Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/153880
Authors: 
Nicoletti, Giulio
Passaro, Raffaele
Year of Publication: 
2012
Series/Report no.: 
ECB Working Paper 1447
Abstract: 
We investigate the predictive content of credit and government interest spreads with respect to the Italian GDP growth. Our analysis with Dynamic Model Averaging identifies when interest spreads were more useful predictors of economic activity: these periods are not limited to the Great Recession. For credit spreads we gather information from both bank loans and corporate bonds and we compare their predictive role over time and over different forecasting horizons.
Subjects: 
Bayesian econometrics
GDP forecasting
model averaging
JEL: 
C52
E37
Document Type: 
Working Paper

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