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Displaying results 1 to 25 of 195.

  1. Endogenous uncertainty
    Author: Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano
    Published: 2018
    Publisher:  Federal Reserve Bank of Cleveland, [Cleveland, OH]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 36 (18,5)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    Series: Working paper / Federal Reserve Bank of Cleveland ; 18, 05 (March 2018)
    Subjects: Uncertainty; Endogeneity; Identification; Stochastic Volatility; Bayesian Methods
    Scope: 1 Online-Ressource (circa 57 Seiten), Illustrationen
  2. Mixed frequency models with MA components
    Author: Foroni, Claudia; Marcellino, Massimiliano; Stevanović, Dalibor
    Published: [2018]
    Publisher:  European Central Bank, Frankfurt am Main, Germany

    Temporal aggregation in general introduces a moving average (MA) component in the aggregated model. A similar feature emerges when not all but only a few variables are aggregated, which generates a mixed frequency model. The MA component is generally... more

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Temporal aggregation in general introduces a moving average (MA) component in the aggregated model. A similar feature emerges when not all but only a few variables are aggregated, which generates a mixed frequency model. The MA component is generally neglected, likely to preserve the possibility of OLS estimation, but the consequences have never been properly studied in the mixed frequency context. In this paper, we show, analytically, in Monte Carlo simulations and in a forecasting application on U.S. macroeconomic variables, the relevance of considering the MA component in mixed-frequency MIDAS and Unrestricted-MIDAS models (MIDAS-ARMA and UMIDAS-ARMA). Specifically, the simulation results indicate that the short-term forecasting performance of MIDAS-ARMA and UMIDAS-ARMA is better than that of, respectively, MIDAS and UMIDAS. The empirical applications on nowcasting U.S. GDP growth, investment growth and GDP deflator inflation confirm this ranking. Moreover, in both simulation and empirical results, MIDAS-ARMA is better than UMIDAS-ARMA.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9789289933117
    Other identifier:
    hdl: 10419/208240
    Series: Working paper series / European Central Bank ; no 2206 (November 2018)
    Scope: 1 Online-Ressource (circa 52 Seiten), Illustrationen
  3. The global component of inflation volatility
    Author: Carriero, Andrea; Corsello, Francesco; Marcellino, Massimiliano
    Published: [2018]
    Publisher:  Banca d'Italia Eurosistema, [Rom]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 450
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Temi di discussione / Banca d'Italia ; number 1170 (April 2018)
    Subjects: inflation; volatility; global factors; large datasets; multivariate autoregressive index models; reduced rank regressions; forecasting
    Scope: 1 Online-Ressource (circa 72 Seiten), Illustrationen
  4. Some cautions on the use of panel methods for integrated series of macro-economic data
    Author: Banerjee, Anindya; Marcellino, Massimiliano; Osbat, Chiara
    Published: 2000
    Publisher:  European Univ. Inst., San Domenico (FI)

    Location:
    Freie Universität Berlin, Universitätsbibliothek
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    Max-Planck-Institut für Bildungsforschung, Bibliothek und wissenschaftliche Information
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    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Unter den Linden
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    Source: Staatsbibliothek zu Berlin; Philologische Bibliothek, FU Berlin
    Language: English
    Media type: Book
    Series: European University Institute: EUI working papers in economics ; 2000,20
    Subjects: Econometrics; Macroeconomics; Panel analysis
    Scope: 40 S.
  5. Point, interval and density forecasts of exchange rates with time-varying parameter models
    Author: Abbate, Angela; Marcellino, Massimiliano
    Published: 2016
    Publisher:  Deutsche Bundesbank, Press and Public Relations Division, Frankfurt am Main

  6. Pooling-based data interpolation and backdating
    Author: Marcellino, Massimiliano
    Published: 2005
    Publisher:  Centre for Economic Policy Research, London

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 32 (5295)
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    Deutsche Universität für Verwaltungswissenschaften Speyer, Universitätsbibliothek
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    RVK Categories: QB 910
    Series: Array ; 5295
    Subjects: Prognoseverfahren; Simulation; Schätzung; Privater Konsum; Frankreich; Spanien; Italien; Deutschland; Zustandsraummodell
    Scope: 18 S.
  7. A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series
    Author: Marcellino, Massimiliano
    Published: 2005
    Publisher:  Centre for Economic Policy Research, London

