Fabrizio Venditti

Bank of Italy

Via Nazionale 91

00184 Roma

Italy

SCHOLARLY PAPERS

24

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462

Scholarly Papers (24)

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1.

Inflation Convergence and Divergence within the European Monetary Union

ECB Working Paper No. 574
Number of pages: 38 Posted: 17 Jan 2006
Fabio Busetti, Lorenzo Forni, Andrew Harvey and Fabrizio Venditti
Bank of Italy, International Monetary Fund (IMF), University of Cambridge - Department of Applied Economics and Bank of Italy
Downloads 730 (73,988)
Citation 7

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Absolute Convergence, Inflation Differentials, Stability, Unit Root Tests

2.

The Global Capital Flows Cycle: Structural Drivers and Transmission Channels

ECB Working Paper No. 2280 (2019); ISBN 978-92-899-3542-5
Number of pages: 54 Posted: 17 May 2019
Maurizio Michael Habib and Fabrizio Venditti
European Central Bank (ECB) and Bank of Italy
Downloads 504 (118,321)
Citation 25

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global financial cycle, capital flows, monetary policy, international spillover, global risk

3.

Short-Term GDP Forecasting with a Mixed Frequency Dynamic Factor Model with Stochastic Volatility

Downloads 248 (259,906)
Citation 70

Short-Term GDP Forecasting with a Mixed Frequency Dynamic Factor Model with Stochastic Volatility

Bank of Italy Temi di Discussione (Working Paper) No. 896
Number of pages: 61 Posted: 21 Feb 2013
Massimiliano Giuseppe Marcellino, Mario Porqueddu and Fabrizio Venditti
Bocconi University - Department of Economics, Bank of Italy and Bank of Italy
Downloads 244 (262,516)
Citation 37

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forecasting, business cycle, mixed-frequency data, nonlinear models, nowcasting

Short-Term GDP Forecasting with a Mixed Frequency Dynamic Factor Model with Stochastic Volatility

CEPR Discussion Paper No. DP9334
Number of pages: 57 Posted: 12 Feb 2013
Massimiliano Giuseppe Marcellino, Mario Porqueddu and Fabrizio Venditti
Bocconi University - Department of Economics, Bank of Italy and Bank of Italy
Downloads 4 (1,333,314)
Citation 33
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Business cycle, Forecasting, Mixed-frequency data, Nonlinear models, Nowcasting

4.

Energy Markets and the Euro Area Macroeconomy

ECB Occasional Paper No. 113
Number of pages: 132 Posted: 20 Jun 2010
Rolf Strauch, Aidan Meyler, Roland Beck, Agostino Consolo, Riccardo Costantini, Michael Fidora, Luca Gattini, Bettina Landau, Ana Lima, David Lodge, Marco J. Lombardi, Ricardo Mestre, Matthias F. Mohr, Moreno Roma, Frauke Skudelny, Michal Slavik, Martin Spitzer, Melina A. Vasardani, David Cornille, Ulf D. Slopek, Laura E. Weymes, Zacharias Bragoudakis, Anton Nakov, Erwan Gautier, Delphine Irac, Ivan Faiella, Lena Cleanthous, Fabrizio Venditti, Guido Schotten, Andreas Breitenfellner, Christin Hartmann, Mariam Abdel-Malek and María de los Llanos Matea
European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), Bocconi University, affiliation not provided to SSRN, European Central Bank (ECB), European Union - European Investment Bank, European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), Bank for International Settlements (BIS) - Monetary and Economic Department, European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB) - Directorate General Economics, European Central Bank (ECB), European Central Bank (ECB), National Bank of Belgium, Deutsche Bundesbank, affiliation not provided to SSRN, Bank of Greece, European Central Bank (ECB)CEPR, Banque de France - Centre de Recherche, Banque de France, Bank of Italy, affiliation not provided to SSRN, Bank of Italy, Dutch Central Bank (DNB), Oesterreichische Nationalbank (OeNB), affiliation not provided to SSRN, affiliation not provided to SSRN and Banco de España
Downloads 217 (293,290)
Citation 1

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5.

