Economic agents and financial authorities require frequent updates to a path of accurate inflation forecasts and need forecasts to include an explanation of the factors by which they are determined. This paper studies how to approach this need, developing a method for analysing inflation in the...

We study the performance of different modelling strategies for 969 and 600 monthly price indexes disaggregated by sectors and geographical areas in Spain, regions, and in the EA12, countries, in order to obtain a detailed picture of inflation and relative sectoral prices through geographical...

The objective of this paper is to model and forecast all the components of a macro orbusiness variable. Our contribution concerns cases with a large number (hundreds) ofcomponents where multivariate approaches are not feasible. We extend in several directions the pairwise approach originally...

In this paper we propose a methodology to estimate and forecast the GDP of the different regions of a country, providing quarterly profiles paper offers a new instrument for short degree of synchronicity among regional business cycles. Technically, we combine time series models with benchma...

A component model for the analysis of financial durations is proposed. The components are the long-run dynamics and the seasonality. The later is left unspecified and the former is assumed to fall within the class of certain family of parametric functions. The joint model is estimated by...

This paper discusses the building process and models used by Red Eléctrica de España (REE), the Spanish system operator, in short-term electricity load forecasting. REE's forecasting system consists of one daily model and 24 hourly models with a common structure. There are two types of...

Inflation forecasts are in great demand by agents in financial markets and monetary authorities that also require frequent updates. In the case of the EMU, these can be done monthly using Harmonised Indices of Consumer Prices (HICP). Analysing the HICP it was detected in a previous paper that...

The objective of this paper is to analyze the consequences of fitting ARIMA-GARCH models to series generated by conditionally heteroscedastic unobserved component models. Focusing on the local level model, we show that the heteroscedasticity is weaker in the ARIMA than in the local level...

This article presents economic forecasting as an activity acquiring full significance when it is involved in a decision-making process. The activity requires a sequence of functions consisting of gathering and organising data, the construction of econometric models and ongoing forecast...

This paper deals with the recent evolution, perspectives and some policy considerations for the Euro-Zone on the basis of the analysis of inflation, GDP and Industrial Production in EMU. The analysis shows that the year on year rates of growth will recover form the third quarter of 2002 for GDP...