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Details about Fabio Busetti

Homepage:http://fabiobusetti.altervista.org/
Postal address:Via Nazionale 91 00184 Roma Italy
Workplace:Banca d'Italia (Bank of Italy), (more information at EDIRC)

Access statistics for papers by Fabio Busetti.

Last updated 2023-11-07. Update your information in the RePEc Author Service.

Short-id: pbu43


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Working Papers

2023

  1. Energy price shocks and inflation in the euro area
    Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (5)

2020

  1. Monetary policy strategies in the New Normal: a model-based analysis for the euro area
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (9)
    See also Journal Article Monetary policy strategies in the New Normal: A model-based analysis for the euro area, Journal of Macroeconomics, Elsevier (2021) Downloads View citations (11) (2021)
  2. The time-varying risk of Italian GDP
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (6)
    See also Journal Article The time-varying risk of Italian GDP, Economic Modelling, Elsevier (2021) Downloads View citations (4) (2021)

2019

  1. Capital and public investment in Italy: macroeconomic effects, measurement and regulatory weaknesses
    Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (1)
  2. Domestic and global determinants of inflation: evidence from expectile regression
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (3)
    See also Journal Article Domestic and Global Determinants of Inflation: Evidence from Expectile Regression*, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2021) Downloads View citations (9) (2021)

2017

  1. Low frequency drivers of the real interest rate: a band spectrum regression approach
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (7)
  2. The Bank of Italy econometric model: an update of the main equations and model elasticities
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (20)
  3. Trust, but verify. De-anchoring of inflation expectations under learning and heterogeneity
    Working Paper Series, European Central Bank Downloads View citations (19)

2015

  1. Main drivers of the recent decline in Italy�s non-construction investment
    Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (3)
    See also Journal Article The Drivers of Italy’s Investment Slump During the Double Recession, Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer (2016) Downloads View citations (11) (2016)
  2. On the conditional distribution of euro area inflation forecast
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (12)

2014

  1. Deflationary shocks and de-anchoring of inflation expectations
    Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (12)
  2. Quantile aggregation of density forecasts
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (4)
    See also Journal Article Quantile Aggregation of Density Forecasts, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2017) Downloads View citations (16) (2017)
  3. The effects of the crisis on production potential and household spending in Italy
    Workshop and Conferences, Bank of Italy, Economic Research and International Relations Area Downloads

2013

  1. The macroeconomic impact of the sovereign debt crisis: a counterfactual analysis for the Italian economy
    Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (12)
  2. The trend-cycle decomposition of output and the Phillips curve: Bayesian estimates for Italy
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (1)

2012

  1. On detecting end-of-sample instabilities
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (3)

2011

  1. Bootstrap LR tests of stationarity, common trends and cointegration
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads

2009

  1. Comparing forecast accuracy: A Monte Carlo investigation
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (17)
    See also Journal Article Comparing forecast accuracy: A Monte Carlo investigation, International Journal of Forecasting, Elsevier (2013) Downloads View citations (40) (2013)

2008

  1. When is a copula constant? A test for changing relationships
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (9)
    See also Journal Article When is a Copula Constant? A Test for Changing Relationships, Journal of Financial Econometrics, Oxford University Press (2011) Downloads View citations (43) (2011)

2007

  1. Testing for trend
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (19)
    See also Journal Article TESTING FOR TREND, Econometric Theory, Cambridge University Press (2008) Downloads View citations (17) (2008)
  2. Tests of time-invariance
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (7)

2006

  1. Convergences of prices and rates of inflation
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (20)
    See also Journal Article Convergence of Prices and Rates of Inflation*, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2006) Downloads View citations (35) (2006)
  2. Inflation convergence and divergence within the European Monetary Union
    Working Paper Series, European Central Bank Downloads View citations (66)
    See also Journal Article Inflation Convergence and Divergence within the European Monetary Union, International Journal of Central Banking, International Journal of Central Banking (2007) Downloads View citations (93) (2007)