The Role of Financial and Macroeoconomic Conditions in Forecasting Recession

Number of pages: 10 Posted: 04 Aug 2022
Filippo Natoli and Fabrizio Venditti
Bank of Italy and Bank of Italy
Downloads 191 (330,375)
Citation 1

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recession, yield curve slope, financial conditions, monetary policy tightening, inflation, probit

6.

The Role of Comovement and Time-Varying Dynamics in Forecasting Commodity Prices

ECB Working Paper No. 2024/2901
Number of pages: 69 Posted: 02 Feb 2024
Anastasia Allayioti and Fabrizio Venditti
European Central Bank (ECB) and Bank of Italy
Downloads 188 (335,204)

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commodities, commonalities, density forecasting, economic evaluation, instabilities

7.

Oil Price Shocks in Real-time

Number of pages: 36 Posted: 21 Dec 2023
Andrea Giovanni Gazzani, Fabrizio Venditti and Giovanni Veronese
Bank of Italy, Bank of Italy and Bank of Italy
Downloads 170 (366,692)

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Oil prices, VAR, real time, monetary policy

8.

An Indicator of Macro-Financial Stress for Italy

Bank of Italy Occasional Paper No. 497, April 2019
Number of pages: 28 Posted: 07 Aug 2019
Arianna Miglietta and Fabrizio Venditti
Bank of Italy and Bank of Italy
Downloads 166 (374,327)
Citation 3

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financial stability, systemic risk, financial condition index

9.

The Benefits and Costs of Adjusting Bank Capitalisation: Evidence from Euro Area Countries

Downloads 166 (374,327)
Citation 49

The Benefits and Costs of Adjusting Bank Capitalisation: Evidence from Euro Area Countries

Banco de Espana Working Paper No. 1923 (2019)
Number of pages: 65 Posted: 15 Jul 2019
Katarzyna Barbara Budnik, Massimiliano Affinito, Gaia Barbic, Saifeddine Ben Hadj, Edouard Chretien, Hans Dewachter, Clara I. Gonzalez, Jenny Hu, Lauri Jantunen, Ramona Jimborean, Otso Manninen, Ricardo Martinho, Javier Mencia, Elena Mousarri, Laurynas Narusevicius, Giulio Nicoletti, Michael O'Grady, Selcuk Ozsahin, Ana Regina Pereira, Jairo Rivera-Rozo, Fabrizio Venditti, Constantinos Trikoupis and Sofia Velasco
European Central Bank (ECB), Bank of Italy, European Central Bank (ECB), Louvain School of Management (UCL), National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST), National Bank of Belgium, Banco de España, De Nederlandsche Bank, Suomen Panki, Banque de France, Suomen Panki, Bank of Portugal, Banco de España, Central Bank of Cyprus, Bank of Lithuania, European Central Bank (ECB), Central Bank of Ireland, Bank of Slovenia, Bank of Portugal, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Bank of Italy, Central Bank of Cyprus and Central Bank of Ireland
Downloads 114 (508,812)
Citation 48

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FAVAR, capital regulation, cost-benefit analysis, banking system resilience

The Benefits and Costs of Adjusting Bank Capitalisation: Evidence From Euro Area Countries

ECB Working Paper No. 2261
Number of pages: 65 Posted: 15 Apr 2019
Katarzyna Barbara Budnik, Massimiliano Affinito, Gaia Barbic, Saifeddine Ben Hadj, Edouard Chretien, Hans Dewachter, Clara I. Gonzalez, Jenny Hu, Lauri Jantunen, Ramona Jimborean, Otso Manninen, Ricardo Martinho, Javier Mencia, Elena Mousarri, Laurynas Narusevicius, Giulio Nicoletti, Michael O'Grady, Selcuk Ozsahin, Ana Regina Pereira, Jairo Rivera-Rozo, Constantinos Trikoupis, Fabrizio Venditti and Sofia Velasco
European Central Bank (ECB), Bank of Italy, European Central Bank (ECB), Louvain School of Management (UCL), National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST), Catholic University of Leuven (KUL) - Department of Economics, Banco de España, De Nederlandsche Bank, Suomen Panki, Banque de France, affiliation not provided to SSRN, Bank of Portugal, Banco de España, Central Bank of Cyprus, Bank of Lithuania, European Central Bank (ECB), Central Bank of Ireland, Bank of Slovenia, Bank of Portugal, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE), Central Bank of Cyprus, Bank of Italy and Central Bank of Ireland
Downloads 52 (811,024)
Citation 1

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FAVAR, capital regulation, cost-benefit analysis, banking system resilience

10.

