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Details about Domenico Giannone

Homepage:https://econ.washington.edu/people/domenico-giannone
Workplace:International Monetary Fund (IMF), (more information at EDIRC)
Centre for Economic Policy Research (CEPR), (more information at EDIRC)
Department of Economics, University of Washington, (more information at EDIRC)

Access statistics for papers by Domenico Giannone.

Last updated 2024-04-19. Update your information in the RePEc Author Service.

Short-id: pgi49


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Working Papers

2022

  1. 800,000 Years of Climate Risk
    Staff Reports, Federal Reserve Bank of New York Downloads
  2. Scarce, Abundant, or Ample? A Time-Varying Model of the Reserve Demand Curve
    Staff Reports, Federal Reserve Bank of New York Downloads

2021

  1. A Large Bayesian VAR of the United States Economy
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (3)
  2. Back to the Present: Learning about the Euro Area through a Now-casting Model
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (3)
    See also Journal Article Back to the present: Learning about the euro area through a now-casting model, International Journal of Forecasting, Elsevier (2024) Downloads (2024)
  3. Economic predictions with big data: the illusion of sparsity
    Working Paper Series, European Central Bank Downloads View citations (48)
    Also in Liberty Street Economics, Federal Reserve Bank of New York (2018) Downloads View citations (21)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2017) Downloads View citations (27)
    Staff Reports, Federal Reserve Bank of New York (2018) Downloads View citations (21)

    See also Journal Article Economic Predictions With Big Data: The Illusion of Sparsity, Econometrica, Econometric Society (2021) Downloads View citations (47) (2021)
  4. Nowcasting with Large Bayesian Vector Autoregressions
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (4)
    Also in Working Paper Series, European Central Bank (2020) Downloads View citations (12)

    See also Journal Article Nowcasting with large Bayesian vector autoregressions, Journal of Econometrics, Elsevier (2022) Downloads View citations (9) (2022)

2020

  1. Bank Capital and Real GDP Growth
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (5)
  2. Forecasting Macroeconomic Risks
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (1)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020) Downloads View citations (2)

    See also Journal Article Forecasting macroeconomic risks, International Journal of Forecasting, Elsevier (2021) Downloads View citations (28) (2021)
  3. Multimodality in Macro-Financial Dynamics
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (6)
    Also in Staff Reports, Federal Reserve Bank of New York (2019) Downloads View citations (8)

    See also Journal Article MULTIMODALITY IN MACROFINANCIAL DYNAMICS, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2021) Downloads View citations (15) (2021)
  4. Reading the Tea Leaves of the U.S. Business Cycle—Part One
    Liberty Street Economics, Federal Reserve Bank of New York Downloads
  5. Reading the Tea Leaves of the U.S. Business Cycle—Part Two
    Liberty Street Economics, Federal Reserve Bank of New York Downloads
  6. What Do Financial Conditions Tell Us about Risks to GDP Growth?
    Liberty Street Economics, Federal Reserve Bank of New York Downloads View citations (5)

2019

  1. Global Trends in Interest Rates
    Liberty Street Economics, Federal Reserve Bank of New York Downloads View citations (75)
    Also in Working Papers, Federal Reserve Bank of Dallas (2018) Downloads View citations (10)
    NBER Working Papers, National Bureau of Economic Research, Inc (2018) Downloads View citations (30)
    2019 Meeting Papers, Society for Economic Dynamics (2019) Downloads View citations (99)
    Staff Reports, Federal Reserve Bank of New York (2018) Downloads View citations (8)

    See also Chapter Global Trends in Interest Rates, NBER Chapters, National Bureau of Economic Research, Inc (2018) View citations (30) (2018)
    Journal Article Global trends in interest rates, Journal of International Economics, Elsevier (2019) Downloads View citations (84) (2019)
  2. Money, credit, monetary policy and the business cycle in the euro area: what has changed since the crisis?
    Working Paper Series, European Central Bank Downloads View citations (15)
    Also in Staff Reports, Federal Reserve Bank of New York (2019) Downloads View citations (9)

    See also Journal Article Money, Credit, Monetary Policy, and the Business Cycle in the Euro Area: What Has Changed Since the Crisis?, International Journal of Central Banking, International Journal of Central Banking (2019) Downloads View citations (15) (2019)
  3. Monitoring Economic Conditions during a Government Shutdown
    Liberty Street Economics, Federal Reserve Bank of New York Downloads