2004

  1. Preliminary Data and Econometric Forecasting: An Application with the Bank of Italy Quarterly Model
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (5)
    See also Journal Article Preliminary data and econometric forecasting: an application with the Bank of Italy Quarterly Model, Journal of Forecasting, John Wiley & Sons, Ltd. (2006) Downloads View citations (9) (2006)
  2. Stationarity Tests for Irregularly Spaced Observations and the Effects of Sampling Frequency on Power
    Econometric Society 2004 Far Eastern Meetings, Econometric Society Downloads
    See also Journal Article STATIONARITY TESTS FOR IRREGULARLY SPACED OBSERVATIONS AND THE EFFECTS OF SAMPLING FREQUENCY ON POWER, Econometric Theory, Cambridge University Press (2005) Downloads View citations (4) (2005)
  3. Tests of seasonal integration and cointegration in multivariate unobserved component models
    Econometrics, University Library of Munich, Germany Downloads View citations (2)
    Also in Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area (2003) Downloads View citations (3)

    See also Journal Article Tests of seasonal integration and cointegration in multivariate unobserved component models, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2006) Downloads View citations (6) (2006)

2003

  1. Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (12)
    See also Journal Article Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots, Journal of Econometrics, Elsevier (2003) Downloads View citations (11) (2003)

2002

  1. Testing for Drift in a Time Series
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge Downloads View citations (2)

2001

  1. IDENTIFYING THE MONETARY POLICY TRANSMISSION CHANNELS: THE ROLE OF SIMULTANEITY, MODEL NONLINEARITY, EXPECTATION FORMATION MECHANISMS AND POLICY RULES
    Computing in Economics and Finance 2001, Society for Computational Economics
  2. The use of preliminary data in econometric forecasting: an application with the Bank of Italy Quarterly Model
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (13)

2000

  1. Testing for Stochastic Trends in Series with Structural Breaks
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (1)
    Also in Working Papers, Banca Italia - Servizio di Studi (2000) View citations (1)

1998

  1. Testing for the Presence of a Random Walk in Series with Structural Breaks - (Now published in Journal of Time Series Analysis, 22 (2001), pp.127-150.)
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE Downloads
  2. Testing for the presence of a random walk in series with structural breaks
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (10)
    See also Journal Article Testing for the Presence of a Random Walk in Series with Structural Breaks, Journal of Time Series Analysis, Wiley Blackwell (2001) Downloads View citations (44) (2001)

Journal Articles

2021

  1. Domestic and Global Determinants of Inflation: Evidence from Expectile Regression*
    Oxford Bulletin of Economics and Statistics, 2021, 83, (4), 982-1001 Downloads View citations (9)
    See also Working Paper Domestic and global determinants of inflation: evidence from expectile regression, Temi di discussione (Economic working papers) (2019) Downloads View citations (3) (2019)
  2. Monetary policy strategies in the New Normal: A model-based analysis for the euro area
    Journal of Macroeconomics, 2021, 70, (C) Downloads View citations (11)
    See also Working Paper Monetary policy strategies in the New Normal: a model-based analysis for the euro area, Temi di discussione (Economic working papers) (2020) Downloads View citations (9) (2020)
  3. The time-varying risk of Italian GDP
    Economic Modelling, 2021, 101, (C) Downloads View citations (4)
    See also Working Paper The time-varying risk of Italian GDP, Temi di discussione (Economic working papers) (2020) Downloads View citations (6) (2020)

2019

  1. Low frequency drivers of the real interest rate: Empirical evidence for advanced economies
    International Finance, 2019, 22, (2), 171-185 Downloads View citations (5)

2017

  1. Quantile Aggregation of Density Forecasts
    Oxford Bulletin of Economics and Statistics, 2017, 79, (4), 495-512 Downloads View citations (16)
    See also Working Paper Quantile aggregation of density forecasts, Temi di discussione (Economic working papers) (2014) Downloads View citations (4) (2014)

2016

  1. The Drivers of Italy’s Investment Slump During the Double Recession
    Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, 2016, 2, (2), 143-165 Downloads View citations (11)
    See also Working Paper Main drivers of the recent decline in Italy�s non-construction investment, Questioni di Economia e Finanza (Occasional Papers) (2015) Downloads View citations (3) (2015)
  2. The trend–cycle decomposition of output and the Phillips curve: Bayesian estimates for Italy and the Euro area
    Empirical Economics, 2016, 50, (4), 1565-1587 Downloads View citations (7)

2013

  1. Comparing forecast accuracy: A Monte Carlo investigation
    International Journal of Forecasting, 2013, 29, (1), 13-27 Downloads View citations (40)
    See also Working Paper Comparing forecast accuracy: A Monte Carlo investigation, Temi di discussione (Economic working papers) (2009) Downloads View citations (17) (2009)

