Michele Caivano

Bank of Italy

Via Nazionale 91

Rome, 00184

Italy

SCHOLARLY PAPERS

9

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494

SSRN CITATIONS
Rank 3,143

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Scholarly Papers (9)

1.

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 115 (240,556)
Citation 7

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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 47 (406,133)
Citation 26

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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 28 (490,982)

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E37, C52

3.

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, Research Department and Magyar Nemzeti Bank
Downloads 70 (332,076)

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

4.

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 50 (388,591)

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macro-econometric models, Italy, forecasting, policy simulation

5.

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 49 (391,968)
Citation 55

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Bayesian methods, potential output, unobserved components

6.

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 40 (424,724)
Citation 36

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

7.

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 35 (445,189)
Citation 19

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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 34 (460,364)
Citation 60

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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 (685,114)
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Beta distribution, EGARCH, outlier, robustness, score, WinsorizingJEL. C22l

9.

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 25 (499,336)
Citation 19

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natural rate, secular stagnation, spectral analysis