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...

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...

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...

This paper evaluates different strategies to forecast Spanish inflation using information of price series for 57 products and 18 regions in Spain. We consider vector equilibrium correction (VeqC) models that include cointegration relationships between Spanish prices and prices in the regions of...

We analyze how cyclical synchronization in the EMU evolved since the onset of the current financial crisis. The standard measures of cyclical correlation suggest that while the cycle of the euro area became more aligned with the cycles of other developed economies, the EMU itself apparently...