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Details about Andrea Carriero

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Workplace:School of Economics and Finance, Queen Mary University of London, (more information at EDIRC)
Dipartimento di Scienze Economiche (Department of Economics), Alma Mater Studiorum - Università di Bologna (University of Bologna), (more information at EDIRC)

Access statistics for papers by Andrea Carriero.

Last updated 2023-05-02. Update your information in the RePEc Author Service.

Short-id: pca105


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Working Papers

2022

  1. Generalizing the Max Share Identification to multiple shocks identification: an Application to Uncertainty
    School of Economics Discussion Papers, School of Economics, University of Surrey Downloads View citations (1)
  2. Macroeconomic Forecasting in a Multi-country Context
    Working Papers, Federal Reserve Bank of Cleveland Downloads View citations (1)
  3. Measuring Uncertainty and Its Effects in the COVID-19 Era
    Working Papers, Federal Reserve Bank of Cleveland Downloads View citations (1)

2019

  1. Assessing International Commonality in Macroeconomic Uncertainty and Its Effects
    Working Papers, Federal Reserve Bank of Cleveland Downloads View citations (4)
    Also in Working Papers (Old Series), Federal Reserve Bank of Cleveland (2018) Downloads View citations (3)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2019) Downloads View citations (4)

    See also Journal Article Assessing international commonality in macroeconomic uncertainty and its effects, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2020) Downloads View citations (19) (2020)

2018

  1. Credit Conditions and the Asymmetric Effects of Monetary Policy Shocks
    EMF Research Papers, Economic Modelling and Forecasting Group Downloads View citations (1)
  2. Endogenous Uncertainty
    Working Papers (Old Series), Federal Reserve Bank of Cleveland Downloads View citations (4)
  3. The global component of inflation volatility
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (13)

2016

  1. A comprehensive evaluation of macroeconomic forecasting methods
    EMF Research Papers, Economic Modelling and Forecasting Group Downloads View citations (1)
    See also Journal Article A comprehensive evaluation of macroeconomic forecasting methods, International Journal of Forecasting, Elsevier (2019) Downloads View citations (31) (2019)
  2. Have Standard VARs Remained Stable Since the Crisis?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (6)
    Also in Working Paper, Norges Bank (2014) Downloads View citations (14)
    Working Papers (Old Series), Federal Reserve Bank of Cleveland (2014) Downloads View citations (9)

    See also Journal Article Have Standard VARS Remained Stable Since the Crisis?, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2017) Downloads View citations (29) (2017)
  3. Large Vector Autoregressions with Stochastic Volatility and Flexible Priors
    Working Papers (Old Series), Federal Reserve Bank of Cleveland Downloads View citations (13)
  4. Measuring Uncertainty and Its Impact on the Economy
    Working Papers (Old Series), Federal Reserve Bank of Cleveland Downloads View citations (10)
    Also in BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy (2016) Downloads View citations (28)

    See also Journal Article Measuring Uncertainty and Its Impact on the Economy, The Review of Economics and Statistics, MIT Press (2018) Downloads View citations (133) (2018)
  5. UK term structure decompositions at the zero lower bound
    Working papers, Banque de France Downloads View citations (2)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2015) Downloads View citations (4)

    See also Journal Article UK term structure decompositions at the zero lower bound, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2018) Downloads View citations (8) (2018)

2015

  1. A Shrinkage Instrumental Variable Estimator for Large Datasets
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2008) Downloads

    See also Journal Article A SHRINKAGE INSTRUMENTAL VARIABLE ESTIMATOR FOR LARGE DATASETS, L'Actualité Economique, Société Canadienne de Science Economique (2015) Downloads (2015)
  2. Large Vector Autoregressions with Asymmetric Priors
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (22)
  3. Structural Analysis with Multivariate Autoregressive Index Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (4)
    See also Journal Article Structural analysis with Multivariate Autoregressive Index models, Journal of Econometrics, Elsevier (2016) Downloads View citations (22) (2016)

