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Monteforte L.,Banca dItalia | Moretti G.,UBS Global Asset Management
Journal of Forecasting | Year: 2013

We present a mixed-frequency model for daily forecasts of euro area inflation. The model combines a monthly index of core inflation with daily data from financial markets; estimates are carried out with the MIDAS regression approach. The forecasting ability of the model in real time is compared with that of standard VARs and of daily quotes of economic derivatives on euro area inflation. We find that the inclusion of daily variables helps to reduce forecast errors with respect to models that consider only monthly variables. The mixed-frequency model also displays superior predictive performance with respect to forecasts solely based on economic derivatives. Copyright © 2012 John Wiley & Sons, Ltd. Copyright © 2012 John Wiley & Sons, Ltd. Source


Landini S.,IRES Piemonte | Uberti M.,University of Turin | Casellina S.,Banca dItalia
Mathematics and Computers in Simulation | Year: 2015

This paper deepens previous studies on the analysis of the fixed (FRMs) and adjustable rate mortgages (ARMs) dynamics and the interconnections between FRMs and ARMs markets. In particular, an econometric analysis on the Italian mortgage markets series from 1997:q1 to 2012:q3 is set up by involving the VAR estimation technique. Very interesting results are achieved to point out how the effects of the European Central Bank control on the Euribor transmit (i) to the behavior of interest rates term structure as well as (ii) to interest rates of contracts involved in different technical forms offered in the Italian mortgage markets. © 2014 IMACS. Source


Casellina S.,Banca dItalia | Landini S.,IReS | Uberti M.,University of Turin
Computational Economics | Year: 2011

Starting from a recent model developed by Dieci and Westerhoff (Appl Math Comput 215:2011-2023, 2009; J Econ Behav Organ 75(3):461-481, 2010) enriching the classic cobweb framework based on the findings of Brock and Hommes (Econometrica 65:1059-1095, 1997; J Econ Dynam Control 22:1235-1274, 1998), an original model is set up to analyse the interactions among two types of credit markets considered from the aggregate demand side view point. The proposed model is an aggregate model for unobserved Financial Institutions which are assumed to supply credit on competitive markets and competition is due to the interest rates (i. e. prices) with respect to the corresponding contracts' demand. Moreover these Financial Institutions can put contracts on the credit market switching over time on different types of contracts depending on expected profit differentials. Among the main characteristics of this model, the number of clients involved in the two credit markets changes over time. At any time, the density of contracts is assumed to maximize the entropy of the economic system under some constraints concerning aggregate profits where the contract profitability is defined as a function of the spread between the average price of the contracts and a measure of production costs. With reference to some model calibrations, the dynamic behaviours and the reactions of the model are investigated through the study of three shock scenarios. The promising obtained results will address further investigations to apply the proposed model to a real data base of information on Financial Institutions in Italy since 1997 to catch the dynamics of fixed and adjustable interest rate mortgages markets. © 2011 Springer Science+Business Media, LLC. Source


Santoro A.,Banca dItalia | Quaglia F.,University of Rome La Sapienza
ACM Transactions on Modeling and Computer Simulation | Year: 2012

Distributed simulation allows the treatment of large/complex models by having several interacting simulators running concurrently, each one in charge of a portion of the model. In order to effectively manage integration and interoperability aspects, the standard known as High Level Architecture (HLA) has been developed, which is based on a middleware component known as Run-Time-Infrastructure (RTI). One of the main issues faced by such a standard is synchronization, so that HLA supports both conservative and optimistic approaches. However, technical issues, combined with some peculiarities of the optimistic approach, force most simulators to use the conservative approach. In order to tackle these issues, we present the design and implementation of a Time Management Converter (TiMaC) for HLA based simulation systems. TiMaC is a state machine designed to be transparently interposed between the application layer and the underlying RTI, which performs mapping of the conservative HLA synchronization interface onto the optimistic one. Such a mapping allows transparent optimistic execution (and the related benefits) for simulators originally designed to rely on conservative synchronization. This is achieved without the need to modify the RTI services or alter the HLA standard. An experimental evaluation demonstrating the viability and effectiveness of our proposal is also reported, by integrating our TiMaC implementation with the Georgia Tech B-RTI package and running on it both (A) benchmarks relying on traces from simulated demonstration exercises collected using the Joint Semi-Automated Forces (JSAF) simulation program and (B) a self-federated Personal Communication System simulation application. © 2012 ACM. Source


Venditti F.,Banca dItalia
Energy Economics | Year: 2013

A longstanding question in macroeconomics is whether fuel prices react more to increases than to decreases of the price of oil. This paper analyzes the response of weekly gasoline and gasoil prices to oil prices in the U.S., the euro area and the four largest euro area countries (Germany, France, Italy and Spain) using nonlinear impulse response functions and forecast accuracy tests. While for the U.S. both approaches point to the presence of asymmetries in the adjustment of retail prices, for the euro area the evidence is mixed. © 2013 Elsevier B.V. Source

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