1,721,214 research outputs found
Modelling and forecasting government bond spreads in the euro area: a GVAR model
No full textThis paper proposes an extension to Global Vector Autoregressive (GVAR) models to capture time-varying interdependence among financial variables. Government bond spreads in the euro area feature a time-varying pattern of co-movement that poses a serious challenge for econometric modelling and forecasting. This pattern of the data is not captured by the standard specification that model spreads as persistent processes reverting to a time-varying mean determined by two factors : a local factor, driven by fiscal fundamentals and growth, and a global world factor, driven by the market's appetite for risk. This paper argues that a third factor, expectations of exchange rate devaluation, gained traction during the crises. This factor is well captured via a GVAR that models the interdependence among spreads by making each country's spread function of global European spreads. Global spreads capture the exposure of each country's spread to other spreads in the euro area in terms of the time-varying "distance" between their fiscal fundamentals. This new specification dominates the standard one in modelling the time-varying pattern of comovements among spreads and the response of euro area spreads to the Greek debt crisis.
Keywords: Global VAR, bond spreads in the euro-area, exchange rate premiu
Why is COVID-19 mortality in Lombardy so high? Evidence from the simulation of a SEIHCR model
No full textThe standard SEIR model based on a parameterization consistent with the international evidence cannot explain the very high COVID-19 related mortality in Lombardy. This paper proposes an extension of the standard SEIR model that is capable of solving the puzzle. The SEIR model features exogenous mortality: once Susceptible individuals become first Exposed, and then Infected, they succumb with a given probability. The extended model inlcudes an Hospitlization process and the possibility that Hospitalized patients, who need to resort to Intensive Care Unit, cannot find availability because the ICU is saturated. This Constraint creates an additional increase in mortality, which is endogenous to the diffusion of the disease. The SEIHCR (Hstands for Hospitalization and C stands for Constraint) is capable of explaining the dynamics of COVID-19 related mortality in Lombardy with a paramerization consistent with the international evidence
Comment on chapters 10 and 11
No full textSi tratta di un commento esteso a due saggi che formano due capitoli del libro e che viene pubblicato insieme a quest
Measuring the impact of longevity risk on pension systems: the case of Italy
No full textThis paper estimates the impact of longevity risk on pension systems by combining the prediction based on a Lee-Carter (1992) mortality model with the projected pension payments for different cohorts of retirees. We measure longevity risk by the difference between the upper bound of the total old-age pension expense and its mean estimate. This difference is as high as 4 per cent of annual GDP over the period 2040-2050. The impact of longevity risk is sizeably reduced, but not fully eliminated, by the introduction of indexation of retirement age to expected life at retirement. Our evidence speaks in favour of a market for longevity risk and calls for a closer scrutiny of the potential redistributive effects of longevity risk
Improving Fiscal Policy in the EU: The Case for Independent Forecasts: Discussion
No full textImproving Fiscal Policy in the EU: The Case for Independent Forecasts: Discussio
Taxation and Optimization of Oil Exploration and Production: The U.K. Continental Shelf
No full textTaxation and Optimization of Oil Exploration and Production: The U.K. Continental Shel
Comments on ‘‘Fiscal and monetary policy interactions: Empirical evidence on optimal policy using a structural new-Keynesian model’’
No full textComments on ‘‘Fiscal and monetary policy interactions: Empirical evidence on optimal policy using a structural new-Keynesian model’
Monetary policy inertia: more a fiction than a fact?
No full textEmpirical estimates of monetary policy reaction functions feature a very high estimated degree of monetary policy inertia. This evidence is very hard of reconcile with the alternative evidence of low predictability of monetary policy rates. In this paper we examine the potential relevance of the problem of weak instruments to correctly identify the degree of monetary policy inertia in forward looking monetary policy reaction function of the type originally proposed by Taylor(1993). After appropriately diagnosing and taking care of the weak instruments problem, we find an estimated degree of policy inertia which is significantly lower than the common value in the empirical literature on monetary policy rules
International Competition in Corporate Taxation: Evidence from OECD Time-Series. Discussion
No full textInternational Competition in Corporate Taxation: Evidence from OECD Time-Series. Discussio
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