Modelling Italian potential output and the output gap

The aim of the paper is to estimate a reliable quarterly time-series of potential output for the Italian economy, exploiting four alternative approaches: a Bayesian unobserved component method, a univariate time-varying autoregressive model, a production function approach and a structural VAR. Based on a wide range of evaluation criteria, all methods generate output gaps that accurately describe the Italian business cycle over the past three decades. All output gap measures are subject to non-negligible revisions when new data become available. Nonetheless they still prove to be informative about the current cyclical phase and, unlike the evidence reported in most of the literature, helpful at predicting inflation compared with simple benchmarks. We assess also the performance of output gap estimates obtained by combining the four original indicators, using either equal weights or Bayesian averaging, showing that the resulting measures (i) are less sensitive to revisions; (ii) are at least as good as the originals at tracking business cycle fluctuations; (iii) are more accurate as inflation predictors.potential output, business cycle, Phillips curve, output gap

TIME-SERIES MODELS WITH AN EGB2 CONDITIONAL DISTRIBUTION

A time series model in which the signal is buried in noise that is non-Gaussian may throw up observations that, when judged by the Gaussian yardstick, are outliers. We describe an observation driven model, based on an exponential generalized beta distribution of the second kind (EGB2), in which the signal is a linear function of past values of the score of the conditional distribution. This specification produces a model that is not only easy to implement, but which also facilitates the development of a comprehensive and relatively straight forward theory for the asymptotic distribution of the maximum likelihood estimator. Score driven models of this kind can also be based on conditional t-distributions, but whereas these models carry out what, in the robustness literature, is called a soft form of trimming, the EGB2 distribution leads to a soft form of Winsorizing. An EGARCH model based on the EGB2 distribution is also developed. This model complements the score driven EGARCH model with a conditional t-distribution. Finally dynamic location and scale models are combined and applied to data on the UK rate of inflation.This version is the author accepted manuscript. The final version is available from Wiley at http://onlinelibrary.wiley.com/doi/10.1111/jtsa.12081/full

Two EGARCH models and one fat tail

We compare two EGARCH models which belong to a new class of models in which the dynamics are driven by the score of the conditional distribution of the observations. Models of this kind are called dynamic conditional score (DCS) models and their form facilitates the development of a comprehensive and relatively straightforward theory for the asymptotic distribution of the maximum likelihood estimator. The EGB2 distribution is light-tailed, but with higher kurtosis than the normal. Hence it is complementary to the fat-tailed t. The EGB2-EGARCH model gives a good fit to many exchange rate return series, prompting an investigation into the misleading conclusions liable to be drawn from tail index estimates

The transmission of the global financial crisis to the Italian economy. A counterfactual analysis, 2008-2010.

The world recession triggered by the financial crisis has impacted with extraordinary violence on economic activity in Italy.What has been the contribution of the various channels through which the crisis was transmitted to the Italian economy? What have been the effects stemming from the reaction of economic policies? To address these questions, our paper makes a counterfactual analysis of the Italian economy over the period 2008-2010, exploring a set of “no-crisis†scenarios. We estimate that the events prompted by the financial turmoil subtracted 6.5 percentage points from economic activity over the period 2008-2010. Specifically, crisis factors curtailed GDP growth by about 10 percentage points, while economic policies and automatic stabilizers mitigated the impact by about 3.5 percentage points. According to our results, the effects of the crisis were mostly “imported from abroadâ€; the worsening of domestic financing conditions and of the business and household climates played lesser - though not negligible - roles.global financial crisis, counterfactual simulations, business fluctuations.

Assessing the sensitivity of inflation to economic activity

A number of academic studies suggest that from the mid-1990s onwards there were changes in the link between inflation and economic activity. However, it remains unclear the extent to which this phenomenon can be ascribed to a change in the structural relationship between inflation and output, as opposed to a change in the size and nature of the shocks hitting the economy. This paper uses a suite of models, such as time-varying VAR techniques, traditional macro models, as well as DSGE models, to investigate, for various European countries as well as for the euro area, the evolution of the link between inflation and resource utilization and its dependence on the nature and size of the shocks. Our analysis suggests that the relationship between inflation and activity has indeed been changing over time, while remaining positive, with the correlation peaking during recessions. Quantitatively, the link between output and inflation is found to be highly dependent on which type of shocks hit the economy: while, in general, all demand shocks to output imply a reaction of inflation of the same sign, the latter will be less pronounced when output fluctuations are driven by supply shocks. In addition, a sharp deceleration of activity, as opposed to a subdued but protracted slowdown, results in a swifter decline in inflation. Inflation exhibits a rather strong persistence, with a negative impact still visible three years after the initial shock. JEL Classification: E31, E32, E37demand shock, inflation response, Macro model, output growth, Phillips curve

A HGF/cMET Autocrine Loop Is Operative in Multiple Myeloma Bone Marrow Endothelial Cells and May Represent a Novel Therapeutic Target

Purpose: The aim of this study was to investigate the angiogenic role of the hepatocyte growth factor (HGF)/cMET pathway and its inhibition in bone marrow endothelial cells (EC) from patients with multiple myeloma versus from patients with monoclonal gammopathy of undetermined significance (MGUS) or benign anemia (control group). Experimental Design: The HGF/cMET pathway was evaluated in ECs from patients with multiple myeloma (multiple myeloma ECs) at diagnosis, at relapse after bortezomib- or lenalidomide-based therapies, or on refractory phase to these drugs; in ECs from patients with MGUS (MGECs); and in those patients from the control group. The effects of a selective cMET tyrosine kinase inhibitor (SU11274) on multiple myeloma ECs' angiogenic activities were studied in vitro and in vivo. Results: Multiple myeloma ECs express more HGF, cMET, and activated cMET (phospho (p)-cMET) at both RNAand protein levels versus MGECs and control ECs. Multiple myeloma ECs are able to maintain the HGF/cMET pathway activation in absence of external stimulation, whereas treatment with anti-HGF and anti-cMET neutralizing antibodies (Ab) is able to inhibit cMET activation. The cMET pathway regulates several multiple myeloma EC activities, including chemotaxis, motility, adhesion, spreading, and whole angiogenesis. Its inhibition by SU11274 impairs these activities in a statistically significant fashion when combined with bortezomib or lenalidomide, both in vitro and in vivo. Conclusions: An autocrine HGF/cMET loop sustains multiple myeloma angiogenesis and represents an appealing new target to potentiate the antiangiogenic management of patients with multiple myeloma