Forecasting corporate capital accumulation in Italy: the role of survey-based information

Claire Giordano, Marco Marinucci and Andrea Silvestrini

No 596, Questioni di Economia e Finanza (Occasional Papers) from Bank of Italy, Economic Research and International Relations Area

Abstract: While there is a vast macroeconomic literature that singles out the main drivers of capital accumulation in advanced economies during and after the global financial and sovereign debt crises' recessionary phase, there is much less research seeking to identify both models and variables that possess out-of-sample forecasting ability for gross fixed capital formation. Moreover, micro-founded variables are scarcely employed in macroeconomic forecasting of real investment. We fill this gap by considering a battery of univariate and multivariate time-series models to forecast investment of non-financial corporations in Italy, an interesting case-study due to its steep downturn during the two afore-mentioned crises. We find that a vector error correction model augmented with firm survey-based variables accounting for business confidence, demand uncertainty and financing constraints generally outperforms the autoregressive benchmark and a series of competing multivariate time-series models in various, alternative, evaluation samples that take into account the impact of both the global financial crisis and the sovereign debt crisis on forecast accuracy.

Keywords: Real investment; forecasting evaluation; firm survey data; vector error correction model (search for similar items in EconPapers)
JEL-codes: C32 C52 E22 E27 (search for similar items in EconPapers)
Date: 2021-02
New Economics Papers: this item is included in nep-cfn, nep-eec, nep-ent, nep-fdg, nep-for and nep-mac
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:bdi:opques:qef_596_21

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