Massimiliano Giuseppe Marcellino

European University Institute

Villa Schifanoia

133 via Bocaccio

Firenze (Florence), Tuscany 50014

Italy

European University Institute - Robert Schuman Centre for Advanced Studies (RSCAS)

Part-time professor RSCAS

Villa La Fonte, via delle Fontanelle 18

50016 San Domenico di Fiesole

Florence, Florence 50014

Italy

Bocconi University - Department of Economics

Via Gobbi 5

Milan, 20136

Italy

Centre for Economic Policy Research (CEPR)

Fellow

London

United Kingdom

  • European University Institute

  • European University Institute - Robert Schuman Centre for Advanced Studies (RSCAS)

  • Bocconi University - Department of Economics

  • Centre for Economic Policy Research (CEPR)

SCHOLARLY PAPERS

122

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449

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Scholarly Papers (122)

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1.

Are There Any Reliable Leading Indicators for U.S. Inflation and GDP Growth?

IGIER Working Paper No. 236
Number of pages: 46 Posted: 13 Jun 2003
Massimiliano Giuseppe Marcellino, Anindya Banerjee and Igor Masten
European University Institute, European University Institute - Department of Economics and University of Ljubljana - Faculty of Economics
Downloads 581 (49,452)
Citation 12

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Leading indicator, factor model, model selection, GDP growth, inflation

2.

A Survey of Econometric Methods for Mixed-Frequency Data

Number of pages: 45 Posted: 23 May 2013
Claudia Foroni and Massimiliano Giuseppe Marcellino
Independent and European University Institute
Downloads 466 (65,166)
Citation 36

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mixed-frequency data, mixed-frequency VAR, MIDAS, nowcasting, forecasting

3.

Leading Indicators: What Have We Learned?

Downloads 359 ( 88,698)
Citation 4

Leading Indicators: What Have We Learned?

IGIER Working Paper No. 286
Number of pages: 84 Posted: 05 Apr 2005
Massimiliano Giuseppe Marcellino
European University Institute
Downloads 335 (95,255)
Citation 5

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Business Cycles, Leading Indicators, Coincident Indicators, Turning Points, Forecasting

Leading Indicators: What Have We Learned?

CEPR Discussion Paper No. 4977
Number of pages: 86 Posted: 09 Aug 2005
Massimiliano Giuseppe Marcellino
European University Institute
Downloads 24 (547,876)
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Business cycles, leading indicators, coincident indicators, turning points, forecasting

4.

Testing for PPP: Should We Use Panel Methods?

IGIER Working Paper No. 186
Number of pages: 33 Posted: 06 Apr 2001
Anindya Banerjee, Massimiliano Giuseppe Marcellino and Chiara Osbat
European University Institute - Department of Economics, European University Institute and European Central Bank (ECB)
Downloads 296 (109,942)
Citation 16

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PPP, unit root, panel, cointegration, cross-unit dependence

5.

A Comparison of Estimation Methods for Dynamic Factor Models of Large Dimensions

U of London Queen Mary Economics Working Paper No. 489
Number of pages: 53 Posted: 12 May 2003
George Kapetanios and Massimiliano Giuseppe Marcellino
King's College, London and European University Institute
Downloads 284 (114,852)
Citation 21

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6.

TFP, Costs, and Public Infrastructure: An Equivocal Relationship

IGIER Working Paper No. 176
Number of pages: 36 Posted: 11 Mar 2001
Eliana La Ferrara and Massimiliano Giuseppe Marcellino
University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER) and European University Institute
Downloads 274 (119,292)
Citation 11

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infrastructures, TFP, growth, costs

7.

Leading Indicators for Euro-Area Inflation and GDP Growth

Downloads 272 (120,210)
Citation 45

Leading Indicators for Euro-Area Inflation and GDP Growth

IGIER Working Paper No. 235
Number of pages: 42 Posted: 26 May 2003
Massimiliano Giuseppe Marcellino, Anindya Banerjee and Igor Masten
European University Institute, European University Institute - Department of Economics and University of Ljubljana - Faculty of Economics
Downloads 236 (138,397)
Citation 5

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Leading indicator, factor model, model selection, GDP growth, inflation

Leading Indicators for Euro Area Inflation and GDP Growth

CEPR Discussion Paper No. 3893
Number of pages: 44 Posted: 24 Jun 2003
Massimiliano Giuseppe Marcellino, Anindya Banerjee and Igor Masten
European University Institute, European University Institute - Department of Economics and University of Ljubljana - Faculty of Economics
Downloads 21 (568,056)
Citation 1
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Leading indicator, factor model, model selection, GDP growth, inflation

Leading Indicators for Euro-Area Inflation and GDP Growth

Oxford Bulletin of Economics & Statistics, Vol. 67, No. S1, pp. 785-813, December 2005
Number of pages: 29 Posted: 03 Feb 2006
Anindya Banerjee, Massimiliano Giuseppe Marcellino and Igor Masten
European University Institute - Department of Economics, European University Institute and University of Ljubljana - Faculty of Economics
Downloads 15 (609,820)
Citation 6
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8.

Big Data Econometrics: Now Casting and Early Estimates

BAFFI CAREFIN Centre Research Paper No. 2018-82
Number of pages: 53 Posted: 02 Jul 2018
Massimiliano Giuseppe Marcellino, Fotis Papailias, Gian Luigi Mazzi, George Kapetanios and Dario Buono
European University Institute, Quantf Research, Eurostat, King's College, London and Eurostat, European Commission
Downloads 260 (126,050)
Citation 1

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Big Data, Nowcasting, Early Estimates, Econometric Methods

9.

A Markov-Switching Vector Equilibrium Correction Model of the UK Labour Market

IGIER Working Paper No. 185
Number of pages: 20 Posted: 06 Apr 2001
Hans-Martin Krolzig, Massimiliano Giuseppe Marcellino and Grayham E. Mizon
Humboldt University of Berlin - Institute for Statistics and Econometrics, European University Institute and University of Southampton - Division of Economics
Downloads 210 (155,250)
Citation 1

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business cycles, employment, Impulse-Response Analysis, cointegration, regime shifts, Markov switching

10.

Fiscal Solvency and Fiscal Forecasting in Europe

IGIER Working Paper No. 142
Number of pages: 40 Posted: 21 Jul 1998
Michael J. Artis and Massimiliano Giuseppe Marcellino
University of Manchester - Institute for Political & Economic Governance (IPEG) and European University Institute
Downloads 208 (156,732)
Citation 16

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11.

Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP

Downloads 196 (165,695)
Citation 15

Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP

Deutsche Bundesbank Discussion Paper Economic Studies Series 1, No. 34/07
Number of pages: 60 Posted: 19 Feb 2008
Massimiliano Giuseppe Marcellino and Christian Schumacher
European University Institute and Deutsche Bundesbank
Downloads 133 (231,031)
Citation 14

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MIDAS, large factor models, nowcasting, mixed-frequency data, missing values

Factor-Midas for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP

Bundesbank Series 1 Discussion Paper No. 2007,34
Number of pages: 60 Posted: 08 Jun 2016
Massimiliano Giuseppe Marcellino and Christian Schumacher
European University Institute and Deutsche Bundesbank
Downloads 61 (382,329)

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MIDAS, large factor models, nowcasting, mixed-frequency data, missing values

Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP

CEPR Discussion Paper No. DP6708
Number of pages: 43 Posted: 10 Jun 2008
Massimiliano Giuseppe Marcellino and Christian Schumacher
European University Institute and Deutsche Bundesbank
Downloads 2 (711,812)
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business cycle, large factor models, MIDAS, missing values, mixed-frequency data, nowcasting

12.

Measuring Uncertainty and Its Impact on the Economy

Downloads 192 (168,812)
Citation 28

Measuring Uncertainty and Its Impact on the Economy

BAFFI CAREFIN Centre Research Paper No. 2016-39
Number of pages: 62 Posted: 19 Oct 2016
Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and European University Institute
Downloads 112 (262,970)
Citation 1

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Bayesian VARs, stochastic volatility, large datasets

Measuring Uncertainty and Its Impact on the Economy

FRB of Cleveland Working Paper No. 16-22
Number of pages: 63 Posted: 19 Oct 2016
Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and European University Institute
Downloads 80 (328,624)
Citation 11

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Bayesian VARs, Stochastic Volatility, Large Datasets

13.

