Details about Claudia Foroni

Access statistics for papers by Claudia Foroni.

Last updated 2022-12-28. Update your information in the RePEc Author Service.

Short-id: pfo230

Working Papers

2022

1. Are low frequency macroeconomic variables important for high frequency electricity prices?
   Papers, arXiv.org
2. Explaining Deviations from Okun's Law
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in Working Paper Series, European Central Bank (2022)
3. The financial accelerator mechanism: does frequency matter?
   Working Paper Series, European Central Bank View citations (1)
   Also in Working Papers, Federal Reserve Bank of Cleveland (2022) View citations (2)

2021

4. A mixed frequency BVAR for the euro area labour market
   Working Paper Series, European Central Bank View citations (3)
5. Digitalisation: channels, impacts and implications for monetary policy in the euro area
   Occasional Paper Series, European Central Bank View citations (10)

2020

6. Forecasting the Covid-19 Recession and Recovery: Lessons from the Financial Crisis
   CIRANO Working Papers, CIRANO View citations (42)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020) View citations (38)
   Working Paper Series, European Central Bank (2020) View citations (42)
   See also Journal Article Forecasting the Covid-19 recession and recovery: Lessons from the financial crisis, International Journal of Forecasting, Elsevier (2022) View citations (16) (2022)

2019

7. Forecasting daily electricity prices with monthly macroeconomic variables
   Working Paper Series, European Central Bank View citations (3)
8. Much ado about nothing? The shale oil revolution and the global supply curve
   Working Paper Series, European Central Bank View citations (6)

2018

9. Mixed frequency models with MA components
   Working Paper Series, European Central Bank View citations (5)
   Also in Discussion Papers, Deutsche Bundesbank (2018) View citations (2)

2017

10. Assessing the Predictive Ability of Sovereign Default Risk on Exchange Rate Returns
    Staff Working Papers, Bank of Canada View citations (1)
    See also Journal Article Assessing the predictive ability of sovereign default risk on exchange rate returns, Journal of International Money and Finance, Elsevier (2018) View citations (9) (2018)
11. Explaining the Time-varying Effects Of Oil Market Shocks On U.S. Stock Returns
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (22)
    See also Journal Article Explaining the time-varying effects of oil market shocks on US stock returns, Economics Letters, Elsevier (2017) View citations (26) (2017)
12. Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model
    CEPR Discussion Papers, C.E.P.R. Discussion Papers

2015

13. Forecasting commodity currencies: the role of fundamentals with short-lived predictive content
    Working Paper, Norges Bank View citations (8)
14. Labor Supply Factors and Economic Fluctuations
    Working Paper, Norges Bank View citations (18)
    See also Journal Article LABOR SUPPLY FACTORS AND ECONOMIC FLUCTUATIONS, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2018) View citations (50) (2018)
15. Using low frequency information for predicting high frequency variables
    Working Paper, Norges Bank View citations (9)
    See also Journal Article Using low frequency information for predicting high frequency variables, International Journal of Forecasting, Elsevier (2018) View citations (33) (2018)

2014

16. Density forecasts with MIDAS models
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School View citations (4)
    Also in Working Paper, Norges Bank (2014) View citations (4)
    See also Journal Article Density Forecasts With Midas Models, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2017) View citations (19) (2017)
17. Markov-Switching Mixed-Frequency VAR Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
    See also Journal Article Markov-switching mixed-frequency VAR models, International Journal of Forecasting, Elsevier (2015) View citations (18) (2015)
18. Mixed frequency structural VARs
    Working Paper, Norges Bank View citations (10)

2013

19. A survey of econometric methods for mixed-frequency data
    Economics Working Papers, European University Institute View citations (85)
    Also in Working Paper, Norges Bank (2013) View citations (91)
20. Mixed frequency structural models: estimation, and policy analysis
    Working Paper, Norges Bank View citations (7)

