In this paper, we propose a time-varying parameter vector autoregression (VAR) model with stochastic volatility which allows for estimation on data sampled at different frequencies. Our contribution is two-fold. First, we extend the methodology developed by Cogley and Sargent (2005), and...

This paper investigates how well consumer confidence predicts households future consumption expenditure. Our findings document considerable variety in the degree to which confidence measures accurately forecast consumption across selected euro area countries and periods. First, we explore the...