This paper uses an application to explore the utility of quantile regression methods in producing (density) nowcasts. Our quantile regression modelling strategy is designed to reflect important nowcasting features, namely the use of mixed-frequency data, the ragged-edge and increasingly large nu...
We provide a survey of the literature on panel vector autoregression (pVAR) models and of their main characteristics. We also assess the possible gains pVAR models might yield for flash estimation, now-casting and economic short-term (point and density) forecasting, and discuss some yet unexploi...
Parallel advances in IT and in the social use of Internet-related applications, provide the general public with access to a vast amount of information. The associated Big Data are potentially very useful for a variety of applications, ranging from marketing to tapering fiscal evasion. From the p...
In this paper we test whether globalisation has affected the relationship between the output gap and inflation in the euro area. Then we investigate how the traditional Phillips Curve relating the inflation and the domestic output gap can be enhanced incorporating globalisation effects. We analy...
This paper extends the methodology for a simultaneous detecting of business and growth cycle, already developed for the euro area, to its major member countries. The best performing indicators for each country are identified through a simulation exercise. An indirect pair of turning point detect...
In this paper we propose two dynamic approaches to measure synchronisation in the Euro area. First of all to be able to take into account dynamics in correlation and possible changes in variability, we consider a multivariate DCC GARCH model. Secondly, we propose to use the set of probabilistic ...
In the paper we introduce a system for statistical detection of turning points in the euro area based on the class of multivariate Markov-switching models. Component series considered in the application are monthly short term statistics released by Eurostat, business and consumer surveys release...
This paper focus on an analysis of the GVAR model across euro-area countries when detrending. The GVAR model accommodates cross-country as well as cross-variable dependencies among the euro-area countries. We focus on the role of cross-sectional dependence in the production of trend and cycle es...
The paper presents ongoing activity carried out at Eurostat in the field of Principal European Economic Indicators (PEEIs) on econometric tools for increasing their relevance of short term statistics. Three lines of methodologies are here presented: the first is aimed to increase data timeliness...
The availability of timely and reliable information on main macroeconomic variables is considered both by policy makers and analysts as crucial for an effective process of decision making. Unfortunately official statistics cannot always meet adequately user needs. This is the reason why, using e...
