Details about Michele Caivano

Access statistics for papers by Michele Caivano.

Last updated 2019-03-05. Update your information in the RePEc Author Service.

Short-id: pca1270

Working Papers

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 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 View citations (20)

2015

3. 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

4. Time series models with an EGB2 conditional distribution
   Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (23)
   Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2013) View citations (2)
   See also Journal Article Time-series models with an EGB2 conditional distribution, Journal of Time Series Analysis, Wiley Blackwell (2014) View citations (21) (2014)
5. Two EGARCH models and one fat tail
   Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (2)
   Also in Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge (2013) View citations (2)

2013

6. Modelling italian potential output and the output gap
   Working Papers, Department of the Treasury, Ministry of the Economy and of Finance
   Also in Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area (2010) View citations (15)
7. 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)

2011

8. Assessing the sensitivity of inflation to economic activity
   Working Paper Series, European Central Bank View citations (6)

2010

9. The transmission of the global financial crisis to the Italian economy. A counterfactual analysis, 2008-2010
   Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area View citations (17)

Journal Articles

2016

1. Robust time series models with trend and seasonal components
   SERIEs: Journal of the Spanish Economic Association, 2016, 7, (1), 99-120 View citations (12)
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 View citations (7)

2014

3. Time-series models with an EGB2 conditional distribution
   Journal of Time Series Analysis, 2014, 35, (6), 558-571 View citations (21)
   See also Working Paper Time series models with an EGB2 conditional distribution, Temi di discussione (Economic working papers) (2014) View citations (23) (2014)

2011

4. The Transmission of the Global Financial Crisis to the Italian Economy
   Giornale degli Economisti, 2011, 70, (3), 1-32 View citations (8)