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

• 成果类型: Article
• 署名作者: Forni, M; Hallin, M; Lippi, M; Reichlin, L
• 署名单位: Centre for Economic Policy Research - UK; Universita di Modena e Reggio Emilia; Universite Libre de Bruxelles; Sapienza University Rome; Universite Libre de Bruxelles
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/S0304-3932(03)00079-5
• 发表日期: 2003
• 页码: 1243-1255
• 关键词: dynamic factor models; principal components; business cycle; forecasting; financial variables

摘要

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. (C) 2003 Elsevier B.V. All rights reserved.