Dating the Euro Area Business Cycle

Downloads 192 (168,812)
Citation 33

Dating the Euro Area Business Cycle

IGIER Working Paper No. 237
Number of pages: 50 Posted: 13 Jun 2003
Massimiliano Giuseppe Marcellino, Michael J. Artis and Tommaso Proietti
European University Institute, University of Manchester - Institute for Political & Economic Governance (IPEG) and University of Rome II - Department of Economics and Finance
Downloads 174 (184,328)
Citation 13

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Business cycle, Euro area, cycle dating, cycle synchronization

Dating the Euro Area Business Cycle

CEPR Discussion Paper No. 3696
Number of pages: 62 Posted: 31 Jan 2003
Michael J. Artis, Massimiliano Giuseppe Marcellino and Tommaso Proietti
University of Manchester - Institute for Political & Economic Governance (IPEG), European University Institute and University of Rome II - Department of Economics and Finance
Downloads 18 (588,823)
Citation 1
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Business cycle, euro area, cycle dating, cycle synchronization

14.

Stochastic Processes Subject to Time-Scale Transformations: An Application to High-Frequency Fx Data

UC Davis Working Paper No. 00-02
Number of pages: 43 Posted: 14 Jun 2000
Oscar Jorda and Massimiliano Giuseppe Marcellino
University of California, Davis - Department of Economics and European University Institute
Downloads 185 (174,583)
Citation 1

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15.

Public Capital and Economic Performance: Evidence from Italy

IGIER Working Paper No. 163
Number of pages: 30 Posted: 26 Jun 2000
Eliana La Ferrara, Massimiliano Giuseppe Marcellino and Federico Bonaglia
University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER), European University Institute and Organization for Economic Co-Operation and Development (OECD) - Development Centre (DEV)
Downloads 184 (175,431)
Citation 5

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16.

Modelling Shifts in the Wage-Price and Unemployment-Inflation Relationships in Italy, Poland, and the UK

Bocconi University, IGIER Working Paper No. 145
Number of pages: 27 Posted: 13 Mar 1999
Massimiliano Giuseppe Marcellino and Grayham E. Mizon
European University Institute and University of Southampton - Division of Economics
Downloads 183 (176,312)
Citation 1

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17.

Factor Analysis in a New-Keynesian Model

ECB Working Paper No. 510
Number of pages: 54 Posted: 25 Aug 2005
Andreas Beyer, Roger E. A. Farmer, Jerome Henry and Massimiliano Giuseppe Marcellino
European Central Bank (ECB), University of California, Los Angeles (UCLA) - Department of Economics, European Central Bank (ECB) and European University Institute
Downloads 171 (187,055)

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New-Keynesian Phillips curve, forward looking output equation, Taylor rule, rational expectations, factor analysis, determinacy of equilibrium.

18.

Some Cautions on the Use of Panel Methods for Integrated Series of Macro-Economic Data

IGIER Working Paper No. 170
Number of pages: 43 Posted: 01 Mar 2001
Anindya Banerjee, Massimiliano Giuseppe Marcellino and Chiara Osbat
European University Institute - Department of Economics, European University Institute and European Central Bank (ECB)
Downloads 171 (187,055)
Citation 12

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19.

U-Midas: Midas Regressions with Unrestricted Lag Polynomials

Downloads 170 (188,041)
Citation 14

U-Midas: Midas Regressions with Unrestricted Lag Polynomials

Bundesbank Series 1 Discussion Paper No. 2011,35
Number of pages: 56 Posted: 08 Jun 2016
Claudia Foroni, Massimiliano Giuseppe Marcellino and Christian Schumacher
Independent, European University Institute and Deutsche Bundesbank
Downloads 166 (192,046)

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mixed data sampling, distributed lag polynomals, time aggregation, now-casting

U-Midas: Midas Regressions with Unrestricted Lag Polynomials

CEPR Discussion Paper No. DP8828
Number of pages: 38 Posted: 01 Mar 2012
Claudia Foroni, Massimiliano Giuseppe Marcellino and Christian Schumacher
Independent, European University Institute and Deutsche Bundesbank
Downloads 4 (692,337)
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distributed lag polynomals, Mixed data sampling, nowcasting, time aggregation

20.

Model Selection for Non-Linear Dynamic Models

IGIER Working Paper No. 159
Number of pages: 24 Posted: 17 Feb 2000
Massimiliano Giuseppe Marcellino
European University Institute
Downloads 161 (197,079)
Citation 1

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21.

A Comparison of Direct and Iterated Multistep Ar Methods for Forecasting Macroeconomic Time Series

Downloads 158 (200,219)
Citation 136

A Comparison of Direct and Iterated Multistep Ar Methods for Forecasting Macroeconomic Time Series

IGIER Working Paper No. 285
Number of pages: 31 Posted: 13 Apr 2005
Massimiliano Giuseppe Marcellino, James H. Stock and Mark W. Watson
European University Institute, Harvard University - Department of Economics and Princeton University - Woodrow Wilson School of Public and International Affairs
Downloads 143 (217,904)
Citation 19

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Multistep forecasts, VAR forecasts, forecast comparisons

A Comparison of Direct and Iterated Multistep Ar Methods for Forecasting Macroeconomic Time Series

CEPR Discussion Paper No. 4976
Number of pages: 32 Posted: 01 Aug 2005
Massimiliano Giuseppe Marcellino, James H. Stock and Mark W. Watson
European University Institute, Harvard University - Department of Economics and Princeton University - Woodrow Wilson School of Public and International Affairs
Downloads 15 (609,820)
Citation 11
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Multistep forecasts, VAR forecasts, forecast comparisons

22.

Characterising the Business Cycle for Accession Countries

IGIER Working Paper No. 261
Number of pages: 46 Posted: 18 May 2004
Michael J. Artis, Massimiliano Giuseppe Marcellino and Tommaso Proietti
University of Manchester - Institute for Political & Economic Governance (IPEG), European University Institute and University of Rome II - Department of Economics and Finance
Downloads 148 (211,397)
Citation 23

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Business cycles, dating algorithms, cycle synchronization, EU enlargement, seasonal adjustment

23.

Regional Inflation Dynamics within and Across Euro Area Countries and a Comparison with the Us

Downloads 144 (216,154)
Citation 1

Regional Inflation Dynamics within and Across Euro Area Countries and a Comparison with the Us

ECB Working Paper No. 681
Number of pages: 59 Posted: 26 Oct 2006
Kirstin Hubrich, Massimiliano Giuseppe Marcellino and Guenter W. Beck
Board of Governors of the Federal Reserve System, European University Institute and Goethe University Frankfurt
Downloads 144 (216,661)
Citation 1

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Regional inflation dynamics, euro area and US, common factor models

Regional Inflation Dynamics within and Across Euro Area Countries and a Comparison with the US

CFS Working Paper No. 2007/01
Posted: 07 Mar 2007
Guenter W. Beck, Kirstin Hubrich and Massimiliano Giuseppe Marcellino
Goethe University Frankfurt, Board of Governors of the Federal Reserve System and European University Institute

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Regional Inflation Dynamics, Euro Area and US, Common Factor Model

24.

Forecasting Macroeconomic Variables for the New Member States of the European Union

ECB Working Paper No. 482
Number of pages: 48 Posted: 01 Jun 2005
Anindya Banerjee, Massimiliano Giuseppe Marcellino and Igor Masten
European University Institute - Department of Economics, European University Institute and University of Ljubljana - Faculty of Economics
Downloads 133 (230,298)

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Factor models, forecasts, time series models, new Member States

25.

Modelling and Forecasting Fiscal Variables for the Euro Area

Downloads 126 (240,020)
Citation 14

Modelling and Forecasting Fiscal Variables for the Euro Area

IGIER Working Paper No. 298
Number of pages: 33 Posted: 09 Oct 2005
Carlo A. Favero and Massimiliano Giuseppe Marcellino
Bocconi University - Department of Finance and European University Institute
Downloads 85 (316,541)
Citation 3

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Fiscal forecasting, forecast comparison, fiscal rules, euro area

Modelling and Forecasting Fiscal Variables for the Euro Area

Oxford Bulletin of Economics & Statistics, Vol. 67, No. S1, pp. 755-783, December 2005
Number of pages: 29 Posted: 03 Feb 2006
Carlo A. Favero and Massimiliano Giuseppe Marcellino
Bocconi University - Department of Finance and European University Institute
Downloads 25 (541,374)
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Modelling and Forecasting Fiscal Variables for the Euro Area

CEPR Discussion Paper No. 5294
Number of pages: 35 Posted: 29 Dec 2005
Carlo A. Favero and Massimiliano Giuseppe Marcellino
Bocconi University - Department of Finance and European University Institute
Downloads 16 (602,669)
Citation 3
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Fiscal forecasting, forecast comparison, fiscal rules, euro area

26.

