Michele Caivano

Bank of Italy

Via Nazionale 91

Rome, 00184

Italy

SCHOLARLY PAPERS

11

DOWNLOADS

762

SSRN CITATIONS
Rank 3,824

SSRN RANKINGS

Top 3,824

in Total Papers Citations

126

CROSSREF CITATIONS

231

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 143 (257,728)
Citation 2

Abstract:

Loading...

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 140 (262,089)
Citation 9

Abstract:

Loading...

global financial crisis, counterfactual simulations, business fluctuations

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 58 (460,930)
Citation 29

Abstract:

Loading...

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 29 (605,117)

Abstract:

Loading...

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 77 (391,697)
Citation 1

Abstract:

Loading...

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 68 (419,346)
Citation 10

Abstract:

Loading...

macro-econometric models, Italy, forecasting, policy simulation

6.

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 54 (469,249)
Citation 55

Abstract:

Loading...

Bayesian methods, potential output, unobserved components

7.

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 50 (485,400)
Citation 36

Abstract:

Loading...

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

8.

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 44 (511,453)
Citation 22

Abstract:

Loading...

quantile regression, Phillips curve, time-varying distribution

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 42 (531,227)
Citation 59

Abstract:

Loading...

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

Time‐Series Models with an EGB2 Conditional Distribution

Journal of Time Series Analysis, Vol. 35, Issue 6, pp. 558-571, 2014
Number of pages: 14 Posted: 24 Oct 2014
Michele Caivano and Andrew Harvey
Bank of Italy and University of Cambridge - Department of Applied Economics
Downloads 1 (838,183)
  • Add to Cart

Abstract:

Loading...

Beta distribution, EGARCH, outlier, robustness, score, WinsorizingJEL. C22l

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 32 (571,892)
Citation 18

Abstract:

Loading...

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 24 (621,695)
Citation 20

Abstract:

Loading...

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