heteroskedastic. After presenting the model, we propose a multi-step estimation technique which combines asymptotic principal … results in order to assess the finite sample properties of the estimation technique. Finally, we carry out two empirical … applications respectively on macroeconomic series, with a particular focus on different measures of inflation, and on financial …

This paper formalizes the process of updating the nowcast and forecast on out-put and inflation as new releases of data … Philadelphia surveys have a large marginal impact on the nowcast of both inflation variables and real variables and this effect is … sizeable. Prices and quantities affect the precision of the estimates of inflation while GDP is only affected by real variables …

The paper focuses on the estimation of the euro area output gap. We construct model-averaged measures of the output gap … predictive power of the output gap for inflation in the euro area. We find evidence of changes in trend growth around the … estimates in real time. Our measures help forecasting inflation over most of our evaluation sample (2001-2010) but fail …

higher than that resulting from model and estimation uncertainty only. In particular, the evidence indicates that both the … estimates for inflation forecasting both in the short term (one-quarter and one-year ahead) and the medium term (two-year and …

. Our analysis improves upon existing work by endogenising the volatility of both output and inflation. Improved … transparency most likely manifests itself in falling output volatility …

democracy. In addition, public deficit volatility tends to be magnified for small countries, in the outcome of hyper-inflation …This paper empirically analyzes the political, institutional and economic sources of public deficit volatility. Using … show that higher public deficit volatility is typically associated with higher levels of political instability and less …

The purpose of this paper is to study the compensation for inflation risks priced in sovereign bond yields. And we do … so by modelling the time-varying dynamics of asset returns and inflation, and then estimating the cost of hedging … inflation risks from the perspective of a well diversified portfolio. This allows to disentangle the time-varying compensation …

volatility at the turn of the millennium when Japanese foreign exchange intervention started to remain unsterilized …