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Citations for "Do financial variables help forecasting inflation and real activity in the Euro area ?"

by Marc Hallin & Mario Forni & Marco Lippi & Lucrezia Reichlin

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  1. Massimiliano Serati & Gianni Amisano, 2008. "Building composite leading indexes in a dynamic factor model framework: a new proposal," LIUC Papers in Economics, Cattaneo University (LIUC) 212, Cattaneo University (LIUC).
  2. Rangan Gupta & Alain Kabundi, 2009. "A Large Factor Model for Forecasting Macroeconomic Variables in South Africa," Working Papers, Economic Research Southern Africa 137, Economic Research Southern Africa.
  3. Emil Stavrev, 2010. "Measures of underlying inflation in the euro area: assessment and role for informing monetary policy," Empirical Economics, Springer, Springer, vol. 38(1), pages 217-239, February.
  4. Junttila, Juha, 2007. "Forecasting the macroeconomy with contemporaneous financial market information: Europe and the United States," Review of Financial Economics, Elsevier, Elsevier, vol. 16(2), pages 149-175.
  5. Gary M. Koop, 2013. "Forecasting with Medium and Large Bayesian VARS," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 28(2), pages 177-203, 03.
  6. Ekaterini Panopoulou, 2006. "The predictive content of financial variables: Evidence from the euro area," The Institute for International Integration Studies Discussion Paper Series, IIIS iiisdp178, IIIS.
  7. Hansson, Jesper & Jansson, Per & Löf, Mårten, 2003. "Business Survey Data: Do They Help in Forecasting the Macro Economy?," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) 151, Sveriges Riksbank (Central Bank of Sweden).
  8. Lehmann, Robert & Wohlrabe, Klaus, 2013. "Forecasting GDP at the regional level with many predictors," Discussion Papers in Economics, University of Munich, Department of Economics 17104, University of Munich, Department of Economics.
  9. Qian, Hang, 2012. "A Flexible State Space Model and its Applications," MPRA Paper 38455, University Library of Munich, Germany.
  10. Vasilios Plakandaras & Rangan Gupta & Periklis Gogas & Theophilos Papadimitriou, 2014. "Forecasting the U.S. Real House Price Index," Working Papers 201418, University of Pretoria, Department of Economics.
  11. Mésonnier, J-S., 2006. "The Reliability of Macroeconomic Forecasts based on Real Interest Rate Gap Estimates in Real Time: an Assessment for the Euro Area," Working papers, Banque de France 157, Banque de France.
  12. Reichlin, Lucrezia, 2002. "Factor Models in Large Cross-Sections of Time Series," CEPR Discussion Papers, C.E.P.R. Discussion Papers 3285, C.E.P.R. Discussion Papers.
  13. Amstad, Marlene & Fischer, Andreas M, 2004. "Sequential Information Flow and Real-Time Diagnosis of Swiss Inflation: Intra-Monthly DCF Estimates for a Low-Inflation Environment," CEPR Discussion Papers, C.E.P.R. Discussion Papers 4627, C.E.P.R. Discussion Papers.
  14. Barhoumi, K. & Brunhes-Lesage, V. & Darné, O. & Ferrara, L. & Pluyaud, B. & Rouvreau, B., 2008. "Monthly forecasting of French GDP: A revised version of the OPTIM model," Working papers, Banque de France 222, Banque de France.
  15. Knut Aastveit & Tørres Trovik, 2012. "Nowcasting norwegian GDP: the role of asset prices in a small open economy," Empirical Economics, Springer, Springer, vol. 42(1), pages 95-119, February.
  16. Furkan Emirmahmutoglu & Nicholas Apergis & Beatrice D. Simo-Kengne & Tsangyao Chang & Rangan Gupta, 2014. "Causal relationship between asset prices and output in the US: Evidence from state-level panel Granger causality test," Working Papers, Department of Research, Ipag Business School 2014-466, Department of Research, Ipag Business School.
  17. Emil Stavrev & Helge Berger, 2012. "The information content of money in forecasting euro area inflation," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 44(31), pages 4055-4072, November.
  18. Marco Lombardi & Raphael A. Espinoza & Fabio Fornari, 2009. "The Role of Financial Variables in Predicting Economic Activity in the Euro Area," IMF Working Papers, International Monetary Fund 09/241, International Monetary Fund.
  19. In Choi, 2007. "Efficient Estimation of Factor Models," Working Papers, Research Institute for Market Economy, Sogang University 0701, Research Institute for Market Economy, Sogang University, revised Dec 2010.