2018

  1. A DSGE Perspective on Safety, Liquidity, and Low Interest Rates
    Liberty Street Economics, Federal Reserve Bank of New York Downloads
  2. A New Perspective on Low Interest Rates
    Liberty Street Economics, Federal Reserve Bank of New York Downloads
  3. A Time-Series Perspective on Safety, Liquidity, and Low Interest Rates
    Liberty Street Economics, Federal Reserve Bank of New York Downloads
  4. Changing Risk-Return Profiles
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (4)
    Also in Liberty Street Economics, Federal Reserve Bank of New York (2018) Downloads View citations (2)
  5. Common Factors of Commodity Prices
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (10)
    Also in Working Paper Series, European Central Bank (2017) Downloads View citations (52)
    Working papers, Banque de France (2017) Downloads View citations (50)

    See also Journal Article Common factors of commodity prices, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2022) Downloads View citations (17) (2022)
  6. Flighty liquidity
    Staff Reports, Federal Reserve Bank of New York Downloads
  7. Macroeconomic Nowcasting and Forecasting with Big Data
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (85)
    Also in Staff Reports, Federal Reserve Bank of New York (2017) Downloads View citations (19)

    See also Journal Article Macroeconomic Nowcasting and Forecasting with Big Data, Annual Review of Economics, Annual Reviews (2018) Downloads View citations (1) (2018)
  8. Opening the Toolbox: The Nowcasting Code on GitHub
    Liberty Street Economics, Federal Reserve Bank of New York Downloads
  9. Priors for the long run
    Working Paper Series, European Central Bank Downloads View citations (13)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2016) Downloads View citations (12)
    Staff Reports, Federal Reserve Bank of New York (2017) Downloads View citations (4)

    See also Journal Article Priors for the Long Run, Journal of the American Statistical Association, Taylor & Francis Journals (2019) Downloads View citations (37) (2019)
  10. Vulnerable Growth
    Liberty Street Economics, Federal Reserve Bank of New York Downloads View citations (42)
    Also in Staff Reports, Federal Reserve Bank of New York (2016) Downloads View citations (44)
    2017 Meeting Papers, Society for Economic Dynamics (2017) Downloads View citations (10)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2016) Downloads View citations (5)

    See also Journal Article Vulnerable Growth, American Economic Review, American Economic Association (2019) Downloads View citations (135) (2019)

2017

  1. Safety, Liquidity, and the Natural Rate of Interest
    2017 Meeting Papers, Society for Economic Dynamics Downloads View citations (189)
    Also in Staff Reports, Federal Reserve Bank of New York (2017) Downloads View citations (97)

    See also Journal Article Safety, Liquidity, and the Natural Rate of Interest, Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution (2017) Downloads View citations (189) (2017)

2016

  1. The effectiveness of non-standard monetary policy measures: evidence from survey data
    Working Paper Series, European Central Bank Downloads View citations (6)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2014) Downloads View citations (24)
    Working Papers CASMEF, Dipartimento di Economia e Finanza, LUISS Guido Carli (2014) Downloads View citations (12)
    Staff Reports, Federal Reserve Bank of New York (2015) Downloads View citations (1)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) Downloads View citations (20)

    See also Journal Article The Effectiveness of Non‐Standard Monetary Policy Measures: Evidence from Survey Data, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2017) Downloads View citations (28) (2017)

2015

  1. Exploiting the monthly data flow in structural forecasting
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (1)
    Also in Bank of England working papers, Bank of England (2014) Downloads View citations (4)
    Discussion Papers, Centre for Macroeconomics (CFM) (2014) Downloads View citations (4)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2014) Downloads View citations (4)

    See also Journal Article Exploiting the monthly data flow in structural forecasting, Journal of Monetary Economics, Elsevier (2016) Downloads View citations (15) (2016)
  2. Nowcasting Business Cycles: a Bayesian Approach to Dynamic Heterogeneous Factor Models
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (11)
    See also Chapter Nowcasting Business Cycles: A Bayesian Approach to Dynamic Heterogeneous Factor Models, Advances in Econometrics, Emerald Group Publishing Limited (2016) Downloads View citations (16) (2016)

2014

  1. Conditional Forecasts and Scenario Analysis with Vector Autoregressions for Large Cross-Sections
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (22)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) Downloads View citations (19)
    Working Paper Series, European Central Bank (2014) Downloads View citations (19)

    See also Journal Article Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections, International Journal of Forecasting, Elsevier (2015) Downloads View citations (116) (2015)
  2. Low Frequency Effects of Macroeconomic News on Government Bond Yields
    CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy Downloads View citations (15)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2014) Downloads View citations (18)
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2014) Downloads View citations (18)

    See also Journal Article Low frequency effects of macroeconomic news on government bond yields, Journal of Monetary Economics, Elsevier (2017) Downloads View citations (38) (2017)
  3. The Financial and Macroeconomic Effects of OMT Announcements
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (124)
    Also in Working Paper Series, European Central Bank (2014) Downloads View citations (134)
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2014) Downloads View citations (135)
    CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy (2014) Downloads View citations (131)

