Details about Andrea Silvestrini

Access statistics for papers by Andrea Silvestrini.

Last updated 2025-07-06. Update your information in the RePEc Author Service.

Short-id: psi342

Working Papers

2024

1. Nowcasting Italian GDP growth: a Factor MIDAS approach
   Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area
2. 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
   See also Journal Article The structural Theta method and its predictive performance in the M4-Competition, International Journal of Forecasting, Elsevier (2025) (2025)

2023

3. 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

4. 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

5. 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

6. Effects of eligibility for central bank purchases on corporate bond spreads
   BIS Working Papers, Bank for International Settlements View citations (5)
   Also in Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area (2020) View citations (5)

2019

7. 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

8. 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 (9) (2019)

2017

9. 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)
10. 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

11. 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

12. 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 (22)
    Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2015) View citations (18)
    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 (16) (2015)
13. 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 (13)
14. 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

15. 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 (7) (2014)

2013

16. 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)
17. 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)
18. 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

19. 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)
20. 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

21. 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

22. 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 LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2007) View citations (1)
    Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (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

23. Essays on aggregation and cointegration of econometric models
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
24. 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)
25. Seasonal adjustment of bank deposits and loans
    Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area
26. 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 (82)
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area (2008) View citations (81)
    See also Journal Article TEMPORAL AGGREGATION OF UNIVARIATE AND MULTIVARIATE TIME SERIES MODELS: A SURVEY, Journal of Economic Surveys, Wiley Blackwell (2008) View citations (80) (2008)
27. 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

28. 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

29. 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

2025

1. The structural Theta method and its predictive performance in the M4-Competition
   International Journal of Forecasting, 2025, 41, (3), 940-952
   See also Working Paper The structural Theta method and its predictive performance in the M4-Competition, Temi di discussione (Economic working papers) (2024) (2024)

2023

2. 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)
3. The RWDAR model: A novel state-space approach to forecasting
   International Journal of Forecasting, 2023, 39, (2), 922-937 View citations (1)

2022

4. Assessing the usefulness of survey‐based data in forecasting firms' capital formation: Evidence from Italy
   Journal of Forecasting, 2022, 41, (3), 491-513
5. Causal analysis of central bank holdings of corporate bonds under interference
   Economic Modelling, 2022, 113, (C) View citations (3)
6. Random coefficient state-space model: Estimation and performance in M3–M4 competitions
   International Journal of Forecasting, 2022, 38, (1), 352-366

2021

7. A new global database on agriculture investment and capital stock
   Food Policy, 2021, 100, (C) View citations (12)

2020

8. Forecasting with the damped trend model using the structural approach
   International Journal of Production Economics, 2020, 226, (C) View citations (5)

2019

9. Random switching exponential smoothing: A new estimation approach
   International Journal of Production Economics, 2019, 211, (C), 211-220 View citations (7)
10. 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)
11. The macro determinants of firms' and households' investment: Evidence from Italy
    Economic Modelling, 2019, 78, (C), 118-133 View citations (9)
    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)
12. The role of financial factors for European corporate investment
    Journal of International Money and Finance, 2019, 96, (C), 246-258 View citations (9)

2017

13. 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)
14. 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

15. 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 (16)
    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 (22) (2015)

2014

16. Random switching exponential smoothing and inventory forecasting
    International Journal of Production Economics, 2014, 156, (C), 283-294 View citations (7)
    See also Working Paper Random switching exponential smoothing and inventory forecasting, Temi di discussione (Economic working papers) (2014) View citations (7) (2014)
17. 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

18. 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)
19. 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

20. Comparing aggregate and disaggregate forecasts of first order moving average models
    Statistical Papers, 2012, 53, (2), 255-263
21. Do financial systems converge? New evidence from financial assets in OECD countries
    Journal of Comparative Economics, 2012, 40, (1), 141-155 View citations (355)
22. 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)
23. 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

24. Measuring core inflation in Italy comparing aggregate vs. disaggregate price data
    Cliometrica, Journal of Historical Economics and Econometric History, 2011, 5, (3), 239-258
25. The revision policy of seasonally adjusted balance sheet data in Italy
    Applied Economics Letters, 2011, 18, (17), 1713-1717

2010

26. 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

27. 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)
28. TEMPORAL AGGREGATION OF UNIVARIATE AND MULTIVARIATE TIME SERIES MODELS: A SURVEY
    Journal of Economic Surveys, 2008, 22, (3), 458-497 View citations (80)
    See also Working Paper Temporal aggregation of univariate and multivariate time series models: A survey, LIDAM Reprints CORE (2009) (2009)