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The (mis)specification of discrete duration models with unobserved heterogeneity: a Monte Carlo study
Rondinelli, Concetta; Nicoletti, Cheti - Banca d'Italia - 2009
estimate discrete duration models with unobserved heterogeneity. But ease of estimation may come at a cost. In this paper we …
Persistent link: https://www.econbiz.de/10005642127
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Technical note on the estimation of forward and zero coupon yield curves as applied to Italian euromarket rates
In: Zero-coupon yield curves : technical documentation, (pp. 12-14). 2005
Persistent link: https://www.econbiz.de/10003288588
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Composite indicators for monetary analysis
Nobili, Andrea - Banca d'Italia - 2009
predictive power of the monetary aggregate M3 for inflation in recent years. This paper reassesses the information content of … monetary analysis for future inflation using dynamic factors extracted from a new and richer cross-section of data including … inflation forecasts turn out to be more accurate than those produced by traditional competitor models at the relevant policy …
Persistent link: https://www.econbiz.de/10004980170
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Uncertainty and heterogeneity in factor models forecasting
Luciani, Matteo; Monteforte, Libero - Banca d'Italia - 2013
In this paper, we exploit the heterogeneity in the forecasts obtained by estimating different factor models to measure forecast uncertainty. Our approach is simple and intuitive. It consists first in selecting all the models that outperform some benchmark model, and then in constructing an...
Persistent link: https://www.econbiz.de/10011099661
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Forecasting economic activity with higher frequency targeted predictors
Bulligan, Guido; Marcellino, Massimiliano; Venditti, … - Banca d'Italia - 2012
In this paper we explore the performance of bridge and factor models in forecasting quarterly aggregates in the very short-term subject to a pre-selection of monthly indicators. Starting from a large information set, we select a subset of targeted predictors using data reduction techniques as in...
Persistent link: https://www.econbiz.de/10009645792
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Italian real estate investment funds: market structure and risk measurement
Bianchi, Michele Leonardo; Chiabrera, Agostino - Banca d'Italia - 2012
This paper describes the Italian real estate investment funds industry, providing an overview of the distinctive features and risk factors of this sector. By using accounting and supervisory data, we: (1) compute the returns of the real estate assets in the portfolio of these funds; (2)...
Persistent link: https://www.econbiz.de/10011099599
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An empirical investigation of the relationship between inequality and growth
Pagano, Patrizio - Banca d'Italia - 2004
of per capita GDP in a panel of countries between the late 1950s and late 1990s. Inequality Granger causes growth with a …
Persistent link: https://www.econbiz.de/10005609408
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The Seasonality of the Italian Cost-of-Living Index
Cubadda, G.; Sabbatini, R. - Banca d'Italia - 1997
promptly identifying turning points in inflation. The focus of this paper is the so-called "cost-of-living" index, the most … used measure of Italian inflation. Our aim is to identify and test a model of its seasonal component, which is important in …
Persistent link: https://www.econbiz.de/10005486712
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Do food commodity prices have asymmetric effects on Euro-Area inflation?
Porqueddu, Mario; Venditti, Fabrizio - Banca d'Italia - 2012
issue is of particular interest for those monetary authorities that target headline consumer price inflation, which has been …
Persistent link: https://www.econbiz.de/10011099718