    See also Journal Article The Financial and Macroeconomic Effects of the OMT Announcements, International Journal of Central Banking, International Journal of Central Banking (2016) Downloads View citations (109) (2016)
  4. Unspanned macroeconomic factors in the yield curve
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (8)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2013) Downloads View citations (13)

    See also Journal Article Unspanned Macroeconomic Factors in the Yield Curve, Journal of Business & Economic Statistics, Taylor & Francis Journals (2016) Downloads View citations (37) (2016)

2013

  1. Now-casting and the real-time data flow
    Working Paper Series, European Central Bank Downloads View citations (202)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2012) Downloads View citations (88)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012) Downloads View citations (19)

    See also Chapter Now-Casting and the Real-Time Data Flow, Handbook of Economic Forecasting, Elsevier (2013) Downloads View citations (164) (2013)

2012

  1. A Quasi Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models
    PSE-Ecole d'économie de Paris (Postprint), HAL View citations (227)
    Also in Working Paper Series, European Central Bank (2006) Downloads View citations (101)
    Post-Print, HAL (2012) View citations (222)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2006) Downloads View citations (120)
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2008) Downloads View citations (48)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2012) View citations (263)

    See also Journal Article A Quasi–Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models, The Review of Economics and Statistics, MIT Press (2012) Downloads View citations (206) (2012)
  2. Money, Credit, Monetary Policy and the Business Cycle in the Euro Area
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (52)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012) Downloads View citations (55)
  3. Nowcasting with Daily Data
    2012 Meeting Papers, Society for Economic Dynamics Downloads View citations (7)
  4. Optimal Combination of Survey Forecasts
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (20)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012) Downloads View citations (6)

    See also Journal Article Optimal combination of survey forecasts, International Journal of Forecasting, Elsevier (2015) Downloads View citations (50) (2015)
  5. Prior Selection for Vector Autoregressions
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (86)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2012) Downloads View citations (93)
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2012) Downloads View citations (106)
    Working Paper Series, European Central Bank (2012) Downloads View citations (85)

    See also Journal Article Prior Selection for Vector Autoregressions, The Review of Economics and Statistics, MIT Press (2015) Downloads View citations (443) (2015)
  6. The ECB and the Interbank Market
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (95)
    Also in Working Paper Series, European Central Bank (2012) Downloads View citations (93)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012) Downloads View citations (102)

    See also Journal Article The ECB and the Interbank Market, Economic Journal, Royal Economic Society (2012) Downloads View citations (95) (2012)

2011

  1. A two-step estimator for large approximate dynamic factor models based on Kalman filtering
    Post-Print, HAL View citations (291)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2011) View citations (301)
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2006) Downloads View citations (32)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2007) Downloads View citations (47)
    PSE-Ecole d'économie de Paris (Postprint), HAL (2011) View citations (272)

    See also Journal Article A two-step estimator for large approximate dynamic factor models based on Kalman filtering, Journal of Econometrics, Elsevier (2011) Downloads View citations (315) (2011)
  2. Market freedom and the global recession
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (74)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2010) Downloads View citations (42)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2010) Downloads View citations (45)

    See also Journal Article Market Freedom and the Global Recession, IMF Economic Review, Palgrave Macmillan (2011) Downloads View citations (80) (2011)
  3. Non-standard monetary policy measures and monetary developments
    Working Paper Series, European Central Bank Downloads View citations (52)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2010) Downloads View citations (9)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2010) Downloads View citations (18)
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2010) Downloads View citations (9)

2010

  1. An Area Wide Real Time Data Base for the Euro Area
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (2)
    Also in Working Paper Series, European Central Bank (2010) Downloads View citations (36)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2010) Downloads View citations (35)

    See also Journal Article An Area-Wide Real-Time Database for the Euro Area, The Review of Economics and Statistics, MIT Press (2012) Downloads View citations (57) (2012)
  2. Large Bayesian vector auto regressions
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (736)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2008) Downloads View citations (82)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2007) Downloads View citations (58)

    See also Journal Article Large Bayesian vector auto regressions, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2010) Downloads View citations (389) (2010)
  3. Macroeconomic forecasting and structural change
    Working Paper Series, European Central Bank Downloads View citations (7)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2009) Downloads View citations (73)
    Research Technical Papers, Central Bank of Ireland (2009) Downloads View citations (47)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009) Downloads View citations (28)

