相关论文: Extracting the Italian output gap: a Bayesian appr…

The paper deals with the construction of a synthetic indicator of economic growth, obtained by projecting a quarterly measure of aggregate economic activity, namely gross domestic product (GDP), into the space spanned by a finite number of…

We develop a medium-size semi-structural time series model of inflation dynamics that is consistent with the view - often expressed by central banks - that three components are important: a trend anchored by long-run expectations, a…

We consider the situation where a temporal process is composed of contiguous segments with differing slopes and replicated noise-corrupted time series measurements are observed. The unknown mean of the data generating process is modelled as…

Functional data analysis, which models data as realizations of random functions over a continuum, has emerged as a useful tool for time series data. Often, the goal is to infer the dynamic connections (or time-varying conditional…

In this paper, a mathematical model based on the one-parameter Mittag-Leffler function is proposed to be used for the first time to describe the relation between unemployment rate and inflation rate, also known as the Phillips curve. The…

We investigate the shape of the Italian personal income distribution using microdata from the Survey on Household Income and Wealth, made publicly available by the Bank of Italy for the years 1977--2002. We find that the upper tail of the…

The main goal of the paper is to extract the aggregate demand and aggregate supply shocks in Greece, Ireland, Italy and Portugal, as well as to examine the correlation among the two types of shocks. The decomposition of the shocks was…

Using a large quarterly macroeconomic dataset for the period 1960-2017, we document the ability of specific financial ratios from the housing market and firms' aggregate balance sheets to predict GDP over medium-term horizons in the United…

In this paper, we empirically study models for pricing Italian sovereign bonds under a reduced form framework, by assuming different dynamics for the short-rate process. We analyze classical Cox-Ingersoll-Ross and Vasicek multi-factor…

This paper develops a high-frequency economic indicator using a Bayesian Dynamic Factor Model estimated with mixed-frequency data. The model incorporates weekly, monthly, and quarterly official indicators, and allows for dynamic…

We discuss Bayesian forecasting of increasingly high-dimensional time series, a key area of application of stochastic dynamic models in the financial industry and allied areas of business. Novel state-space models characterizing sparse…

Full Bayesian computational inference for model determination in undirected graphical models is currently restricted to decomposable graphs, except for problems of very small scale. In this paper we develop new, more efficient methodology…

We propose a Bayesian nonparametric approach to modelling and predicting a class of functional time series with application to energy markets, based on fully observed, noise-free functional data. Traders in such contexts conceive profitable…

We develop a generalization of correlated trend-cycle decompositions that avoids prior assumptions about the long-run dynamic characteristics by modelling the permanent component as a fractionally integrated process and incorporating a…

There is an extensive historical dataset on real GDP per capita prepared by Angus Maddison. This dataset covers the period since 1870 with continuous annual estimates in developed countries. All time series for individual economies have a…

This paper examines how natural gas supply shocks affect Italian firms' pricing decisions and inflation expectations using quarterly survey data from the Bank of Italy's Survey on Inflation and Growth Expectations (SIGE). We identify…

Growth rate of real GDP per capita is represented as a sum of two components -- a monotonically decreasing economic trend and fluctuations related to a specific age population change. The economic trend is modeled by an inverse function of…

Most of the analytical techniques used in the business cycle synchronisation literature rely upon the estimation of an empirical correlation matrix of time series data of macroeconomic aggregates, real GDP usually being the key variable.…

In this study, the fluctuation-dissipation theory is invoked to shed light on input-output interindustrial relations at a macroscopic level by its application to IIP (indices of industrial production) data for Japan. Statistical noise…

This paper introduces the modeling of circular data with excess zeros under a longitudinal framework, where the response is a circular variable and the covariates can be both linear and circular in nature. In the literature, various…