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    W 32 (4976)
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    Deutsche Universität für Verwaltungswissenschaften Speyer, Universitätsbibliothek
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    RVK Categories: QB 910
    Series: Array ; 4976
    Subjects: Zeitreihenanalyse; VAR-Modell; Prognoseverfahren; Wirtschaftsindikator; USA
    Scope: 28 S.
  8. Leading indicators
    what have we learned?
    Author: Marcellino, Massimiliano
    Published: 2005
    Publisher:  Centre for Economic Policy Research, London

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Deutsche Universität für Verwaltungswissenschaften Speyer, Universitätsbibliothek
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    RVK Categories: QB 910
    Series: Array ; 4977
    Subjects: Wirtschaftsindikator; Wirtschaftsprognose; Prognoseverfahren
    Scope: 81 S.
  9. Instability and non-linearity in the EMU
    Author: Marcellino, Massimiliano
    Published: 2002
    Publisher:  Centre for Economic Policy Research, London

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    W 32 (3312)
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    Universität Konstanz, Kommunikations-, Informations-, Medienzentrum (KIM)
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    wrc 10.06:i/d55-3312
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    Deutsche Universität für Verwaltungswissenschaften Speyer, Universitätsbibliothek
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    RVK Categories: QB 910
    Series: Array ; 3312
    Subjects: Modellierung; Prognoseverfahren; Wirtschaftsindikator; Eurozone; Schätzung; OECD-Staaten
    Scope: 36 S.
  10. Forecast pooling for short time series of macroeconomic variables
    Author: Marcellino, Massimiliano
    Published: 2002
    Publisher:  Centre for Economic Policy Research, London

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    W 32 (3313)
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    Universität Konstanz, Kommunikations-, Informations-, Medienzentrum (KIM)
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    wrc 10.06:i/d55-3313
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    Deutsche Universität für Verwaltungswissenschaften Speyer, Universitätsbibliothek
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    RVK Categories: QB 910
    Series: Array ; 3313
    Subjects: Prognoseverfahren; Schätzung; Wirtschaftsindikator; OECD-Staaten; Nichtlineare Regression
    Scope: 31 S.
  11. A shrinkage instrumental variable estimator for large datasets
    Author: Carriero, Andrea; Kapetanios, George; Marcellino, Massimiliano
    Published: [2015]
    Publisher:  IGIER, Università Bocconi, Milano, Italy

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: This version: September 22, 2015
    Series: Working paper series / IGIER ; n. 558
    Subjects: IV-Schätzung; Monte-Carlo-Simulation; Schätztheorie
    Scope: 1 Online-Ressource (circa 24 Seiten)
  12. Assessing international commonality in macroeconomic uncertainty and its effects
    Author: Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano
    Published: 2018
    Publisher:  Federal Reserve Bank of Cleveland, [Cleveland, OH]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    VS 36 (18,3)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Working paper / Federal Reserve Bank of Cleveland ; 18, 03 (March 2018)
    Subjects: Internationale Konjunktur; Schock; Wirkungsanalyse; Konjunkturzusammenhang; VAR-Modell; Bayes-Statistik; Big Data; Industrieländer
    Scope: 1 Online-Ressource (circa 58 Seiten), Illustrationen
  13. Explaining the time-varying effects of oil market shocks on U.S. stock returns
    Author: Foroni, Claudia; Guérin, Pierre; Marcellino, Massimiliano
    Published: [2017]
    Publisher:  IGIER, Università Bocconi, Milano, Italy

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: This version: February 20, 2017
    Series: Working paper series / IGIER ; n. 597
    Subjects: Stock Returns; Oil Market Shocks; Time-varying Parameter VAR
    Scope: 1 Online-Ressource (circa 18 Seiten), Illustrationen
  14. Markov-switching three-pass regression filter
    Author: Guérin, Pierre; Leiva-Leon, Danilo; Marcellino, Massimiliano
    Published: [2016]
    Publisher:  IGIER, Università Bocconi, Milano, Italy

