This paper uses a large data set, consisting of 447 monthly macroeconomic time series concerning the main countries of the Euro area to simulate out-of-sample predictions of the Euro-area industrial production and the harmonized inflation index and to evaluate the role of financial variables in forecasting. We considered two models which allow forecasting based on large panels of time series: Forni et al. (Rev. Econom. Statist. 82 (2000) 540; Mimeo (2001b)) and Stock and Watson (Mimeo (1999)). Performance of both models were compared to that of a simple univariate AR model. Results show that multivariate methods outperform univariate methods for forecasting inflation at one, three, six, and twelve months and industrial production at one and three months. We find that financial variables do help forecasting inflation, but do not help forecasting industrial production.

Do financial variables help forecasting inflation and real activity in the euro area? / Forni, Mario; M., Hallin; M., Lippi; L., Reichlin. - In: JOURNAL OF MONETARY ECONOMICS. - ISSN 0304-3932. - STAMPA. - 50:(2003), pp. 1243-1255.

Do financial variables help forecasting inflation and real activity in the euro area?

FORNI, Mario;
2003

Abstract

This paper uses a large data set, consisting of 447 monthly macroeconomic time series concerning the main countries of the Euro area to simulate out-of-sample predictions of the Euro-area industrial production and the harmonized inflation index and to evaluate the role of financial variables in forecasting. We considered two models which allow forecasting based on large panels of time series: Forni et al. (Rev. Econom. Statist. 82 (2000) 540; Mimeo (2001b)) and Stock and Watson (Mimeo (1999)). Performance of both models were compared to that of a simple univariate AR model. Results show that multivariate methods outperform univariate methods for forecasting inflation at one, three, six, and twelve months and industrial production at one and three months. We find that financial variables do help forecasting inflation, but do not help forecasting industrial production.
50
1243
1255
Do financial variables help forecasting inflation and real activity in the euro area? / Forni, Mario; M., Hallin; M., Lippi; L., Reichlin. - In: JOURNAL OF MONETARY ECONOMICS. - ISSN 0304-3932. - STAMPA. - 50:(2003), pp. 1243-1255.
Forni, Mario; M., Hallin; M., Lippi; L., Reichlin
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11380/306856
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