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Details about Marco Jacopo Lombardi

E-mail:
Homepage:http://www.bis.org/author/marco_jacopo_lombardi.htm
Phone:+41-61-280-9492
Postal address:Bank for International Settlements Centralbahnplatz 2 CH-4002 Basel SWITZERLAND
Workplace:Bank for International Settlements (BIS), (more information at EDIRC)

Access statistics for papers by Marco Jacopo Lombardi.

Last updated 2017-08-05. Update your information in the RePEc Author Service.

Short-id: plo54


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Working Papers

2017

  1. Global impact of US and euro area unconventional monetary policies: a comparison
    BIS Working Papers, Bank for International Settlements Downloads View citations (2)
  2. The real effects of household debt in the short and long run
    BIS Working Papers, Bank for International Settlements Downloads View citations (2)

2016

  1. Fiscal sustainability and the financial cycle
    BIS Working Papers, Bank for International Settlements Downloads View citations (3)
  2. Output gaps and policy stabilisation in Latin America: the effect of commodity and capital flow cycles
    BIS Working Papers, Bank for International Settlements Downloads View citations (2)

2015

  1. The biofuel connection: impact of US regulation on oil and food prices
    BIS Working Papers, Bank for International Settlements Downloads
  2. Why Did Bank Lending Rates Diverge from Policy Rates After the Financial Crisis?
    Discussion Papers, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM) Downloads View citations (16)
    Also in BIS Working Papers, Bank for International Settlements (2015) Downloads View citations (14)

2014

  1. A shadow policy rate to calibrate US monetary policy at the zero lower bound
    BIS Working Papers, Bank for International Settlements Downloads View citations (44)
  2. Has the transmission of policy rates to lending rates been impaired by the Global Financial Crisis?
    BIS Working Papers, Bank for International Settlements Downloads View citations (4)

2013

  1. On the correlation between commodity and equity returns: implications for portfolio allocation
    BIS Working Papers, Bank for International Settlements Downloads View citations (7)
    See also Journal Article in Journal of Commodity Markets (2016)

2012

  1. Monetary policy and the oil futures market
    Discussion Papers, Deutsche Bundesbank, Research Centre Downloads View citations (2)
  2. Oil price density forecasts: Exploring the linkages with stock markets
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School Downloads View citations (5)
    Also in Working Paper, Norges Bank (2012) Downloads View citations (6)
  3. Short-Term Forecasting of the Japanese Economy Using Factor Models
    Staff Working Papers, Bank of Canada Downloads View citations (3)
    Also in Working Paper Series, European Central Bank (2012) Downloads View citations (4)
  4. The impact of monetary policy shocks on commodity prices
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (34)
    Also in Working Paper Series, European Central Bank (2010) Downloads View citations (40)

    See also Journal Article in International Journal of Central Banking (2013)

2011

  1. Bayesian prior elicitation in DSGE models: macro- vs micro-priors
    Working Paper Series, European Central Bank Downloads View citations (2)
    See also Journal Article in Journal of Economic Dynamics and Control (2012)
  2. Do Financial Investors Destabilize the Oil Price?
    Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration Downloads View citations (60)
    Also in Working Paper Series, European Central Bank (2011) Downloads View citations (37)
  3. Forecasting economic growth in the euro area during the Great Moderation and the Great Recession
    Working Paper Series, European Central Bank Downloads View citations (10)

2010

  1. Energy markets and the euro area macroeconomy
    Occasional Paper Series, European Central Bank Downloads View citations (2)
  2. Global commodity cycles and linkages a FAVAR approach
    Working Paper Series, European Central Bank Downloads View citations (14)
    See also Journal Article in Empirical Economics (2012)
  3. ‘Lean’ versus ‘Rich’ Data Sets: Forecasting during the Great Moderation and the Great Recession
    Staff Working Papers, Bank of Canada Downloads View citations (1)

2009

  1. External shocks and international inflation linkages: a global VAR analysis
    Working Paper Series, European Central Bank Downloads View citations (22)
  2. Indirect inference of elliptical fat tailed distributions
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (2)
  3. The Role of Financial Variables in Predicting Economic Activity in the Euro Area
    IMF Working Papers, International Monetary Fund Downloads View citations (4)
  4. The role of financial variables in predicting economic activity
    Working Paper Series, European Central Bank Downloads View citations (8)
    See also Journal Article in Journal of Forecasting (2012)

2007

  1. (Un)naturally Low? Sequential Monte Carlo Tracking of the US Natural Interest Rate
    DNB Working Papers, Netherlands Central Bank, Research Department Downloads View citations (5)
    Also in Working Paper Series, European Central Bank (2007) Downloads View citations (6)
  2. Indirect estimation of elliptical stable distributions
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (4)
    See also Journal Article in Computational Statistics & Data Analysis (2009)

