Details about Andrea Silvestrini
Access statistics for papers by Andrea Silvestrini.
Last updated 2024-09-06. Update your information in the RePEc Author Service.
Short-id: psi342
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Working Papers
2024
- Nowcasting Italian GDP growth: a Factor MIDAS approach
Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 
- The structural Theta method and its predictive performance in the M4-Competition
Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area
2023
- Gross bond issuance by Italian banks: key trends in times of crisis and unconventional monetary policy
Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area
2022
- Nowcasting the state of the Italian economy: the role of financial markets
Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area
See also Journal Article Nowcasting the state of the Italian economy: The role of financial markets, Journal of Forecasting, John Wiley & Sons, Ltd. (2023) View citations (1) (2023)
2021
- Forecasting corporate capital accumulation in Italy: the role of survey-based information
Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area View citations (2)
2020
- Effects of eligibility for central bank purchases on corporate bond spreads
Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (5)
Also in BIS Working Papers, Bank for International Settlements (2020) View citations (5)
2019
- A regression discontinuity design for categorical ordered running variables with an application to central bank purchases of corporate bonds
Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (6)
2018
- Firms’ and households’ investment in Italy: the role of credit constraints and other macro factors
Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (1)
See also Journal Article The macro determinants of firms' and households' investment: Evidence from Italy, Economic Modelling, Elsevier (2019) View citations (8) (2019)
2017
- Investment decisions by European firms and financing constraints
Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (2)
- Real and financial cycles: estimates using unobserved component models for the Italian economy
Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area View citations (4)
See also Journal Article Real and financial cycles: estimates using unobserved component models for the Italian economy, Statistical Methods & Applications, Springer (2019) View citations (7) (2019)
2016
- Investment and investment financing in Italy: some evidence at the macro level
Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area View citations (4)
2015
- FINANCIAL SHOCKS AND THE REAL ECONOMY IN A NONLINEAR WORLD: FROM THEORY TO ESTIMATION
Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration View citations (21)
Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2015) View citations (17)
See also Journal Article Financial shocks and the real economy in a nonlinear world: From theory to estimation, Journal of Policy Modeling, Elsevier (2015) View citations (14) (2015)
- Financial shocks and the real economy in a nonlinear world: a survey of the theoretical and empirical literature
Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area View citations (12)
- Short term inflation forecasting: the M.E.T.A. approach
Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (2)
See also Journal Article Short-term inflation forecasting: The M.E.T.A. approach, International Journal of Forecasting, Elsevier (2017) View citations (3) (2017)
2014
- Random switching exponential smoothing and inventory forecasting
Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (7)
See also Journal Article Random switching exponential smoothing and inventory forecasting, International Journal of Production Economics, Elsevier (2014) View citations (6) (2014)
2013
- A quantitative look at the Italian banking system: evidence from a new dataset since 1861
Working Papers, Department of the Treasury, Ministry of the Economy and of Finance View citations (2)
- Forecasting aggregate demand: analytical comparison of top-down and bottom-up approaches in a multivariate exponential smoothing framework
Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (10)
See also Journal Article Forecasting aggregate demand: Analytical comparison of top-down and bottom-up approaches in a multivariate exponential smoothing framework, International Journal of Production Economics, Elsevier (2013) View citations (8) (2013)
- The Italian financial cycle: 1861-2011
Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (5)
See also Journal Article The Italian financial cycle: 1861-2011, Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC) (2014) View citations (13) (2014)
2012
- Aggregation of exponential smoothing processes with an application to portfolio risk evaluation
Post-Print, HAL
Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2010)
