Details about Fabrizio Venditti

Access statistics for papers by Fabrizio Venditti.

Last updated 2023-10-03. Update your information in the RePEc Author Service.

Short-id: pve306

Working Papers

2023

1. Decomposing the Monetary Policy Multiplier
   Working Paper Series, Federal Reserve Bank of San Francisco View citations (1)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2023)

2022

2. Leaning against the global financial cycle
   Working Paper Series, European Central Bank View citations (2)

2021

3. The implications of globalisation for the ECB monetary policy strategy
   Occasional Paper Series, European Central Bank View citations (2)
4. The simpler, the better: Measuring financial conditions for monetary policy and financial stability
   EIB Working Papers, European Investment Bank (EIB)
   Also in Working Paper Series, European Central Bank (2020) View citations (15)

2020

5. Global financial markets and oil price shocks in real time
   Working Paper Series, European Central Bank View citations (9)
6. Price dividend ratio and long-run stock returns: a score driven state space model
   Working Paper Series, European Central Bank
   Also in Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area (2020)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2019)
   See also Journal Article Price Dividend Ratio and Long-Run Stock Returns: A Score-Driven State Space Model, Journal of Business & Economic Statistics, Taylor & Francis Journals (2021) View citations (4) (2021)
7. Strategic interactions and price dynamics in the global oil market
   Working Papers, Banco de España View citations (2)
   Also in Working Paper Series, European Central Bank (2020) View citations (2)
   See also Journal Article Strategic interactions and price dynamics in the global oil market, Energy Economics, Elsevier (2022) View citations (1) (2022)
8. The fundamentals of safe assets
   Working Paper Series, European Central Bank View citations (21)
   See also Journal Article The fundamentals of safe assets, Journal of International Money and Finance, Elsevier (2020) View citations (16) (2020)
9. The influence of OPEC+ on oil prices: a quantitative assessment
   Working Paper Series, European Central Bank View citations (3)

2019

10. An indicator of macro-financial stress for Italy
    Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area View citations (4)
11. The benefits and costs of adjusting bank capitalisation: evidence from euro area countries
    Working Papers, Banco de España View citations (3)
    Also in Working Paper Series, European Central Bank (2019) View citations (3)
12. The global capital flows cycle: structural drivers and transmission channels
    Working Paper Series, European Central Bank View citations (31)

2018

13. A risk dashboard for the Italian economy
    Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area View citations (4)

2017

14. Large time-varying parameter VARs: a non-parametric approach
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2016) View citations (7)
    See also Journal Article Large time‐varying parameter VARs: A nonparametric approach, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2019) View citations (15) (2019)
15. The financial stability dark side of monetary policy
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (6)
    Also in BCAM Working Papers, Birkbeck Centre for Applied Macroeconomics (2016) View citations (2)

2016

16. Adaptive state space models with applications to the business cycle and financial stress
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (10)

2015

17. Common faith or parting ways? A time varying parameters factor analysis of euro-area inflation
    Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics View citations (12)
    See also Chapter Common Faith or Parting Ways? A Time Varying Parameters Factor Analysis of Euro-Area Inflation, Advances in Econometrics, Emerald Group Publishing Limited (2016) View citations (12) (2016)
18. 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)
19. The time varying effect of oil price shocks on euro-area exports
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (32)
    See also Journal Article The time varying effect of oil price shocks on euro-area exports, Journal of Economic Dynamics and Control, Elsevier (2015) View citations (37) (2015)
20. Wages and prices in Italy during the crisis: the firms� perspective
    Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area View citations (7)

2014

21. Surprise! Euro area inflation has fallen
    Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area View citations (33)
22. 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

23. Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (11)
    Also in Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area (2013) View citations (24)
    See also Journal Article Short-Term GDP Forecasting With a Mixed-Frequency Dynamic Factor Model With Stochastic Volatility, Journal of Business & Economic Statistics, Taylor & Francis Journals (2016) View citations (41) (2016)

2012

24. Do food commodity prices have asymmetric effects on Euro-Area inflation?
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (7)
    See also Journal Article Do food commodity prices have asymmetric effects on euro-area inflation?, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2014) (2014)
25. Forecasting economic activity with higher frequency targeted predictors
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (17)

2010

26. Down the non-linear road from oil to consumer energy prices: no much asymmetry along the way
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (7)
27. Energy markets and the euro area macroeconomy
    Occasional Paper Series, European Central Bank View citations (2)

