Details about Fabio Busetti

Access statistics for papers by Fabio Busetti.

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

Short-id: pbu43

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 View citations (5)

2020

2. 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 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) View citations (11) (2021)
3. The time-varying risk of Italian GDP
   Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (6)
   See also Journal Article The time-varying risk of Italian GDP, Economic Modelling, Elsevier (2021) View citations (4) (2021)

2019

4. 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 View citations (1)
5. 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 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) View citations (9) (2021)

2017

6. 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 View citations (7)
7. 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 View citations (20)
8. Trust, but verify. De-anchoring of inflation expectations under learning and heterogeneity
   Working Paper Series, European Central Bank View citations (19)

2015

9. 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 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) View citations (11) (2016)
10. On the conditional distribution of euro area inflation forecast
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (12)

2014

11. Deflationary shocks and de-anchoring of inflation expectations
    Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area View citations (12)
12. Quantile aggregation of density forecasts
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 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) View citations (18) (2017)
13. 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

2013

14. 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 View citations (12)
15. 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 View citations (1)

2012

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

2011

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

2009

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

2008

19. When is a copula constant? A test for changing relationships
    Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge 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) View citations (43) (2011)

2007

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

2006

22. Convergences of prices and rates of inflation
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 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) View citations (35) (2006)
23. Inflation convergence and divergence within the European Monetary Union
    Working Paper Series, European Central Bank 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) View citations (93) (2007)

2004

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

2003

27. 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 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) View citations (11) (2003)

2002

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

2001

29. 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
30. 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 View citations (13)

2000

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

1998

32. 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
33. 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 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) 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 View citations (9)
   See also Working Paper Domestic and global determinants of inflation: evidence from expectile regression, Temi di discussione (Economic working papers) (2019) 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) 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) View citations (9) (2020)
3. The time-varying risk of Italian GDP
   Economic Modelling, 2021, 101, (C) View citations (4)
   See also Working Paper The time-varying risk of Italian GDP, Temi di discussione (Economic working papers) (2020) View citations (6) (2020)

2019

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

2017

5. Quantile Aggregation of Density Forecasts
   Oxford Bulletin of Economics and Statistics, 2017, 79, (4), 495-512 View citations (18)
   See also Working Paper Quantile aggregation of density forecasts, Temi di discussione (Economic working papers) (2014) View citations (4) (2014)

2016

6. 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 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) View citations (3) (2015)
7. 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 View citations (7)

2013

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

2011

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

2010

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

2009

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

2008

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

2007

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

2006

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

2005

17. STATIONARITY TESTS FOR IRREGULARLY SPACED OBSERVATIONS AND THE EFFECTS OF SAMPLING FREQUENCY ON POWER
    Econometric Theory, 2005, 21, (4), 757-794 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) (2004)

2004

18. Tests of stationarity against a change in persistence
    Journal of Econometrics, 2004, 123, (1), 33-66 View citations (153)

2003

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

2002

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

2001

24. Testing for the Presence of a Random Walk in Series with Structural Breaks
    Journal of Time Series Analysis, 2001, 22, (2), 127-150 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) 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 View citations (6)