Interpolation and Backdating with a Large Information Set

Downloads 116 (255,171)
Citation 20

Interpolation and Backdating with a Large Information Set

ECB Working Paper No. 252
Number of pages: 41 Posted: 22 Jan 2004
Elena Angelini, Jerome Henry and Massimiliano Giuseppe Marcellino
European Central Bank (ECB), European Central Bank (ECB) and European University Institute
Downloads 99 (286,882)

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Interpolation, factor model, Kalman filter, spline

Interpolation and Backdating with a Large Information Set

CEPR Discussion Paper No. 4533
Number of pages: 36 Posted: 30 Sep 2004
Elena Angelini, Jerome Henry and Massimiliano Giuseppe Marcellino
European Central Bank (ECB), European Central Bank (ECB) and European University Institute
Downloads 17 (595,859)
Citation 5
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Interpolation, factor model, Kalman filter, spline

27.

Bayesian VARs: Specification Choices and Forecast Accuracy

Downloads 105 (273,814)
Citation 35

Bayesian VARs: Specification Choices and Forecast Accuracy

FRB of Cleveland Working Paper No. 1112
Number of pages: 52 Posted: 17 May 2011
Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and European University Institute
Downloads 102 (281,109)
Citation 5

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Bayesian VARs, forecasting, prior specification, lag length, marginal likelihood

Bayesian VARs: Specification Choices and Forecast Accuracy

CEPR Discussion Paper No. DP8273
Number of pages: 52 Posted: 14 Mar 2011
Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and European University Institute
Downloads 3 (701,038)
Citation 5
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Bayesian VARs, forecasting, marginal likelihood, prior specification

28.

Impulse Response Functions from Structural Dynamic Factor Models: A Monte Carlo Evaluation

Downloads 105 (273,814)

Impulse Response Functions from Structural Dynamic Factor Models: A Monte Carlo Evaluation

IGIER Working Paper No. 306
Number of pages: 38 Posted: 31 Mar 2006
George Kapetanios and Massimiliano Giuseppe Marcellino
King's College, London and European University Institute
Downloads 91 (303,083)

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Factor models, Principal components, Subspace algorithms, Structural

Impulse Response Functions from Structural Dynamic Factor Models: A Monte Carlo Evaluation

CEPR Discussion Paper No. 5621
Number of pages: 39 Posted: 05 Jul 2006
George Kapetanios and Massimiliano Giuseppe Marcellino
King's College, London and European University Institute
Downloads 14 (617,190)
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Factor models, principal components, subspace algorithms, structural identification, structural VAR

29.

Short-Term GDP Forecasting with a Mixed Frequency Dynamic Factor Model with Stochastic Volatility

Downloads 104 (275,626)
Citation 222

Short-Term GDP Forecasting with a Mixed Frequency Dynamic Factor Model with Stochastic Volatility

Bank of Italy Temi di Discussione (Working Paper) No. 896
Number of pages: 61 Posted: 21 Feb 2013
Massimiliano Giuseppe Marcellino, Mario Porqueddu and Fabrizio Venditti
European University Institute, Bank of Italy and Bank of Italy
Downloads 101 (283,060)
Citation 32

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forecasting, business cycle, mixed-frequency data, nonlinear models, nowcasting

Short-Term GDP Forecasting with a Mixed Frequency Dynamic Factor Model with Stochastic Volatility

CEPR Discussion Paper No. DP9334
Number of pages: 57 Posted: 12 Feb 2013
Massimiliano Giuseppe Marcellino, Mario Porqueddu and Fabrizio Venditti
European University Institute, Bank of Italy and Bank of Italy
Downloads 3 (701,038)
Citation 31
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Business cycle, Forecasting, Mixed-frequency data, Nonlinear models, Nowcasting

30.

Classical Time-Varying FAVAR Models - Estimation, Forecasting and Structural Analysis

Downloads 104 (275,626)
Citation 8

Classical Time-Varying FAVAR Models - Estimation, Forecasting and Structural Analysis

Bundesbank Series 1 Discussion Paper No. 2011,04
Number of pages: 68 Posted: 08 Jun 2016
Sandra Eickmeier, Wolfgang Lemke and Massimiliano Giuseppe Marcellino
Deutsche Bundesbank, European Central Bank and European University Institute
Downloads 99 (286,882)

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FAVAR, time-varying parameters, monetary transmission, forecasting

Classical Time-Varying FAVAR Models - Estimation, Forecasting and Structural Analysis

CEPR Discussion Paper No. DP8321
Number of pages: 53 Posted: 18 Apr 2011
Sandra Eickmeier, Wolfgang Lemke and Massimiliano Giuseppe Marcellino
Deutsche Bundesbank, European Central Bank and European University Institute
Downloads 5 (684,476)
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FAVAR, forecasting, monetary transmission, time-varying parameters

31.

Using Low Frequency Information for Predicting High Frequency Variables

Norges Bank Working Paper 13/2015
Number of pages: 41 Posted: 27 Nov 2015
Claudia Foroni, Pierre Guerin and Massimiliano Giuseppe Marcellino
Norges Bank, Government of Canada - Bank of Canada and European University Institute
Downloads 102 (279,286)
Citation 6

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Mixed-Frequency VAR models, temporal aggregation, MIDAS models

32.

A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions

Downloads 99 (284,957)
Citation 17

A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions

IGIER Working Paper No. 305
Number of pages: 34 Posted: 31 Mar 2006
George Kapetanios and Massimiliano Giuseppe Marcellino
King's College, London and European University Institute
Downloads 77 (336,251)
Citation 10

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Factor models, Principal components, Subspace algorithms

A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions

CEPR Discussion Paper No. 5620
Number of pages: 35 Posted: 05 Jul 2006
George Kapetanios and Massimiliano Giuseppe Marcellino
King's College, London and European University Institute
Downloads 21 (568,056)
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factor models, principal components, subspace algorithms

A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions

Journal of Time Series Analysis, Vol. 30, Issue 2, pp. 208-238, March 2009
Number of pages: 31 Posted: 27 Apr 2009
George Kapetanios and Massimiliano Giuseppe Marcellino
King's College, London and European University Institute
Downloads 1 (725,647)
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33.

Forecasting Macroeconomic Variables for the Acceding Countries

IGIER Working Paper No. 260
Number of pages: 46 Posted: 15 May 2004
Anindya Banerjee, Massimiliano Giuseppe Marcellino and Igor Masten
European University Institute - Department of Economics, European University Institute and University of Ljubljana - Faculty of Economics
Downloads 97 (288,801)
Citation 5

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Factor models, Forecasts, Time Series Models, Acceding Countries

34.

Macroeconomic Forecasting During the Great Recession: The Return of Non-Linearity?

Downloads 94 (294,680)
Citation 6

Macroeconomic Forecasting During the Great Recession: The Return of Non-Linearity?

Document de Travail No. 383
Number of pages: 36 Posted: 01 Jun 2012
Laurent Ferrara, Massimiliano Giuseppe Marcellino and Matteo Mogliani
Banque de France, European University Institute and Banque de France
Downloads 89 (307,424)

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Forecasting, Non-linear models, Great Recession

Macroeconomic Forecasting During the Great Recession: The Return of Non-Linearity?

CEPR Discussion Paper No. DP9313
Number of pages: 45 Posted: 01 Feb 2013
Laurent Ferrara, Massimiliano Giuseppe Marcellino and Matteo Mogliani
Banque de France, European University Institute and Banque de France
Downloads 5 (684,476)
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Great Recession, Macroeconomic forecasting, Non-linear models

35.

Time Scale Transformations of Discrete Time Processes

Downloads 89 (304,944)
Citation 4

Time Scale Transformations of Discrete Time Processes

U of California Davis Working Paper
Number of pages: 29 Posted: 26 Feb 2003
Oscar Jorda and Massimiliano Giuseppe Marcellino
University of California, Davis - Department of Economics and European University Institute
Downloads 76 (338,865)

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time aggregation, time-scale transformation, irregularly spaced data, autoregressive conditional intensity model

Time-Scale Transformations of Discrete Time Processes

Journal of Time Series Analysis, Vol. 25, No. 6, pp. 873-894, November 2004
Number of pages: 22 Posted: 18 Oct 2004
Oscar Jorda and Massimiliano Giuseppe Marcellino
University of California, Davis - Department of Economics and European University Institute
Downloads 13 (624,419)
Citation 1
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36.