    See also Journal Article Macroeconomic forecasting and structural change, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2013) View citations (255) (2013)
  4. Nowcasting
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads
    Also in Working Paper Series, European Central Bank (2010) Downloads View citations (2)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2010) Downloads
  5. Prior Selection for Bayesian VARs
    2010 Meeting Papers, Society for Economic Dynamics Downloads View citations (1)
  6. Short-Term Inflation Projections: a Bayesian Vector Autoregressive approach
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (68)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2010) Downloads View citations (63)

    See also Journal Article Short-term inflation projections: A Bayesian vector autoregressive approach, International Journal of Forecasting, Elsevier (2014) Downloads View citations (89) (2014)

2009

  1. Business Cycles in the Euro Area
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (60)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2008) Downloads View citations (61)
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2008) Downloads View citations (53)

    See also Journal Article Business cycles in the euro area, Research Bulletin, European Central Bank (2009) Downloads View citations (42) (2009)
    Chapter Business Cycles in the Euro Area, NBER Chapters, National Bureau of Economic Research, Inc (2010) Downloads View citations (83) (2010)
  2. Nowcasting Euro Area Economic Activity in Real-Time: The Role of Confidence Indicator
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (39)
    Also in CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy (2009) Downloads View citations (40)

    See also Journal Article NOWCASTING EURO AREA ECONOMIC ACTIVITY IN REAL TIME: THE ROLE OF CONFIDENCE INDICATORS, National Institute Economic Review, National Institute of Economic and Social Research (2009) Downloads View citations (31) (2009)
  3. The Feldstein-Horioka Fact
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (29)
    Also in Working Paper Series, European Central Bank (2008) Downloads View citations (10)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) Downloads View citations (12)
    NBER Working Papers, National Bureau of Economic Research, Inc (2009) Downloads View citations (16)

    See also Chapter The Feldstein-Horioka Fact, NBER Chapters, National Bureau of Economic Research, Inc (2010) Downloads View citations (18) (2010)
    Journal Article The Feldstein-Horioka Fact, NBER International Seminar on Macroeconomics, University of Chicago Press (2010) Downloads View citations (18) (2010)

2008

  1. Did the Euro imply more correlation of cycles?
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (13)
  2. Explaining the Great Moderation: it is not the shocks
    Working Paper Series, European Central Bank Downloads View citations (118)
    Also in ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (2008) Downloads View citations (108)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2007) Downloads View citations (13)

    See also Journal Article Explaining The Great Moderation: It Is Not The Shocks, Journal of the European Economic Association, MIT Press (2008) Downloads View citations (104) (2008)
  3. Large Bayesian VARs
    Working Paper Series, European Central Bank Downloads View citations (70)
  4. Nowcasting: the real time informational content of macroeconomic data releases
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles Downloads View citations (518)
  5. Opening the Black Box: Structural Factor Models with Large Cross-Sections
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (62)
    Also in Working Paper Series, European Central Bank (2007) Downloads View citations (70)
    Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi" (2007) Downloads View citations (21)

    See also Journal Article OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS, Econometric Theory, Cambridge University Press (2009) Downloads View citations (324) (2009)
  6. Short-Term Forecasts of Euro Area GDP Growth
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads View citations (50)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) Downloads View citations (62)
    Working Paper Series, European Central Bank (2008) Downloads View citations (53)

    See also Journal Article Short‐term forecasts of euro area GDP growth, Econometrics Journal, Royal Economic Society (2011) Downloads View citations (77) (2011)
  7. Sparse and stable Markowitz portfolios
    Working Paper Series, European Central Bank Downloads View citations (7)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2007) Downloads View citations (5)
    Papers, arXiv.org (2008) Downloads View citations (45)

2007

  1. (Un)Predictability and Macroeconomic Stability
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (4)
    Also in Research Technical Papers, Central Bank of Ireland (2006) Downloads View citations (20)
    Working Paper Series, European Central Bank (2006) Downloads View citations (63)
    Macroeconomics, University Library of Munich, Germany (2005) Downloads View citations (88)
  2. A New Core Inflation Indicator for New Zealand
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (33)
    Also in Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand (2006) Downloads View citations (15)
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (2007) Downloads View citations (30)

    See also Journal Article A New Core Inflation Indicator for New Zealand, International Journal of Central Banking, International Journal of Central Banking (2007) Downloads View citations (28) (2007)
  3. Comparing Alternative Predictors Based on Large-Panel Factor Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (38)
    Also in Research Technical Papers, Central Bank of Ireland (2006) Downloads View citations (54)
    Working Paper Series, European Central Bank (2006) Downloads View citations (50)

    See also Journal Article Comparing Alternative Predictors Based on Large‐Panel Factor Models, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2012) Downloads View citations (52) (2012)
  4. 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 Downloads View citations (17)
    Also in Working Paper Series, European Central Bank (2006) Downloads View citations (22)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) Downloads View citations (52)
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2005) Downloads View citations (86)

