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The scapegoat theory of exchange rates: the first tests
Fratzscher, Marcel; Rime, Dagfinn; Sarno, Lucio; Zinna, … - Banca d'Italia - 2014
The scapegoat theory of exchange rates (Bacchetta and van Wincoop 2004, 2013) suggests that market participants may attach excessive weight to individual economic fundamentals, which are picked as scapegoats to rationalize observed currency fluctuations at times when exchange rates are driven by...
Persistent link: https://www.econbiz.de/10011277939
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Two EGARCH models and one fat tail
Caivano, Michele; Harvey, Andrew - Banca d'Italia - 2014
We compare two EGARCH models, which belong to a new class of models in which the dynamics are driven by the score of the conditional distribution of the observations. Models of this kind are called dynamic conditional score (DCS) models and their form facilitates the development of a...
Persistent link: https://www.econbiz.de/10011099719
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Inflation, growth and monetary control : non-linear lessons from crisis and recovery
Bruno, Michael - 1995
Persistent link: https://www.econbiz.de/10000922411
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The Eurosystem�s asset purchase programmes for monetary policy purposes
Cova, Pietro; Ferrero, Giuseppe - Banca d'Italia - 2015
transmission channels by which the purchases can be expected to affect economic activity and inflation. Then we assess the effects …
Persistent link: https://www.econbiz.de/10011277927
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Down the non-linear road from oil to consumer energy prices: no much asymmetry along the way
Venditti, Fabrizio - Banca d'Italia - 2010
In the past decade changes in oil prices have played a significant role in shaping inflation dynamics in the US and in …
Persistent link: https://www.econbiz.de/10008626023
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Central Bank Independence, Centralization of Wage Bargaining, Inflation and Unemployment: Theory and Evidence
Cukierman, Alex; Lippi, Francesco - Banca d'Italia - 1998
wage, unemployment and inflation. This is done by considering a two-stage strategic interaction between a central bank (CB … wages of other unions and the reaction-function of the CB as given. In the second stage the CB picks inflation so as to … minimize the combined costs of inflation and unemployment, taking union's wage rates as given. Since unions are averse to …
Persistent link: https://www.econbiz.de/10005111579
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Excess money growth and inflation dynamics
Roffia, Barbara; Zaghini, Andrea - Banca d'Italia - 2008
The paper analyzes the short-run impact of periods of strong monetary growth on inflation dynamics for 15 …
Persistent link: https://www.econbiz.de/10005770764
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Has globalisation changed the Phillips curve? Firm-level evidence on the effect of activity on prices
Gaiotti, Eugenio - Banca d'Italia - 2008
level, after controlling for inflation expectations, and whether it is concentrated among those firms that are more exposed …
Persistent link: https://www.econbiz.de/10005770766
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The Seasonality of the Italian Cost-of-Living Index
Cubadda, G.; Sabbatini, R. - Banca d'Italia - 1997
promptly identifying turning points in inflation. The focus of this paper is the so-called "cost-of-living" index, the most … used measure of Italian inflation. Our aim is to identify and test a model of its seasonal component, which is important in …
Persistent link: https://www.econbiz.de/10005486712