  20. Matteo Luciani, 2014. "Forecasting with Approximate Dynamic Factor Models: the Role of Non-Pervasive Shocks," Working Papers ECARES, ULB -- Universite Libre de Bruxelles 2013/97308, ULB -- Universite Libre de Bruxelles.
  21. Antipa, Pamfili & Barhoumi, Karim & Brunhes-Lesage, Véronique & Darné, Olivier, 2012. "Nowcasting German GDP: A comparison of bridge and factor models," Journal of Policy Modeling, Elsevier, Elsevier, vol. 34(6), pages 864-878.
  22. Baetje, Fabian & Menkhoff, Lukas, 2013. "Macro determinants of U.S. stock market risk premia in bull and bear markets," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät dp-520, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  23. Laganà, Gianluca & Sgro, Pasquale Michael, 2011. "A factor-augmented VAR approach: The effect of a rise in the US personal income tax rate on the US and Canada," Economic Modelling, Elsevier, Elsevier, vol. 28(3), pages 1163-1169, May.
  24. Jörg Breitung & Sandra Eickmeier, 2006. "Dynamic factor models," AStA Advances in Statistical Analysis, Springer, Springer, vol. 90(1), pages 27-42, March.
  25. In Choi, 2011. "Efficient Estimation of Nonstationary Factor Models," Working Papers, Research Institute for Market Economy, Sogang University 1101, Research Institute for Market Economy, Sogang University, revised Jun 2011.
  26. Nicoletti, Giulio & Passaro, Raffaele, 2012. "Sometimes it helps: the evolving predictive power of spreads on GDP dynamics," Working Paper Series, European Central Bank 1447, European Central Bank.
  27. Karlsson, Sune, 2012. "Forecasting with Bayesian Vector Autoregressions," Working Papers, Örebro University, School of Business 2012:12, Örebro University, School of Business.
  28. Marlene Amstad & Andreas Fischer, 2005. "Shock Identification of Macroeconomic Forecasts based on Daily Panels," Working Papers, Swiss National Bank, Study Center Gerzensee 05.02, Swiss National Bank, Study Center Gerzensee.
  29. Nektarios Aslanidis & Andrea Cipollini, 2007. "Leading indicator properties of the US corporate spreads," Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group 115, Money Macro and Finance Research Group.
  30. Drechsel, Katja & Scheufele, Rolf, 2012. "The performance of short-term forecasts of the German economy before and during the 2008/2009 recession," International Journal of Forecasting, Elsevier, Elsevier, vol. 28(2), pages 428-445.
  31. Tomáš Havránek & Roman Horváth & Jakub Matějů, 2012. "Monetary transmission and the financial sector in the Czech Republic," Economic Change and Restructuring, Springer, Springer, vol. 45(3), pages 135-155, August.
  32. Tim Oliver Berg & Steffen Henzel, 2013. "Point and Density Forecasts for the Euro Area Using Many Predictors: Are Large BVARs Really Superior?," Ifo Working Paper Series Ifo Working Paper No. 155, Ifo Institute for Economic Research at the University of Munich.
  33. Kuzin, Vladimir & Marcellino, Massimiliano & Schumacher, Christian, 2009. "Pooling versus model selection for nowcasting with many predictors: An application to German GDP," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7197, C.E.P.R. Discussion Papers.
  34. Marlene Amstad & Andreas M. Fischer, 2009. "Monthly pass-through ratios," Globalization and Monetary Policy Institute Working Paper, Federal Reserve Bank of Dallas 26, Federal Reserve Bank of Dallas.
  35. Massimiliano Serati & Matteo Manera & Michele Plotegher, 2008. "Modelling electricity prices: from the state of the art to a draft of a new proposal," LIUC Papers in Economics, Cattaneo University (LIUC) 210, Cattaneo University (LIUC).
  36. Banbura, Marta & Giannone, Domenico & Reichlin, Lucrezia, 2007. "Bayesian VARs with Large Panels," CEPR Discussion Papers, C.E.P.R. Discussion Papers 6326, C.E.P.R. Discussion Papers.
  37. Carstensen, Kai & Wohlrabe, Klaus & Ziegler, Christina, 2010. "Predictive Ability of Business Cycle Indicators under Test: A Case Study for the Euro Area Industrial Production," Discussion Papers in Economics, University of Munich, Department of Economics 11442, University of Munich, Department of Economics.
  38. Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2012. "The Out-of-Sample Forecasting Performance of Non-Linear Models of Regional Housing Prices in the US," Working Papers 201226, University of Pretoria, Department of Economics.
