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Publications

by members of

Economic Modelling and Forecasting Group
Warwick Business School
University of Warwick
Coventry, United Kingdom

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Working papers | Journal articles |

Working papers

2021

  1. Galvão, Ana Beatriz & Mitchell, James, 2021. "Communicating Data Uncertainty: Multi-Wave Experimental Evidence for U.K. GDP," CEPR Discussion Papers 16417, C.E.P.R. Discussion Papers.

2020

  1. Ana B. Galvão & Michael T. Owyang, 2020. "Forecasting Low Frequency Macroeconomic Events with High Frequency Data," Working Papers 2020-028, Federal Reserve Bank of St. Louis, revised Apr 2022.
  2. Ana Beatriz Galvão & Marta Lopresto, 2020. "Real-time Probabilistic Nowcasts of UK Quarterly GDP Growth using a Mixed-Frequency Bottom-up Approach," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2020-06, Economic Statistics Centre of Excellence (ESCoE).
  3. Ana Beatriz Galvão & Amit Kara, 2020. "The Impact of GDP Data Revisions on Identifying and Predicting UK Recessions," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2020-12, Economic Statistics Centre of Excellence (ESCoE).

2019

  1. Ana Beatriz Galvão & James Mitchell, 2019. "Measuring Data Uncertainty: An Application using the Bank of England's "Fan Charts" for Historical GDP Growth," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2019-08, Economic Statistics Centre of Excellence (ESCoE).
  2. Ana Beatriz Galvão & James Mitchell & Johnny Runge, 2019. "Communicating Data Uncertainty: Experimental Evidence for U.K. GDP," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2019-20, Economic Statistics Centre of Excellence (ESCoE).

2018

  1. Nikoleta Anesti & Ana Galvão & Silvia Miranda-Agrippino, 2018. "Uncertain Kingdom: nowcasting GDP and its revisions," Bank of England working papers 764, Bank of England.
  2. Danilo Cascaldi-Garcia & Ana Beatriz Galvao, 2018. "News and Uncertainty Shocks," International Finance Discussion Papers 1240, Board of Governors of the Federal Reserve System (U.S.).

2017

  1. Michael P Clements & Ana Beatriz Galvao, 2017. "Data Revisions and Real-time Probabilistic Forecasting of Macroeconomic Variables," ICMA Centre Discussion Papers in Finance icma-dp2017-01, Henley Business School, University of Reading.

2015

  1. Ana Beatriz Galvão & Liudas Giraitis & George Kapetanios & Katerina Petrova, 2015. "A Time Varying DSGE Model with Financial Frictions," Working Papers 769, Queen Mary University of London, School of Economics and Finance.
  2. Ana Beatriz Galvão & Liudas Giraitis & George Kapetanios & Katerina Petrova, 2015. "A Bayesian Local Likelihood Method for Modelling Parameter Time Variation in DSGE Models," Working Papers 770, Queen Mary University of London, School of Economics and Finance.

2014

  1. Ana B. Galvão & Michael T. Owyang, 2014. "Financial stress regimes and the macroeconomy," Working Papers 2014-20, Federal Reserve Bank of St. Louis.
  2. Michael P. Clements & Ana Beatriz Galvão, 2014. "Measuring Macroeconomic Uncertainty: US Inflation and Output Growth," ICMA Centre Discussion Papers in Finance icma-dp2014-04, Henley Business School, University of Reading.

2011

  1. Michael P. Clements & Ana Beatriz Galvão, 2011. "Improving Real-time Estimates of Output Gaps and Inflation Trends with Multiple-vintage Models," Working Papers 678, Queen Mary University of London, School of Economics and Finance.

2010

  1. Clements, Michael P. & Beatriz Galvao, Ana, 2010. "Real-time Forecasting of Inflation and Output Growth in the Presence of Data Revisions," Economic Research Papers 270771, University of Warwick - Department of Economics.
  2. Marcellino, Massimiliano & Galvão, Ana Beatriz, 2010. "Endogenous Monetary Policy Regimes and the Great Moderation," CEPR Discussion Papers 7827, C.E.P.R. Discussion Papers.

