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146 records from EconBiz based on author Name
1. Are Sectoral Stock Prices Useful for Predicting Euro Area GDP?
abstractThis paper evaluates how well sectoral stock prices forecast future economic activity compared to traditional predictors such as the term spread, dividend yield, exchange rates and money growth. The study is applied to euro area financial asset prices and real economic growth, covering the period 1973 to 2006. The paper finds that the term spread is the best predictor of future growth in the period leading up to the introduction of Monetary Union. After 1999, however, sectoral stock prices in general provide more accurate forecasts than traditional asset price measures across all forecast horizons
Andersson, Magnus; D'Agostino, Antonello;2021
Availability: Link Link
2. Comparing Alternative Predictors Based on Large-Panel Factor Models
abstractThis paper compares the predictive ability of the factor models of Stock and Watson (2002) and Forni, Hallin, Lippi, and Reichlin (2005) using a large panel of US macroeconomic variables. We propose a nesting procedure of comparison that clarifies and partially overturns the results of similar exercises in the literature. As in Stock and Watson (2002), we find that efficiency improvements due to the weighting of the idiosyncratic components do not lead to significant more accurate forecasts. In contrast to Boivin and Ng (2005), we show that the dynamic restrictions imposed by the procedure of Forni, Hallin, Lippi, and Reichlin (2005) are not harmful for predictability. Our main conclusion is that for the dataset at hand the two methods have a similar performance and produce highly collinear forecasts
D'Agostino, Antonello; Giannone, Domenico;2021
Availability: Link Link
Citations: 6 (based on OpenCitations)
3. The Italian Block of the Escb Multi-Country Model
abstractThis paper documents the structure, estimation and simulation properties of the Italian block of the ESCB-multi-country model (MCM). The model is used regularly as an input into Eurosystem projection exercises and, to a lesser extent, in simulation analysis. The specification of the Italian model follows closely that of the Area-Wide Model (AWM) and indeed the other MCM country blocks (in terms of specification and accounting framework). The MCM is a quarterly estimated structural macroeconomic model that treats the economy in a relatively closed manner. It has a long-run classical equilibrium with a vertical Phillips curve but with some short-run frictions in price/wage setting and factor demands. Consequently, activity is demand-determined in the short-run but supply-determined in the longer run with employment having converged to a level consistent with an exogenously given level of equilibrium unemployment. The precise properties of the model are illustrated using a number of standard variant simulations
Angelini, Elena; D'Agostino, Antonello; McAdam, Peter;2021
Availability: Link Link
4. Sectoral Explanations of Employment in Europe - the Role of Services
abstractThis paper investigates the determinants of the service sector employment share in the EU-15, for the aggregate service sector, four sub-sectors and twelve service sector branches. Recently, both Europe and the US have experienced an increase in the share of service-related jobs in total employment. Although converging in all European countries, a significant gap in the share of service jobs in Europe relative to the US persists. Understanding the main factors behind this gap is key to achieving higher employment levels in Europe. This paper focuses on the role of barriers in the EU-15 which may have hindered its ability to absorb labour supply and therefore to adjust efficiently to the sectoral reallocation of labour. We find that a crucial role in this process has been played by the institutional framework affecting flexibility in the labour market and by the mismatch between workers' skills and job vacancies
D'Agostino, Antonello; Serafini, Roberta; Ward-Warmedinger, Melanie;2021
Availability: Link Link
Citations: 13 (based on OpenCitations)
5. Expectation-driven cycles and the changing dynamics of unemployment
D'Agostino, Antonello; Mendicino, Caterina; Puglisi, Federico;2022
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link Link
6. Is anything predictable in market-based surprises?
Brugnolini, Luca; D'Agostino, Antonello; Tagliabracci, Alex;2021
Type: Aufsatz in Zeitschrift; Article in journal;
Availability:
Link 7. A global trade model for the euro area
D'Agostino, Antonello; Modugno, Michele; Osbat, Chiara;2016
Type: Arbeitspapier; Working Paper; Graue Literatur; Non-commercial literature;
Availability: Link Link
8. Combining Time-Variation and Mixed-Frequencies : An Analysis of Government Spending Multipliers in Italy
abstractIn this paper, we propose a time-varying parameter vector autoregression (VAR) model with stochastic volatility which allows for estimation on data sampled at different frequencies. Our contribution is two-fold. First, we extend the methodology developed by Cogley and Sargent (2005), and Primiceri (2005), to a mixed-frequency setting. In particular, our approach allows for the inclusion of two different categories of variables (high-frequency and low-frequency) into the same time-varying model. Second, we use this model to study the macroeconomic effects of government spending shocks in Italy over the 1988Q4-2013Q3 period. Italy - as well as most other euro area economies - is characterised by short quarterly time series for fiscal variables, whereas annual data are generally available for a longer sample before 1999. Our results show that the proposed time-varying mixed-frequency model improves on the performance of a simple linear interpolation model in generating the true path of the missing observations. Second, our empirical analysis suggests that government spending shocks tend to have positive effects on output in Italy. The fiscal multiplier, which is maximized at the one year horizon, follows a U-shape over the sample considered: it peaks at around 1.5 at the beginning of the sample, it then stabilizes between 0.8 and 0.9 from the mid-1990s to the late 2000s, before rising again to above unity during the recent crisis
D'Agostino, Antonello; Cimadomo, Jacopo;2018
Availability: Link Link
9. Expectation-driven cycles : time-varying effects
D'Agostino, Antonello; Mendicino, Caterina;2015
Type: Arbeitspapier; Working Paper; Graue Literatur; Non-commercial literature;
Availability: Link
10. Combining time-variation and mixed-frequencies: an analysis of government spending multipliers in Italy
Cimadomo, Jacopo; D'Agostino, Antonello;2015
Type: Arbeitspapier; Working Paper; Graue Literatur; Non-commercial literature;
Availability: Link
