Real Time Forecasts of Inflation: The Role of Financial Variables

MEF Working Paper No. 6

29 Pages Posted: 10 May 2011

Multiple version iconThere are 3 versions of this paper

Date Written: March 1, 2011

Abstract

The paper presents a mixed frequency model for daily forecast of Euro-area inflation.

Keywords: forecasting inflation, real-time forecasts, dynamic factor models, MIDAS regression, economic derivatives

JEL Classification: C13, C51, C53, E37, G19

Suggested Citation

Monteforte, Libero and Moretti, Gianluca, Real Time Forecasts of Inflation: The Role of Financial Variables (March 1, 2011). MEF Working Paper No. 6. Available at SSRN: https://ssrn.com/abstract=1836263 or http://dx.doi.org/10.2139/ssrn.1836263

Libero Monteforte (Contact Author)

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

Gianluca Moretti

Bank of Italy ( email )

Via Nazionale 91
00184 Roma
Italy

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