2008

  1. Clements, Michael P. & Beatriz Galvao, Ana, 2008. "First Announcements and Real Economic Activity," Economic Research Papers 271314, University of Warwick - Department of Economics.

2007

  1. Sónia Costa & Ana Beatriz Galvão, 2007. "The Forward Premium of Euro Interest Rates," Working Papers w200702, Banco de Portugal, Economics and Research Department.
  2. Ana Beatriz Galvão, 2007. "Changes in Predictive Ability with Mixed Frequency Data," Working Papers 595, Queen Mary University of London, School of Economics and Finance.
  3. Michael P. Clements & Ana Beatriz Galvão, 2007. "Macroeconomic Forecasting with Mixed Frequency Data: Forecasting US Output Growth," Working Papers 616, Queen Mary University of London, School of Economics and Finance.

2006

  1. Clements, Michael P. & Galvao, Ana Beatriz, 2006. "Macroeconomic Forecasting with Mixed Frequency Data: Forecasting US output growth and inflation," Economic Research Papers 269743, University of Warwick - Department of Economics.
  2. Clements, Michael P. & Galvao, Ana Beatriz & Kim, Jae H., 2006. "Quantile Forecasts of Daily Exchange Rate Returns from Forecasts of Realized Volatility," Economic Research Papers 269747, University of Warwick - Department of Economics.

2003

  1. Artis, Michael & Marcellino, Massimiliano & Galvão, Ana Beatriz, 2003. "The Transmission Mechanism in a Changing World," CEPR Discussion Papers 4014, C.E.P.R. Discussion Papers.

Journal articles

2021

  1. Clements, Michael P. & Galvão, Ana Beatriz, 2021. "Measuring the effects of expectations shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 124(C).
  2. Galvão, Ana Beatriz & Garratt, Anthony & Mitchell, James, 2021. "Does judgment improve macroeconomic density forecasts?," International Journal of Forecasting, Elsevier, vol. 37(3), pages 1247-1260.
  3. Danilo Cascaldi‐Garcia & Ana Beatriz Galvao, 2021. "News and Uncertainty Shocks," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(4), pages 779-811, June.

2020

  1. Galvão, Ana Beatriz & Lopresto, Marta, 2020. "Real-Time Probabilistic Nowcasts Of Uk Quarterly Gdp Growth Using A Mixed-Frequency Bottom-Up Approach," National Institute Economic Review, National Institute of Economic and Social Research, vol. 254, pages 1-11, November.

2019

  1. Carriero, Andrea & Galvão, Ana Beatriz & Kapetanios, George, 2019. "A comprehensive evaluation of macroeconomic forecasting methods," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1226-1239.

2018

  1. Ana Beatriz Galvão & Michael T. Owyang, 2018. "Financial Stress Regimes and the Macroeconomy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(7), pages 1479-1505, October.

2017

  1. Galvão, Ana Beatriz, 2017. "Data revisions and DSGE models," Journal of Econometrics, Elsevier, vol. 196(1), pages 215-232.
  2. Clements, Michael P. & Galvão, Ana Beatriz, 2017. "Model and survey estimates of the term structure of US macroeconomic uncertainty," International Journal of Forecasting, Elsevier, vol. 33(3), pages 591-604.
  3. Michael P. Clements & Ana Beatriz Galvão, 2017. "Predicting Early Data Revisions to U.S. GDP and the Effects of Releases on Equity Markets," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(3), pages 389-406, July.

2016

  1. Galvão, Ana Beatriz & Giraitis, Liudas & Kapetanios, George & Petrova, Katerina, 2016. "A time varying DSGE model with financial frictions," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 690-716.

