The aim of this paper is to make a comparison between survey and time series-based estimates of capacity utilization for the Italian manufacturing sector. The comparison is focused on the actual economic crisis. Two kinds of empirical evaluation are implemented: the ability of the series to...

A standard model-based trend-cycle decomposition of Italian GDP yields a likelihood function that is relatively flat and has two local maxima. A Bayesian estimation of the model identifies output gap and trend components that match the features of the Italian business cycle well. In a bivariate...

Electricity demand is modeled as a time-varying parameters (TVP) vector autoegression with or without imposing cointegration. The paper applies Bayesian strategies where all or a part of the parameters are allowed to vary, and compares their forecasts performances with alternative time series...

This paper aims at decomposing the forecast error variance of excess returns in five major European stock markets into the variance of news about future excess returns, dividends and real interest rates. Special emphasis is given on the issue of stationarity and structural breaks in the...