The study appraises to what extent firm survey information on business sentiment, economic uncertainty and financial constraints can improve the forecasting performance of a number of macro-econometric models on the capital accumulation of Italian non-financial corporations. The analysis also investigates the impact of the global financial crisis and of the sovereign debt crisis on forecasting accuracy.
A Vector Error Correction Model (VECM) that includes the above-mentioned auxiliary variables displays a good forecasting performance in comparison with alternative models, especially when it is estimated on the entire 1995-2012 period, which includes both the global financial crisis and the sovereign debt crisis.
