Blar i Centre for Applied Macro- and Petroleum economics (CAMP) på forfatter "Ravazzolo, Francesco"
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A New Economic Framework: A DSGE Model with Cryptocurrency
Asimakopoulos, Stylianos; Lorusso, Marco; Ravazzolo, Francesco (CAMP Working Paper Series;07/2019, Working paper, 2019-10-12)This paper develops a Dynamic Stochastic General Equilibrium (DSGE) model to evaluate the economic repercussions of cryptocurrency. We assume that cryptocurrency offers an alternative currency option to government currency ... -
A New Monthly Indicator of Global Real Economic Activity
Ravazzolo, Francesco; Vespignani, Joaquin L. (CAMP Working Papers Series;2/2015, Working paper, 2015)In modelling macroeconomic time series, often a monthly indicator of global real economic activity is used. We propose a new indicator, named World steel production, and compare it to other existing indicators, precisely ... -
A Bayesian DSGE Approach to Modelling Cryptocurrency
Asimakopoulos, Stylianos; Lorusso, Marco; Ravazzolo, Francesco (CAMP Working Paper Series;09/2023, Working paper, 2023-09-21)We develop and estimate a DSGE model to evaluate the economic repercussions of cryptocurrency. In our model, cryptocurrency offers an alternative currency option to government currency, with endogenous supply and demand. ... -
Commodity Futures and Forecasting Commodity Currencies
Ravazzolo, Francesco; Sveen, Tommy; Zahiri, Sepideh K. (CAMP Working Paper Series;7/2016, Working paper, 2016)This paper analyzes the extent to which information in commodity futures markets is useful for out-of-sample forecasting of commodity currencies. In the earlier literature, commodity price changes are documented to be weak ... -
Comparing the Forecasting Performances of Linear Models for Electricity Prices with High RES Penetration
Gianfreda, Angelica; Ravazzolo, Francesco; Rossini, Luca (CAMP Working Paper Series;2, Working paper, 2018-01)This paper compares alternative univariate versus multivariate models, probabilistic versus Bayesian autoregressive and vector autoregressive specifications for hourly day-ahead electricity prices, with and without ... -
Density Forecasts with MIDAS Models
Aastveit, Knut Are; Foroni, Claudia; Ravazzolo, Francesco (CAMP Working Paper Series;3/2014, Working paper, 2014)In this paper we derive a general parametric bootstrapping approach to compute density forecasts for various types of mixed-data sampling (MIDAS) regressions. We consider both classical and unrestricted MIDAS regressions ... -
Dominant Drivers of National Inflation
Ditzen, Jan; Ravazzolo, Francesco (CAMP Working Paper Series;08/2022, Working paper, 2022-12-29)For western economies a long-forgotten phenomenon is on the horizon: rising inflation rates. We propose a novel approach christened D2ML to identify drivers of national inflation. D2ML combines machine learning for model ... -
Fiscal Policy Regimes in Resource-Rich Economies
Bjørnland, Hilde C.; Casarin, Roberto; Lorusso, Marco; Ravazzolo, Francesco (CAMP Working Paper Series;13/2023, Working paper, 2023-10-21)We analyse fiscal policy in resource-rich economies using a novel Bayesian regime-switching panel model. The identified regimes capture pro- or countercyclical fiscal behaviour, while the switches between the regimes have ... -
Forecasting Cryptocurrencies Financial Time Series
Catania, Leopoldo; Grassi, Stefano; Ravazzolo, Francesco (CAMP Working Paper Series;5, Working paper, 2018-03)This paper studies the predictability of cryptocurrencies time series. We compare several alternative univariate and multivariate models in point and density forecasting of four of the most capitalized series: Bitcoin, ... -
Forecasting Energy Commodity Prices: A Large Global Dataset Sparse Approach
Ferrari, Davide; Ravazzolo, Francesco; Vespignani, Joaquin (CAMP Working Paper Series;11/2019, Working paper, 2019-12)This paper focuses on forecasting quarterly energy prices of commodities, such as oil, gas and coal, using the Global VAR dataset proposed by Mohaddes and Raissi (2018). This dataset includes a number of potentially ... -
