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Publications

by members of

University of Warwick → Warwick Business School → Economic Modelling and Forecasting Group

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, Centre for Economic Policy Research, number 16417, Aug.

2020

  1. Ana B. Galvão & Michael T. Owyang, 2020, "Forecasting Low Frequency Macroeconomic Events with High Frequency Data," Working Papers, Federal Reserve Bank of St. Louis, number 2020-028, Sep, revised Apr 2022, DOI: 10.20955/wp.2020.028.
  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, Economic Statistics Centre of Excellence (ESCoE), number ESCoE DP-2020-06, May.
  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, Economic Statistics Centre of Excellence (ESCoE), number ESCoE DP-2020-12, Jul.

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, Economic Statistics Centre of Excellence (ESCoE), number ESCoE DP-2019-08, May.
  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, Economic Statistics Centre of Excellence (ESCoE), number ESCoE DP-2019-20, Dec.

2018

  1. Nikoleta Anesti & Ana Galvão & Silvia Miranda-Agrippino, 2018, "Uncertain Kingdom: nowcasting GDP and its revisions," Bank of England Staff Working Paper series, Bank of England, number 764, Nov.
  2. Danilo Cascaldi-Garcia & Ana Beatriz Galvao, 2018, "News and Uncertainty Shocks," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1240, Nov, DOI: 10.17016/IFDP.2018.1240.

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, Henley Business School, University of Reading, number icma-dp2017-01, Jan.

2015

  1. Ana Beatriz Galvão & Liudas Giraitis & George Kapetanios & Katerina Petrova, 2015, "A Time Varying DSGE Model with Financial Frictions," Working Papers, Queen Mary University of London, School of Economics and Finance, number 769, Dec.
  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, Queen Mary University of London, School of Economics and Finance, number 770, Dec.

2014

  1. Ana B. Galvão & Michael T. Owyang, 2014, "Financial stress regimes and the macroeconomy," Working Papers, Federal Reserve Bank of St. Louis, number 2014-20, Jul, DOI: 10.20955/wp.2014.020.
  2. Michael P. Clements & Ana Beatriz Galvão, 2014, "Measuring Macroeconomic Uncertainty: US Inflation and Output Growth," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2014-04, Jun.

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, Queen Mary University of London, School of Economics and Finance, number 678, Jun.

2010

  1. Marcellino, Massimiliano & Galvão, Ana Beatriz, 2010, "Endogenous Monetary Policy Regimes and the Great Moderation," CEPR Discussion Papers, Centre for Economic Policy Research, number 7827, May.

2007

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

2003

  1. Artis, Michael & Marcellino, Massimiliano & Galvão, Ana Beatriz, 2003, "The Transmission Mechanism in a Changing World," CEPR Discussion Papers, Centre for Economic Policy Research, number 4014, Aug.

Undated

  1. Clements, Michael P. & Galvao, Ana Beatriz, undated, "Macroeconomic Forecasting with Mixed Frequency Data: Forecasting US output growth and inflation," Economic Research Papers, University of Warwick - Department of Economics, number 269743, DOI: 10.22004/ag.econ.269743.
  2. Clements, Michael P. & Galvao, Ana Beatriz & Kim, Jae H., undated, "Quantile Forecasts of Daily Exchange Rate Returns from Forecasts of Realized Volatility," Economic Research Papers, University of Warwick - Department of Economics, number 269747, DOI: 10.22004/ag.econ.269747.
  3. Clements, Michael P. & Beatriz Galvao, Ana, undated, "Real-time Forecasting of Inflation and Output Growth in the Presence of Data Revisions," Economic Research Papers, University of Warwick - Department of Economics, number 270771, DOI: 10.22004/ag.econ.270771.
  4. Clements, Michael P. & Beatriz Galvao, Ana, undated, "First Announcements and Real Economic Activity," Economic Research Papers, University of Warwick - Department of Economics, number 271314, DOI: 10.22004/ag.econ.271314.

