In this paper a new approach to factor vector autoregressive estimation, based on Stock and Watson (2005), is introduced. In addition to sharing all the relevant features of the Stock and Watson (2005) approach, in its static formulation, the proposed method has the advantage of allowing for a...

In the paper we assess the convergence hypothesis for the Italian economy over the period 1951-2000, using a new methodological approach. The approach is based on a two-step recursive principal components estimator, allowing to monitor the progress of the convergence process over time and to...

The contributions of economic and financial integration to international stock markets comovements are investigated by means of a large scale macroeconometric model, set in the factor vector autoregressive framework (F-VAR). The findings point to a relevant role of both economic and financial...

In the paper monthly realized moments for stock market returns for the US, the UK, Germany and Japan are employed to assess the linkages holding across moments and markets over the period 1973-2004. In the light of the theoretical framework proposed in the paper, the results point to a...

In the paper we study the relationship between macroeconomic and stock market volatility, using Samp;P500 data for the period 1970-2001. We find evidence of a twofold linkage between stock market and macroeconomic volatility. Firstly, the break process in the volatility of stock returns is...

Have convergence of European economies and introduction of the euro produced some effects on European stock markets? Theory suggests that stabilization of fundamentals should decrease variance of stock returns for historically unstable stock markets. We test this proposition with daily data for...

What is the relation between the stock market and income distribution? There are many potential links between the two, some of which associated with the relations of each of these with the rate of economic growth. An empirical analysis set in the framework of the neoclassical growth model shows...

The paper introduces a new simple semiparametric estimator of the conditional variance covariance and correlation matrix (SP-DCC). While sharing a similar sequential approach to existing dynamic conditional correlation (DCC) methods, SP-DCC has the advantage of not requiring the direct...

In the framework of a new money market econometric model, we assess the degree of precision achieved by the European Central Bank (ECB) in meeting its operational target for the short-term interest rate and the impact of the U.S. sub-prime credit crisis on the euro money market during the second...

This paper assesses the sources of volatility persistence in Euro Area money market interest rates and the existence of linkages relating volatility dynamics. The main findings of the study are as follows. Firstly, there is evidence of stationary long memory, of similar degree, in all series....