Forecasting GDP with global components. This time is different
Bjørnland, Hilde C.; Ravazzolo, Francesco; Thorsrud, Leif Anders (CAMP Working Papers Series;1/2015, Working paper, 2015)A long strand of literature has shown that the world has become more global. Yet, the recent Great Global Recession turned out to be hard to predict, with forecasters across the world committing large forecast errors. ... -
Interactions between eurozone and US booms and busts: A Bayesian panel Markov-switching VAR model
Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; van Dijk, Herman K. (CAMP Working Papers Series; 8/2014, Working paper, 2014)Interactions between eurozone and United States booms and busts and among major eurozone economies are analyzed by introducing a panel Markov-switching VAR model. The model is well suitable for a multi-country cyclical ... -
Interactions between eurozone and US booms and busts: A bayesian panel Markov-switching VAR model
Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; van Dijk, Herman K. (CAMP Working Paper Series;8/2014, Working paper, 2014)Interactions between eurozone and United States booms and busts and among major eurozone economies are analyzed by introducing a panel Markov-switching VAR model. The model is well suitable for a multi-country cyclical ... -
Large Time-Varying Volatility Models for Electricity Prices
Gianfreda, Angelica; Ravazzolo, Francesco; Rossini, Luca (CAMP Working Paper Series;05/2020, Working paper, 2020-07-02)We study the importance of time-varying volatility in modelling hourly electricity prices when fundamental drivers are included in the estimation. This allows us to contribute to the literature of large Bayesian VARs by ... -
Markov Switching Panel with Network Interaction Effects
Agudze, Komla Mawulom; Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco (CAMP Working Paper Series;1, Working paper, 2018-01)The paper introduces a new dynamic panel model for large data sets of time series, each of them characterized by a series-specific Markov switching process. By introducing a neighbourhood system based on a network ... -
Measuring sovereign contagion in Europe
Caporin, Massimiliano; Pelizzon, Loriana; Ravazzolo, Francesco; Rigobon, Roberto (CAMP Working Paper Series;4/2012, Working paper, 2014-06-24)This paper analyzes the sovereign risk contagion using credit default swaps (CDS) and bond premiums for the major eurozone countries. By emphasizing several econometric approaches (nonlinear regression, quantile regression ... -
Oil and Fiscal Policy Regimes
Bjørnland, Hilde Christiane; Casarin, Roberto; Lorusso, Marco; Ravazzolo, Francesco (CAMP Working Paper Series;11, Working paper, 2020-12-29)We analyse fiscal policy responses in oil rich countries by developing a Bayesian regime-switching panel country analysis. We use parameter restrictions to identify procyclical and countercyclical fiscal policy regimes ... -
Oil and US GDP: A Real-Time Out-of Sample Examination
Ravazzolo, Francesco; Rothman, Philip (CAMP Working Paper Series;2/2011, Working paper, 2011)We study the real-time predictive content of crude oil prices for US real GDP growth through a pseudo out-of-sample (OOS) forecasting exercise. Comparing our benchmark model "without oil" against alternatives "with oil," ... -
Oil price density forecasts: Exploring the linkages with stock markets
Lombardi, Marco; Ravazzolo, Francesco (CAMP Working Paper Series;3/2012, Working paper, 2012)In the recent years several commentators hinted at an increase of the correlation between equity and commodity prices, and blamed investment in commodity-related products for this. First, this paper investigates such ... -
Oil-Price Density Forecasts of U.S. GDP
Ravazzolo, Francesco; Rothman, Philip (CAMP Working Papers Series;10/2015, Working paper, 2015)We carry out a pseudo out-of-sample density forecasting study for U.S. GDP with an autoregressive benchmark and alternatives to the benchmark than include both oil prices and stochastic volatility. The alternatives to the ...