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

62 Pages Posted: 22 Sep 2017

See all articles by Guido Bulligan

Guido Bulligan

Bank of Italy

Fabio Busetti

Bank of Italy

Michele Caivano

Bank of Italy

Pietro Cova

Bank of Italy

Davide Fantino

Bank of Italy

Alberto Locarno

Bank of Italy

Maria Lisa Rodano

Bank of Italy

Date Written: July 19, 2017

Abstract

The Bank of Italy quarterly econometric model (BIQM) is a large-scale ‘semi structural’ macro-econometric model. It tries to strike the right balance between theoretical rigour and statistical fit to the data. This paper provides an update of the features and the properties of the model, focussing on the empirical estimates of its main equations and on the system responses to various shocks; interactions and feedback mechanisms between the financial and the real side of the economy are also illustrated. The BIQM is primarily used to produce macroeconomic forecasts, but it is also employed – in conjunction with other tools – for evaluating the impact of monetary and fiscal policy options and for counterfactual analyses. Examples of the types of macro-economic analyses carried out with the model are provided.

Keywords: macro-econometric models, Italy, forecasting, policy simulation

JEL Classification: C30, E10, E17

Suggested Citation

Bulligan, Guido and Busetti, Fabio and Caivano, Michele and Cova, Pietro and Fantino, Davide and Locarno, Alberto and Rodano, Maria Lisa, The Bank of Italy Econometric Model: An Update of the Main Equations and Model Elasticities (July 19, 2017). Bank of Italy Temi di Discussione (Working Paper) No. 1130. Available at SSRN: https://ssrn.com/abstract=3040651 or http://dx.doi.org/10.2139/ssrn.3040651

Guido Bulligan

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

Fabio Busetti (Contact Author)

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy
39 06 479 23245 (Phone)
39 06 474 7820 (Fax)

Michele Caivano

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

Pietro Cova

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

Davide Fantino

Bank of Italy ( email )

Via Nazionale 91
Roma, 00184
Italy

Alberto Locarno

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

Maria Lisa Rodano

Bank of Italy ( email )

Via Nazionale 91
Rome, 00184
Italy

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