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A method for forecasting unquoted shares of non-financial corporations in the Italian financial accounts

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  • Michela Eugenia Pasetto

    (Bank of Italy)

Abstract

The accurate valuation of unquoted shares on the liability side of non-financial corporations' balance sheets is of primary importance, as equity issuance often constitutes a strategic choice for raising capital to finance investments. At macroeconomic level, quarterly data on equity issuance are published in financial accounts statistics and rely on estimation techniques. This paper proposes a new estimation method based on a Bayesian vector autoregression model to forecast unquoted equities issued by Italian non-financial corporations on a quarterly basis. The model is applied to both outstanding amounts and transactions. We compare the performance of the proposed model in its point forecasts and variability with five alternative econometric approaches, showing it performs very well in out-of-sample forecasting.

Suggested Citation

  • Michela Eugenia Pasetto, 2026. "A method for forecasting unquoted shares of non-financial corporations in the Italian financial accounts," Questioni di Economia e Finanza (Occasional Papers) 1037, Bank of Italy, Economic Research and International Relations Area.
    • Handle: RePEc:bdi:opques:qef_1037_26
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    References listed on IDEAS

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    Keywords

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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications
    • E66 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General Outlook and Conditions

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