George Kapetanios - Central bank research hub

Papers by year: All | 2019 | 2017 | 2016 | 2015 | 2014 | 2012 | 2011 | 2009 | 2008 | 2007 | 2006 | 2004 | 2003

Time-varying cointegration and the UK great ratios

by Katerina Petrova , George Kapetanios , Stephen Millard and Simon Price

Bank of England Working Papers (Paper: 789, 18.04.2019)

JEL: C14, C26, C51, O40
A UK financial conditions index using targeted data reduction: forecasting and structural identification

by George Kapetanios , Garry Young and Simon Price

Bank of England Working Papers (Paper: 699, 08.12.2017)

JEL: C53
Common correlated effect cross-sectional dependence corrections for non-linear conditional mean panel models

by George Kapetanios and Sinem Hacioglu Hoke

Bank of England Working Papers (Paper: 683, 16.10.2017)

JEL: C31, C33, C51
Large time-varying parameter VARs: a non-parametric approach

by Fabrizio Venditti , George Kapetanios and Massimiliano Marcellino

Bank of Italy Working Papers (Paper: 1122, 01.06.2017)

JEL: C14, C32, C53, C55
Big Data Analytics: A New Perspective

by Alexander Chudik , George Kapetanios and M. Hashem Pesaran

Federal Reserve Bank of Dallas Globalization Institute Working Papers (Paper: 0268, 19.02.2016)

JEL: C25, C55
A new approach to multi-step forecasting using dynamic stochastic general equilibrium models

by George Kapetanios , Simon Price and Konstantinos Theodoridis

Bank of England Working Papers (Paper: swp567, 20.11.2015)

Abstract

JEL: C5
Unconventional monetary policies and the macroeconomy: the impact of the United Kingdoms QE2 and Funding for Lending Scheme

by George Kapetanios , Michael Joyce , Rohan Churm and Konstantinos Theodoridis

Bank of England Working Papers (Paper: swp542, 14.08.2015)

Abstract
An automatic leading indicator, variable reduction and variable selection methods using small and large datasets: Forecasting the industrial production growth for euro area economies

by Martin R. Weale , George Kapetanios , Fotis Papailias and Gonzalo Camba-Mendez

European Central Bank Working Papers (Paper: 1773, 01.04.2015)

JEL: C11, C32, C52
Estimating time-varying DSGE models using minimum distance methods

by George Kapetanios , Liudas Giraitis , Konstantinos Theodoridis and Tony Yates

Bank of England Working Papers (Paper: wp507, 22.08.2014)

Abstract

JEL: C14, C18, E52, E61, E66
Adaptive forecasting in the presence of recent and ongoing structural change

by George Kapetanios , Simon Price and Liudas Giraitis

Bank of England Working Papers (Paper: wp490, 28.03.2014)

Abstract

JEL: C1, C59
Generalised density forecast combinations

by George Kapetanios , James Mitchell , Simon Price and Nicholas Fawcett

Bank of England Working Papers (Paper: wp492, 28.03.2014)

Abstract

JEL: C53
Assessing the economy-wide effects of quantitative easing

by George Kapetanios , Ibrahim Stevens , Haroon Mumtaz and Konstantinos Theodoridis

Bank of England Working Papers (Paper: wp443, 04.12.2012)

Abstract
Assessing the economy-wide effects of quantitative easing

by George Kapetanios , Ibrahim Stevens , Konstantinos Theodoridis and Haroon Mumtaz

Bank of England Working Papers (Paper: 443, 22.03.2012)

JEL: C11, C32, E52, E58
Evolving UK and US macroeconomic dynamics through the lens of a model of deterministic structural change

by George Kapetanios and Tony Yates

Bank of England Working Papers (Paper: 434, 28.07.2011)

Parsimonious Estimation with Many Instruments

by Jan J. J. Groen and George Kapetanios

Federal Reserve Bank of New York Staff Reports (Paper: 386, 27.08.2009)

Abstract
Multivariate methods for monitoring structural change

by George Kapetanios , Jan J. J. Groen and Simon Price

Bank of England Working Papers (Paper: 369, 08.06.2009)

Abstract

JEL: C10, C59
Are more data always better for factor analysis? Results for the euro area, the six largest euro area countries and the UK

by Giovanni Caggiano , George Kapetanios and Vincent Labhard

European Central Bank Working Papers (Paper: 1051, 13.05.2009)

JEL: C10, C15, C53
Model Selection Criteria for Factor-Augmented Regressions

by Jan J. J. Groen and George Kapetanios

Federal Reserve Bank of New York Staff Reports (Paper: 363, 11.02.2009)

Abstract

JEL: C22, C52, E37
Revisiting Useful Approaches to Data-Rich Macroeconomic Forecasting

by Jan J. J. Groen and George Kapetanios

Federal Reserve Bank of New York Staff Reports (Paper: 327, 20.05.2008)

Abstract

JEL: C22, C53, E37, E47
Statistical tests and estimators of the rank of a matrix and their applications in econometric modelling

by George Kapetanios and Gonzalo Camba-Mendez

European Central Bank Working Papers (Paper: 0850, 26.01.2008)

JEL: C12, C15, C32
A state space approach to extracting the signal from uncertain data

by Alastair Cunningham , George Kapetanios , Christopher Jeffery , Vincent Labhard and Jana Eklund

Bank of England Working Papers (Paper: 336, 23.11.2007)

Abstract
Forecast combination and the Bank of England¿s suite of statistical forecasting models

by George Kapetanios , Vincent Labhard and Simon Price

Bank of England Working Papers (Paper: 323, 23.06.2007)

Abstract

JEL: C53
The yen real exchange rate may be stationary after all: evidence from non-linear unit root tests

by George Kapetanios and Georgios Chortareas

Bank of England Working Papers (Paper: 311, 11.10.2006)

Abstract

JEL: C23, F31
Forecasting using Bayesian and information theoretic model averaging: an application to UK inflation

by George Kapetanios , Vincent Labhard and Simon Price

Bank of England Working Papers (Paper: 268, 01.01.2006)

Abstract

JEL: C11, C15, C53
Estimating time-variation in measurement error from data revisions; an application to forecasting in dynamic models

by George Kapetanios and Tony Yates

Bank of England Working Papers (Paper: 238, 21.11.2004)

Abstract
Forecasting with measurement errors in dynamic models

by George Kapetanios , Tony Yates and Richard Harrison

Bank of England Working Papers (Paper: 237, 21.11.2004)

Abstract
Forecasting euro area inflation using dynamic factor measures of underlying inflation

by George Kapetanios and Gonzalo Camba-Mendez

European Central Bank Working Papers (Paper: 0402, 07.11.2004)

JEL: C13, C32, E31
Estimating the rank of the spectral density matrix

by George Kapetanios and Gonzalo Camba-Mendez

European Central Bank Working Papers (Paper: 0349, 28.04.2004)

JEL: C12, C32, C52
Import prices and exchange rate pass-through: theory and evidence from the United Kingdom

by George Kapetanios , Valerie Herzberg and Simon Price

Bank of England Working Papers (Paper: 182, 02.04.2003)

Abstract
Rational expectations and fixed-event forecasts: an application to UK inflation

by George Kapetanios , Hasan Bakhshi and Anthony Yates

Bank of England Working Papers (Paper: 176, 11.03.2003)

Abstract