  39. Mototsugu Shintani, 2003. "Nonlinear Forecasting Analysis Using Diffusion Indexes: An Application to Japan," Vanderbilt University Department of Economics Working Papers, Vanderbilt University Department of Economics 0322, Vanderbilt University Department of Economics, revised Apr 2004.
  40. In Choi, 2013. "Model Selection for Factor Analysis: Some New Criteria and Performance Comparisons," Working Papers, Research Institute for Market Economy, Sogang University 1209, Research Institute for Market Economy, Sogang University.
  41. Das, Sonali & Gupta, Rangan & Kabundi, Alain, 2009. "Could we have predicted the recent downturn in the South African housing market?," Journal of Housing Economics, Elsevier, Elsevier, vol. 18(4), pages 325-335, December.
  42. Hwee Kwan Chow & Keen Meng Choy, 2009. "Analyzing and forecasting business cycles in a small open economy: A dynamic factor model for Singapore," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing,CIRET, OECD Publishing,CIRET, vol. 2009(1), pages 19-41.
  43. Inoue, Atsushi & Kilian, Lutz, 2006. "On the selection of forecasting models," Journal of Econometrics, Elsevier, Elsevier, vol. 130(2), pages 273-306, February.
  44. Hofmann, Boris, 2009. "Do monetary indicators lead euro area inflation?," Journal of International Money and Finance, Elsevier, Elsevier, vol. 28(7), pages 1165-1181, November.
  45. Banbura, Marta & Rünstler, Gerhard, 2007. "A look into the factor model black box: publication lags and the role of hard and soft data in forecasting GDP," Working Paper Series, European Central Bank 0751, European Central Bank.
  46. Cristina Fuentes-Albero & Leonardo Melosi, 2011. "Methods for Computing Marginal Data Densities from the Gibbs Output," Departmental Working Papers, Rutgers University, Department of Economics 201131, Rutgers University, Department of Economics.
  47. Marcellino, Massimiliano & Schumacher, Christian, 2008. "Factor-MIDAS for now- and forecasting with ragged-edge data: A model comparison for German GDP," CEPR Discussion Papers, C.E.P.R. Discussion Papers 6708, C.E.P.R. Discussion Papers.
  48. Rangan Gupta & Alain Kabundi & Stephen M. Miller, 2009. "Forecasting the US Real House Price Index: Structural and Non-Structural Models with and without Fundamentals," Working papers, University of Connecticut, Department of Economics 2009-42, University of Connecticut, Department of Economics.
  49. Xisong Jin & Francisco Nadal De Simone, 2012. "An Early-warning and Dynamic Forecasting Framework of Default Probabilities for the Macroprudential Policy Indicators Arsenal," BCL working papers, Central Bank of Luxembourg 75, Central Bank of Luxembourg.
  50. Jonas Dovern & Christina Ziegler, 2008. "Predicting Growth Rates and Recessions. Assessing U.S. Leading Indicators under Real-Time Condition," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot, Berlin, Duncker & Humblot, Berlin, vol. 54(4), pages 293-318.
  51. Marlene Amstad & Andreas M. Fischer, 2009. "Do macroeconomic announcements move inflation forecasts?," Review, Federal Reserve Bank of St. Louis, Federal Reserve Bank of St. Louis, issue Sep, pages 507-518.
  52. Chevallier, Julien, 2011. "Macroeconomics, finance, commodities: Interactions with carbon markets in a data-rich model," Economics Papers from University Paris Dauphine, Paris Dauphine University 123456789/5111, Paris Dauphine University.
  53. Balcilar, Mehmet & Gupta, Rangan & Shah, Zahra B., 2011. "An in-sample and out-of-sample empirical investigation of the nonlinearity in house prices of South Africa," Economic Modelling, Elsevier, Elsevier, vol. 28(3), pages 891-899, May.
  54. Aslanidis, Nektarios & Cipollini, Andrea, 2009. "Leading indicator properties of US high-yield credit spreads," Working Papers, Universitat Rovira i Virgili, Department of Economics 2072/15810, Universitat Rovira i Virgili, Department of Economics.
  55. Wolters, Maik Hendrik, 2012. "Evaluating point and density forecasts of DSGE models," MPRA Paper 36147, University Library of Munich, Germany.
  56. repec:cbi:wpaper:07/rt/12 is not listed on IDEAS
  57. Katja Drechsel & Rolf Scheufele, 2010. "Should We Trust in Leading Indicators? Evidence from the Recent Recession," IWH Discussion Papers, Halle Institute for Economic Research 10, Halle Institute for Economic Research.
