Details about Domenico Giannone

Access statistics for papers by Domenico Giannone.

Last updated 2017-10-13. Update your information in the RePEc Author Service.

Short-id: pgi49

Working Papers

2017

1. Common Factors of Commodity Prices
   Working papers, Banque de France
2. Economic Predictions with Big Data: The Illusion Of Sparsity
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
3. Safety, Liquidity, and the Natural Rate of Interest
   2017 Meeting Papers, Society for Economic Dynamics
   Also in Staff Reports, Federal Reserve Bank of New York (2017) View citations (1)

2016

4. Priors for the Long Run
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
5. The effectiveness of non-standard monetary policy measures: evidence from survey data
   Working Paper Series, European Central Bank View citations (1)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) View citations (8)
   Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2014) View citations (11)
   Staff Reports, Federal Reserve Bank of New York (2015)
   Working Papers CASMEF, Dipartimento di Economia e Finanza, LUISS Guido Carli (2014) View citations (1)
6. Vulnerable Growth
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in Staff Reports, Federal Reserve Bank of New York (2016)

2015

7. Exploiting the monthly data flow in structural forecasting
   Staff Reports, Federal Reserve Bank of New York
   Also in Discussion Papers, Centre for Macroeconomics (CFM) (2014) View citations (4)
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2014) View citations (2)
   Bank of England working papers, Bank of England (2014) View citations (1)
   See also Journal Article in Journal of Monetary Economics (2016)
8. 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.) View citations (4)
   See also Chapter (2016)

2014

9. Conditional Forecasts and Scenario Analysis with Vector Autoregressions for Large Cross-Sections
   Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (12)
   Also in Working Paper Series, European Central Bank (2014) View citations (8)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) View citations (8)
   See also Journal Article in International Journal of Forecasting (2015)
10. 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 View citations (1)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2014) View citations (2)
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2014) View citations (3)
11. The Financial and Macroeconomic Effects of OMT Announcements
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (41)
    Also in Working Paper Series, European Central Bank (2014) View citations (41)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) View citations (41)
12. The Financial and Macroeconomic Effects of the OMT Announcements
    CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy View citations (41)
    See also Journal Article in International Journal of Central Banking (2016)
13. Unspanned macroeconomic factors in the yield curve
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (2)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2013) View citations (8)

2013

14. Now-casting and the real-time data flow
    Working Paper Series, European Central Bank View citations (26)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012) View citations (12)
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2012) View citations (25)
    See also Chapter (2013)

2012

15. A Quasi Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (53)
    Also in Working Paper Series, European Central Bank (2006) View citations (75)
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2008) View citations (46)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2006) View citations (65)
    See also Journal Article in The Review of Economics and Statistics (2012)
16. Money, Credit, Monetary Policy and the Business Cycle in the Euro Area
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (22)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012) View citations (28)
17. Nowcasting with Daily Data
    2012 Meeting Papers, Society for Economic Dynamics View citations (4)
18. Optimal Combination of Survey Forecasts
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (11)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012) View citations (3)
    See also Journal Article in International Journal of Forecasting (2015)
19. Prior Selection for Vector Autoregressions
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (36)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2012) View citations (51)
    Working Paper Series, European Central Bank (2012) View citations (34)
    NBER Working Papers, National Bureau of Economic Research, Inc (2012) View citations (58)
    See also Journal Article in The Review of Economics and Statistics (2015)
20. The ECB and the Interbank Market
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (40)
    Also in Working Paper Series, European Central Bank (2012) View citations (27)
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2012) View citations (29)
    See also Journal Article in Economic Journal (2012)

2011

21. A two-step estimator for large approximate dynamic factor models based on Kalman filtering
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (66)
    Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2006) View citations (30)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2007) View citations (29)
    See also Journal Article in Journal of Econometrics (2011)
22. Non-standard monetary policy measures and monetary developments
    Working Paper Series, European Central Bank View citations (26)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2010) View citations (8)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2010) View citations (12)
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2010)

2010

23. An Area Wide Real Time Data Base for the Euro Area
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2010) View citations (25)
    Working Paper Series, European Central Bank (2010) View citations (23)
    See also Journal Article in The Review of Economics and Statistics (2012)
24. Macroeconomic forecasting and structural change
    Working Paper Series, European Central Bank View citations (3)
    Also in Research Technical Papers, Central Bank of Ireland (2009) View citations (38)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009) View citations (9)
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2009) View citations (61)
    See also Journal Article in Journal of Applied Econometrics (2013)
25. Market Freedom and the Global Recession
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (30)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2010) View citations (30)
    See also Journal Article in IMF Economic Review (2011)
26. Nowcasting
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2010)
    Working Paper Series, European Central Bank (2010) View citations (2)
27. Prior Selection for Bayesian VARs
    2010 Meeting Papers, Society for Economic Dynamics
28. Short-Term Inflation Projections: a Bayesian Vector Autoregressive approach
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (38)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2010) View citations (30)
    See also Journal Article in International Journal of Forecasting (2014)

