IDEAS home Printed from https://ideas.repec.org/p/bdi/opques/qef_1037_26.html

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

Author

Listed:
  • 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
    as

    Download full text from publisher

    File URL: https://www.bancaditalia.it/pubblicazioni/qef/2026-1037/QEF_1037_26.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    ;
    ;
    ;
    ;

    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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bdi:opques:qef_1037_26. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: https://edirc.repec.org/data/bdigvit.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.