  58. Harald Grech, 2004. "What Do German Short-Term Interest Rates Tell Us About Future Inflation?," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank) 94, Oesterreichische Nationalbank (Austrian Central Bank).
  59. Ibarra, Raul, 2012. "Do disaggregated CPI data improve the accuracy of inflation forecasts?," Economic Modelling, Elsevier, Elsevier, vol. 29(4), pages 1305-1313.
  60. Kun Guo & Wei-Xing Zhou & Si-Wei Cheng & Didier Sornette, 2011. "The US stock market leads the Federal funds rate and Treasury bond yields," Papers 1102.2138, arXiv.org.
  61. Massimiliano Marcellino & Christian Schumacher, 2008. "Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP1," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University 333, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  62. Inoue, Atsushi & Kilian, Lutz, 2005. "How Useful is Bagging in Forecasting Economic Time Series? A Case Study of US CPI Inflation," CEPR Discussion Papers, C.E.P.R. Discussion Papers 5304, C.E.P.R. Discussion Papers.
  63. Inoue, Atsushi & Kilian, Lutz, 2004. "Bagging Time Series Models," CEPR Discussion Papers, C.E.P.R. Discussion Papers 4333, C.E.P.R. Discussion Papers.
  64. Xisong Jin & Francisco Nadal De Simone, 2013. "Banking Systemic Vulnerabilities: A Tail-risk Dynamic CIMDO Approach," BCL working papers, Central Bank of Luxembourg 82, Central Bank of Luxembourg.
  65. Gianluca Lagana, 2004. "Measuring monetary policy in the UK: a factor augmented vector autoregressive approach," Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group 64, Money Macro and Finance Research Group.
  66. Marta Bańbura, 2008. "Large Bayesian VARs," 2008 Meeting Papers 334, Society for Economic Dynamics.
  67. Marc Hallin & Roman Liska, 2008. "Dynamic Factors in the Presence of Block Structure," Economics Working Papers, European University Institute ECO2008/22, European University Institute.
  68. Liebermann, Joelle, 2012. "Real-time forecasting in a data-rich environment," MPRA Paper 39452, University Library of Munich, Germany.
  69. Goodness C. Aye & Mehmet Balcilar & Rangan Gupta & Anandamayee Majumdar, 2013. "Forecasting Aggregate Retail Sales: The Case of South Africa," Working Papers 201312, University of Pretoria, Department of Economics.
  70. Inske Pirschel & Maik Wolters, 2014. "Forecasting German Key Macroeconomic Variables Using Large Dataset Methods," Kiel Working Papers 1925, Kiel Institute for the World Economy.
  71. Jean-Stéphane MESONNIER, 2007. "The predictive content of the real interest rate gap for macroeconomic variables in the euro area," Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group 102, Money Macro and Finance Research Group.
  72. Panopoulou, Ekaterini, 2007. "Predictive financial models of the euro area: A new evaluation test," International Journal of Forecasting, Elsevier, Elsevier, vol. 23(4), pages 695-705.
  73. Tomas Havranek & Roman Horvath & Jakub Mateju, 2010. "Do Financial Variables Help Predict Macroeconomic Environment? The Case of the Czech Republic," Working Papers, Czech National Bank, Research Department 2010/06, Czech National Bank, Research Department.
  74. Luciani, Matteo, 2014. "Forecasting with approximate dynamic factor models: The role of non-pervasive shocks," International Journal of Forecasting, Elsevier, Elsevier, vol. 30(1), pages 20-29.
  75. Andrea Nobili, 2005. "Forecasting Output Growth And Inflation In The Euro Area: Are Financial Spreads Useful?," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 544, Bank of Italy, Economic Research and International Relations Area.
  76. Nathan Bedock & Dalibor Stevanovic, 2012. "An Empirical Study of Credit Shock Transmission in a Small Open Economy," CIRANO Working Papers, CIRANO 2012s-16, CIRANO.
  77. Raúl Ibarra-Ramírez, 2010. "Forecasting Inflation in Mexico Using Factor Models: Do Disaggregated CPI Data Improve Forecast Accuracy?," Working Papers, Banco de México 2010-01, Banco de México.
  78. Erdemlioglu, Deniz, 2009. "Macro Factors in UK Excess Bond Returns: Principal Components and Factor-Model Approach," MPRA Paper 28895, University Library of Munich, Germany.
  79. Christina Ziegler, 2009. "Testing Predicitive Ability of Business Cycle Indicators for the Euro Area," Ifo Working Paper Series Ifo Working Paper No. 69, Ifo Institute for Economic Research at the University of Munich.
