The paper considers a neo-classical model set in the cost function approach to estimate primary energy factor demands for the Italian economy, using a translog cost function specification. Cointegration theory is employed to estimate the long-run factor share model, and the general to specific...

The paper considers a SUTSE model embedded in a dynamic framework to estimate an energy cost share model for the Italian economy in an evolutionary environment. This is achieved by allowing stochastic seasonal and trend components in the long-run specification and constructing an error...

The paper considers a neoclassical model set in the cost function approach to estimate primary Energy factor demands for the Italian economy, using a translog cost function specification. Cointegration theory is employed to estimate the long-run factor share model, and the general to specific...

The paper considers a neoclassical model set in the cost function approach to estimate primary energy factor demands for the Italian economy, using a translog cost function specification. Cointegration theory is employed to estimate the long-run factor share model, and the general to specific...

The paper considers a SUTSE model embedded in a dynamic framework to estimate an energy cost share model for the Italian economy in an evolutionary environment. This is achieved by allowing stochastic seasonal and trend components in the long-run specification and constructing an error...

This paper estimates the factors underlying the volatility of the euro overnight interest rate and its transmission along the euro area money market yield curve. A new multivariate unobserved components model is proposed allowing for both long-memory and stationary cyclical dynamics. Using...

In the paper we investigate the empirical features of euro area money market turbulence during the recent financial crisis. By means of a novel Fractionally Integrated Heteroskedastic Factor Vector Autoregressive model, we find evidence of a deterministic level factor in the EURIBOR-OIS (OIS)...

Motivated by the “shocking” evidence of non-stationary behavior of money market spreads during the crisis, we investigate the economic and statistical features of money market turbulence by means of a Fractionally Integrated Heteroskedastic Factor Vector Autoregressive model. This approach...

The evolution of the spreads between unsecured money market rates of various maturities and central banks’ key policy rates has been subject to considerable debate and controversy in relation to the worldwide financial market turbulence that started in August 2007. Our contribution to the...

In this paper we study the role of the stock market in the transmission mechanism in the euro area and evaluate whether price stability and financial stability are mutually consistent and complementary objectives. Four major conclusions can be drawn from our work. First, stock prices and more...