Journal articles

2021

  1. Clements, Michael P. & Galvão, Ana Beatriz, 2021, "Measuring the effects of expectations shocks," Journal of Economic Dynamics and Control, Elsevier, volume 124, issue C, DOI: 10.1016/j.jedc.2021.104075.
  2. Galvão, Ana Beatriz & Garratt, Anthony & Mitchell, James, 2021, "Does judgment improve macroeconomic density forecasts?," International Journal of Forecasting, Elsevier, volume 37, issue 3, pages 1247-1260, DOI: 10.1016/j.ijforecast.2021.02.007.
  3. Danilo Cascaldi‐Garcia & Ana Beatriz Galvao, 2021, "News and Uncertainty Shocks," Journal of Money, Credit and Banking, Blackwell Publishing, volume 53, issue 4, pages 779-811, June, DOI: 10.1111/jmcb.12727.

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, volume 254, issue , 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, volume 35, issue 4, pages 1226-1239, DOI: 10.1016/j.ijforecast.2019.02.007.

2018

  1. Ana Beatriz Galvão & Michael T. Owyang, 2018, "Financial Stress Regimes and the Macroeconomy," Journal of Money, Credit and Banking, Blackwell Publishing, volume 50, issue 7, pages 1479-1505, October, DOI: 10.1111/jmcb.12491.

2017

  1. Galvão, Ana Beatriz, 2017, "Data revisions and DSGE models," Journal of Econometrics, Elsevier, volume 196, issue 1, pages 215-232, DOI: 10.1016/j.jeconom.2016.09.006.
  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, volume 33, issue 3, pages 591-604, DOI: 10.1016/j.ijforecast.2017.01.004.
  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, volume 35, issue 3, pages 389-406, July, DOI: 10.1080/07350015.2015.1076726.

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, volume 38, issue PB, pages 690-716, DOI: 10.1016/j.jempfin.2016.02.012.

2015

  1. Carriero, Andrea & Clements, Michael P. & Galvão, Ana Beatriz, 2015, "Forecasting with Bayesian multivariate vintage-based VARs," International Journal of Forecasting, Elsevier, volume 31, issue 3, pages 757-768, DOI: 10.1016/j.ijforecast.2014.05.007.

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, volume 18, issue 3, pages 217-236, May, DOI: 10.1515/snde-2012-0027.

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, volume 29, issue 1, pages 131-141, DOI: 10.1016/j.ijforecast.2012.07.003.
  2. Galvão, Ana Beatriz, 2013, "Changes in predictive ability with mixed frequency data," International Journal of Forecasting, Elsevier, volume 29, issue 3, pages 395-410, DOI: 10.1016/j.ijforecast.2012.10.006.
  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, volume 29, issue 4, pages 698-714, DOI: 10.1016/j.ijforecast.2011.09.003.
  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., volume 28, issue 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, volume 30, issue 4, pages 554-562, May, DOI: 10.1080/07350015.2012.707588.

2010

  1. Clements, Michael P. & Beatriz Galvão, Ana, 2010, "First announcements and real economic activity," European Economic Review, Elsevier, volume 54, issue 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., volume 24, issue 7, pages 1187-1206, DOI: 10.1002/jae.1075.

2008

  1. Clements, Michael P & Galvão, Ana Beatriz, 2008, "Macroeconomic Forecasting With Mixed-Frequency Data," Journal of Business & Economic Statistics, American Statistical Association, volume 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, volume 15, issue 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., volume 22, issue 1, pages 39-61, DOI: 10.1002/jae.923.

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., volume 21, issue 4, pages 463-487, DOI: 10.1002/jae.840.

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, volume 20, issue 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, volume 7, issue 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, volume 23, issue 1, May.

2002

  1. Beatriz C. Galvao, Ana, 2002, "Can non-linear time series models generate US business cycle asymmetric shape?," Economics Letters, Elsevier, volume 77, issue 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, volume 27, issue 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), volume 54, issue 1, January.

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