2006

  1. (Un)naturally low?
    Computing in Economics and Finance 2006, Society for Computational Economics
  2. Indirect estimation of alpha-stable stochastic volatility models
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads View citations (3)
    See also Journal Article in Computational Statistics & Data Analysis (2009)

2005

  1. The Effect of Seasonal Adjustment on the Properties of Business Cycle Regimes
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads
    See also Journal Article in Journal of Applied Econometrics (2008)

2004

  1. Bayesian inference for alpha-stable distributions: a random walk MCMC approach
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads View citations (2)
    See also Journal Article in Computational Statistics & Data Analysis (2007)
  2. Indirect estimation of alpha-stable distributions and processes
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads View citations (3)
  3. On-line Bayesian estimation of AR signals in symmetric alpha-stable noise
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads View citations (5)

2002

  1. Analytic Hessian Matrices and the Computation of FIGARCH Estimates
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads View citations (3)
  2. GARCH-based Volatility Forecasts for Market Volatility Indices
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads View citations (3)

Undated

  1. Key elements of global inflation
    Discussion Papers, University of Nottingham, GEP Downloads View citations (2)
    See also Chapter (2010)
  2. The Emergence and Survival of Inflation Expectations
    EcoMod2010, EcoMod Downloads

Journal Articles

2017

  1. Output gaps and stabilisation policies in Latin America: The effect of commodity and capital flow cycles
    ENSAYOS SOBRE POLÍTICA ECONÓMICA, 2017, 35, (82), 40-52 Downloads
    Also in Ensayos sobre Política Económica, 2017, 35, (82), 40-52 (2017) Downloads

2016

  1. On the correlation between commodity and equity returns: Implications for portfolio allocation
    Journal of Commodity Markets, 2016, 2, (1), 45-57 Downloads View citations (1)
    See also Working Paper (2013)

2015

  1. (Why) Is investment weak?
    BIS Quarterly Review, 2015 Downloads View citations (11)
  2. Has the Transmission of Policy Rates to Lending Rates Changed in the Wake of the Global Financial Crisis?
    International Finance, 2015, 18, (3), 263-280 Downloads
  3. Oil and debt
    BIS Quarterly Review, 2015 Downloads View citations (2)
  4. The use of payment systems data as early indicators of economic activity
    Applied Economics Letters, 2015, 22, (8), 646-650 Downloads

2013

  1. Interest rate pass-through since the financial crisis
    BIS Quarterly Review, 2013 Downloads View citations (35)
  2. The Impact of Monetary Policy Shocks on Commodity Prices
    International Journal of Central Banking, 2013, 9, (3), 125-150 Downloads View citations (17)
    See also Working Paper (2012)

2012

  1. Bayesian prior elicitation in DSGE models: Macro- vs micropriors
    Journal of Economic Dynamics and Control, 2012, 36, (2), 294-313 Downloads View citations (4)
    See also Working Paper (2011)
  2. Global commodity cycles and linkages: a FAVAR approach
    Empirical Economics, 2012, 43, (2), 651-670 Downloads View citations (30)
    See also Working Paper (2010)
  3. The Role of Financial Variables in predicting economic activity
    Journal of Forecasting, 2012, 31, (1), 15-46 View citations (16)
    See also Working Paper (2009)

2009

  1. Indirect estimation of [alpha]-stable stochastic volatility models
    Computational Statistics & Data Analysis, 2009, 53, (6), 2298-2308 Downloads View citations (6)
    See also Working Paper (2006)
  2. Indirect estimation of elliptical stable distributions
    Computational Statistics & Data Analysis, 2009, 53, (6), 2309-2324 Downloads View citations (11)
    See also Working Paper (2007)

2008

  1. Indirect Estimation of α-Stable Distributions and Processes
    Econometrics Journal, 2008, 11, (1), 193-208 Downloads View citations (9)
  2. The effect of seasonal adjustment on the properties of business cycle regimes
    Journal of Applied Econometrics, 2008, 23, (2), 257-278 Downloads View citations (1)
    See also Working Paper (2005)

2007

  1. Bayesian inference for [alpha]-stable distributions: A random walk MCMC approach
    Computational Statistics & Data Analysis, 2007, 51, (5), 2688-2700 Downloads View citations (6)
    See also Working Paper (2004)

Chapters

2014

  1. Has Asian emerging market monetary policy been too procyclical when responding to swings in commodity prices?
    A chapter in Globalisation, inflation and monetary policy in Asia and the Pacific, 2014, vol. 77, pp 129-153 Downloads View citations (3)

2010

  1. Key Elements of Global Inflation
    A chapter in Inflation in an Era of Relative Price Shocks, 2010 Downloads View citations (3)
    See also Working Paper
 
Page updated 2017-08-18