INTRODUCTION;ROLE OF FINANCIAL VARIABLES;A TWO-STEP APPROACH TO MODEL INFLATION ; MODELLING LONG-MEDIUM TERM COMPONENT OF INFLATION ;A MIXED-FREQUENCY MODEL FOR REAL-TIME FORECASTS OF INFLATION; 4 TWO FORECASTING APPLICATIONS IN REAL-TIME; REAL-TIME FORECASTS OF MONTHLY INFLATION; MODEL FORECASTS...

We present a mixed frequency model for daily forecasts of euro area inflation. The model combines a monthly index of core inflation with daily data from financial markets; estimates are carried out with the MIDAS regression approach. The forecasting ability of the model in real time is compared...

Recent literature claims that key variables such as aggregate productivity and inflation display long memory dynamics. We study the implications of this high degree of persistence on the estimation of Dynamic Stochastic General Equilibrium (DSGE) models. We show that long memory data produce...