Real time forecasts of inflation: the role of financial variables

Libero Monteforte and Gianluca Moretti

Working Papers from Department of the Treasury, Ministry of the Economy and of Finance

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

Keywords: forecasting inflation; real-time forecasts; dynamic factor models; MIDAS regression; economic derivatives. (search for similar items in EconPapers)
JEL-codes: C13 C51 C53 E37 G19 (search for similar items in EconPapers)
Pages: 29
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Real‐Time Forecasts of Inflation: The Role of Financial Variables (2013)
Working Paper: Real time forecasts of inflation: the role of financial variables (2010)
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