Details about Lucrezia Reichlin

Access statistics for papers by Lucrezia Reichlin.

Last updated 2008-06-05. Update your information in the RePEc Author Service.

Short-id: pre102

Working Papers

2008

1. Explaining the Great Moderation - it is not the shocks
   Working Paper Series, European Central Bank View citations
   Also in
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2007)
2. Short-term Forecasts of Euro Area GDP Growth
   CEPR Discussion Papers, C.E.P.R. Discussion Papers

2007

3. A Two-Step Estimator for Large Approximate Dynamic Factor Models Based on Kalman Filtering
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
   Also in
   THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2006)
4. Bayesian VARs with Large Panels
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
5. Nowcasting GDP and Inflation: The Real-Time Informational Content of Macroeconomic Data Releases
   Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group View citations
   Also in
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2005) View citations
   Working Paper Series, European Central Bank (2006) View citations
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) View citations
6. Opening the black box - structural factor models with large gross-sections
   Working Paper Series, European Central Bank View citations

2006

7. A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
   Also in
   Working Paper Series, European Central Bank (2006) View citations
8. Does Information Help Recovering Structural Shocks from Past Observations?
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
   Also in
   Working Paper Series, European Central Bank (2006) View citations
   See Also Journal Article in Journal of the European Economic Association (2006)
9. Forecasting Using a Large Number of Predictors: Is Bayesian Regression a Valid Alternative to Principal Components?
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
   Also in
   Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, Research Centre (2006) View citations
   Working Paper Series, European Central Bank (2006) View citations
10. Trends and cycles in the euro area: how much heterogeneity and should we worry about it?
    Working Paper Series, European Central Bank View citations
    Also in
    Macroeconomics, EconWPA (2005) View citations
11. What are shocks capturing in DSGE modelling? Structure versus misspecification
    Computing in Economics and Finance 2006, Society for Computational Economics

2005

12. Does information help recovering fundamental structural shocks from past observations?
    Macroeconomics, EconWPA
13. Monetary Policy in Real Time
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    Also in
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations

2003

14. EUROCOIN: A REAL TIME COINCIDENT INDICATOR OF THE EURO AREA BUSINESS CYCLE
    Computing in Economics and Finance 2003, Society for Computational Economics View citations
    Also in
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2001) View citations
15. Opening the Black Box: Structural Factor Models versus Structural VARs
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
16. The Generalized Dynamic Factor Model. One-Sided Estimation and Forecasting
    LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy View citations
    Also in
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2002) View citations
    See Also Journal Article in Journal of the American Statistical Association (2005)

2002

17. Do Financial Variables Help Forecasting Inflation and Real Activity in the Euro Area?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    See Also Journal Article in Journal of Monetary Economics (2003)
18. Factor Models in Large Cross-Sections of Time Series
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
19. Tracking Greenspan: Systematic and Unsystematic Monetary Policy Revisited
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
20. VARs, Common Factors and the Empirical Validation of Equilibrium Business Cycle Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    Also in
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University
    See Also Journal Article in Journal of Econometrics (2006)

2001

21. A Core Inflation Index for the Euro Area
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    Also in
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research Department (2001) View citations
22. A real time coincident indicator of the euro area business cycle
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research Department View citations
23. The construction of coincident and leading indicators for the euro area business cycler of the euro area business cycle
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research Department View citations

2000

24. Reference Cycles: The NBER Methodology Revisited
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations

1999

25. A Measure of Comovement for Economic Variables: Theory and Empirics
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    See Also Journal Article in The Review of Economics and Statistics (2001)
26. The Generalized Dynamic Factor Model: Identification and Estimation
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    See Also Journal Article in The Review of Economics and Statistics (2000)

1997

27. National Policies and Local Economies: Europe and the United States
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations

1995

28. Dynamic Common Factors in Large Cross-Sections
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    See Also Journal Article in Empirical Economics (1996)
29. Let's Get Real: A Dynamic Factor Analytical Approach to Disaggregated Business Cycle
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations

