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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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File URL: http://www.dt.tesoro.it/export/sites/sitodt/modules/documenti_it/analisi_progammazione/working_papers/WP_n._6_marzo_2011.pdf
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Bibliographic Info

Paper provided by Department of the Treasury, Ministry of the Economy and of Finance in its series Working Papers with number wp2011-6.

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Length: 29
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Handle: RePEc:itt:wpaper:wp2011-6

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Keywords: forecasting inflation; real-time forecasts; dynamic factor models; MIDAS regression; economic derivatives.;

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Cited by:
  1. Elena Andreou & Eric Ghysels & Andros Kourtellos, 2010. "Should Macroeconomic Forecasters Use Daily Financial Data and How?," Working Paper Series, The Rimini Centre for Economic Analysis 42_10, The Rimini Centre for Economic Analysis.
  2. Knotek, Edward S. & Zaman, Saeed, 2014. "Nowcasting U.S. Headline and Core Inflation," Working Paper 1403, Federal Reserve Bank of Cleveland.
  3. Modugno, Michele, 2011. "Nowcasting inflation using high frequency data," Working Paper Series, European Central Bank 1324, European Central Bank.
  4. Mehrotra, Aaron & Funke, Michael & Yu, Hao, 2011. "Tracking Chinese CPI inflation in real time," BOFIT Discussion Papers 35/2011, Bank of Finland, Institute for Economies in Transition.
  5. J. Isaac Miller, 2012. "Mixed-frequency Cointegrating Regressions with Parsimonious Distributed Lag Structures," Working Papers, Department of Economics, University of Missouri 1211, Department of Economics, University of Missouri.
  6. Eric Ghysels & Andros Kourtellos & Elena Andreou, 2012. "Should macroeconomic forecasters use daily financial data and how?," 2012 Meeting Papers, Society for Economic Dynamics 1196, Society for Economic Dynamics.
  7. Cecilia Frale & Libero Monteforte, . "FaMIDAS: A Mixed Frequency Factor Model with MIDAS structure," Working Papers, Department of the Treasury, Ministry of the Economy and of Finance 3, Department of the Treasury, Ministry of the Economy and of Finance.
  8. Cláudia Duarte, 2014. "Autoregressive augmentation of MIDAS regressions," Working Papers, Banco de Portugal, Economics and Research Department w201401, Banco de Portugal, Economics and Research Department.

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