Is maximum likelihood suitable for factor models in large cross-sections of time series? We answer this question from both an asymptotic and an empirical perspective. We show that estimates of the common factors based on maximum likelihood are consistent for the size of the cross-section (n) and...

This paper asks two questions. First, can we detect empirically whether the shocks recovered from the estimates of a structural vector autoregression are truly structural? Second, can the problem of non-fundamentalness be solved by considering additional information? The answer to the first...

This paper uses a data-set including time series data on macroeconomic variables, loans, deposits and interest rates for the euro area in order to study the features of financial intermediation over the business cycle. We find that stylized facts for aggregate monetary and real variables are re-...

This paper assesses the role of qualitative surveys for the early estimation of GDP in the Euro Area in a model-based automated procedure which exploits the timeliness of their release. The analysis is conducted using both an historical evaluation and a real-time case study on the current...

Economists have imperfect knowledge of the present state of the economy and even of the recent past. Many key statistics are released with a long delay and they are subsequently revised. As a consequence, unlike weather forecasters, who know what is the weather today and only have to predict the...

This paper uses a data-set including time series data on macroeconomic variables, loans, deposits and interest rates for the euro area in order to study the features of financial intermediation over the business cycle. We find that stylized facts for aggregate monetary and real variables are...

This paper analyses the impact on the macroeconomy of the ECB’s non-standard monetary policy implemented in the aftermath of the collapse of Lehman Brothers in the Fall of 2008. We study in particular the effect of the expansion of the intermediation of transactions across central bank balance...

The term now-casting is a contraction for now and forecasting and has been used for a long-time in meteorology and recently also in economics In this paper we survey recent developments on economic now-casting with special focus on those models that formalize key features of how market...

This paper shows how and when it is possible to obtain a mapping from a quarterly DSGE model to amonthly specification thatmaintains the same economic restrictions and has real coefficients. We use this technique to derive the monthly counterpart of the Gali et al (2011) model. We then augment...