    See also Journal Article Nowcasting: The real-time informational content of macroeconomic data, Journal of Monetary Economics, Elsevier (2008) Downloads View citations (730) (2008)

2006

  1. Does Information Help Recovering Structural Shocks from Past Observations?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (119)
    Also in ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (2006) View citations (119)
    Working Paper Series, European Central Bank (2006) Downloads View citations (118)

    See also Journal Article Does information help recovering structural shocks from past observations?, Journal of the European Economic Association, MIT Press (2006) Downloads View citations (119) (2006)
  2. 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 Downloads View citations (58)
    Also in Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank (2006) Downloads View citations (78)
    Working Paper Series, European Central Bank (2006) Downloads View citations (48)

    See also Journal Article Forecasting using a large number of predictors: Is Bayesian shrinkage a valid alternative to principal components?, Journal of Econometrics, Elsevier (2008) Downloads View citations (362) (2008)
  3. Panel discussion on Convergence or divergence in Europe?
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
  4. Trends and cycles in the euro area: how much heterogeneity and should we worry about it?
    Working Paper Series, European Central Bank Downloads View citations (146)
    Also in Macroeconomics, University Library of Munich, Germany (2005) Downloads View citations (29)
  5. VARs, common factors and the empirical validation of equilibrium business cycle models
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (62)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2004) Downloads View citations (2)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2002) Downloads View citations (8)

    See also Journal Article VARs, common factors and the empirical validation of equilibrium business cycle models, Journal of Econometrics, Elsevier (2006) Downloads View citations (67) (2006)

2005

  1. Monetary Policy in Real Time
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University Downloads View citations (132)
    Also in ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) Downloads View citations (135)
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (2005) View citations (101)

    See also Chapter Monetary Policy in Real Time, NBER Chapters, National Bureau of Economic Research, Inc (2005) Downloads View citations (162) (2005)

2004

  1. Euro area and US recessions: 1970-2003
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles Downloads View citations (16)

2002

  1. Tracking Greenspan: Systematic and Unsystematic Monetary Policy Revisited
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (84)

Journal Articles

2024

  1. Back to the present: Learning about the euro area through a now-casting model
    International Journal of Forecasting, 2024, 40, (2), 661-686 Downloads
    See also Working Paper Back to the Present: Learning about the Euro Area through a Now-casting Model, International Finance Discussion Papers (2021) Downloads View citations (3) (2021)

2022

  1. Common factors of commodity prices
    Journal of Applied Econometrics, 2022, 37, (3), 461-476 Downloads View citations (17)
    Also in Research Bulletin, 2018, 51 (2018) Downloads View citations (8)

    See also Working Paper Common Factors of Commodity Prices, CEPR Discussion Papers (2018) Downloads View citations (10) (2018)
  2. Nowcasting with large Bayesian vector autoregressions
    Journal of Econometrics, 2022, 231, (2), 500-519 Downloads View citations (9)
    See also Working Paper Nowcasting with Large Bayesian Vector Autoregressions, CEPR Discussion Papers (2021) Downloads View citations (4) (2021)

2021

  1. Economic Predictions With Big Data: The Illusion of Sparsity
    Econometrica, 2021, 89, (5), 2409-2437 Downloads View citations (47)
    See also Working Paper Economic predictions with big data: the illusion of sparsity, Working Paper Series (2021) Downloads View citations (48) (2021)
  2. Forecasting macroeconomic risks
    International Journal of Forecasting, 2021, 37, (3), 1173-1191 Downloads View citations (28)
    See also Working Paper Forecasting Macroeconomic Risks, Staff Reports (2020) Downloads View citations (1) (2020)
  3. MULTIMODALITY IN MACROFINANCIAL DYNAMICS
    International Economic Review, 2021, 62, (2), 861-886 Downloads View citations (15)
    See also Working Paper Multimodality in Macro-Financial Dynamics, CEPR Discussion Papers (2020) Downloads View citations (6) (2020)