2014

  1. No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (4)
    See also Journal Article No‐arbitrage priors, drifting volatilities, and the term structure of interest rates, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2021) Downloads View citations (1) (2021)
  2. Tracing Out Capital Flows: How Financially Integrated Banks Respond to Natural Disasters
    Working Papers (Old Series), Federal Reserve Bank of Cleveland Downloads View citations (15)

2013

  1. Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (10)
    Also in Working Papers (Old Series), Federal Reserve Bank of Cleveland (2012) Downloads View citations (3)

    See also Journal Article Realtime nowcasting with a Bayesian mixed frequency model with stochastic volatility, Journal of the Royal Statistical Society Series A, Royal Statistical Society (2015) Downloads View citations (75) (2015)
  2. The Impact of Uncertainty Shocks under Measurement Error. A Proxy SVAR Approach
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (8)
    See also Journal Article The Impact of Uncertainty Shocks under Measurement Error: A Proxy SVAR Approach, Journal of Money, Credit and Banking, Blackwell Publishing (2015) Downloads View citations (97) (2015)

2012

  1. Common Drifting Volatility in Large Bayesian VARs
    Economics Working Papers, European University Institute Downloads View citations (36)
    Also in Working Papers (Old Series), Federal Reserve Bank of Cleveland (2012) Downloads View citations (24)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012) Downloads View citations (36)

    See also Journal Article Common Drifting Volatility in Large Bayesian VARs, Journal of Business & Economic Statistics, Taylor & Francis Journals (2016) Downloads View citations (128) (2016)

2011

  1. Bayesian VARs: Specification Choices and Forecast Accuracy
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (46)
    Also in Working Papers (Old Series), Federal Reserve Bank of Cleveland (2011) Downloads View citations (10)

    See also Journal Article Bayesian VARs: Specification Choices and Forecast Accuracy, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2015) Downloads View citations (119) (2015)
  2. How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?
    Post-Print, HAL Downloads View citations (29)
    See also Journal Article How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?, Journal of Econometrics, Elsevier (2011) Downloads View citations (34) (2011)

2010

  1. Forecasting Government Bond Yields with Large Bayesian VARs
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (10)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2010) Downloads View citations (6)

2009

  1. Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (5)
    Also in Economics Working Papers, European University Institute (2009) Downloads View citations (5)

    See also Journal Article Forecasting large datasets with Bayesian reduced rank multivariate models, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2011) View citations (74) (2011)

2008

  1. Forecasting Exchange Rates with a Large Bayesian VAR
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (4)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2008) Downloads
    Economics Working Papers, European University Institute (2008) Downloads

    See also Journal Article Forecasting exchange rates with a large Bayesian VAR, International Journal of Forecasting, Elsevier (2009) Downloads View citations (149) (2009)
  2. Forecasting with Dynamic Models using Shrinkage-based Estimation
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (2)

2007

  1. A Bayesian Framework for the Expectations Hypothesis. How to Extract Additional Information from the Term Structure of Interest Rates
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (1)
  2. A Comparison of Methods for the Construction of Composite Coincident and Leading Indexes for the UK
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (9)
    See also Journal Article A comparison of methods for the construction of composite coincident and leading indexes for the UK, International Journal of Forecasting, Elsevier (2007) Downloads View citations (14) (2007)
  3. A Simple Test of the New Keynesian Phillips Curve
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads
    See also Journal Article A simple test of the New Keynesian Phillips Curve, Economics Letters, Elsevier (2008) Downloads View citations (10) (2008)
  4. Forecasting Large Datasets with Reduced Rank Multivariate Models
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (4)
  5. Forecasting the Yield Curve Using Priors from No Arbitrage Affine Term Structure Models
    Working Papers, Queen Mary University of London, School of Economics and Finance Downloads View citations (3)
    See also Journal Article FORECASTING THE YIELD CURVE USING PRIORS FROM NO‐ARBITRAGE AFFINE TERM STRUCTURE MODELS, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2011) View citations (14) (2011)
  6. Monitoring the Economy of the Euro Area: A Comparison of Composite Coincident Indexes
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (1)
  7. Sectoral Survey-based Confidence Indicators for Europe
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (4)
    See also Journal Article Sectoral Survey‐based Confidence Indicators for Europe, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2011) View citations (7) (2011)