The Changing International Transmission of Financial Shocks: Evidence from a Classical Time-Varying FAVAR

Downloads 87 (309,327)
Citation 6

The Changing International Transmission of Financial Shocks: Evidence from a Classical Time-Varying FAVAR

Bundesbank Series 1 Discussion Paper No. 2011,05
Number of pages: 64 Posted: 08 Jun 2016
Sandra Eickmeier, Wolfgang Lemke and Massimiliano Giuseppe Marcellino
Deutsche Bundesbank, European Central Bank and European University Institute
Downloads 83 (321,245)

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international business cycles, international transmission channels, financial markets, globalization, financial conditions index, global financial crisis, timevarying FAVAR

The Changing International Transmission of Financial Shocks: Evidence from a Classical Time-Varying FAVAR

CEPR Discussion Paper No. DP8341
Number of pages: 48 Posted: 20 Apr 2011
Sandra Eickmeier, Wolfgang Lemke and Massimiliano Giuseppe Marcellino
Deutsche Bundesbank, European Central Bank and European University Institute
Downloads 4 (692,337)
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financial conditions index, financial markets, global financial crisis, globalization, International business cycles, international transmission channels, time-varying FAVAR

37.

Real Time Estimates of the Euro Area Output Gap: Reliability and Forecasting Performance

ECB Working Paper No. 1157
Number of pages: 79 Posted: 10 Mar 2010
Massimiliano Giuseppe Marcellino and Alberto Musso
European University Institute and European Central Bank (ECB)
Downloads 84 (316,094)

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Output gap, real-time data, euro area, inflation forecasts, real GDP forecasts, data revisions

38.

Ex Post and Ex Ante Analysis of Provisional Data

IGIER Working Paper No. 141
Number of pages: 22 Posted: 02 Dec 1998
Massimiliano Giuseppe Marcellino and Giampiero M. Gallo
European University Institute and Corte dei Conti - Italian Court of Audits
Downloads 83 (318,378)
Citation 1

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39.

Linear Aggregation with Common Trends and Cycles

IGIER Working Paper No. 160
Number of pages: 18 Posted: 30 Mar 2000
Massimiliano Giuseppe Marcellino
European University Institute
Downloads 82 (320,741)

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40.

Pooling-Based Data Interpolation and Backdating

Downloads 77 (332,839)
Citation 2

Pooling-Based Data Interpolation and Backdating

IGIER Working Paper No. 299
Number of pages: 38 Posted: 09 Oct 2005
Massimiliano Giuseppe Marcellino
European University Institute
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Citation 2

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Pooling, Interpolation, Factor Model, Kalman Filter, Spline

Pooling-Based Data Interpolation and Backdating

CEPR Discussion Paper No. 5295
Number of pages: 39 Posted: 29 Dec 2005
Massimiliano Giuseppe Marcellino
European University Institute
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Pooling, interpolation, factor Model, Kalman Filter, spline

Pooling-Based Data Interpolation and Backdating

Journal of Time Series Analysis, Vol. 28, No. 1, pp. 53-71, January 2007
Number of pages: 19 Posted: 18 Dec 2006
Massimiliano Giuseppe Marcellino
European University Institute
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41.

Endogenous Uncertainty

FRB of Cleveland Working Paper No. 18-05
Number of pages: 57 Posted: 30 Mar 2018
Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Queen Mary, University of London, Federal Reserve Bank of Cleveland and European University Institute
Downloads 75 (337,958)

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Uncertainty, Endogeneity, Identification, Stochastic Volatility, Bayesian Methods

42.

Large Vector Autoregressions with Stochastic Volatility and Flexible Priors

FRB of Cleveland Working Paper No. 16-17
Number of pages: 55 Posted: 18 Sep 2016
Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and European University Institute
Downloads 74 (340,507)
Citation 2

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43.

Econometric Analyses with Backdated Data: Unified Germany and the Euro Area

ECB Working Paper No. 752
Number of pages: 67 Posted: 31 May 2007
Elena Angelini and Massimiliano Giuseppe Marcellino
European Central Bank (ECB) and European University Institute
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Backdating, Factor Model, Unified Germany, Euro Area

44.

Assessing International Commonality in Macroeconomic Uncertainty and Its Effects

FRB of Cleveland Working Paper No. 18-03R
Number of pages: 40 Posted: 26 Mar 2018 Last Revised: 10 Oct 2019
Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and European University Institute
Downloads 67 (359,586)
Citation 3

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Business cycle uncertainty, stochastic volatility, large datasets

45.

Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility

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Citation 20

Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility

FRB of Cleveland Working Paper No. 12-27
Number of pages: 58 Posted: 15 Nov 2012
Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and European University Institute
Downloads 62 (379,218)
Citation 3

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Prediction, forecasting, Bayesian methods, mixed frequency models

Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility

CEPR Discussion Paper No. DP9312
Number of pages: 59 Posted: 01 Feb 2013
Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and European University Institute
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Citation 2
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Bayesian methods, forecasting, mixed frequency models, Prediction

46.

Forecasting Economic Activity with Higher Frequency Targeted Predictors

Bank of Italy Temi di Discussione (Working Paper) No. 847
Number of pages: 49 Posted: 29 Feb 2012
Guido Bulligan, Massimiliano Giuseppe Marcellino and Fabrizio Venditti
Bank of Italy, European University Institute and Bank of Italy
Downloads 65 (365,198)
Citation 53

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short-term GDP forecast, factor models, bridge models, General To Specific

47.

Macroeconomic Activity and Risk Indicators: An Unstable Relationship

BAFFI CAREFIN Centre Research Paper No. 2017-56
Number of pages: 29 Posted: 06 Jul 2017 Last Revised: 21 Dec 2017
Angela Abbate and Massimiliano Giuseppe Marcellino
Deutsche Bundesbank and European University Institute
Downloads 63 (371,114)
Citation 1

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forecasting, credit spreads, SVAR, time-varying parameters

48.

Large Time-Varying Parameter Vars: A Non-Parametric Approach

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Citation 23

Large Time-Varying Parameter Vars: A Non-Parametric Approach

Bank of Italy Temi di Discussione (Working Paper) No. 1122
Number of pages: 63 Posted: 28 Aug 2017
George Kapetanios, Massimiliano Giuseppe Marcellino and Fabrizio Venditti
King's College, London, European University Institute and Bank of Italy
Downloads 62 (382,329)
Citation 21

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large VARs, time-varying parameters, non-parametric estimation, forecasting

Large Time-Varying Parameter VARs: A Non-Parametric Approach

CEPR Discussion Paper No. DP11560
Number of pages: 57 Posted: 10 Oct 2016
George Kapetanios, Massimiliano Giuseppe Marcellino and Fabrizio Venditti
King's College, London, European University Institute and Bank of Italy
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Citation 2
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49.

Variable Reduction and Variable Selection Methods Using Small, Medium and Large Datasets: A Forecast Comparison for the PEEIs

quantf research Working Paper Series: WP08/2014
Number of pages: 36 Posted: 02 Jun 2014
George Kapetanios, Massimiliano Giuseppe Marcellino and Fotis Papailias
King's College, London, European University Institute and Quantf Research
Downloads 61 (377,159)
Citation 3

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Bayesian Shrinkage Regression, Cross-Sectional Dependence, Cross-Sectional Averages, Euro Area, Forecasting, Genetic Algorithms, Heuristic Optimisation, MC^3, PEEIs, Sequential Testing, Simulated Annealing, Partial Least Squares, Principal Components

50.

Path Forecast Evaluation

Downloads 58 (386,600)
Citation 13

Path Forecast Evaluation

Number of pages: 45 Posted: 18 Jul 2008 Last Revised: 05 Feb 2014
Oscar Jorda and Massimiliano Giuseppe Marcellino
University of California, Davis - Department of Economics and European University Institute
Downloads 56 (399,219)
Citation 3

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path forecast, simultaneous confidence region, error bands

Path Forecast Evaluation

CEPR Discussion Paper No. DP7009
Number of pages: 48 Posted: 18 Dec 2008
Oscar Jorda and Massimiliano Giuseppe Marcellino
University of California, Davis - Department of Economics and European University Institute
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error bands, path forecast, simultaneous confidence region

51.

