Members Research Papers

Preliminary Data and Econometric Forecasting: An Application with the Bank of Italy Quarterly Model

JEL codes: 
C53
Version Date: 
Apr 2004
Author/s: 
Abstract: 

This Paper considers forecasting by econometric and time series models using preliminary (or provisional) data. The standard practice is to ignore the distinction between provisional and final data.

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Is Economic Activity in the G7 Synchronized? Common Shocks versus Spillover Effects

JEL codes: 
E30, F00
Version Date: 
Oct 2003
Abstract: 

This Paper analyses the co-movement in activity, measured by GDP and industrial production, between the G7 countries for the period 1972-2002. For that purpose, a dynamic factor model is estimated using Kalman Filtering techniques.

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What Caused the Early Millennium Slowdown? Evidence Based on Vector Autoregressions

JEL codes: 
C32, E32
Version Date: 
Sep 2003
Author/s: 
Abstract: 

This Paper uses a simple VAR for the industrialized world (aggregate of 17 countries), the US and the euro area to analyse the underlying shocks of the recent slowdown, i.e. supply, demand, monetary policy and oil price shocks. The results of two identification strategies are compared.

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