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Antonello D'Agostino

Bio: Antonello D'Agostino is an academic researcher from Financial Services Authority. The author has contributed to research in topics: Inflation & Stochastic volatility. The author has an hindex of 20, co-authored 46 publications receiving 1333 citations. Previous affiliations of Antonello D'Agostino include Université libre de Bruxelles & University College Dublin.

Papers
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Journal ArticleDOI
TL;DR: In this article, the authors used a Time-Varying Coefficients VAR with Stochastic Volatility (TV-VAR) model to forecast inflation, the unemployment rate and the interest rate for the US.
Abstract: The aim of this paper is to assess whether explicitly modeling structural change increases the accuracy of macroeconomic forecasts. We produce real time out-of-sample forecasts for inflation, the unemployment rate and the interest rate using a Time-Varying Coefficients VAR with Stochastic Volatility (TV-VAR) for the US. The model generates accurate predictions for the three variables. In particular for inflation the TV-VAR outperforms, in terms of mean square forecast error, all the competing models: fixed coefficients VARs, Time-Varying ARs and the na¨ove random walk model. These results are also shown to hold over the period commonly referred to as the ”Great Moderation”.

336 citations

Posted Content
TL;DR: This paper showed that the ability to predict several measures of inflation and real activity declined remarkably, relative to naive forecasts, since the mid-1980s, and this break down in forecast ability appears to be an inherent feature of the most recent period and thus represents a new challenge for competing explanations of the 'Great Moderation'.
Abstract: This paper documents a new stylized fact of the greater macroeconomic stability of the U.S. economy over the last two decades. Using 131 monthly time series, three popular statistical methods and the forecasts of the Federal Reserve's Greenbook and the Survey of Professional Forecasters, we show that the ability to predict several measures of inflation and real activity declined remarkably, relative to naive forecasts, since the mid-1980s. This break down in forecast ability appears to be an inherent feature of the most recent period and thus represents a new challenge for competing explanations of the 'Great Moderation'.

203 citations

Posted Content
TL;DR: In this article, the authors investigated the determinants of the service sector employment share in the EU-15, for the aggregate service sector, four sub-sectors and twelve service sector branches.
Abstract: This paper investigates the determinants of the service sector employment share in the EU-15, for the aggregate service sector, four sub-sectors and twelve service sector branches. Recently, both Europe and the US have experienced an increase in the share of service-related jobs in total employment. Although converging in all European countries, a significant gap in the share of service jobs in Europe relative to the US persists. Understanding the main factors behind this gap is key to achieving higher employment levels in Europe. This paper focuses on the role of barriers in the EU-15 which may have hindered its ability to absorb labour supply and therefore to adjust efficiently to the sectoral reallocation of labour. We find that a crucial role in this process has been played by the institutional framework affecting flexibility in the labour market and by the mismatch between workers' skills and job vacancies.

102 citations

Journal ArticleDOI
TL;DR: In this paper, the authors estimate determinants of G7 sovereign bond spreads, using high-frequency proxies for market expectations about macroeconomic fundamentals and allowing for time-varying parameters.
Abstract: Against the background of the current debate about fiscal sustainability in several advanced economies, this paper estimates determinants of G7 sovereign bond spreads, using high-frequency proxies for market expectations about macroeconomic fundamentals and allowing for time-varying parameters. The paper finds substantial asymmetry in the importance of country fundamentals and considerable time variations in the pricing of risks. There has been a reduced pricing of several risk factors in the years preceding the financial crisis, and either an over-pricing of risk or the pricing of a re-denomination risk of euro area bonds during the European sovereign debt crisis, a pattern that does not apply to the non-euro area G7 bonds.

82 citations

Posted Content
TL;DR: This article constructed a measure of global liquidity using the growth rates of broad money for the G7 economies and showed that global liquidity produces forecasts of US inflation that are significantly more accurate than the forecasts based on US money growth, Phillips curve, autoregressive and moving average models.
Abstract: We construct a measure of global liquidity using the growth rates of broad money for the G7 economies. Global liquidity produces forecasts of US inflation that are significantly more accurate than the forecasts based on US money growth, Phillips curve, autoregressive and moving average models. The marginal predictive power of global liquidity is strong at three years horizons. Results are robust to alternative measures of inflation.

64 citations


Cited by
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Journal ArticleDOI
TL;DR: The authors survey the literature on central bank communication and find that communication can be an important and powerful part of the central bank's toolkit since it has the ability to move financial markets, to enhance the predictability of monetary policy decisions, and potentially to help achieve central banks' macroeconomic objectives.
Abstract: Over the last two decades, communication has become an increasingly important aspect of monetary policy. These real-world developments have spawned a huge new scholarly literature on central bank communication-mostly empirical, and almost all of it written in this decade. We survey this ever-growing literature. The evidence suggests that communication, can be an important and powerful part of the central bank's toolkit since it has the ability to move financial markets, to enhance the predictability of monetary policy decisions, and potentially to help achieve central banks' macroeconomic objectives. However, the large variation in communication, strategies across central banks suggests that a. consensus has yet to emerge, on what constitutes an optimal communication strategy.

1,188 citations

Journal ArticleDOI
TL;DR: In this paper, a review article aims to explain the complexity of available solutions, their strengths and weaknesses, and the opportunities and threats that the forecasting tools offer or that may be encountered.

1,016 citations

DissertationDOI
01 Jan 2005
TL;DR: In this paper, the authors investigated the relationship between economic growth and financial development in developing countries over 1988-2001 and found that while banks performance has a negative impact on growth, stock markets positively promote growth.
Abstract: This thesis investigates the relationship between economic growth and financial development in developing countries over 1988-2001. Previous studies have generally used averaged data, for both developing and developed countries, and inappropriate estimation methods. In an attempt to reach some definitive conclusions, Generalised Method of Moments dynamic estimation is used with a newly collected panel of annual data to assess the relationship. The results show that while banks performance has a negative impact on growth, stock markets positively promote growth. To reach an overall conclusion about the impact of finance on growth and to solve the problems associated with the existence of multicollinearity among the different measures of financial development, principal components analysis is used to generate new, comprehensive measures of financial development. In assessing the link between the new measures and financial development and growth, the results support the existence of an overall positive relationship. The thesis also examines the behaviour of interest rates in developing and industrialised countries using individual and panel unit root tests. The results are sensitive to the choice of the test, country and time unit.

882 citations

Journal ArticleDOI
TL;DR: In this article, the authors show that vector auto regression with Bayesian shrinkage is an appropriate tool for large dynamic models and that large VARs with shrinkage produce credible impulse responses and are suitable for structural analysis.
Abstract: This paper shows that vector auto regression (VAR) with Bayesian shrinkage is an appropriate tool for large dynamic models. We build on the results of De Mol and co-workers (2008) and show that, when the degree of shrinkage is set in relation to the cross-sectional dimension, the forecasting performance of small monetary VARs can be improved by adding additional macroeconomic variables and sectoral information. In addition, we show that large VARs with shrinkage produce credible impulse responses and are suitable for structural analysis. © 2009 John Wiley & Sons, Ltd.

813 citations