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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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Related research

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 42_10, The Rimini Centre for Economic Analysis.
  2. Michael Funke & Hao Yu & Aaron Mehrota, 2011. "Tracking Chinese CPI inflation in real time," Quantitative Macroeconomics Working Papers 21112, Hamburg University, Department of Economics.
  3. Cecilia Frale & Libero Monteforte, 2011. "FaMIDAS: A Mixed Frequency Factor Model with MIDAS structure," Temi di discussione (Economic working papers) 788, Bank of Italy, Economic Research and International Relations Area.
  4. Modugno, Michele, 2013. "Now-casting inflation using high frequency data," International Journal of Forecasting, Elsevier, vol. 29(4), pages 664-675.
  5. J. Isaac Miller, 2012. "Mixed-frequency Cointegrating Regressions with Parsimonious Distributed Lag Structures," Working Papers 1211, Department of Economics, University of Missouri.
  6. Cláudia Duarte, 2014. "Autoregressive augmentation of MIDAS regressions," Working Papers w201401, Banco de Portugal, Economics and Research Department.
  7. Eric Ghysels & Andros Kourtellos & Elena Andreou, 2012. "Should macroeconomic forecasters use daily financial data and how?," 2012 Meeting Papers 1196, Society for Economic Dynamics.

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