The Financial Stability Dark Side of Monetary Policy

Downloads 163 (380,300)
Citation 22

The Financial Stability Dark Side of Monetary Policy

Number of pages: 64 Posted: 23 May 2016 Last Revised: 26 May 2016
Piergiorgio Alessandri, Antonio Maria Conti and Fabrizio Venditti
Bank of Italy, Banca d'Italia and Bank of Italy
Downloads 112 (515,702)

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risk premia; asymmetry; monetary policy; financial stability; local projections

The Financial Stability Dark Side of Monetary Policy

Bank of Italy Temi di Discussione (Working Paper) No. 1121
Number of pages: 50 Posted: 28 Aug 2017
Piergiorgio Alessandri, Antonio Maria Conti and Fabrizio Venditti
Bank of Italy, Banca d'Italia and Bank of Italy
Downloads 51 (818,504)
Citation 22

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monetary policy, financial stability, risk premia, macro news, local projections

11.

Forecasting Economic Activity with Higher Frequency Targeted Predictors

Bank of Italy Temi di Discussione (Working Paper) No. 847
Number of pages: 49 Posted: 29 Feb 2012
Guido Bulligan, Massimiliano Giuseppe Marcellino and Fabrizio Venditti
Bank of Italy, Bocconi University - Department of Economics and Bank of Italy
Downloads 161 (384,235)
Citation 64

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short-term GDP forecast, factor models, bridge models, General To Specific

12.

Large Time-Varying Parameter Vars: A Non-Parametric Approach

Downloads 112 (512,274)
Citation 25

Large Time-Varying Parameter Vars: A Non-Parametric Approach

Bank of Italy Temi di Discussione (Working Paper) No. 1122
Number of pages: 63 Posted: 28 Aug 2017
George Kapetanios, Massimiliano Giuseppe Marcellino and Fabrizio Venditti
King's College, London, Bocconi University - Department of Economics and Bank of Italy
Downloads 110 (522,819)
Citation 21

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large VARs, time-varying parameters, non-parametric estimation, forecasting

Large Time-Varying Parameter VARs: A Non-Parametric Approach

CEPR Discussion Paper No. DP11560
Number of pages: 57 Posted: 10 Oct 2016
George Kapetanios, Massimiliano Giuseppe Marcellino and Fabrizio Venditti
King's College, London, Bocconi University - Department of Economics and Bank of Italy
Downloads 2 (1,347,670)
Citation 4
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13.

A Risk Dashboard for the Italian Economy

Bank of Italy Occasional Paper No. 425
Number of pages: 38 Posted: 17 Apr 2018
Francesco Columba, Fabrizio Venditti and Alberto Maria Sorrentino
Bank of Italy, Bank of Italy and Bank of Italy
Downloads 110 (519,200)
Citation 3

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early warning indicators, financial stability risks, heatmaps, macroprudential policy

14.

Leaning Against the Global Financial Cycle

ECB Working Paper No. 2022/2763
Number of pages: 57 Posted: 27 Dec 2022
Andrea Ferrero, Maurizio Michael Habib, Livio Stracca and Fabrizio Venditti
University of Oxford - Department of Economics, European Central Bank (ECB), European Central Bank (ECB) and Bank of Italy
Downloads 105 (537,121)

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capital controls, emerging markets, foreign-exchange intervention, Global Financial Cycle, institutions., macro-prudential policies, monetary policy

15.

Surprise! Euro Area Inflation Has Fallen

Bank of Italy Occasional Paper No. 237
Number of pages: 33 Posted: 10 Mar 2015
Marianna Riggi and Fabrizio Venditti
Bank of Italy and Bank of Italy
Downloads 94 (578,993)
Citation 13

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inflation, Phillips curve, structural break, strategic complementarities

16.

Do Food Commodity Prices Have Asymmetric Effects on Euro-Area Inflation?