2015

  1. Carriero, Andrea & Clements, Michael P. & Galvão, Ana Beatriz, 2015. "Forecasting with Bayesian multivariate vintage-based VARs," International Journal of Forecasting, Elsevier, vol. 31(3), pages 757-768.

2014

  1. Galvao Ana Beatriz & Marcellino Massimiliano, 2014. "The effects of the monetary policy stance on the transmission mechanism," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(3), pages 217-236, May.

2013

  1. Galvao, Ana Beatriz & Costa, Sonia, 2013. "Does the euro area forward rate provide accurate forecasts of the short rate?," International Journal of Forecasting, Elsevier, vol. 29(1), pages 131-141.
  2. Galvão, Ana Beatriz, 2013. "Changes in predictive ability with mixed frequency data," International Journal of Forecasting, Elsevier, vol. 29(3), pages 395-410.
  3. Clements, Michael P. & Galvão, Ana Beatriz, 2013. "Forecasting with vector autoregressive models of data vintages: US output growth and inflation," International Journal of Forecasting, Elsevier, vol. 29(4), pages 698-714.
  4. Michael P. Clements & Ana Beatriz Galvão, 2013. "Real‐Time Forecasting Of Inflation And Output Growth With Autoregressive Models In The Presence Of Data Revisions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(3), pages 458-477, April.

2012

  1. Michael P. Clements & Ana Beatriz Galvão, 2012. "Improving Real-Time Estimates of Output and Inflation Gaps With Multiple-Vintage Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(4), pages 554-562, May.

2010

  1. Clements, Michael P. & Beatriz Galvão, Ana, 2010. "First announcements and real economic activity," European Economic Review, Elsevier, vol. 54(6), pages 803-817, August.

2009

  1. Michael P. Clements & Ana Beatriz Galvao, 2009. "Forecasting US output growth using leading indicators: an appraisal using MIDAS models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(7), pages 1187-1206.

2008

  1. Clements, Michael P & Galvão, Ana Beatriz, 2008. "Macroeconomic Forecasting With Mixed-Frequency Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 546-554.
  2. Clements, Michael P. & Galvão, Ana Beatriz & Kim, Jae H., 2008. "Quantile forecasts of daily exchange rate returns from forecasts of realized volatility," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 729-750, September.

2007

  1. Ana Beatriz Galvão & Michael Artis & Massimiliano Marcellino, 2007. "The transmission mechanism in a changing world," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(1), pages 39-61.

2006

  1. Ana Beatriz C. Galvao, 2006. "Structural break threshold VARs for predicting US recessions using the spread," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(4), pages 463-487.

2004

  1. Clements, Michael P. & Galvao, Ana Beatriz, 2004. "A comparison of tests of nonlinear cointegration with application to the predictability of US interest rates using the term structure," International Journal of Forecasting, Elsevier, vol. 20(2), pages 219-236.

2003

  1. Clements, Michael P. & Galvão, Ana Beatriz C., 2003. "Testing The Expectations Theory Of The Term Structure Of Interest Rates In Threshold Models," Macroeconomic Dynamics, Cambridge University Press, vol. 7(4), pages 567-585, September.
  2. Galvão, Ana Beatriz C., 2003. "Multivariate Threshold Models: TVARs and TVECMs," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 23(1), May.

2002

  1. Beatriz C. Galvao, Ana, 2002. "Can non-linear time series models generate US business cycle asymmetric shape?," Economics Letters, Elsevier, vol. 77(2), pages 187-194, October.
  2. Ana B. C. Galvão & Michael P. Clements, 2002. "Conditional mean functions of non-linear models of US output," Empirical Economics, Springer, vol. 27(4), pages 569-586.

2000

  1. Galvão, Ana Beatriz C. & Ribeiro, Eduardo P. & Portugal, Marcelo S., 2000. "Volatilidade e Causalidade: Evidências para o Mercado à Vista e Futuro de Índice de Ações no Brasil," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 54(1), January.

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