2004

  1. Financial Factors, Macroeconomic Information and the Expectations Theory of the Term Structure of Interest Rates
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (13)
    Also in Computing in Economics and Finance 2004, Society for Computational Economics (2004) Downloads View citations (6)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) Downloads View citations (11)

    See also Journal Article Financial factors, macroeconomic information and the Expectations Theory of the term structure of interest rates, Journal of Econometrics, Elsevier (2006) Downloads View citations (26) (2006)

Journal Articles

2021

  1. No‐arbitrage priors, drifting volatilities, and the term structure of interest rates
    Journal of Applied Econometrics, 2021, 36, (5), 495-516 Downloads View citations (1)
    See also Working Paper No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates, CEPR Discussion Papers (2014) Downloads View citations (4) (2014)
  2. Using time-varying volatility for identification in Vector Autoregressions: An application to endogenous uncertainty
    Journal of Econometrics, 2021, 225, (1), 47-73 Downloads View citations (12)

2020

  1. Assessing international commonality in macroeconomic uncertainty and its effects
    Journal of Applied Econometrics, 2020, 35, (3), 273-293 Downloads View citations (19)
    See also Working Paper Assessing International Commonality in Macroeconomic Uncertainty and Its Effects, Working Papers (2019) Downloads View citations (4) (2019)

2019

  1. A comprehensive evaluation of macroeconomic forecasting methods
    International Journal of Forecasting, 2019, 35, (4), 1226-1239 Downloads View citations (31)
    See also Working Paper A comprehensive evaluation of macroeconomic forecasting methods, EMF Research Papers (2016) Downloads View citations (1) (2016)
  2. Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors
    Journal of Econometrics, 2019, 212, (1), 137-154 Downloads View citations (122)

2018

  1. Measuring Uncertainty and Its Impact on the Economy
    The Review of Economics and Statistics, 2018, 100, (5), 799-815 Downloads View citations (133)
    See also Working Paper Measuring Uncertainty and Its Impact on the Economy, Working Papers (Old Series) (2016) Downloads View citations (10) (2016)
  2. UK term structure decompositions at the zero lower bound
    Journal of Applied Econometrics, 2018, 33, (5), 643-661 Downloads View citations (8)
    See also Working Paper UK term structure decompositions at the zero lower bound, Working papers (2016) Downloads View citations (2) (2016)

2017

  1. Have Standard VARS Remained Stable Since the Crisis?
    Journal of Applied Econometrics, 2017, 32, (5), 931-951 Downloads View citations (29)
    See also Working Paper Have Standard VARs Remained Stable Since the Crisis?, CEPR Discussion Papers (2016) Downloads View citations (6) (2016)

2016

  1. Common Drifting Volatility in Large Bayesian VARs
    Journal of Business & Economic Statistics, 2016, 34, (3), 375-390 Downloads View citations (128)
    See also Working Paper Common Drifting Volatility in Large Bayesian VARs, Economics Working Papers (2012) Downloads View citations (36) (2012)
  2. Structural analysis with Multivariate Autoregressive Index models
    Journal of Econometrics, 2016, 192, (2), 332-348 Downloads View citations (22)
    See also Working Paper Structural Analysis with Multivariate Autoregressive Index Models, CEPR Discussion Papers (2015) Downloads View citations (4) (2015)