Variable Selection for Large Unbalanced Datasets Using Non-Standard Optimisation of Information Criteria and Variable Reduction Methods

quantf research Working Paper Series: WP04/2014
Number of pages: 21 Posted: 02 Jun 2014
George Kapetanios, Massimiliano Giuseppe Marcellino and Fotis Papailias
King's College, London, European University Institute and Quantf Research
Downloads 57 (389,912)
Citation 2

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Heuristic optimisation, Information criteria, Unbalanced datasets, Model Reduction, Forecasting, PEEI

52.

A Similarity-Based Approach for Macroeconomic Forecasting

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Citation 1

A Similarity-Based Approach for Macroeconomic Forecasting

Number of pages: 36 Posted: 17 Feb 2019
Yiannis Dendramis, George Kapetanios and Massimiliano Giuseppe Marcellino
University of Cyprus - Department of Accounting and Finance, King's College, London and European University Institute
Downloads 56 (399,219)
Citation 1

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Macroeconomic Forecasting, Forecast Comparison, Empirical Similarity, Parameter Time Variation, Kernel Estimation

A Similarity-Based Approach for Macroeconomic Forecasting

CEPR Discussion Paper No. DP14469
Number of pages: 33 Posted: 25 Mar 2020
Yiannis Dendramis, George Kapetanios and Massimiliano Giuseppe Marcellino
University of Cyprus - Department of Accounting and Finance, King's College, London and European University Institute
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empirical similarity, Forecast comparison, Kernel estimation, Macroeconomic forecasting, parameter time variation

53.

Have Standard VARs Remained Stable Since the Crisis?

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Citation 14

Have Standard VARs Remained Stable Since the Crisis?

FRB of Cleveland Working Paper No. 14-11
Number of pages: 57 Posted: 12 Sep 2014
Knut Aastveit, Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Norges Bank, Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and European University Institute
Downloads 36 (480,156)
Citation 1

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Bayesian VAR, Forecasting, Time-varying parameters, Stochastic volatility

Have Standard VARs Remained Stable Since the Crisis?

Norges Bank Working Paper 13 | 2014
Number of pages: 57 Posted: 04 May 2015
Knut Aastveit, Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Norges Bank, Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and European University Institute
Downloads 20 (574,857)
Citation 1

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Bayesian VAR, Forecasting, Time-varying parameters, Stochastic volatility

Have Standard VARs Remained Stable Since the Crisis?

CEPR Discussion Paper No. DP11558
Number of pages: 70 Posted: 10 Oct 2016
Knut Aastveit, Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Norges Bank, Queen Mary, University of London, Federal Reserve Bank of Cleveland and European University Institute
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Citation 5
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54.

On the Importance of Sectoral and Regional Shocks for Price-Setting

ECB Working Paper No. 1334
Number of pages: 56 Posted: 17 May 2011
Guenter W. Beck, Kirstin Hubrich and Massimiliano Giuseppe Marcellino
Goethe University Frankfurt, Board of Governors of the Federal Reserve System and European University Institute
Downloads 56 (393,223)

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Disaggregated prices, euro area regional and sectoral inflation, common factor models

55.

Midas Versus Mixed-Frequency VAR: Nowcasting GDP in the Euro Area

Bundesbank Series 1 Discussion Paper No. 2009,07
Number of pages: 36 Posted: 08 Jun 2016
Vladimir Kuzin, Massimiliano Giuseppe Marcellino and Christian Schumacher
German Institute for Economic Research (DIW Berlin), European University Institute and Deutsche Bundesbank
Downloads 54 (399,889)

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nowcasting, mixed-frequency data, mixed-frequency VAR, MIDAS

56.

Mixed Frequency Structural VARs

Norges Bank Working Paper 2014/01
Number of pages: 27 Posted: 23 Jan 2014
Claudia Foroni and Massimiliano Giuseppe Marcellino
Independent and European University Institute
Downloads 54 (399,889)
Citation 2

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Structural VAR, temporal aggregation, mixed frequency data, identification, estimation, impulse response function

57.

EuroMInd-C: A Disaggregate Monthly Indicator of Economic Activity for the Euro Area and Member Countries

CEIS Working Paper No. 287
Number of pages: 40 Posted: 03 Oct 2013
Cecilia Frale, Stefano Grassi, Massimiliano Giuseppe Marcellino, Gian Luigi Mazzi and Tommaso Proietti
Government of the Italian Republic (Italy) - Department of the Treasury, Aarhus University - CREATES, European University Institute, Eurostat and University of Rome II - Department of Economics and Finance
Downloads 53 (403,219)
Citation 10

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Index of coincident indicators, Temporal Disaggregation, Multivariate State Space Models, Dynamic factor Models, Quarterly National accounts

58.

Markov-Switching Three-Pass Regression Filter

Banco de Espana Working Paper No. 1748
Number of pages: 59 Posted: 29 Dec 2017
Pierre Guerin, Danilo Leiva‐Leon and Massimiliano Giuseppe Marcellino
Government of Canada - Bank of Canada, Banco de España and European University Institute
Downloads 51 (410,040)

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Factor Model, Markov-Switching, Forecasting

59.

The Solvency of Government Finances in Europe

Fiscal Sustainability Conference, p. 210, 2000
Number of pages: 34 Posted: 17 Jul 2012
Michael Artis and Massimiliano Giuseppe Marcellino
University of Manchester and European University Institute
Downloads 47 (424,631)
Citation 4

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60.

Survey Data as Coincident or Leading Indicators

Government of the Italian Republic (Italy), Ministry of Economy and Finance, Department of the Treasury Working Paper No. 3
Number of pages: 33 Posted: 01 Jul 2009
Cecilia Frale, Massimiliano Giuseppe Marcellino, Gian Luigi Mazzi and Tommaso Proietti
Government of the Italian Republic (Italy) - Department of the Treasury, European University Institute, Eurostat and University of Rome II - Department of Economics and Finance
Downloads 41 (448,069)
Citation 1

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Survey data, Forecasting, Temporal Disaggregation, Dynamic factor modes, Kalman Filter and smoother

61.

Factor Based Index Tracking

CEPR Discussion Paper No. 3265
Number of pages: 42 Posted: 12 Apr 2002
Francesco Corielli and Massimiliano Giuseppe Marcellino
Bocconi University - Department of Finance and European University Institute
Downloads 41 (448,069)
Citation 4
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Index tracing, replica, stock index, factor models

62.

Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions

FRB of Cleveland Working Paper No. 20-02
Number of pages: 71 Posted: 17 Jan 2020
Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Queen Mary, University of London, Federal Reserve Bank of Cleveland and European University Institute
Downloads 38 (460,661)

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forecasting, downside risk, asymmetries

63.

Point, Interval and Density Forecasts of Exchange Rates with Time-Varying Parameter Models

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Citation 5

Point, Interval and Density Forecasts of Exchange Rates with Time-Varying Parameter Models

Bundesbank Discussion Paper No. 19/2016
Number of pages: 34 Posted: 29 Jun 2016
Angela Abbate and Massimiliano Giuseppe Marcellino
Deutsche Bundesbank and European University Institute
Downloads 38 (470,827)

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exchange rates, forecasting, density forecasts, BVAR, time-varying parameters

Point, Interval and Density Forecasts of Exchange Rates with Time-Varying Parameter Models

CEPR Discussion Paper No. DP11559
Number of pages: 34 Posted: 10 Oct 2016
Angela Abbate and Massimiliano Giuseppe Marcellino
Deutsche Bundesbank and European University Institute
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Citation 1
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64.

The Global Component of Inflation Volatility

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Citation 19

The Global Component of Inflation Volatility

Bank of Italy Temi di Discussione (Working Paper) No. 1170
Number of pages: 72 Posted: 14 May 2018
Andrea Carriero, Francesco Corsello and Massimiliano Giuseppe Marcellino
Queen Mary, University of London, Bank of Italy and European University Institute
Downloads 37 (475,408)
Citation 19

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inflation, volatility, global factors, large datasets, multivariate autoregressive index models, reduced rank regressions, forecasting

The Global Component of Inflation Volatility

CEPR Discussion Paper No. DP13470
Number of pages: 71 Posted: 28 Jan 2019
Andrea Carriero, Francesco Corsello and Massimiliano Giuseppe Marcellino
Queen Mary, University of London, Bank of Italy and European University Institute
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Forecasting, Global factors, inflation, large datasets, Multivariate Autoregressive Index models, Reduced Rank Regressions, volatility

65.

