In this paper, we investigate the main features of the Italian financial cycle, extracted by means of a structural trend-cycle decomposition of the credit-to-GDP ratio, using annual observations from 1861 to 2011. In order to draw conclusions based on solid historical data, we provide a thorough...

The objective of this paper is to study the issue of convergence of financial systems through the lens of asset allocation. It examines β- and σ-convergence of the most important financial instruments: deposits, debt securities, shares and insurance products. The analysis is conducted on two...

Exponential smoothing models represent an important prediction tool both in business and in macroeconomics. This paper provides the analytical forecasting properties of the random coefficient exponential smoothing model in the “multiple source of error” framework. The random coefficient...

In this paper we propose a unified framework to analyse contemporaneous and temporal aggregation of a widely employed class of integrated moving average (IMA) models. We obtain a closed-form representation for the parameters of the contemporaneously and temporally aggregated process as a...

In this article we present new estimates of the effect of household financial and real wealth on consumption. The analysis refers to 11 Organization for Economic Co-operation and Developoment (OECD) countries and takes into account quarterly data from 1997 to 2008. Unlike most of the previous...

This paper focuses on the core inflation measurement in Italy using univariate (national-level inflation) vs. multivariate (city-level inflation) models during the period 1970–2006. We derive algebraic expressions that allow comparison between the reduced form parameters of univariate and...