both the latent common factor and the idiosyncratic components. We take a Bayesian perspective and derive a Gibbs sampler to obtain the posterior density of the model parameters. This...

Official monthly unemployment data is unavailable in China, while intense public interest in unemployment requires timely and accurate information. Using data on web queries from lead search engines in China, Baidu and Google, I build two indices measuring intensity of online...

We investigate the relationship between macroeconomic conditions and banks' balance sheets by referring to a modified version of the Bank of Italy Quarterly Model (BIQM), regularly used for forecasting and policy analysis. In particular, we examine how regulatory bank capital and private sector...

Over the last decade, the topic of regional economic forecasting has become increasingly prevalent in academic literature. The most striking problem in this context is data availability at a regional level. However, considerable methodological improvements have been made to address this problem....

Basic ferroalloys are some of the most important ingredients for producing carbon and special steel (using ferrochrome and other special ferroalloys). The market of basic ferroalloys is somehow independent of other raw materials markets, depending mostly of steel. There are sometimes speculative...

This paper is dealing with the main issues regarding the long term evolution of the world aluminium market (demand, supply, prices), a metal largely used în the industrial production. The analyses point out the major impact of the 2008-2009 economic crisis upon the world aluminium market, as a...

We examine a trivariate time series model that is subject to a regime switch, where the shifts are governed by an unobserved, two-state variable that follows a Markov process. The analysis is performed in a Bayesian framework developed by Albert and Chib (1993), where the unobserved states are...

An algorithm for computing Dynamic Nash Equilibria (DNE) in an extended version of Kiyotaki and Wright (1989) (hereafter KW) is proposed. The algorithm computes the equilibrium pro.le of (pure) strategies and the evolution of the distribution of three types of assets across three types of...

In this paper, we establish the empirical linkages between nominal and real variables of Pakistani economy using both annual and quarterly data. The focus of our empirical analysis has been limited to the post financial liberalization period starting in early 1990s. Furthermore, this paper...