Selecting Predictors by Using Bayesian Model Averaging in Bridge Models

Bank of Italy Temi di Discussione (Working Paper) No. 872
Number of pages: 40 Posted: 02 Oct 2012
Lorenzo Bencivelli, Massimiliano Giuseppe Marcellino and Gianluca Moretti
Bank of Italy, European University Institute and UBS Global Asset Management
Downloads 35 (473,862)
Citation 25

Abstract:

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business cycle analysis, forecasting, Bayesian model averaging, bridge models

66.

Mixed Frequency Structural Models: Identification, Estimation, and Policy Analysis

Norges Bank Working Paper 15
Number of pages: 46 Posted: 12 Nov 2013
Claudia Foroni and Massimiliano Giuseppe Marcellino
Independent and European University Institute
Downloads 33 (483,109)
Citation 3

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Structural VAR, DSGE models, temporal aggregation, mixed frequency data, identification, estimation, policy analysis

67.

Forecasting EU Economic Activity Using Summary Indicators

quantf research Working Paper Series: WP07/2014
Number of pages: 51 Posted: 02 Jun 2014
George Kapetanios, Massimiliano Giuseppe Marcellino and Fotis Papailias
King's College, London, European University Institute and Quantf Research
Downloads 30 (497,825)

Abstract:

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Bayesian Shrinkage Regression, EU, Forecasting, Partial Least Squares, Summary Indicators

68.

Factor Analysis in a Model with Rational Expectations

Downloads 28 (508,608)
Citation 2

Factor Analysis in a Model with Rational Expectations

NBER Working Paper No. w13404
Number of pages: 30 Posted: 14 Sep 2007 Last Revised: 18 Aug 2010
Andreas Beyer, Roger E. A. Farmer, Jerome Henry and Massimiliano Giuseppe Marcellino
European Central Bank (ECB), University of California, Los Angeles (UCLA) - Department of Economics, European Central Bank (ECB) and European University Institute
Downloads 25 (541,374)

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Factor Analysis in a Model with Rational Expectations

Econometrics Journal, Vol. 11, Issue 2, pp. 271-286, July 2008
Number of pages: 16 Posted: 14 Jul 2008
Andreas Beyer, Roger E. A. Farmer, Jerome Henry and Massimiliano Giuseppe Marcellino
European Central Bank (ECB), University of California, Los Angeles (UCLA) - Department of Economics, European Central Bank (ECB) and European University Institute
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69.

Mixed Frequency Models with Ma Components

Deutsche Bundesbank Discussion Paper No. 02/2018
Number of pages: 41 Posted: 22 Feb 2018
Claudia Foroni, Massimiliano Giuseppe Marcellino and Dalibor Stevanovi
Deutsche Bundesbank, European University Institute and University of Quebec at Montreal (UQAM) - Faculty of Management (ESG)
Downloads 27 (513,962)

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temporal aggregation, MIDAS models, ARMA models

70.

Forecasting EU Economic Activity Using Financial Condition Indexes

quantf research Working Paper Series: WP06/2014
Number of pages: 13 Posted: 02 Jun 2014
George Kapetanios, Massimiliano Giuseppe Marcellino and Fotis Papailias
King's College, London, European University Institute and Quantf Research
Downloads 25 (525,490)

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Financial Conditions, Forecasting

71.

Common Drifting Volatility in Large Bayesian VARs

Downloads 25 (525,490)
Citation 24

Common Drifting Volatility in Large Bayesian VARs

FRB of Cleveland Working Paper No. 12-06
Number of pages: 70 Posted: 18 Mar 2012
Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and European University Institute
Downloads 24 (547,876)

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Bayesian VARs, stochastic volatility, forecasting, prior specification

Common Drifting Volatility in Large Bayesian Vars

CEPR Discussion Paper No. DP8894
Number of pages: 71 Posted: 04 Apr 2012
Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and European University Institute
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Citation 6
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Bayesian VARs, forecasting, prior specification, stochastic volatility

72.

Pooling Versus Model Selection for Nowcasting with Many Predictors: An Application to German GDP

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Citation 4

Pooling Versus Model Selection for Nowcasting with Many Predictors: An Application to German GDP

Bundesbank Series 1 Discussion Paper No. 2009,03
Number of pages: 56 Posted: 08 Jun 2016
Vladimir Kuzin, Massimiliano Giuseppe Marcellino and Christian Schumacher
German Institute for Economic Research (DIW Berlin), European University Institute and Deutsche Bundesbank
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casting, forecast combination, forecast pooling, model selection, mixed - frequency data, factor models, MIDAS

Pooling versus Model Selection for Nowcasting with Many Predictors: An Application to German GDP

CEPR Discussion Paper No. DP7197
Number of pages: 41 Posted: 11 Mar 2009
Vladimir Kuzin, Massimiliano Giuseppe Marcellino and Christian Schumacher
German Institute for Economic Research (DIW Berlin), European University Institute and Deutsche Bundesbank
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factor models, forecast combination, forecast pooling, MIDAS, mixed-frequency data, model selection, nowcasting

73.

Empirical Simultaneous Confidence Regions for Path-Forecasts

Downloads 23 (537,367)
Citation 2

Empirical Simultaneous Confidence Regions for Path-Forecasts

Number of pages: 60 Posted: 17 Oct 2015
Òscar Jordà, Malte Knüppel and Massimiliano Giuseppe Marcellino
Federal Reserve Banks - Federal Reserve Bank of San Francisco, Deutsche Bundesbank - Research Centre and European University Institute
Downloads 15 (609,820)
Citation 4

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path forecast, forecast uncertainty, simultaneous confidence region, Scheffé’s S-method, Mahalanobis distance, false discovery rate

Empirical Simultaneous Confidence Regions for Path-Forecasts

Bundesbank Series 1 Discussion Paper No. 2010,06
Number of pages: 60 Posted: 08 Jun 2016
Òscar Jordà, Malte Knüppel and Massimiliano Giuseppe Marcellino
Federal Reserve Banks - Federal Reserve Bank of San Francisco, Deutsche Bundesbank - Research Centre and European University Institute
Downloads 8 (661,772)

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Path forecast, forecast uncertainty, simultaneous confidence region, Scheffé's S-method, Mahalanobis distance, false discovery rate

74.

Some Cautions on the Use of Panel Methods for Integrated Series of Macroeconomic Data

Econometrics Journal, Vol. 7, No. 2, pp. 322-340, December 2004
Number of pages: 19 Posted: 13 Dec 2004
Anindya Banerjee, Massimiliano Giuseppe Marcellino and Chiara Osbat
European University Institute - Department of Economics, European University Institute and European Central Bank (ECB)
Downloads 22 (543,526)
Citation 2
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75.

Some Stylized Facts on Non-Systematic Fiscal Policy in the Euro Area

CEPR Discussion Paper No. 3635
Number of pages: 35 Posted: 13 Dec 2002
Massimiliano Giuseppe Marcellino
European University Institute
Downloads 21 (549,696)
Citation 16
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Fiscal policy, policy coordination, stabilization policy, monetary policy

76.

Mixed frequency models with MA components

ECB Working Paper No. 2206
Number of pages: 52 Posted: 04 Dec 2018
Claudia Foroni, Massimiliano Giuseppe Marcellino and Dalibor Stevanovi
European Central Bank (ECB), European University Institute and University of Quebec at Montreal (UQAM) - Faculty of Management (ESG)
Downloads 20 (555,905)

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temporal aggregation, MIDAS models, ARMA models

77.

Large Datasets, Small Models and Monetary Policy in Europe

CEPR Discussion Paper No. 3098
Number of pages: 31 Posted: 08 Jan 2002
Carlo A. Favero and Massimiliano Giuseppe Marcellino
Bocconi University - Department of Finance and European University Institute
Downloads 20 (555,905)
Citation 1
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Monetary policy, small models, dynamic factors

78.

Business Cycles Dating for EU Economies: An Empirical Search for the Optimal Settings

quantf research Working Paper Series: WP05/2014
Number of pages: 34 Posted: 02 Jun 2014
George Kapetanios, Massimiliano Giuseppe Marcellino and Fotis Papailias
King's College, London, European University Institute and Quantf Research
Downloads 18 (568,555)

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Business Cycles, Recession

79.