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: This version: November, 2016
    Series: Working paper series / IGIER ; n. 591
    Subjects: Factor model; Markov-switching; Forecasting
    Scope: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  15. A daily indicator of economic growth for the euro area
    Author: Aprigliano, Valentina; Foroni, Claudia; Marcellino, Massimiliano; Mazzi, Gian Luigi; Venditti, Fabrizio
    Published: [2016]
    Publisher:  IGIER, Università Bocconi, Milano, Italy

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: This version: February 9, 2016
    Series: Working paper series / IGIER ; n. 570
    Subjects: Nowcasting; mixed-frequency data
    Scope: 1 Online-Ressource (circa 23 Seiten), Illustrationen
  16. Uncertainty through the lenses of a mixed-frequency Bayesian panel Markov switching model
    Author: Casarin, Roberto; Foroni, Claudia; Marcellino, Massimiliano; Ravazzolo, Francesco
    Published: [2016]
    Publisher:  IGIER, Università Bocconi, Milano, Italy

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: This version: October 31, 2016
    Series: Working paper series / IGIER ; n. 585
    Subjects: dynamic panel model; mixed-frequency; Markov switching; Bayesian inference; MCMC
    Scope: 1 Online-Ressource (circa 70 Seiten), Illustrationen
  17. Forecasting EMU macroeconomic variables
    Author: Marcellino, Massimiliano
    Published: 2002
    Publisher:  Centre for Economic Policy Research, London

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 32 (3529)
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    Universität Konstanz, Kommunikations-, Informations-, Medienzentrum (KIM)
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    wrc 10.06:i/d55-3529
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    Location:
    Deutsche Universität für Verwaltungswissenschaften Speyer, Universitätsbibliothek
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    RVK Categories: QB 910
    Series: Array ; 3529
    Subjects: Eurozone; Wirtschaftsprognose; Prognoseverfahren; EU-Staaten
    Scope: 29 S.
  18. Some stylized facts on non-systematic fiscal policy in the Euro area
    Author: Marcellino, Massimiliano
    Published: 2002
    Publisher:  Centre for Economic Policy Research, London

    Location:
    Leibniz-Institut für Wirtschaftsforschung Halle, Bibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    W 32 (3635)
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    Universität Konstanz, Kommunikations-, Informations-, Medienzentrum (KIM)
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    wrc 10.06:i/d55-3635
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    Location:
    Deutsche Universität für Verwaltungswissenschaften Speyer, Universitätsbibliothek
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    RVK Categories: QB 910
    Series: Array ; 3635
    Subjects: Finanzpolitik; Schock; Internationale Wirtschaftspolitik; EU-Staaten
    Scope: 32 S., graph. Darst.
    Notes:

    Literaturverz. S. 17
  19. Forecasting the Covid-19 recession and recovery
    lessons from the financial crisis
    Author: Foroni, Claudia; Marcellino, Massimiliano; Stevanović, Dalibor
    Published: [2020]
    Publisher:  CIRANO, [Montréal]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Cahier scientifique / CIRANO ; 2020s, 32
    Scope: 1 Online-Ressource (circa 43 Seiten), Illustrationen
  20. Specification choices in quantile regression for empirical macroeconomics
    Author: Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano
    Published: 09 March 2024
    Publisher:  Centre for Economic Policy Research, London

    Quantile regression has become widely used in empirical macroeconomics, in particular for estimating and forecasting tail risks to macroeconomic indicators. In this paper we examine various choices in the specification of quantile regressions for... more