See also Journal Article Aggregation of exponential smoothing processes with an application to portfolio risk evaluation, Journal of Banking & Finance, Elsevier (2013) View citations (3) (2013)
- Temporal aggregation of cyclical models with business cycle applications
Post-Print, HAL View citations (2)
See also Journal Article Temporal aggregation of cyclical models with business cycle applications, Statistical Methods & Applications, Springer (2012) View citations (2) (2012)
2011
- The effects of financial and real wealth on consumption: new evidence from OECD countries
Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (4)
Also in Mo.Fi.R. Working Papers, Money and Finance Research group (Mo.Fi.R.) - Univ. Politecnica Marche - Dept. Economic and Social Sciences (2010) View citations (4)
See also Journal Article The effects of financial and real wealth on consumption: new evidence from OECD countries, Applied Financial Economics, Taylor & Francis Journals (2012) View citations (29) (2012)
2010
- Testing fiscal sustainability in Poland: a Bayesian analysis of cointegration
LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (1)
Also in Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2007) View citations (1)
LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2007) View citations (1)
See also Journal Article Testing fiscal sustainability in Poland: a Bayesian analysis of cointegration, Empirical Economics, Springer (2010) View citations (1) (2010)
2009
- Essays on aggregation and cointegration of econometric models
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
- Monitoring and forecasting annual public deficit every month: the case of France
LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
See also Journal Article Monitoring and forecasting annual public deficit every month: the case of France, Empirical Economics, Springer (2008) View citations (23) (2008)
- Seasonal adjustment of bank deposits and loans
Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area
- Temporal aggregation of univariate and multivariate time series models: A survey
LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
Also in ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (2008) View citations (78)
Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area (2008) View citations (78)
See also Journal Article TEMPORAL AGGREGATION OF UNIVARIATE AND MULTIVARIATE TIME SERIES MODELS: A SURVEY, Journal of Economic Surveys, Wiley Blackwell (2008) View citations (77) (2008)
- What do we know about comparing aggregate and disaggregate forecasts?
LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (5)
2008
- Using intra annual information to forecast the annual state deficit. The case of France
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2004) View citations (4)
2005
- Temporal aggregation of univariate linear time series models
LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (7)
Also in Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2005) View citations (1)
Journal Articles
2023
- Nowcasting the state of the Italian economy: The role of financial markets
Journal of Forecasting, 2023, 42, (7), 1569-1593 View citations (1)
See also Working Paper Nowcasting the state of the Italian economy: the role of financial markets, Temi di discussione (Economic working papers) (2022) (2022)
- The RWDAR model: A novel state-space approach to forecasting
International Journal of Forecasting, 2023, 39, (2), 922-937 View citations (1)
2022
- Assessing the usefulness of survey‐based data in forecasting firms' capital formation: Evidence from Italy
Journal of Forecasting, 2022, 41, (3), 491-513
- Causal analysis of central bank holdings of corporate bonds under interference
Economic Modelling, 2022, 113, (C) View citations (3)
- Random coefficient state-space model: Estimation and performance in M3–M4 competitions
International Journal of Forecasting, 2022, 38, (1), 352-366
2021
- A new global database on agriculture investment and capital stock
Food Policy, 2021, 100, (C) View citations (7)
2020
- Forecasting with the damped trend model using the structural approach
International Journal of Production Economics, 2020, 226, (C) View citations (4)
2019
- Random switching exponential smoothing: A new estimation approach
International Journal of Production Economics, 2019, 211, (C), 211-220 View citations (7)
- Real and financial cycles: estimates using unobserved component models for the Italian economy
Statistical Methods & Applications, 2019, 28, (3), 541-569 View citations (7)
See also Working Paper Real and financial cycles: estimates using unobserved component models for the Italian economy, Questioni di Economia e Finanza (Occasional Papers) (2017) View citations (4) (2017)
- The macro determinants of firms' and households' investment: Evidence from Italy