2019

  1. Global trends in interest rates
    Journal of International Economics, 2019, 118, (C), 248-262 Downloads View citations (84)
    See also Chapter Global Trends in Interest Rates, NBER Chapters, 2018, 248-262 (2018) View citations (30) (2018)
    Working Paper Global Trends in Interest Rates, Liberty Street Economics (2019) Downloads View citations (75) (2019)
  2. Money, Credit, Monetary Policy, and the Business Cycle in the Euro Area: What Has Changed Since the Crisis?
    International Journal of Central Banking, 2019, 15, (5), 137-173 Downloads View citations (15)
    See also Working Paper Money, credit, monetary policy and the business cycle in the euro area: what has changed since the crisis?, Working Paper Series (2019) Downloads View citations (15) (2019)
  3. Priors for the Long Run
    Journal of the American Statistical Association, 2019, 114, (526), 565-580 Downloads View citations (37)
    See also Working Paper Priors for the long run, Working Paper Series (2018) Downloads View citations (13) (2018)
  4. Vulnerable Growth
    American Economic Review, 2019, 109, (4), 1263-89 Downloads View citations (135)
    See also Working Paper Vulnerable Growth, Liberty Street Economics (2018) Downloads View citations (42) (2018)

2018

  1. Macroeconomic Nowcasting and Forecasting with Big Data
    Annual Review of Economics, 2018, 10, (1), 615-643 Downloads View citations (1)
    See also Working Paper Macroeconomic Nowcasting and Forecasting with Big Data, CEPR Discussion Papers (2018) Downloads View citations (85) (2018)

2017

  1. Low frequency effects of macroeconomic news on government bond yields
    Journal of Monetary Economics, 2017, 92, (C), 31-46 Downloads View citations (38)
    See also Working Paper Low Frequency Effects of Macroeconomic News on Government Bond Yields, CSEF Working Papers (2014) Downloads View citations (15) (2014)
  2. Safety, Liquidity, and the Natural Rate of Interest
    Brookings Papers on Economic Activity, 2017, 48, (1 (Spring)), 235-316 Downloads View citations (189)
    See also Working Paper Safety, Liquidity, and the Natural Rate of Interest, 2017 Meeting Papers (2017) Downloads View citations (189) (2017)
  3. The Effectiveness of Non‐Standard Monetary Policy Measures: Evidence from Survey Data
    Journal of Applied Econometrics, 2017, 32, (5), 952-964 Downloads View citations (28)
    See also Working Paper The effectiveness of non-standard monetary policy measures: evidence from survey data, Working Paper Series (2016) Downloads View citations (6) (2016)
  4. The national segmentation of euro area bank balance sheets during the financial crisis
    Empirical Economics, 2017, 53, (1), 247-265 Downloads View citations (16)

2016

  1. Comment
    Journal of Business & Economic Statistics, 2016, 34, (3), 342-344 Downloads
  2. Exploiting the monthly data flow in structural forecasting
    Journal of Monetary Economics, 2016, 84, (C), 201-215 Downloads View citations (15)
    See also Working Paper Exploiting the monthly data flow in structural forecasting, Staff Reports (2015) Downloads View citations (1) (2015)
  3. The Financial and Macroeconomic Effects of the OMT Announcements
    International Journal of Central Banking, 2016, 12, (3), 29-57 Downloads View citations (109)
    See also Working Paper The Financial and Macroeconomic Effects of OMT Announcements, CEPR Discussion Papers (2014) Downloads View citations (124) (2014)
  4. Unspanned Macroeconomic Factors in the Yield Curve
    Journal of Business & Economic Statistics, 2016, 34, (3), 472-485 Downloads View citations (37)
    See also Working Paper Unspanned macroeconomic factors in the yield curve, Finance and Economics Discussion Series (2014) Downloads View citations (8) (2014)

2015

  1. Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections
    International Journal of Forecasting, 2015, 31, (3), 739-756 Downloads View citations (116)
    See also Working Paper Conditional Forecasts and Scenario Analysis with Vector Autoregressions for Large Cross-Sections, Working Papers ECARES (2014) Downloads View citations (22) (2014)
  2. Optimal combination of survey forecasts
    International Journal of Forecasting, 2015, 31, (4), 1096-1103 Downloads View citations (50)
    See also Working Paper Optimal Combination of Survey Forecasts, Working Papers ECARES (2012) Downloads View citations (20) (2012)
  3. Prior Selection for Vector Autoregressions
    The Review of Economics and Statistics, 2015, 97, (2), 436-451 Downloads View citations (443)
    See also Working Paper Prior Selection for Vector Autoregressions, CEPR Discussion Papers (2012) Downloads View citations (86) (2012)

2014

  1. Short-term inflation projections: A Bayesian vector autoregressive approach
    International Journal of Forecasting, 2014, 30, (3), 635-644 Downloads View citations (89)
    See also Working Paper Short-Term Inflation Projections: a Bayesian Vector Autoregressive approach, CEPR Discussion Papers (2010) Downloads View citations (68) (2010)

2013

  1. Macroeconomic forecasting and structural change
    Journal of Applied Econometrics, 2013, 28, (1), 82-101 View citations (255)
    See also Working Paper Macroeconomic forecasting and structural change, Working Paper Series (2010) Downloads View citations (7) (2010)

