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Energy prices in the Bank of Italy macroeconometric model

Author

Listed:
  • Pietro Cova

    (Bank of Italy)

  • Davide Fantino

    (Bank of Italy)

  • Lisa Rodano

    (Bank of Italy)

Abstract

The sharp increases in energy commodity prices, and in particular in natural gas prices, in 2021 and 2022 led to a notable surge in inflation in Italy and the euro area. We extend the Bank of Italy's quarterly econometric model (BIQM) to adequately capture the direct and indirect inflationary and macroeconomic effects of the extraordinary increases in energy prices, modelling gas and oil prices separately. We assess the forecasting properties of the model and also evaluate the impact of the measures taken by governments to counter the macroeconomic consequences of the energy crisis.

Suggested Citation

  • Pietro Cova & Davide Fantino & Lisa Rodano, 2025. "Energy prices in the Bank of Italy macroeconometric model," Questioni di Economia e Finanza (Occasional Papers) 942, Bank of Italy, Economic Research and International Relations Area.
    • Handle: RePEc:bdi:opques:qef_942_25
    as

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    File URL: https://www.bancaditalia.it/pubblicazioni/qef/2025-0942/QEF_942_25.pdf
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    References listed on IDEAS

    as
    1. Adolfsen, Jakob Feveile & Ferrari Minesso, Massimo & Mork, Jente Esther & Van Robays, Ine, 2024. "Gas price shocks and euro area inflation," Journal of International Money and Finance, Elsevier, vol. 149(C).
    2. Szafranek Karol & Rubaszek Michał, 2024. "Have European natural gas prices decoupled from crude oil prices? Evidence from TVP-VAR analysis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 28(3), pages 507-530.
    3. López, Lucia & Odendahl, Florens & Parraga Rodriguez, Susana & Silgado-Gómez, Edgar, 2024. "The pass-through to inflation of gas price shocks," Working Paper Series 2968, European Central Bank.
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    JEL classification:

    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
    • E10 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - General
    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications

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