Working Papers
We produce world class research in areas of macroeconomics, econometrics and forecasting. The MPF working paper series is an outlet to publish our ongoing research.
| No. | Date | Title of Working Paper | Author(s) |
| 38 | Sep 2020 |
Forecasting Low Frequency Macroeconomic Events with High Frequency Data |
Ana Beatriz Galvão and Michael Owyang |
| 37 | Sep 2020 |
Gary Koop, Stuart McIntyre, James Mitchell, Audrey Poon |
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| 36 | Sep 2020 |
Density Forecasting with BVAR Models under Macroeconomic Data Uncertainty |
Michael P. Clements and Ana Beatriz Galvão |
| 35 | July 2020 |
Ana Beatriz Galvão and James Mitchell |
|
| 34 | July 2020 |
Davide delle Monache, Andrea de Polis and Ivan Petrella |
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| 33 | May 2020 |
Ana Beatriz Galvão, Anthony Garratt and James Mitchell |
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| 32 | May 2020 |
Juan Antolin-Diaz, Ivan Petrella and Juan F. Rubio-Ramirez |
|
| 31 | December 2019 |
Michael P. Clements and Ana Beatriz Galvão |
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| 30 | December 2019 |
Communicating Data Uncertainty: Experimental Evidence for the U.K. GDP |
Ana Beatriz Galvão, James Mitchell and Johnny Runge |
| 29 | October 2019 |
Price Dividend Ratio and Long-Run Stock Returns: a Score Driven State Space Model |
Davide delle Monache, Ivan Petrella and Fabrizio Venditti |
| 28 | October 2019 |
Ivan Petrella, Emiliano Santoro and Lasse P. Simonsen |
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| 27 | July 2019 |
James Mitchell and Martin Weale |
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| 26 | July 2019 |
Frederico Lubello, Ivan Petrella and Emiliano Santoro |
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| 25 | June 2019 |
Frederico di Pace, Luciana Juvenal and Ivan Petrella |
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| 24 | May 2019 |
Ana Beatriz Galvão and James Mitchell |
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| 23 | May 2019 |
Anthony Garratt and Ivan Petrella |
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| 22 | April 2019 |
Anne Marthe van de Bles, Sander van der Linen, Alexandra L.J. Freeman, James Mitchell, Ana Galvao, Lisa Zaval and David J. Siegelhalter |
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| 21 | March 2019 |
Henrik Jensen, Ivan Petrella, Soren H. Ravn, Emiliano Santoro |
|
| 20 | February 2019 |
Regional Output Growth in the United Kingdom: More Timely and Higher Frequency Estimate, 1970-2017. |
Gary Koop, Stuart McIntyre, James Mitchell and Aubrey Poon |
| 19 | January 2019 | Efficient Matrix Approach for Classical Inference in State Space Models | Davide Delle Monache and Ivan Petrella |
|
18 |
March 2018 | Risk Premia and Seasonality in Commodity Futures | Constantino Hevia, Ivan Petrella and Martin Sola |
| 17 | February 2018 | Credit Conditions and the Asymmetric Effects of Monetary Policy Shocks | Andrea Carriero, Ana Beatriz Galvao and Massimiliano Marcellino |
| 16 | November 2017 | Gibrat's Law and Quantile Regressions: and Application to Firm Growth | Roberta Distante, Ivan Petrella and Emiliano Santoro |
| 15 | March 2017 | Monetary Policy with Sectoral Trade-offs | Ivan Petrella, Raffaele Rossi and Emiliano Santoro |
| 14 | November 2016 | Adaptive Models and Heavy Tails with an Application to Inflation Forecasting | Davide Delle Monache and Ivan Petrella |
| 13 | September 2016 (updated January 2017) | News and Uncertainty Shocks | Danilo Cascaldi-Garcia and Ana Beatriz Galvao |
| 12 | August 2016 | Data Revisions and DSGE Models | Ana Beatriz Galvao |
| 11 |
August 2016 (updated 2018) |
A comprehensive evaluation of macroeconomic forecasting methods | Andrea Carriero, Ana Beatriz Galvao and George Kapetanios |
| 10 | April 2016 | News Shocks and the Slope of the Term Structure of Interest Rates: Comment | Danilo Cascaldi-Garcia |
| 9 | March 2016 | What univariate models tell us about multivariate macroeconomic models (latest version) | James Mitchell, Donald Robertson and Stephen Wright |
| 8 | November 2015 | Assessing the Economic Value of Probabilistic Forecasts in the Presence of an Inflation Target | Christopher McDonald, Craig Thamotheram, Shaun P. Vahey and Elizabeth C. Wakerly |
| 7 | April 2014 | Probability Forecasting for Inflation Warnings from the Federal Reserve | Anthony Garratt, James Mitchell and Shaun P. Vahey |
| 6 | February 2014 | Probablistic Prediction of the US Great Recession with Historical Expert | Patrick J. Coe and Shaun P. Vahey |
| 5 | December 2013 | Generalised Density Forecast Combinations | Nicholas Fawcett, George Kapetanios, James Mitchell and Simon Price |
| 4 | October 2013 | Economic Sentiment, International Interdependence and Output Dynamics in the G7 | Anthony Garratt, Kevin Lee and Kalvinder Shields |
| 3 | September 2013 | A Nonlinear Panel Data Model of Cross-Sectional Dependence | George Kapetanios, James Mitchell and Yongcheol Shin |
| 2 | July 2013 | The Recalibrated and Copula Opinion Pools | James Mitchell |
| 1 | April 2013 | Measuring Output Gap Nowcast Uncertainty |
Anthony Garratt, James Mitchell and Shaun Vahey |