2011

  1. When is a Copula Constant? A Test for Changing Relationships
    Journal of Financial Econometrics, 2011, 9, (1), 106-131 Downloads View citations (43)
    See also Working Paper When is a copula constant? A test for changing relationships, Cambridge Working Papers in Economics (2008) Downloads View citations (9) (2008)

2010

  1. Tests of strict stationarity based on quantile indicators
    Journal of Time Series Analysis, 2010, 31, (6), 435-450 Downloads View citations (9)

2009

  1. Initial conditions and stationarity tests
    Economics Letters, 2009, 105, (3), 296-299 Downloads View citations (1)

2008

  1. TESTING FOR TREND
    Econometric Theory, 2008, 24, (1), 72-87 Downloads View citations (17)
    See also Working Paper Testing for trend, Temi di discussione (Economic working papers) (2007) Downloads View citations (19) (2007)

2007

  1. Inflation Convergence and Divergence within the European Monetary Union
    International Journal of Central Banking, 2007, 3, (2), 95-121 Downloads View citations (93)
    See also Working Paper Inflation convergence and divergence within the European Monetary Union, Working Paper Series (2006) Downloads View citations (66) (2006)

2006

  1. Convergence of Prices and Rates of Inflation*
    Oxford Bulletin of Economics and Statistics, 2006, 68, (s1), 863-877 Downloads View citations (35)
    See also Working Paper Convergences of prices and rates of inflation, Temi di discussione (Economic working papers) (2006) Downloads View citations (20) (2006)
  2. Preliminary data and econometric forecasting: an application with the Bank of Italy Quarterly Model
    Journal of Forecasting, 2006, 25, (1), 1-23 Downloads View citations (9)
    See also Working Paper Preliminary Data and Econometric Forecasting: An Application with the Bank of Italy Quarterly Model, CEPR Discussion Papers (2004) Downloads View citations (5) (2004)
  3. Tests of seasonal integration and cointegration in multivariate unobserved component models
    Journal of Applied Econometrics, 2006, 21, (4), 419-438 Downloads View citations (6)
    Also in Journal of Applied Econometrics, 2006, 21, (4), 419-438 (2006) Downloads View citations (1)

    See also Working Paper Tests of seasonal integration and cointegration in multivariate unobserved component models, Econometrics (2004) Downloads View citations (2) (2004)

2005

  1. STATIONARITY TESTS FOR IRREGULARLY SPACED OBSERVATIONS AND THE EFFECTS OF SAMPLING FREQUENCY ON POWER
    Econometric Theory, 2005, 21, (4), 757-794 Downloads View citations (4)
    See also Working Paper Stationarity Tests for Irregularly Spaced Observations and the Effects of Sampling Frequency on Power, Econometric Society 2004 Far Eastern Meetings (2004) Downloads (2004)

2004

  1. Tests of stationarity against a change in persistence
    Journal of Econometrics, 2004, 123, (1), 33-66 Downloads View citations (152)

2003

  1. FURTHER COMMENTS ON STATIONARITY TESTS IN SERIES WITH STRUCTURAL BREAKS AT UNKNOWN POINTS
    Journal of Time Series Analysis, 2003, 24, (2), 137-140 Downloads View citations (15)
  2. Seasonality Tests
    Journal of Business & Economic Statistics, 2003, 21, (3), 420-36 View citations (21)
  3. Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots
    Journal of Econometrics, 2003, 117, (1), 21-53 Downloads View citations (11)
    See also Working Paper Testing against stochastic trend and seasonality in the presence of unattended breaks and unit roots, Temi di discussione (Economic working papers) (2003) Downloads View citations (12) (2003)
  4. Variance Shifts, Structural Breaks, and Stationarity Tests
    Journal of Business & Economic Statistics, 2003, 21, (4), 510-31 View citations (22)

2002

  1. Testing for (Common) Stochastic Trends in the Presence of Structural Breaks
    Journal of Forecasting, 2002, 21, (2), 81-105 View citations (6)

2001

  1. Testing for the Presence of a Random Walk in Series with Structural Breaks
    Journal of Time Series Analysis, 2001, 22, (2), 127-150 Downloads View citations (44)
    See also Working Paper Testing for the presence of a random walk in series with structural breaks, LSE Research Online Documents on Economics (1998) Downloads View citations (10) (1998)

Chapters

2005

  1. The Bank of Italy's quarterly model
    Chapter 12 in Econometric Models of the Euro-area Central Banks, 2005 Downloads View citations (6)
 
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