A method for forecasting unquoted shares of non-financial corporations in the Italian financial accounts

Michela Eugenia Pasetto ()
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Michela Eugenia Pasetto: Bank of Italy

No 1037, Questioni di Economia e Finanza (Occasional Papers) from Bank of Italy, Economic Research and International Relations Area

Abstract: The accurate valuation of unquoted shares on the liability side of non-financial corporations' balance sheets is of primary importance, as equity issuance often constitutes a strategic choice for raising capital to finance investments. At macroeconomic level, quarterly data on equity issuance are published in financial accounts statistics and rely on estimation techniques. This paper proposes a new estimation method based on a Bayesian vector autoregression model to forecast unquoted equities issued by Italian non-financial corporations on a quarterly basis. The model is applied to both outstanding amounts and transactions. We compare the performance of the proposed model in its point forecasts and variability with five alternative econometric approaches, showing it performs very well in out-of-sample forecasting.

Keywords: Bayesian VAR; forecasts; financial accounts; equity (search for similar items in EconPapers)
JEL-codes: C32 C53 E27 E66 (search for similar items in EconPapers)
Date: 2026-07
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Persistent link: https://EconPapers.repec.org/RePEc:bdi:opques:qef_1037_26

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