Michele Caivano

Bank of Italy

Via Nazionale 91

Rome, 00184

Italy

SCHOLARLY PAPERS

11

DOWNLOADS

1,166

SSRN CITATIONS
Rank 4,369

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Top 4,369

in Total Papers Citations

220

CROSSREF CITATIONS

198

Scholarly Papers (11)

1.

Domestic and Global Determinants of Inflation: Evidence from Expectile Regression

Bank of Italy Temi di Discussione (Working Paper) No. 1225, June 2019
Number of pages: 31 Posted: 10 Aug 2019
Fabio Busetti, Michele Caivano and Davide Delle Monache
Bank of Italy, Bank of Italy and Bank of Italy
Downloads 190 (296,136)
Citation 44

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asymmetric least squares, globalization, inflation quantiles, Phillips curve, time varying parameters

2.

The Transmission of the Global Financial Crisis to the Italian Economy: A Counterfactual Analysis, 2008-2010

Bank of Italy Occasional Paper No. 64
Number of pages: 37 Posted: 28 Oct 2010
Michele Caivano, Maria Lisa Rodano and Stefano Siviero
Bank of Italy, Bank of Italy and Bank of Italy
Downloads 190 (296,136)
Citation 9

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global financial crisis, counterfactual simulations, business fluctuations

3.
Downloads 146 (371,142)
Citation 28

Modelling Italian Potential Output and the Output Gap

Bank of Italy Temi di Discussione (Working Paper) No. 771
Number of pages: 58 Posted: 23 Mar 2011
Antonio Bassanetti, Michele Caivano and Alberto Locarno
Bank of Italy, Bank of Italy and Bank of Italy
Downloads 101 (492,987)
Citation 31

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potential output, business cycle, Phillips curve, output gap

Modelling Italian Potential Output and the Output Gap

Government of the Italian Republic (Italy), Ministry of Economy and Finance, Department of the Treasury Working Paper No. 7
Number of pages: 51 Posted: 22 Aug 2013
Antonio Bassanetti, Michele Caivano and Alberto Locarno
Bank of Italy, Bank of Italy and Bank of Italy
Downloads 45 (769,524)

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E37, C52

4.

Assessing the Sensitivity of Inflation to Economic Activity

ECB Working Paper No. 1357
Number of pages: 46 Posted: 24 Jun 2011
Bank of Latvia, Bank of Italy, European Stability Mechanism, European Central Bank (ECB), Banco de España, European Central Bank (ECB), Bank of Spain, DG Economics, Statistics and Research and Magyar Nemzeti Bank
Downloads 118 (437,211)
Citation 2

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Demand shock, inflation response, macro model, output growth, Phillips curve

5.

The Bank of Italy Econometric Model: An Update of the Main Equations and Model Elasticities

Bank of Italy Temi di Discussione (Working Paper) No. 1130
Number of pages: 62 Posted: 22 Sep 2017
Bank of Italy, Bank of Italy, Bank of Italy, Bank of Italy, Bank of Italy, Bank of Italy and Bank of Italy
Downloads 117 (440,065)
Citation 17

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macro-econometric models, Italy, forecasting, policy simulation

6.

On the Conditional Distribution of Euro Area Inflation Forecast

Bank of Italy Temi di Discussione (Working Paper) No. 1027
Number of pages: 35 Posted: 26 Jan 2016
Fabio Busetti, Michele Caivano and Maria Lisa Rodano
Bank of Italy, Bank of Italy and Bank of Italy
Downloads 88 (534,783)
Citation 22

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quantile regression, Phillips curve, time-varying distribution

7.

The Trend-Cycle Decomposition of Output and the Phillips Curve: Bayesian Estimates for Italy

Bank of Italy Temi di Discussione (Working Paper) No. 941
Number of pages: 40 Posted: 15 Mar 2014
Fabio Busetti and Michele Caivano
Bank of Italy and Bank of Italy
Downloads 75 (587,942)
Citation 55

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Bayesian methods, potential output, unobserved components

8.

Two EGARCH Models and One Fat Tail

Bank of Italy Temi di Discussione (Working Paper) No. 954
Number of pages: 49 Posted: 08 Jul 2014
Michele Caivano and Andrew Harvey
Bank of Italy and University of Cambridge - Department of Applied Economics
Downloads 71 (605,907)
Citation 36

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exchange rates, heavy tails, Hill’s estimator, score, robustness, EGB2, Student’s t, tail index

9.

Time Series Models with an EGB2 Conditional Distribution

Bank of Italy Temi di Discussione (Working Paper) No. 947
Number of pages: 60 Posted: 25 Mar 2014
Michele Caivano and Andrew Harvey
Bank of Italy and University of Cambridge - Department of Applied Economics
Downloads 64 (639,922)
Citation 61

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beta distribution, EGARCH, fat tails, score, robustness, winsorizing

10.

Low Frequency Drivers of the Real Interest Rate: A Band Spectrum Regression Approach

Bank of Italy Temi di Discussione (Working Paper) No. 1132
Number of pages: 30 Posted: 06 Oct 2017
Fabio Busetti and Michele Caivano
Bank of Italy and Bank of Italy
Downloads 59 (666,245)
Citation 21

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natural rate, secular stagnation, spectral analysis

11.

The Time-varying Risk of Italian GDP

Bank of Italy Temi di Discussione (Working Paper) No. 1288
Number of pages: 41 Posted: 25 Aug 2020
Bank of Italy, Bank of Italy, Bank of Italy and Bank of Italy
Downloads 48 (731,607)
Citation 20

Abstract:

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asymmetric least squares, expectiles, density forecasts, GDP growth, risks