2012

  1. A Quasi–Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models
    The Review of Economics and Statistics, 2012, 94, (4), 1014-1024 Downloads View citations (206)
    See also Working Paper A Quasi Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models, PSE-Ecole d'économie de Paris (Postprint) (2012) View citations (227) (2012)
  2. An Area-Wide Real-Time Database for the Euro Area
    The Review of Economics and Statistics, 2012, 94, (4), 1000-1013 Downloads View citations (57)
    See also Working Paper An Area Wide Real Time Data Base for the Euro Area, Working Papers ECARES (2010) Downloads View citations (2) (2010)
  3. Comparing Alternative Predictors Based on Large‐Panel Factor Models
    Oxford Bulletin of Economics and Statistics, 2012, 74, (2), 306-326 Downloads View citations (52)
    See also Working Paper Comparing Alternative Predictors Based on Large-Panel Factor Models, CEPR Discussion Papers (2007) Downloads View citations (38) (2007)
  4. The ECB and the Interbank Market
    Economic Journal, 2012, 122, (564), F467-F486 Downloads View citations (95)
    See also Working Paper The ECB and the Interbank Market, Working Papers ECARES (2012) Downloads View citations (95) (2012)

2011

  1. A two-step estimator for large approximate dynamic factor models based on Kalman filtering
    Journal of Econometrics, 2011, 164, (1), 188-205 Downloads View citations (315)
    See also Working Paper A two-step estimator for large approximate dynamic factor models based on Kalman filtering, Post-Print (2011) View citations (291) (2011)
  2. Market Freedom and the Global Recession
    IMF Economic Review, 2011, 59, (1), 111-135 Downloads View citations (80)
    See also Working Paper Market freedom and the global recession, ULB Institutional Repository (2011) View citations (74) (2011)
  3. Short‐term forecasts of euro area GDP growth
    Econometrics Journal, 2011, 14, C25-C44 Downloads View citations (77)
    Also in Econometrics Journal, 2011, 14, (1), C25-C44 (2011) Downloads View citations (101)

    See also Working Paper Short-Term Forecasts of Euro Area GDP Growth, Working Papers ECARES (2008) Downloads View citations (50) (2008)

2010

  1. Comment
    NBER International Seminar on Macroeconomics, 2010, 6, (1), 180 - 190 Downloads
  2. Large Bayesian vector auto regressions
    Journal of Applied Econometrics, 2010, 25, (1), 71-92 Downloads View citations (389)
    Also in Journal of Applied Econometrics, 2010, 25, (1), 71-92 (2010) Downloads View citations (830)

    See also Working Paper Large Bayesian vector auto regressions, ULB Institutional Repository (2010) View citations (736) (2010)
  3. The Feldstein-Horioka Fact
    NBER International Seminar on Macroeconomics, 2010, 6, (1), 103 - 117 Downloads View citations (18)
    See also Working Paper The Feldstein-Horioka Fact, Working Papers ECARES (2009) Downloads View citations (29) (2009)
    Chapter The Feldstein-Horioka Fact, NBER Chapters, 2010, 103-117 (2010) Downloads View citations (18) (2010)

2009

  1. Business cycles in the euro area
    Research Bulletin, 2009, 8, 5-7 Downloads View citations (42)
    See also Working Paper Business Cycles in the Euro Area, CEPR Discussion Papers (2009) Downloads View citations (60) (2009)
    Chapter Business Cycles in the Euro Area, NBER Chapters, 2010, 141-167 (2010) Downloads View citations (83) (2010)
  2. Comments on "Forecasting economic and financial variables with global VARs"
    International Journal of Forecasting, 2009, 25, (4), 684-686 Downloads View citations (11)
  3. NOWCASTING EURO AREA ECONOMIC ACTIVITY IN REAL TIME: THE ROLE OF CONFIDENCE INDICATORS
    National Institute Economic Review, 2009, 210, (1), 90-97 Downloads View citations (31)
    Also in National Institute Economic Review, 2009, 210, 90-97 (2009) Downloads View citations (3)

    See also Working Paper Nowcasting Euro Area Economic Activity in Real-Time: The Role of Confidence Indicator, Working Papers ECARES (2009) Downloads View citations (39) (2009)
  4. OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS
    Econometric Theory, 2009, 25, (5), 1319-1347 Downloads View citations (324)
    See also Working Paper Opening the Black Box: Structural Factor Models with Large Cross-Sections, Working Papers ECARES (2008) Downloads View citations (62) (2008)