Nowcasting Tail Risks to Economic Activity with Many Indicators

FRB of Cleveland Working Paper No. 20-13
Number of pages: 85 Posted: 14 May 2020
Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and European University Institute
Downloads 16 (581,053)

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forecasting, downside risk, pandemics, big data, mixed frequency, quantile regression

80.

The Transmission Mechanism in a Changing World

CEPR Discussion Paper No. 4014
Number of pages: 41 Posted: 26 Sep 2003
Michael J. Artis, Ana Beatriz Galvão and Massimiliano Giuseppe Marcellino
University of Manchester - Institute for Political & Economic Governance (IPEG), University of Warwick and European University Institute
Downloads 16 (581,053)
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Transmission mechanism, shocks, cycles, Europe, impulse response, non-linear VAR

81.

Forecasting Emu Macroeconomic Variables

CEPR Discussion Paper No. 3529
Number of pages: 33 Posted: 23 Oct 2002
Massimiliano Giuseppe Marcellino
European University Institute
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European Monetary Union, forecasting, time-varying models, non-linear models, instability, non-linearity

82.

Forecast Pooling for Short Time Series of Macroeconomic Variables

CEPR Discussion Paper No. 3313
Number of pages: 35 Posted: 16 May 2002
Massimiliano Giuseppe Marcellino
European University Institute
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Time-varying models, non-linear models, forecast pooling, European Monetary Union

83.

Instability and Non-Linearity in the Emu

CEPR Discussion Paper No. 3312
Number of pages: 40 Posted: 14 May 2002
Massimiliano Giuseppe Marcellino
European University Institute
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Instability, non-linearity, time-varying models, non-linear models, European Monetary Union

84.

Factor Forecasts for the Us

CEPR Discussion Paper No. 3119
Number of pages: 42 Posted: 22 Jan 2002
Michael J. Artis, Anindya Banerjee and Massimiliano Giuseppe Marcellino
University of Manchester - Institute for Political & Economic Governance (IPEG), European University Institute - Department of Economics and European University Institute
Downloads 13 (600,718)
Citation 1
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Factor models, forecasts, time series models

85.

Time Variation in Macro-Financial Linkages

Bundesbank Discussion Paper No. 13/2013
Number of pages: 54 Posted: 21 Jun 2016
Esteban Prieto, Sandra Eickmeier and Massimiliano Giuseppe Marcellino
affiliation not provided to SSRN, Deutsche Bundesbank and European University Institute
Downloads 12 (607,650)
Citation 4

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financial shocks, time-varying parameter VAR model, Global Financial Crisis, macro-financial linkages

86.

Dating Business Cycles: A Methodological Contribution with an Application to the Euro Area

Oxford Bulletin of Economics and Statistics, Vol. 66, No. 4, pp. 537-565, September 2004
Number of pages: 29 Posted: 07 Sep 2004
Michael J. Artis, Massimiliano Giuseppe Marcellino and Tommaso Proietti
University of Manchester - Institute for Political & Economic Governance (IPEG), European University Institute and University of Rome II - Department of Economics and Finance
Downloads 11 (614,405)
Citation 2
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87.

Forecast Pooling for European Macroeconomic Variables

Oxford Bulletin of Economics and Statistics, Vol. 66, No. 1, pp. 91-112, February 2004
Number of pages: 22 Posted: 26 Mar 2004
Massimiliano Giuseppe Marcellino
European University Institute
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88.

Characterizing the Business Cycle for Accession Countries

CEPR Discussion Paper No. 4457
Number of pages: 48 Posted: 30 Jul 2004
Michael J. Artis, Massimiliano Giuseppe Marcellino and Tommaso Proietti
University of Manchester - Institute for Political & Economic Governance (IPEG), European University Institute and University of Rome II - Department of Economics and Finance
Downloads 10 (621,050)
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Business cycles, dating algorithms, cycle synchronization, EU enlargement, seasonal adjustment

89.

Forecasting with Factor-Augmented Error Correction Models

CEPR Discussion Paper No. DP7677
Number of pages: 46 Posted: 10 Feb 2010
Anindya Banerjee, Massimiliano Giuseppe Marcellino and Igor Masten
European University Institute - Department of Economics, European University Institute and University of Ljubljana - Faculty of Economics
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Cointegration, Dynamic Factor Models, Error Correction Models, Factor-augmented Error Correction Models, FAVAR, Forecasting

90.

A Monthly Indicator of the Euro Area GDP

CEPR Discussion Paper No. DP7007
Number of pages: 41 Posted: 18 Dec 2008
Cecilia Frale, Massimiliano Giuseppe Marcellino, Gian Luigi Mazzi and Tommaso Proietti
Government of the Italian Republic (Italy) - Department of the Treasury, European University Institute, Eurostat and University of Rome II - Department of Economics and Finance
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Chain-linking, Dynamic factor Models, euro area GDP, Kalman filter and smoother, Multivariate State Space Models, Temporal Disaggregation

91.

Markov-Switching Midas Models

CEPR Discussion Paper No. DP8234
Number of pages: 47 Posted: 09 Feb 2011
Pierre Guérin and Massimiliano Giuseppe Marcellino
Government of Canada - Bank of Canada and European University Institute
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business cycle, forecasting, mixed-frequency data, non-linear models, nowcasting

92.

Forecasting Exchange Rates with a Large Bayesian VAR

CEPR Discussion Paper No. DP7008
Number of pages: 33 Posted: 18 Dec 2008
Andrea Carriero, George Kapetanios and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, King's College, London and European University Institute
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Bayesian VAR, Exchange Rates, Forecasting

93.

On the Importance of Sectoral and Regional Shocks for Price-Setting

CEPR Discussion Paper No. DP8357
Number of pages: 51 Posted: 04 May 2011
Günter Beck, Kirstin Hubrich and Massimiliano Giuseppe Marcellino
University of Siegen, Board of Governors of the Federal Reserve System and European University Institute
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common factor models, disaggregated prices, euro area regional and sectoral inflation

94.

Midas Vs. Mixed-Frequency VAR: Nowcasting GDP in the Euro Area

CEPR Discussion Paper No. DP7445
Number of pages: 25 Posted: 07 Oct 2009
Vladimir Kuzin, Massimiliano Giuseppe Marcellino and Christian Schumacher
German Institute for Economic Research (DIW Berlin), European University Institute and Deutsche Bundesbank
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euro area growth, MIDAS, mixed-frequency data, mixed-frequency VAR, nowcasting

95.

A Measure for Credibility: Tracking US Monetary Developments

CEPR Discussion Paper No. DP7036
Number of pages: 30 Posted: 18 Dec 2008
Maria Demertzis, Massimiliano Giuseppe Marcellino and Nicola Viegi
Bruegel, European University Institute and University of Pretoria - Department of Economics
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anchors for expectations, credibility, Great Inflation, Great Moderation

96.

Factor-Augmented Error Correction Models

CEPR Discussion Paper No. DP6707
Number of pages: 28 Posted: 10 Jun 2008
Anindya Banerjee and Massimiliano Giuseppe Marcellino
European University Institute - Department of Economics and European University Institute
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Cointegration, Dynamic Factor Models, Error Correction Models, Factor-augmented Error Correction Models, FAVAR, VAR

97.

Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change

CEPR Discussion Paper No. DP6706
Number of pages: 60 Posted: 10 Jun 2008
Anindya Banerjee, Massimiliano Giuseppe Marcellino and Igor Masten
European University Institute - Department of Economics, European University Institute and University of Ljubljana - Faculty of Economics
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Factor models, forecasts, parameter uncertainty, short samples, structural change, time series models

98.

Endogenous Monetary Policy Regimes and the Great Moderation

CEPR Discussion Paper No. DP7827
Number of pages: 39 Posted: 19 May 2010
Ana Beatriz Galvão and Massimiliano Giuseppe Marcellino
University of Warwick and European University Institute
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great moderation, impulse responses, monetary policy, time-varying models

99.

Forecasting Government Bond Yields with Large Bayesian Vars

CEPR Discussion Paper No. DP7796
Number of pages: 54 Posted: 19 May 2010
Andrea Carriero, George Kapetanios and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, King's College, London and European University Institute
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Bayesian methods, Forecasting, Term Structure

100.

