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Real time forecasts of inflation: the role of financial variables

Monteforte, Libero; Moretti, Gianluca - Banca d'Italia - 2010

We present a mixed-frequency model for daily forecasts of euro area inflation. The model combines a monthly index of core inflation with daily data from financial markets; estimates are carried out with the MIDAS regression approach. The forecasting ability of the model in real-time is compared...

Persistent link: https://www.econbiz.de/10008605945

Bootstrap bias-correction procedure in estimating long-run relationships from dynamic panels, with an application to money demand in the euro area

Focarelli, Dario - Banca d'Italia - 2002

In dynamic panel data models, which are particularly well-suited to cross-country analysis, the Mean Group estimator … that it can be biased when the number of time observations is small. Possible explanations are sample-size bias and omitted … experiment which analyzes cointegrated systems. A possible solution for the MG estimator bias is a bootstrap bias …

Persistent link: https://www.econbiz.de/10005770753

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

Foreign exchange reserve diversification and the "exorbitant privilege"

Cova, Pietro; Pagano, Patrizio; Pisani, Massimiliano - Banca d'Italia - 2014

We assess the global macroeconomic implications of different strategies of official reserve management by developing a large scale new-Keynesian dynamic general equilibrium model of the world economy, calibrated on the euro area, the United States, China, Japan and the rest of the world. An...

Persistent link: https://www.econbiz.de/10011098938

Dif-in-dif estimators of multiplicative treatment effects

Ciani, Emanuele; Fisher, Paul - Banca d'Italia - 2014

We consider a difference-in-differences setting with a continuous outcome, such as wages or expenditure. The standard practice is to take the logarithm of the outcome and then interpret the results as an approximation of the multiplicative treatment effect on the original outcome. We argue that...

Persistent link: https://www.econbiz.de/10011099673

Euro area and global oil shocks: an empirical model-based analysis

Forni, Lorenzo; Gerali, Andrea; Notarpietro, Alessandro; … - Banca d'Italia - 2012

We assess the impact of oil shocks on euro-area macroeconomic variables by estimating a new-Keynesian small open economy model with Bayesian methods. Oil price is determined according to supply and demand conditions in the world oil market. We find that the impact of an increase in the price of...

Persistent link: https://www.econbiz.de/10011099725

Deflationary shocks and de-anchoring of inflation expectations

Busetti, Fabio; Ferrero, Giuseppe; Gerali, Andrea; … - Banca d'Italia - 2014

A prolonged period of low inflation, particularly in a situation of monetary policy rates near the zero lower bound, can heighten the risk of inflation expectations de-anchoring from the central bank objective. The purpose of this paper is to assess the effects of a sequence of deflationary...

Persistent link: https://www.econbiz.de/10011103306

Macroeconomic effects of simultaneous implementation of reforms after the crisis

Gerali, Andrea; Notarpietro, Alessandro; Pisani, … - Banca d'Italia - 2014

This paper evaluates the macroeconomic effects of simultaneously implementing fiscal consolidation and competition-friendly reforms in a country of the euro area by simulating a large-scale dynamic general equilibrium model. We find, first, that the joint implementation of reforms has additional...

Persistent link: https://www.econbiz.de/10011103310

Structural reforms and zero lower bound in a monetary union

Gerali, Andrea; Notarpietro, Alessandro; Pisani, … - Banca d'Italia - 2015

We assess the short- and medium-term macroeconomic effects of competition-friendly reforms in the service sector when the monetary policy rate is stuck at the zero lower bound (ZLB) in a monetary union. We calibrate a large-scale multi-country multi-sector dynamic general equilibrium model to...

Persistent link: https://www.econbiz.de/10011184261

Durable goods, price indexes and quality change: an application to automobile prices in Italy, 1988-1998.

Tomat, Gian Maria - Banca d'Italia - 2002

The paper analyzes the problems of measurement of durable consumer prices posed by quality change. Theoretical price indexes are defined and used to analyze several empirical methods of estimation of quality adjusted price indexes. The paper shows that hedonic regressions and other quality...

Persistent link: https://www.econbiz.de/10005770752