In this paper we examine whether data from business tendency surveys are useful for forecasting the macro economy in the short run. Our analyses primarily concern the growth rates of real GDP but we also evaluate forecasts of other variables such as unemployment, price and wage inflation,...

This Paper proposes a new forecasting method that exploits information from a large panel of time series. The method is based on the generalized dynamic factor model proposed in Forni, Hallin, Lippi, and Reichlin (2000), and takes advantage of the information on the dynamic covariance structure...

This Paper proposes a new framework to analyse systematic and unsystematic monetary policy within the same econometric model. As in Bernanke and Boivin, 2001, the model aims at capturing the following facts: monetary authorities use information from a large number of data series to extract a...

Equilibrium business cycle models have typically less shocks than variables. As pointed out by Altug, 1989, and Sargent, 1989, if variables are measured with error, this characteristic implies that the model solution for measured variables has a factor structure. This Paper compares estimation...

The Paper uses a large data set, consisting of 447 monthly macroeconomic time series concerning the main countries of the Euro area to simulate out-of-sample predictions of the Euro area industrial production and the harmonized inflation index and to evaluate the role of financial variables in...

This paper proposes a new way to compute a coincident and a leading index of economic activity. The method provides a unified approach for the selection of the coincident and the leading variables, for averaging them into coincident and leading indexes and for the identification of turning...

This paper analyzes identification conditions, and proposes an estimator, for a dynamic factor model where the idiosyncratic components are allowed to be mutually non-orthogonal. This model, which we call the generalized dynamic factor model, is novel to the literature, and generalizes the...

In this paper a dynamic factor model with mixed frequency is proposed (FaMIDAS), where the past observations of high frequency indicators are used following the MIDAS approach. This structure is able to represent with richer dynamics the information content of the economic indicators and...

After the outbreak of the COVID-19 pandemic, most economic indicators experienced an increase in the observed volatility, which reduced the accuracy of nowcasting models. In this paper, we present a revision of the Spain-STING model – one of the tools used by the Banco de España to nowcast...