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Real‐Time Forecasts of Inflation: The Role of Financial Variables

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Author Info

  • Libero Monteforte
  • Gianluca Moretti

Abstract

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 VS MARKET EXPECTATIONS; CONCLUDING REMARKS; REFERENCES; APPENDIX

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Bibliographic Info

Article provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.

Volume (Year): 32 (2013)
Issue (Month): 1 (01)
Pages: 51-61

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Handle: RePEc:wly:jforec:v:32:y:2013:i:1:p:51-61

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Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966

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Cited by:
  1. Modugno, Michele, 2011. "Nowcasting inflation using high frequency data," Working Paper Series 1324, European Central Bank.
  2. Elena Andreou & Eric Ghysels & Andros Kourtellos, 2010. "Should macroeconomic forecasters use daily financial data and how?," University of Cyprus Working Papers in Economics 09-2010, University of Cyprus Department of Economics.
  3. Cláudia Duarte, 2014. "Autoregressive augmentation of MIDAS regressions," Working Papers w201401, Banco de Portugal, Economics and Research Department.
  4. J. Isaac Miller, 2012. "Mixed-frequency Cointegrating Regressions with Parsimonious Distributed Lag Structures," Working Papers 1211, Department of Economics, University of Missouri.
  5. Eric Ghysels & Andros Kourtellos & Elena Andreou, 2012. "Should macroeconomic forecasters use daily financial data and how?," 2012 Meeting Papers 1196, Society for Economic Dynamics.
  6. Cecilia Frale & Libero Monteforte, . "FaMIDAS: A Mixed Frequency Factor Model with MIDAS structure," Working Papers 3, Department of the Treasury, Ministry of the Economy and of Finance.
  7. Michael Funke & Hao Yu & Aaron Mehrota, 2011. "Tracking Chinese CPI inflation in real time," Quantitative Macroeconomics Working Papers 21112, Hamburg University, Department of Economics.

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