2008

28. Forecasting inflation and tracking monetary policy in the euro area: does national information help?
    Working Paper Series, European Central Bank View citations (3)
    Also in Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area (2008) View citations (4)
    See also Journal Article Forecasting inflation and tracking monetary policy in the euro area: does national information help?, Empirical Economics, Springer (2013) View citations (7) (2013)

2006

29. 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)

Journal Articles

2022

1. Measuring Financial Conditions using Equal Weights Combination
   IMF Economic Review, 2022, 70, (4), 668-697 View citations (4)
2. Strategic interactions and price dynamics in the global oil market
   Energy Economics, 2022, 107, (C) View citations (1)
   See also Working Paper Strategic interactions and price dynamics in the global oil market, Working Papers (2020) View citations (2) (2020)

2021

3. Price Dividend Ratio and Long-Run Stock Returns: A Score-Driven State Space Model
   Journal of Business & Economic Statistics, 2021, 39, (4), 1054-1065 View citations (4)
   See also Working Paper Price dividend ratio and long-run stock returns: a score driven state space model, Working Paper Series (2020) (2020)

2020

4. The fundamentals of safe assets
   Journal of International Money and Finance, 2020, 102, (C) View citations (16)
   See also Working Paper The fundamentals of safe assets, Working Paper Series (2020) View citations (21) (2020)

2019

5. Large time‐varying parameter VARs: A nonparametric approach
   Journal of Applied Econometrics, 2019, 34, (7), 1027-1049 View citations (15)
   See also Working Paper Large time-varying parameter VARs: a non-parametric approach, Temi di discussione (Economic working papers) (2017) (2017)

2018

6. The global financial cycle: implications for the global economy and the euro area
   Economic Bulletin Articles, 2018, 6 View citations (13)

2017

7. A daily indicator of economic growth for the euro area
   International Journal of Computational Economics and Econometrics, 2017, 7, (1/2), 43-63 View citations (6)
8. 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)

2016

9. Macroprudential effects of systemic bank stress
   Macroprudential Bulletin, 2016, 2 View citations (1)
10. Short-Term GDP Forecasting With a Mixed-Frequency Dynamic Factor Model With Stochastic Volatility
    Journal of Business & Economic Statistics, 2016, 34, (1), 118-127 View citations (41)
    See also Working Paper Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility, CEPR Discussion Papers (2013) View citations (11) (2013)

2015

11. Failing to Forecast Low Inflation and Phillips Curve Instability: A Euro-Area Perspective
    International Finance, 2015, 18, (1), 47-68 View citations (40)
12. Forecasting economic activity with targeted predictors
    International Journal of Forecasting, 2015, 31, (1), 188-206 View citations (36)
13. The time varying effect of oil price shocks on euro-area exports
    Journal of Economic Dynamics and Control, 2015, 59, (C), 75-94 View citations (37)
    See also Working Paper The time varying effect of oil price shocks on euro-area exports, Temi di discussione (Economic working papers) (2015) View citations (32) (2015)

2014

14. Do food commodity prices have asymmetric effects on euro-area inflation?
    Studies in Nonlinear Dynamics & Econometrics, 2014, 18, (4), 419-443
    See also Working Paper Do food commodity prices have asymmetric effects on Euro-Area inflation?, Temi di discussione (Economic working papers) (2012) View citations (7) (2012)

2013

15. Forecasting inflation and tracking monetary policy in the euro area: does national information help?
    Empirical Economics, 2013, 44, (3), 1065-1086 View citations (7)
    See also Working Paper Forecasting inflation and tracking monetary policy in the euro area: does national information help?, Working Paper Series (2008) View citations (3) (2008)
16. From oil to consumer energy prices: How much asymmetry along the way?
    Energy Economics, 2013, 40, (C), 468-473 View citations (41)

2007

17. 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)

Chapters

2016

1. Common Faith or Parting Ways? A Time Varying Parameters Factor Analysis of Euro-Area Inflation
   A chapter in Dynamic Factor Models, 2016, vol. 35, pp 539-565 View citations (12)
   See also Working Paper Common faith or parting ways? A time varying parameters factor analysis of euro-area inflation, Birkbeck, Department of Economics, Mathematics & Statistics (2015) View citations (12) (2015)