  80. Ercio Muñoz & Pablo Cruz, 2012. "Uso de un Modelo Favar para Proyectar el Precio del Cobre," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, Central Bank of Chile, vol. 15(3), pages 84-95, December.
  81. In Choi & Seong Jin Hwang, 2012. "Forecasting Korean inflation," Working Papers, Research Institute for Market Economy, Sogang University 1202, Research Institute for Market Economy, Sogang University.
  82. Nikolay Robinzonov & Klaus Wohlrabe, 2008. "Freedom of Choice in Macroeconomic Forecasting: An Illustration with German Industrial Production and Linear Models," Ifo Working Paper Series Ifo Working Paper No. 57, Ifo Institute for Economic Research at the University of Munich.
  83. Jean Boivin & Serena Ng, 2003. "Are More Data Always Better for Factor Analysis?," NBER Working Papers 9829, National Bureau of Economic Research, Inc.
  84. John W. Galbraith & Greg Tkacz, 2007. "How Far Can Forecasting Models Forecast? Forecast Content Horizons for Some Important Macroeconomic Variables," Working Papers, Bank of Canada 07-1, Bank of Canada.
  85. Matteo Luciani, 2012. "Monetary Policy and the Housing Market: A Structural Factor Analysis," Working Papers ECARES, ULB -- Universite Libre de Bruxelles ECARES 2012-035, ULB -- Universite Libre de Bruxelles.
  86. Shibamoto, Masahiko, 2008. "The estimation of monetary policy reaction function in a data-rich environment: The case of Japan," Japan and the World Economy, Elsevier, Elsevier, vol. 20(4), pages 497-520, December.
  87. Bruneau, C. & De Bandt, O. & Flageollet, A., 2003. "Forecasting Inflation in the Euro Area," Working papers, Banque de France 102, Banque de France.
  88. Poghosyan, K., 2012. "Structural and reduced-form modeling and forecasting with application to Armenia," Open Access publications from Tilburg University, Tilburg University urn:nbn:nl:ui:12-5590845, Tilburg University.
  89. Rapacciuolo, Ciro, 2003. "Un semplice modello univariato per la previsione a breve termine dell'inflazione italiana
    [A simple model for the short term forecasting of Italian inflation]
    ," MPRA Paper 7714, University Library of Munich, Germany.
  90. Gupta, Rangan & Modise, Mampho P., 2013. "Does the source of oil price shocks matter for South African stock returns? A structural VAR approach," Energy Economics, Elsevier, Elsevier, vol. 40(C), pages 825-831.
  91. Koop, Gary, 2011. "Forecasting with Medium and Large Bayesian VARs," SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) 2011-38, Scottish Institute for Research in Economics (SIRE).
  92. Hallin, Marc & Liska, Roman, 2011. "Dynamic factors in the presence of blocks," Journal of Econometrics, Elsevier, Elsevier, vol. 163(1), pages 29-41, July.
  93. Blaes, Barno, 2009. "Money and monetary policy transmission in the euro area: evidence from FAVAR- and VAR approaches," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, Research Centre 2009,18, Deutsche Bundesbank, Research Centre.
  94. Karen Poghosyan & Jan R. Magnus, 2012. "WALS Estimation and Forecasting in Factor-based Dynamic Models with an Application to Armenia," International Econometric Review (IER), Econometric Research Association, Econometric Research Association, vol. 4(1), pages 40-58, April.
  95. Barhoumi, K. & Brunhes-Lesage, V. & Ferrara, L. & Pluyaud, B. & Rouvreau, B. & Darné, O., 2008. "OPTIM: a quarterly forecasting tool for French GDP," Quarterly selection of articles - Bulletin de la Banque de France, Banque de France, Banque de France, issue 13, pages 31-47, Autumn.
  96. Hansson, Jesper & Jansson, Per & Lof, Marten, 2005. "Business survey data: Do they help in forecasting GDP growth?," International Journal of Forecasting, Elsevier, Elsevier, vol. 21(2), pages 377-389.
  97. Rangan Gupta, 2012. "Forecasting House Prices for the Four Census Regions and the Aggregate US Economy: The Role of a Data-Rich Environment," Working Papers 201214, University of Pretoria, Department of Economics.
  98. Rangan Gupta & Mampho P. Modise & Josine Uwilingiye, 2011. "Out-of-Sample Equity Premium Predictability in South Africa: Evidence from a Large Number of Predictors," Working Papers 201122, University of Pretoria, Department of Economics.