1993

30. Diffusion of Technical Change and the Decomposition of Output into Trend and Cycle
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    See Also Journal Article in Review of Economic Studies (1994)
31. Information, Forecasts and Measurement of the Business Cycle
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    See Also Journal Article in Journal of Monetary Economics (1994)
32. Trends and Cycles in Labour Productivity in the Major OECD Countries
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    Also in
    OECD Economics Department Working Papers, OECD Economics Department (1993) View citations

1992

33. Information
    CEP Discussion Papers, Centre for Economic Performance, LSE View citations

Journal Articles

2006

1. Does information help recovering structural shocks from past observations?
   Journal of the European Economic Association, 2006, 4, (2-3), 455-465 View citations
   See Also Working Paper (2006)
2. VARs, common factors and the empirical validation of equilibrium business cycle models
   Journal of Econometrics, 2006, 132, (1), 257-279 View citations
   See Also Working Paper (2002)

2005

3. A Core Inflation Indicator for the Euro Area
   Journal of Money, Credit and Banking, 2005, 37, (3), 539-60 View citations
4. The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting
   Journal of the American Statistical Association, 2005, 100, 830-840 View citations
   See Also Working Paper (2003)

2004

5. The generalized dynamic factor model consistency and rates
   Journal of Econometrics, 2004, 119, (2), 231-255 View citations

2003

6. Do financial variables help forecasting inflation and real activity in the euro area?
   Journal of Monetary Economics, 2003, 50, (6), 1243-1255 View citations
   See Also Working Paper (2002)

2001

7. A Measure Of Comovement For Economic Variables: Theory And Empirics
   The Review of Economics and Statistics, 2001, 83, (2), 232-241 View citations
   See Also Working Paper (1999)
8. Federal policies and local economies: Europe and the US
   European Economic Review, 2001, 45, (1), 109-134 View citations

2000

9. The Generalized Dynamic-Factor Model: Identification And Estimation
   The Review of Economics and Statistics, 2000, 82, (4), 540-554 View citations
   See Also Working Paper (1999)

1999

10. Risk and potential insurance in Europe
    European Economic Review, 1999, 43, (7), 1237-1256 View citations

1998

11. Let's Get Real: A Factor Analytical Approach to Disaggregated Business Cycle Dynamics
    Review of Economic Studies, 1998, 65, (3), 453-73 View citations

1996

12. Dynamic Common Factors in Large Cross-Sections
    Empirical Economics, 1996, 21, (1), 27-42 View citations
    See Also Working Paper (1995)

1994

13. Common and uncommon trends and cycles
    European Economic Review, 1994, 38, (3-4), 624-635 View citations
14. Diffusion of Technical Change and the Decomposition of Output into Trend and Cycle
    Review of Economic Studies, 1994, 61, (1), 19-30 View citations
    See Also Working Paper (1993)
15. Information, forecasts, and measurement of the business cycle
    Journal of Monetary Economics, 1994, 33, (2), 233-254 View citations
    See Also Working Paper (1993)
16. VAR analysis, nonfundamental representations, blaschke matrices
    Journal of Econometrics, 1994, 63, (1), 307-325 View citations

1993

17. The Dynamic Effects of Aggregate Demand and Supply Disturbances: Comment
    American Economic Review, 1993, 83, (3), 644-52 View citations

1992

18. On persistence of shocks to economic variables: A common misconception
    Journal of Monetary Economics, 1992, 29, (1), 87-93

1991

19. Real business cycle under test; A multi-country, multi-sector exercise: by Horst Entorf
    European Economic Review, 1991, 35, (4), 966-969
20. Trend-Cycle Decompositions and Measures of Persistence: Does Time Aggregation Matter?
    Economic Journal, 1991, 101, (405), 314-23 View citations

1989

21. Comment
    Econometric Reviews, 1989, 8, (1), 123-131
22. Segmented Trends and Non-stationary Time Series
    Economic Journal, 1989, 99, (395), 168-77 View citations
23. Structural change and unit root econometrics
    Economics Letters, 1989, 31, (3), 231-233 View citations