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Real time forecasts of inflation: the role of financial variables

Author

Listed:
  • Libero Monteforte
  • Gianluca Moretti

Abstract

INTRODUCTION;ROLE OF FINANCIAL VARIABLES;A TWO-STEP APPROACH TO MODEL INFLATION ; MODELLING LONG-MEDIUM TERM COMPONENT OF INFLATION ;A MIXED-FREQUENCY MODEL FOR REAL-TIME FORECASTS OF INFLATION; 4 TWO FORECASTING APPLICATIONS IN REAL-TIME; REAL-TIME FORECASTS OF MONTHLY INFLATION; MODEL FORECASTS VS MARKET EXPECTATIONS; CONCLUDING REMARKS; REFERENCES; APPENDIX

Suggested Citation

  • Libero Monteforte & Gianluca Moretti, "undated". "Real time forecasts of inflation: the role of financial variables," Working Papers wp2011-6, Department of the Treasury, Ministry of the Economy and of Finance.
    • Handle: RePEc:itt:wpaper:wp2011-6
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    File URL: http://www.dt.tesoro.it/export/sites/sitodt/modules/documenti_it/analisi_progammazione/working_papers/WP_n._6_marzo_2011.pdf
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    Keywords

    forecasting inflation; real-time forecasts; dynamic factor models; MIDAS regression; economic derivatives.;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • G19 - Financial Economics - - General Financial Markets - - - Other

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