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    Universität Potsdam, Universitätsbibliothek
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    Quantile regression has become widely used in empirical macroeconomics, in particular for estimating and forecasting tail risks to macroeconomic indicators. In this paper we examine various choices in the specification of quantile regressions for macro applications, for example, choices related to how and to what extent to include shrinkage, and whether to apply shrinkage in a classical or Bayesian framework. We focus on forecasting accuracy, using for evaluation both quantile scores and quantile-weighted continuous ranked probability scores at a range of quantiles spanning from the left to right tail. Across a range of applications, we find that shrinkage is generally helpful to quantile forecast accuracy, with Bayesian quantile regression dominating frequentist quantile regression.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP18901
    Subjects: Quantile regression; tail forecasting; shrinkage; Bayesian methods; quantile scores
    Scope: 1 Online-Ressource (circa 108 Seiten), Illustrationen
  21. Fiscal forecasting
    the track record of the IMF, OECD and EC
    Author: Artis, Michael J.; Marcellino, Massimiliano
    Published: 1999
    Publisher:  Europ. Univ. Inst., Economics Dep., San Domenico (FI)

    Location:
    Max-Planck-Institut für Bildungsforschung, Bibliothek und wissenschaftliche Information
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    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Unter den Linden
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Book
    Format: Print
    Series: Array ; 99/22
    Subjects: Prognoseverfahren; Haushaltsdefizit; Welt; OECD-Staaten; EU-Staaten
    Scope: 31 S, graph. Darst
    Notes:

    Literaturverz. S. 16 - 17
  22. Factor forecasts for the UK
    Author: Artis, Michael J.; Banerjee, Anindya; Marcellino, Massimiliano
    Published: 2001
    Publisher:  Europ. Univ. Inst., Economics Dep., San Domenico (FI)

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    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Unter den Linden
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Book
    Format: Print
    Series: Array ; 2001,15
    Subjects: Wirtschaftsprognose; Zeitreihenanalyse; Großbritannien
    Scope: 43 S, graph. Darst
    Notes:
  23. Interpolation and backdating with a large information set
    Author: Angelini, Elena; Henry, Jérôme; Marcellino, Massimiliano
    Published: 2003
    Publisher:  European Central Bank, Frankfurt am Main

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    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Unter den Linden
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Book
    Format: Print
    RVK Categories: QB 910
    Series: Working paper series / European Central Bank ; 252
    Subjects: Schätztheorie; Theorie; Zustandsraummodell
    Scope: 40 S, graph. Darst
    Notes:
  24. A macroeconometric model for the Euro economy
    Author: Dreger, Christian; Marcellino, Massimiliano
    Published: 2003
    Publisher:  Inst. für Wirtschaftsforschung, Halle

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    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Unter den Linden
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Book
    Format: Print
    Series: Diskussionspapiere / Institut für Wirtschaftsforschung Halle ; 181
    Subjects: Makroökonometrie; Eurozone; EU-Staaten
    Scope: 25 S, graph. Darst
    Notes:
  25. Point, interval and density forecasts of exchange rates with time-varying parameter models
    Author: Abbate, Angela; Marcellino, Massimiliano
    Published: June 7, 2016
    Publisher:  Deutsche Bundesbank, Frankfurt am Main

    We explore whether modelling parameter time variation improves the point, interval and density forecasts of nine major exchange rates vis-a-vis the US dollar over the period 1976-2015. We find that modelling parameter time variation is needed for an... more

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    Leibniz-Institut für Wirtschaftsforschung Halle, Bibliothek
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    Staats- und Universitätsbibliothek Hamburg Carl von Ossietzky
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 12 (2016,19)
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    Universitätsbibliothek Osnabrück
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    We explore whether modelling parameter time variation improves the point, interval and density forecasts of nine major exchange rates vis-a-vis the US dollar over the period 1976-2015. We find that modelling parameter time variation is needed for an accurate calibration of forecast confidence intervals, and is better suited at long horizons and in high-volatility periods. The biggest forecast improvements are obtained by modelling time variation in the volatilities of the innovations, rather than in the slope parameters. Moreover, we do not find evidence that parameter time variation helps to unravel exchange rate predictability by macroeconomic fundamentals. Finally, an economic evaluation of the different forecast models reveals that controlling for parameter time variation leads to higher portfolios returns, and to higher utility values for investors.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9783957292643
    Other identifier:
    hdl: 10419/142220
    Series: Discussion paper / Deutsche Bundesbank ; no 2016/19
    Subjects: Wechselkurs; Prognoseverfahren; VAR-Modell; Schätzung; USA; Welt
    Scope: 1 Online-Ressource (circa 34 Seiten), Illustrationen