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Real-Time Inflation Forecasting in a Changing World

Groen, Jan J. J.; Paap, Richard; Ravazzolo, Francesco - 2009

This paper revisits inflation forecasting using reduced form Phillips curve forecasts, i.e., inflation forecasts using … regression specifications selected from a set of potential predictors. The set of predictors includes lagged values of inflation … Phillips curve forecasts. We use this framework to describe PCE deflator and GDP deflator inflation rates for the United States …

Persistent link: https://www.econbiz.de/10012143721

Forecasting the intraday market price of money

Monticini, Andrea; Ravazzolo, Francesco - 2014

Central banks' operations and efficiency arguments would suggest that the intraday interest rate should be set to zero. However, a liquidity crisis introduces frictions related to news, which can cause an upward jump of the intraday rate. This paper documents that these dynamics can be partially...

Persistent link: https://www.econbiz.de/10011739584

Forecasting the Intraday Market Price of Money

Monticini, Andrea; Ravazzolo, Francesco - 2011

Market efficiency hypothesis suggests a zero level for the intraday interest rate. However, a liquidity crisis introduces frictions related to news, which can cause an upward jump of the intraday rate. This paper documents that these dynamics can be partially predicted during turbulent times. A...

Persistent link: https://www.econbiz.de/10012143771

Optimal Portfolio Choice Under Decision-Based Model Combinations

Pettenuzzo, Davide; Ravazzolo, Francesco - 2014

We propose a novel Bayesian model combination approach where the combination weights depend on the past forecasting performance of the individual models entering the combination through a utility-based objective function. We use this approach in the context of stock return predictability and...

Persistent link: https://www.econbiz.de/10012143853

Is the Price Cap for Gas Useful? Evidence from European Countries

Ravazzolo, Francesco; Rossini, Luca - 2023

Since Russia's invasion of Ukraine, many countries have pledged to end or restrict their oil and gas imports to curtail Moscow's revenues and hinder its war effort. Thus, the European ministers agreed to trigger a cap on the gas price. To detect the importance of the price cap for gas, we...

Persistent link: https://www.econbiz.de/10014451714

Macro Modelling with Many Models

Bache, Ida Wolden; Mitchell, James; Ravazzolo, Francesco; … - 2009

We argue that the next generation of macro modellers at Inflation Targeting central banks should adapt a methodology … provide two examples of this modelling strategy: (i) forecasting inflation with a disaggregate ensemble; and (ii) forecasting … inflation with an ensemble DSGE. …

Persistent link: https://www.econbiz.de/10012143720

Term Structure Forecasting Using Macro Factors and Forecast Combination

de Pooter, Michiel; Ravazzolo, Francesco; van Dijk, Dick - 2010

We examine the importance of incorporating macroeconomic information and, in particular, accounting for model uncertainty when forecasting the term structure of U.S.interest rates. We start off by analyzing and comparing the forecast performance of several individual term structure models. Our...

Persistent link: https://www.econbiz.de/10012143735

Forecast Densities for Economic Aggregates from Disaggregate Ensembles

Ravazzolo, Francesco; Vahey, Shaun P. - 2010

disaggregate ensemble approach to forecast US Personal Consumption Expenditure inflation from 1997Q2 to 2008Q1. Our ensemble …

Persistent link: https://www.econbiz.de/10012143736

Forecasting Recessions in Real Time

Aastveit, Knut Are; Jore, Anne Sofie; Ravazzolo, Francesco - 2014

We review several methods to define and forecast classical business cycle turning points in Norway. In the paper we compare the Bry - Boschan rule (BB) with a Markov Switching model (MS), using alternative vintages of Norwegian Gross Domestic Product (GDP) as the business cycle indicator. The...

Persistent link: https://www.econbiz.de/10012143840

Identification of Financial Factors in Economic Fluctuations

Furlanetto, Francesco; Ravazzolo, Francesco; Sarferaz, Samad - 2014

have a limited effect on inflation. In a second step we disentangle shocks originating in the housing sector, shocks …

Persistent link: https://www.econbiz.de/10012143847