2015

  1. A SHRINKAGE INSTRUMENTAL VARIABLE ESTIMATOR FOR LARGE DATASETS
    L'Actualité Economique, 2015, 91, (1-2), 67-87 Downloads
    See also Working Paper A Shrinkage Instrumental Variable Estimator for Large Datasets, Working Papers (2015) Downloads (2015)
  2. Bayesian VARs: Specification Choices and Forecast Accuracy
    Journal of Applied Econometrics, 2015, 30, (1), 46-73 Downloads View citations (119)
    See also Working Paper Bayesian VARs: Specification Choices and Forecast Accuracy, CEPR Discussion Papers (2011) Downloads View citations (46) (2011)
  3. Forecasting with Bayesian multivariate vintage-based VARs
    International Journal of Forecasting, 2015, 31, (3), 757-768 Downloads View citations (11)
  4. Macroeconomic information, structural change, and the prediction of fiscal aggregates
    International Journal of Forecasting, 2015, 31, (2), 325-348 Downloads View citations (1)
  5. Realtime nowcasting with a Bayesian mixed frequency model with stochastic volatility
    Journal of the Royal Statistical Society Series A, 2015, 178, (4), 837-862 Downloads View citations (75)
    See also Working Paper Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility, CEPR Discussion Papers (2013) Downloads View citations (10) (2013)
  6. The Impact of Uncertainty Shocks under Measurement Error: A Proxy SVAR Approach
    Journal of Money, Credit and Banking, 2015, 47, (6), 1223-1238 Downloads View citations (97)
    See also Working Paper The Impact of Uncertainty Shocks under Measurement Error. A Proxy SVAR Approach, Working Papers (2013) Downloads View citations (8) (2013)

2012

  1. Forecasting government bond yields with large Bayesian vector autoregressions
    Journal of Banking & Finance, 2012, 36, (7), 2026-2047 Downloads View citations (54)

2011

  1. FORECASTING THE YIELD CURVE USING PRIORS FROM NO‐ARBITRAGE AFFINE TERM STRUCTURE MODELS
    International Economic Review, 2011, 52, (2), 425-459 View citations (14)
    See also Working Paper Forecasting the Yield Curve Using Priors from No Arbitrage Affine Term Structure Models, Working Papers (2007) Downloads View citations (3) (2007)
  2. Forecasting large datasets with Bayesian reduced rank multivariate models
    Journal of Applied Econometrics, 2011, 26, (5), 735-761 View citations (74)
    See also Working Paper Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models, CEPR Discussion Papers (2009) Downloads View citations (5) (2009)
  3. How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?
    Journal of Econometrics, 2011, 164, (1), 21-34 Downloads View citations (34)
    See also Working Paper How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?, Post-Print (2011) Downloads View citations (29) (2011)
  4. Sectoral Survey‐based Confidence Indicators for Europe
    Oxford Bulletin of Economics and Statistics, 2011, 73, (2), 175-206 View citations (7)
    See also Working Paper Sectoral Survey-based Confidence Indicators for Europe, Working Papers (2007) Downloads View citations (4) (2007)

2009

  1. Forecasting exchange rates with a large Bayesian VAR
    International Journal of Forecasting, 2009, 25, (2), 400-417 Downloads View citations (149)
    See also Working Paper Forecasting Exchange Rates with a Large Bayesian VAR, CEPR Discussion Papers (2008) Downloads View citations (4) (2008)

2008

  1. A simple test of the New Keynesian Phillips Curve
    Economics Letters, 2008, 100, (2), 241-244 Downloads View citations (10)
    See also Working Paper A Simple Test of the New Keynesian Phillips Curve, Working Papers (2007) Downloads (2007)

2007

  1. A comparison of methods for the construction of composite coincident and leading indexes for the UK
    International Journal of Forecasting, 2007, 23, (2), 219-236 Downloads View citations (14)
    See also Working Paper A Comparison of Methods for the Construction of Composite Coincident and Leading Indexes for the UK, Working Papers (2007) Downloads View citations (9) (2007)

2006

  1. Explaining US–UK Interest Rate Differentials: A Reassessment of the Uncovered Interest Rate Parity in a Bayesian Framework*
    Oxford Bulletin of Economics and Statistics, 2006, 68, (s1), 879-899 Downloads View citations (8)
  2. Financial factors, macroeconomic information and the Expectations Theory of the term structure of interest rates
    Journal of Econometrics, 2006, 131, (1-2), 339-358 Downloads View citations (26)
    See also Working Paper Financial Factors, Macroeconomic Information and the Expectations Theory of the Term Structure of Interest Rates, Working Papers (2004) Downloads View citations (13) (2004)
 
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