Bank of Italy Temi di Discussione (Working Paper) No. 878
Number of pages: 50 Posted: 24 Oct 2012
Mario Porqueddu and Fabrizio Venditti
Bank of Italy and Bank of Italy
Downloads 81 (633,239)
Citation 62

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food prices, asymmetry, inflation

17.

Down the Non-Linear Road from Oil to Consumer Energy Prices: Not Much Asymmetry Along the Way

Bank of Italy Temi di Discussione (Working Paper) No. 751
Number of pages: 58 Posted: 01 Sep 2010
Fabrizio Venditti
Bank of Italy
Downloads 76 (656,127)
Citation 22

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Energy, Oil Prices, Asymmetry, Inflation

18.

Forecasting Inflation and Tracking Monetary Policy in the Euro Area: Does National Information Help?

ECB Working Paper No. 900, Bank of Italy Temi di Discussione (Working Paper) No. 677
Number of pages: 40 Posted: 03 Jun 2008
Riccardo Cristadoro, Fabrizio Venditti and Giuseppe Saporito
Bank of Italy, Bank of Italy and Bank of Italy
Downloads 76 (656,127)
Citation 1

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Forecasting, dynamic factor model, inflation, Taylor rule, monetary policy

19.

Decomposing the Monetary Policy Multiplier

Bank of Italy Temi di Discussione (Working Paper) No. 1422
Number of pages: 52 Posted: 03 Jun 2024
Piergiorgio Alessandri, Fabrizio Venditti and Òscar Jordà
Bank of Italy, Bank of Italy and University of California, Davis
Downloads 75 (670,778)

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monetary policy, credit spreads, local projections, Kitagawa decomposition

20.

Wages and Prices in Italy During the Crisis: The Firms’ Perspective

Bank of Italy Occasional Paper No. 289
Number of pages: 55 Posted: 25 Feb 2016
Francesco D’Amuri, Silvia Fabiani, Roberto Sabbatini, Raffaele Tartaglia-Polcini, Fabrizio Venditti, Eliana Viviano and Roberta Zizza
Bank of Italy, Bank of Italy, Bank of Italy, Bank of Italy, Bank of Italy, Bank of Italy and Bank of Italy
Downloads 68 (696,402)
Citation 6

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labour cost adjustment, pricing strategies

21.

Short Term Inflation Forecasting: The M.E.T.A. Approach

Bank of Italy Temi di Discussione (Working Paper) No. 1016
Number of pages: 48 Posted: 19 Aug 2015
Giacomo Sbrana, Andrea Silvestrini and Fabrizio Venditti
Neoma Business School, Bank of Italy and Bank of Italy
Downloads 67 (701,819)
Citation 26

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inflation, forecasting, aggregation, state space models

22.

The Time Varying Effect of Oil Price Shocks on Euro-Area Exports

Bank of Italy Temi di Discussione (Working Paper) No. 1035
Number of pages: 53 Posted: 12 Feb 2016
Marianna Riggi and Fabrizio Venditti
Bank of Italy and Bank of Italy
Downloads 65 (712,821)
Citation 61

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oil prices, VAR, time-varying parameters, exports

23.

Oil Price Shocks in Real Time

Bank of Italy Temi di Discussione (Working Paper) No. 1448
Number of pages: 46 Posted: 02 Jun 2024
Andrea Giovanni Gazzani, Fabrizio Venditti and Giovanni Veronese
Bank of Italy, Bank of Italy and Bank of Italy
Downloads 64 (718,405)
Citation 1

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oil prices, VAR, real time, monetary policy

24.

Adaptive State Space Models with Applications to the Business Cycle and Financial Stress

CEPR Discussion Paper No. DP11599
Number of pages: 56 Posted: 07 Nov 2016
Davide Delle Monache, Ivan Petrella, Ivan Petrella, Ivan Petrella and Fabrizio Venditti
Bank of Italy, University of WarwickUniversity of Warwick - Warwick Business SchoolUniversity of Warwick - Finance Group and Bank of Italy
Downloads 2 (1,290,739)
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Business cycle, financial stress., score-driven models, State space models, time-varying parameters