2008

  1. Explaining The Great Moderation: It Is Not The Shocks
    Journal of the European Economic Association, 2008, 6, (2-3), 621-633 Downloads View citations (104)
    See also Working Paper Explaining the Great Moderation: it is not the shocks, Working Paper Series (2008) Downloads View citations (118) (2008)
  2. Forecasting using a large number of predictors: Is Bayesian shrinkage a valid alternative to principal components?
    Journal of Econometrics, 2008, 146, (2), 318-328 Downloads View citations (362)
    See also Working Paper Forecasting Using a Large Number of Predictors: Is Bayesian Regression a Valid Alternative to Principal Components?, CEPR Discussion Papers (2006) Downloads View citations (58) (2006)
  3. Nowcasting: The real-time informational content of macroeconomic data
    Journal of Monetary Economics, 2008, 55, (4), 665-676 Downloads View citations (730)
    See also Working Paper Nowcasting GDP and Inflation: The Real-Time Informational Content of Macroeconomic Data Releases, Money Macro and Finance (MMF) Research Group Conference 2006 (2007) Downloads View citations (17) (2007)

2007

  1. A New Core Inflation Indicator for New Zealand
    International Journal of Central Banking, 2007, 3, (4), 145-180 Downloads View citations (28)
    See also Working Paper A New Core Inflation Indicator for New Zealand, CEPR Discussion Papers (2007) Downloads View citations (33) (2007)

2006

  1. Does information help recovering structural shocks from past observations?
    Journal of the European Economic Association, 2006, 4, (2-3), 455-465 Downloads View citations (119)
    See also Working Paper Does Information Help Recovering Structural Shocks from Past Observations?, CEPR Discussion Papers (2006) Downloads View citations (119) (2006)
  2. VARs, common factors and the empirical validation of equilibrium business cycle models
    Journal of Econometrics, 2006, 132, (1), 257-279 Downloads View citations (67)
    See also Working Paper VARs, common factors and the empirical validation of equilibrium business cycle models, ULB Institutional Repository (2006) View citations (62) (2006)

Chapters

2018

  1. Global Trends in Interest Rates
    A chapter in NBER International Seminar on Macroeconomics 2018, 2018, pp 248-262 View citations (30)
    See also Journal Article Global trends in interest rates, Elsevier (2019) Downloads View citations (84) (2019)
    Working Paper Global Trends in Interest Rates, Federal Reserve Bank of New York (2019) Downloads View citations (75) (2019)

2016

  1. Nowcasting Business Cycles: A Bayesian Approach to Dynamic Heterogeneous Factor Models
    A chapter in Dynamic Factor Models, 2016, vol. 35, pp 569-594 Downloads View citations (16)
    See also Working Paper Nowcasting Business Cycles: a Bayesian Approach to Dynamic Heterogeneous Factor Models, Board of Governors of the Federal Reserve System (U.S.) (2015) Downloads View citations (11) (2015)

2013

  1. Now-Casting and the Real-Time Data Flow
    Elsevier Downloads View citations (164)
    See also Working Paper Now-casting and the real-time data flow, European Central Bank (2013) Downloads View citations (202) (2013)

2011

  1. MACROPRUDENTIAL POLICY AND MONETARY POLICY: SOME LESSONS FROM THE EURO AREA
    Chapter 8 in Macroprudential Regulatory Policies The New Road to Financial Stability?, 2011, pp 103-119 Downloads

2010

  1. Business Cycles in the Euro Area
    A chapter in Europe and the Euro, 2010, pp 141-167 Downloads View citations (83)
    See also Working Paper Business Cycles in the Euro Area, C.E.P.R. Discussion Papers (2009) Downloads View citations (60) (2009)
    Journal Article Business cycles in the euro area, European Central Bank (2009) Downloads View citations (42) (2009)
  2. Comment on "Can Parameter Instability Explain the Meese-Rogoff Puzzle?"
    A chapter in NBER International Seminar on Macroeconomics 2009, 2010, pp 180-190 Downloads View citations (10)
  3. The Feldstein-Horioka Fact
    A chapter in NBER International Seminar on Macroeconomics 2009, 2010, pp 103-117 Downloads View citations (18)
    See also Working Paper The Feldstein-Horioka Fact, ULB -- Universite Libre de Bruxelles (2009) Downloads View citations (29) (2009)
    Journal Article The Feldstein-Horioka Fact, University of Chicago Press (2010) Downloads View citations (18) (2010)

2006

  1. Panel Discussion
    Springer

2005

  1. Monetary Policy in Real Time
    A chapter in NBER Macroeconomics Annual 2004, Volume 19, 2005, pp 161-224 Downloads View citations (162)
    See also Working Paper Monetary Policy in Real Time, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2005) Downloads View citations (132) (2005)
 
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