Do financial variables help forecasting inflation and real activity in the euro area?

Journal of Monetary Economics

Volumn 50, Issue 6, 2003, Pages 1243-1255

  Forni, Mario ^a,b   Hallin, Marc ^c   Lippi, Marco ^d   Reichlin, Lucrezia ^b,c  

^a UNIVERSITY OF MODENA AND REGGIO EMILIA   (Italy)

^b CEPR   (United Kingdom)

^c UNIVERSITÉ LIBRE DE BRUXELLES   (Belgium)

^d SAPIENZA UNIVERSITY OF ROME   (Italy)

Author keywords

Business cycle; Dynamic factor models; Financial variables; Forecasting; Principal components

Indexed keywords

EID: 0141799949     PISSN: 03043932     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-3932(03)00079-5     Document Type: Article

References (13)

1. Brillinger D.R. Time Series: Data Analysis and Theory 1981 Holden-Day San Francisco
2. Chamberlain G. Rothschild M. Arbitrage, factor structure and mean-variance analysis in large asset markets Econometrica 51 1983 1305-1324
3. Cristadoro, R., Forni, M., Reichlin, L., Veronese, G., 2001. A core inflation index for the Euro area. Banca d'Italia. Mimeo.
4. Forni M. Lippi M. The generalized dynamic factor model: representation theory Econometric Theory 17 2001 1113-1141
5. Forni M. Hallin M. Lippi M. Reichlin L. The generalized factor model: identification and estimation The Review of Economics and Statistics 82 2000 540-554
6. Forni M. Hallin M. Lippi M. Reichlin L. Coincident and leading indicators for the Euro area The Economic Journal 101 2001 62-75
7. Forni, M., Hallin, M., Lippi, M., Reichlin, L., 2001b. The generalized factor model: one-sided estimation and forecasting. Mimeo.
8. Forni, M., Hallin, M., Lippi, M., Reichlin, L., 2003. The generalized factor model: consistency and rates. Journal of Econometrics, to appear.
9. Geweke J. The dynamic factor analysis of economic time series. In: Aigner D.J. Goldberger A.S. (Eds.), Latent Variables in Socio-economic Models 1977 North-Holland Amsterdam
10. Gomez, Z., Maravall, A., 1996. Program tramo and seats: instructions for the users. Working Paper 9628, Bank of Spain.
11. Sargent T.J. Sims C.A. Business cycle modelling without pretending to have too much a priori economic theory. In: Sims C.A. (Ed.), New Methods in Business Research 1977 Federal Reserve Bank of Minneapolis Minneapolis
12. Stock, J.H., Watson, M.W., 1999. Diffusion indexes. Mimeo.
13. Stock, J.H., Watson, M.W., 2001. Forecasting output and inflation: the role of asset prices. Mimeo.