Economic Modelling, 2019, 78, (C), 118-133 View citations (8)
See also Working Paper Firms’ and households’ investment in Italy: the role of credit constraints and other macro factors, Temi di discussione (Economic working papers) (2018) View citations (1) (2018)
- The role of financial factors for European corporate investment
Journal of International Money and Finance, 2019, 96, (C), 246-258 View citations (6)
2017
- Short-term inflation forecasting: The M.E.T.A. approach
International Journal of Forecasting, 2017, 33, (4), 1065-1081 View citations (3)
See also Working Paper Short term inflation forecasting: the M.E.T.A. approach, Temi di discussione (Economic working papers) (2015) View citations (2) (2015)
- The nature and propagation of shocks in the euro area: a comparative SVAR analysis
International Journal of Computational Economics and Econometrics, 2017, 7, (1/2), 95-114
2015
- Financial shocks and the real economy in a nonlinear world: From theory to estimation
Journal of Policy Modeling, 2015, 37, (6), 915-929 View citations (14)
See also Working Paper FINANCIAL SHOCKS AND THE REAL ECONOMY IN A NONLINEAR WORLD: FROM THEORY TO ESTIMATION, Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium (2015) View citations (21) (2015)
2014
- Random switching exponential smoothing and inventory forecasting
International Journal of Production Economics, 2014, 156, (C), 283-294 View citations (6)
See also Working Paper Random switching exponential smoothing and inventory forecasting, Temi di discussione (Economic working papers) (2014) View citations (7) (2014)
- The Italian financial cycle: 1861-2011
Cliometrica, Journal of Historical Economics and Econometric History, 2014, 8, (3), 301-334 View citations (13)
See also Working Paper The Italian financial cycle: 1861-2011, Temi di discussione (Economic working papers) (2013) View citations (5) (2013)
2013
- Aggregation of exponential smoothing processes with an application to portfolio risk evaluation
Journal of Banking & Finance, 2013, 37, (5), 1437-1450 View citations (3)
See also Working Paper Aggregation of exponential smoothing processes with an application to portfolio risk evaluation, Post-Print (2012) (2012)
- Forecasting aggregate demand: Analytical comparison of top-down and bottom-up approaches in a multivariate exponential smoothing framework
International Journal of Production Economics, 2013, 146, (1), 185-198 View citations (8)
See also Working Paper Forecasting aggregate demand: analytical comparison of top-down and bottom-up approaches in a multivariate exponential smoothing framework, Temi di discussione (Economic working papers) (2013) View citations (10) (2013)
2012
- Comparing aggregate and disaggregate forecasts of first order moving average models
Statistical Papers, 2012, 53, (2), 255-263
- Do financial systems converge? New evidence from financial assets in OECD countries
Journal of Comparative Economics, 2012, 40, (1), 141-155 View citations (351)
- Temporal aggregation of cyclical models with business cycle applications
Statistical Methods & Applications, 2012, 21, (1), 93-107 View citations (2)
See also Working Paper Temporal aggregation of cyclical models with business cycle applications, Post-Print (2012) View citations (2) (2012)
- The effects of financial and real wealth on consumption: new evidence from OECD countries
Applied Financial Economics, 2012, 22, (5), 409-425 View citations (29)
See also Working Paper The effects of financial and real wealth on consumption: new evidence from OECD countries, Temi di discussione (Economic working papers) (2011) View citations (4) (2011)
2011
- Measuring core inflation in Italy comparing aggregate vs. disaggregate price data
Cliometrica, Journal of Historical Economics and Econometric History, 2011, 5, (3), 239-258
- The revision policy of seasonally adjusted balance sheet data in Italy
Applied Economics Letters, 2011, 18, (17), 1713-1717
2010
- Testing fiscal sustainability in Poland: a Bayesian analysis of cointegration
Empirical Economics, 2010, 39, (1), 241-274 View citations (1)
See also Working Paper Testing fiscal sustainability in Poland: a Bayesian analysis of cointegration, LIDAM Reprints CORE (2010) View citations (1) (2010)
2008
- Monitoring and forecasting annual public deficit every month: the case of France
Empirical Economics, 2008, 34, (3), 493-524 View citations (23)
See also Working Paper Monitoring and forecasting annual public deficit every month: the case of France, LIDAM Reprints CORE (2009) (2009)
- TEMPORAL AGGREGATION OF UNIVARIATE AND MULTIVARIATE TIME SERIES MODELS: A SURVEY
Journal of Economic Surveys, 2008, 22, (3), 458-497 View citations (77)
See also Working Paper Temporal aggregation of univariate and multivariate time series models: A survey, LIDAM Reprints CORE (2009) (2009)
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