2012

21. A Comparison of Mixed Frequency Approaches for Modelling Euro Area Macroeconomic Variables
    Economics Working Papers, European University Institute View citations (13)
22. U-MIDAS: MIDAS regressions with unrestricted lag polynomials
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (35)
    Also in Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank (2011) View citations (16)

Journal Articles

2022

1. Forecasting the Covid-19 recession and recovery: Lessons from the financial crisis
   International Journal of Forecasting, 2022, 38, (2), 596-612 View citations (16)
   See also Working Paper Forecasting the Covid-19 Recession and Recovery: Lessons from the Financial Crisis, CIRANO Working Papers (2020) View citations (42) (2020)

2021

2. The impact of the COVID-19 pandemic on the euro area labour market
   Economic Bulletin Articles, 2021, 8 View citations (17)

2020

3. Regional labour market developments during the great financial crisis and subsequent recovery
   Economic Bulletin Boxes, 2020, 4 View citations (1)
4. Short-time work schemes and their effects on wages and disposable income
   Economic Bulletin Boxes, 2020, 4 View citations (6)

2019

5. Mixed‐frequency models with moving‐average components
   Journal of Applied Econometrics, 2019, 34, (5), 688-706 View citations (3)

2018

6. Assessing the predictive ability of sovereign default risk on exchange rate returns
   Journal of International Money and Finance, 2018, 81, (C), 242-264 View citations (9)
   See also Working Paper Assessing the Predictive Ability of Sovereign Default Risk on Exchange Rate Returns, Staff Working Papers (2017) View citations (1) (2017)
7. LABOR SUPPLY FACTORS AND ECONOMIC FLUCTUATIONS
   International Economic Review, 2018, 59, (3), 1491-1510 View citations (50)
   See also Working Paper Labor Supply Factors and Economic Fluctuations, Working Paper (2015) View citations (18) (2015)
8. Using low frequency information for predicting high frequency variables
   International Journal of Forecasting, 2018, 34, (4), 774-787 View citations (33)
   See also Working Paper Using low frequency information for predicting high frequency variables, Working Paper (2015) View citations (9) (2015)

2017

9. A daily indicator of economic growth for the euro area
   International Journal of Computational Economics and Econometrics, 2017, 7, (1/2), 43-63 View citations (6)
10. Density Forecasts With Midas Models
    Journal of Applied Econometrics, 2017, 32, (4), 783-801 View citations (19)
    See also Working Paper Density forecasts with MIDAS models, Working Papers (2014) View citations (4) (2014)
11. Explaining the time-varying effects of oil market shocks on US stock returns
    Economics Letters, 2017, 155, (C), 84-88 View citations (26)
    See also Working Paper Explaining the Time-varying Effects Of Oil Market Shocks On U.S. Stock Returns, Working Papers (2017) View citations (22) (2017)

2016

12. Mixed frequency structural vector auto-regressive models
    Journal of the Royal Statistical Society Series A, 2016, 179, (2), 403-425 View citations (13)

2015

13. Markov-switching mixed-frequency VAR models
    International Journal of Forecasting, 2015, 31, (3), 692-711 View citations (18)
    See also Working Paper Markov-Switching Mixed-Frequency VAR Models, CEPR Discussion Papers (2014) View citations (1) (2014)
14. Unrestricted mixed data sampling (MIDAS): MIDAS regressions with unrestricted lag polynomials
    Journal of the Royal Statistical Society Series A, 2015, 178, (1), 57-82 View citations (158)

2014

15. A comparison of mixed frequency approaches for nowcasting Euro area macroeconomic aggregates
    International Journal of Forecasting, 2014, 30, (3), 554-568 View citations (96)
16. MIXED‐FREQUENCY STRUCTURAL MODELS: IDENTIFICATION, ESTIMATION, AND POLICY ANALYSIS
    Journal of Applied Econometrics, 2014, 29, (7), 1118-1144 View citations (23)