Unstability in the comovement among bond spreads in the euro area is an important feature for dynamic econometric modelling and forecasting. This paper proposes a non-linear GVAR approach to spreads in the euro area where the changing interdepence among these variables is modelled by making each...

There has been a lot of interest recently in developing small scale rule-based empirical macro models for the analysis of monetary policy. These models, based on the conventional view that inflation stabilization should be a concern of monetary policy only, have typically neglected the role of...

We study the relationship between the term structure of interest rates and fiscal policy by considering the Italian case. Empirical analysis has been so far rather inconclusive on this important topic. We abscribe such evidence to three problems: identification, regime-switching and maturity...

This paper reconsiders the developments of model evaluation in macroeconometrics over the last forty years. Our analysis starts from the failure of early empirical macroeconomic models caused by stagflation in the seventies. The different diagnosis of this failure are then analyzed to classify...

Dynamic Stochastic General Equilibrium (DSGE) models are now considered attractive by the profession not only from the theoretical perspective but also from an empirical standpoint. As a consequence of this development, methods for diagnosing the fit of these models are being proposed and...

This chapter concentrates on the Econometrics of Monetary Policy. We describe the evolution of models estimated to evaluate the macroeconomic impact of the effect of monetary policy . We argue that the main challenge for the econometrics of monetary policy is the combination of theoretical...

The dynamic dividend growth model (Campbell&Shiller, 1988) linking the log dividend yield to future expected dividend growth and stock market returns has been extensively used in the literature for forecasting stock returns. The empirical evidence on the performance of the model is mixed as its...

The aim of this paper is to propose a new method for forecasting Italian inflation. We expand on a standard factor model framework (see Stock and Watson (1998)) along several dimensions. To start with we pay special attention to the modeling of the autoregressive component of the inflation....

This paper analyses how to extract market expectations from asset prices, with a particular example: using the term structure of interest rates to estimate the probability the market attaches to the event that a country, Italy, joins the European Monetary Union at a given date. The extraction of...

The expectations model of the term structure states that the yields to maturity of long term bonds are equal to the average of expected future short-term bond yields.This venerable model has been subjected to numerous empirical tests and almost invariably rejected. The empirical failure is...