The Forecasting Performance of Real Time Estimates of the Euro Area Output Gap

CEPR Discussion Paper No. DP7763
Number of pages: 46 Posted: 05 Apr 2010
Massimiliano Giuseppe Marcellino and Alberto Musso
European University Institute and European Central Bank (ECB)
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data revisions, euro area, inflation forecasts, Output gap, real GDP forecasts, real-time data

101.

Sectoral Survey-Based Confidence Indicators for Europe

Oxford Bulletin of Economics and Statistics, Vol. 73, No. 2, pp. 175-206, 2011
Number of pages: 32 Posted: 01 Mar 2011
Andrea Carriero and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research and European University Institute
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102.

Factor Midas for Nowcasting and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP

Oxford Bulletin of Economics and Statistics, Vol. 72, Issue 4, pp. 518-550, August 2010
Number of pages: 33 Posted: 21 Jun 2010
Massimiliano Giuseppe Marcellino and Christian Schumacher
European University Institute and Deutsche Bundesbank
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103.

Empirical Simultaneous Confidence Regions for Path-Forecasts

CEPR Discussion Paper No. DP7797
Number of pages: 51 Posted: 19 May 2010
Oscar Jorda, Malte Knüppel and Massimiliano Giuseppe Marcellino
University of California, Davis - Department of Economics, Deutsche Bundesbank - Research Centre and European University Institute
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forecast uncertainty, path forecast, Scheffe;'s S-method, simultaneous confidence region

104.

Factor-GMM Estimation with Large Sets of Possibly Weak Instruments

CEPR Discussion Paper No. DP7726
Number of pages: 39 Posted: 17 Mar 2010
George Kapetanios and Massimiliano Giuseppe Marcellino
King's College, London and European University Institute
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DSGE models, Factor models, GMM, Instrumental variables, Principal components, weak instruments

105.

The Reliability of Real Time Estimates of the Euro Area Output Gap

CEPR Discussion Paper No. DP7716
Number of pages: 35 Posted: 09 Mar 2010
Massimiliano Giuseppe Marcellino and Alberto Musso
European University Institute and European Central Bank (ECB)
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data revisions, euro area, Output gap, real-time data

106.

Regional Inflation Dynamics within and across Euro Area Countries and a Comparison with the United States

Economic Policy, Vol. 24, Issue 57, pp. 141-184, January 2009
Number of pages: 43 Posted: 02 Jan 2009
Guenter W. Beck, Kirstin Hubrich and Massimiliano Giuseppe Marcellino
Goethe University Frankfurt, Board of Governors of the Federal Reserve System and European University Institute
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107.

Model Selection for Nested and Overlapping Nonlinear, Dynamic and Possibly Mis-Specified Models

Oxford Bulletin of Economics and Statistics, Vol. 70, Issue s1, pp. 867-893, December 2008
Number of pages: 27 Posted: 02 Dec 2008
Massimiliano Giuseppe Marcellino and Barbara Rossi
European University Institute and Universitat Pompeu Fabra - Centre de Recerca en Economia Internacional (CREI)
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108.

Regime Switches in the Risk-Return Trade-Off

CEPR Discussion Paper No. DP9698
Number of pages: 45 Posted: 28 Oct 2013
Eric Ghysels, Pierre Guérin and Massimiliano Giuseppe Marcellino
University of North Carolina Kenan-Flagler Business School, Government of Canada - Bank of Canada and European University Institute
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conditional variance, Markov-switching, MIDAS, Risk-return trade-off

109.

Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models

CEPR Discussion Paper No. DP7446
Number of pages: 36 Posted: 07 Oct 2009
Andrea Carriero, George Kapetanios and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, King's College, London and European University Institute
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Bayesian VARs, factor models, forecasting, reduced rank

110.

Assessing International Commonality in Macroeconomic Uncertainty and its Effects

CEPR Discussion Paper No. DP13970
Number of pages: 67 Posted: 07 Oct 2019
Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Queen Mary, University of London, Federal Reserve Bank of Cleveland and European University Institute
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Business cycle uncertainty, large datasets, stochastic volatility

111.

Uncertainty Through the Lenses of a Mixed-Frequency Bayesian Panel Markov Switching Model

CEPR Discussion Paper No. DP12339
Number of pages: 79 Posted: 04 Oct 2017 Last Revised: 09 Oct 2017
Roberto Casarin, Claudia Foroni, Massimiliano Giuseppe Marcellino and Francesco Ravazzolo
University Ca' Foscari of Venice - Department of Economics, Deutsche Bundesbank, European University Institute and Free University of Bozen-Bolzano - Faculty of Economics and Management
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Bayesian inference, dynamic panel model, Markov switching, MCMC, mixed-frequency

112.

Tax Shocks with High and Low Uncertainty

CEPR Discussion Paper No. DP12335
Number of pages: 96 Posted: 04 Oct 2017 Last Revised: 09 Oct 2017
Fabio Bertolotti and Massimiliano Giuseppe Marcellino
Bocconi University and European University Institute
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113.

Structural Analysis with Multivariate Autoregressive Index Models

CEPR Discussion Paper No. DP10801
Number of pages: 53 Posted: 08 Sep 2015
Andrea Carriero, George Kapetanios and Massimiliano Giuseppe Marcellino
Queen Mary, University of London, King's College, London and European University Institute
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Bayesian VARs, factor models, forecasting, large datasets, Multivariate Autoregressive Index models, Reduced Rank Regressions, structural analysis

114.

Monetary, Fiscal and Oil Shocks: Evidence Based on Mixed Frequency Structural FAVARs

CEPR Discussion Paper No. DP10610
Number of pages: 39 Posted: 27 May 2015
Massimiliano Giuseppe Marcellino and Vasja Sivec
European University Institute and European University Institute
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estimation, identification, impulse response function, mixed frequency data, Structural FAVAR, temporal aggregation

115.

Factor Based Identification-Robust Inference in IV Regressions

CEPR Discussion Paper No. DP10390
Number of pages: 50 Posted: 02 Feb 2015
George Kapetanios, Lynda Khalaf and Massimiliano Giuseppe Marcellino
King's College, London, Carleton University and European University Institute
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factor model, identification-robust inference, IV regression, new Keynesian model, principle components, weak instruments

116.

No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates

CEPR Discussion Paper No. DP9848
Number of pages: 58 Posted: 02 Jun 2014
Andrea Carriero, Todd E. Clark and Massimiliano Giuseppe Marcellino
Bocconi University - IGIER - Innocenzo Gasparini Institute for Economic Research, Federal Reserve Bank of Cleveland and European University Institute
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density forecasting, no arbitrage, stochastic volatility, Term structure

117.

Structural FECM: Cointegration in Large-Scale Structural FAVAR Models

CEPR Discussion Paper No. DP9858
Number of pages: 34 Posted: 02 Jun 2014
Anindya Banerjee, Massimiliano Giuseppe Marcellino and Igor Masten
University of Birmingham - Department of Economics, European University Institute and University of Ljubljana - Faculty of Economics
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Cointegration, Dynamic Factor Models, Factor-augmented Error Correction Models, FAVAR, Structural Analysis

118.

Markov-Switching Mixed-Frequency VAR Models

CEPR Discussion Paper No. DP9815
Number of pages: 44 Posted: 02 Jun 2014
Claudia Foroni, Pierre Guérin and Massimiliano Giuseppe Marcellino
Independent, Government of Canada - Bank of Canada and European University Institute
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Fore-, Markov-switching, MIDAS, Mixed-frequency VAR, Nowcasting

119.

A Simple Benchmark for Forecasts of Growth and Inflation

CEPR Discussion Paper No. 6012
Posted: 07 May 2007
Massimiliano Giuseppe Marcellino
European University Institute

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growth, inflation, non-linear models, time-varying models

120.

Fiscal Forecasting: The Track Record of the IMF, OECD and EC

Econometrics Journal, Vol. 4, pp. S20-S36, 2001
Posted: 27 Sep 2001
Michael J. Artis and Massimiliano Giuseppe Marcellino
University of Manchester - Institute for Political & Economic Governance (IPEG) and European University Institute

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Fiscal forecasting, Forecast comparison, Loss function

121.

Further Results on Msfe Encompassing

IGIER Working Paper No. 143
Posted: 03 Dec 1998
Massimiliano Giuseppe Marcellino
European University Institute

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122.

Some Temporal Aggregation Issues in Empirical Analysis

UCSD Economics Discussion Paper No. 96-39
Posted: 11 Feb 1997
Massimiliano Giuseppe Marcellino
European University Institute

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