2009

29. Business Cycles in the Euro Area
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (39)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2008) View citations (34)
    NBER Working Papers, National Bureau of Economic Research, Inc (2008) View citations (31)
    See also Journal Article in Research Bulletin (2009)
    Chapter (2010)
30. Nowcasting Euro Area Economic Activity in Real-Time: The Role of Confidence Indicator
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (11)
    Also in CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy (2009) View citations (13)
    See also Journal Article in National Institute Economic Review (2009)
31. The Feldstein-Horioka Fact
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (12)
    Also in Working Paper Series, European Central Bank (2008) View citations (5)
    NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations (1)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) View citations (12)
    See also Chapter (2010)
    Journal Article in NBER International Seminar on Macroeconomics (2010)

2008

32. Bayesian VARs with large panels
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (12)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2007) View citations (32)
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2008) View citations (64)
    See also Journal Article in Journal of Applied Econometrics (2010)
33. Did the Euro imply more correlation of cycles?
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (12)
34. Explaining the Great Moderation: it is not the shocks
    Working Paper Series, European Central Bank View citations (82)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2007) View citations (11)
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
    See also Journal Article in Journal of the European Economic Association (2008)
35. Large Bayesian VARs
    Working Paper Series, European Central Bank View citations (45)
36. Nowcasting: the real time informational content of macroeconomic data releases
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (32)
37. Opening the Black Box: Structural Factor Models with Large Cross-Sections
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (44)
    Also in Working Paper Series, European Central Bank (2007) View citations (62)
    Center for Economic Research (RECent), University of Modena and Reggio E., Dept. of Economics "Marco Biagi" (2007) View citations (5)
    See also Journal Article in Econometric Theory (2009)
38. Short-Term Forecasts of Euro Area GDP Growth
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (35)
    Also in Working Paper Series, European Central Bank (2008) View citations (33)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2008) View citations (48)
    See also Journal Article in Econometrics Journal (2011)
39. Sparse and stable Markowitz portfolios
    Papers, arXiv.org View citations (20)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2007) View citations (3)
    Working Paper Series, European Central Bank (2008) View citations (3)

2007

40. (Un)Predictability and Macroeconomic Stability
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (4)
    Also in Research Technical Papers, Central Bank of Ireland (2006) View citations (14)
    Working Paper Series, European Central Bank (2006) View citations (49)
    Macroeconomics, EconWPA (2005) View citations (67)
41. A New Core Inflation Indicator for New Zealand
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (24)
    Also in Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand (2006) View citations (10)
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (2007) View citations (16)
    See also Journal Article in International Journal of Central Banking (2007)
42. Comparing Alternative Predictors Based on Large-Panel Factor Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (31)
    Also in Research Technical Papers, Central Bank of Ireland (2006) View citations (49)
    Working Paper Series, European Central Bank (2006) View citations (43)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2012)
43. 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 (9)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2005) View citations (77)
    Working Paper Series, European Central Bank (2006) View citations (8)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) View citations (31)
    See also Journal Article in Journal of Monetary Economics (2008)

2006

44. Does Information Help Recovering Structural Shocks from Past Observations?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (68)
    Also in ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (2006) View citations (57)
    Working Paper Series, European Central Bank (2006) View citations (76)
    See also Journal Article in Journal of the European Economic Association (2006)
45. 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 (37)
    Also in Working Paper Series, European Central Bank (2006) View citations (28)
    Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, Research Centre (2006) View citations (62)
    See also Journal Article in Journal of Econometrics (2008)
46. Panel discussion on Convergence or divergence in Europe?
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
47. Trends and cycles in the euro area: how much heterogeneity and should we worry about it?
    Working Paper Series, European Central Bank View citations (103)
    Also in Macroeconomics, EconWPA (2005) View citations (22)
48. VARs, common factors and the empirical validation of equilibrium business cycle models
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (30)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2002) View citations (6)
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2004) View citations (1)
    See also Journal Article in Journal of Econometrics (2006)

2005

49. Monetary Policy in Real Time
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (69)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) View citations (85)
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (2005) View citations (34)
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
    See also Chapter (2005)

2004

50. Euro area and US recessions: 1970-2003
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (15)

2002

51. Tracking Greenspan: Systematic and Unsystematic Monetary Policy Revisited
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (77)

Journal Articles

2017

1. The national segmentation of euro area bank balance sheets during the financial crisis
   Empirical Economics, 2017, 53, (1), 247-265

2016

2. Exploiting the monthly data flow in structural forecasting
   Journal of Monetary Economics, 2016, 84, (C), 201-215
   See also Working Paper (2015)
3. The Financial and Macroeconomic Effects of the OMT Announcements
   International Journal of Central Banking, 2016, 12, (3), 29-57
   See also Working Paper (2014)

2015

4. Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections
   International Journal of Forecasting, 2015, 31, (3), 739-756 View citations (9)
   See also Working Paper (2014)
5. Optimal combination of survey forecasts
   International Journal of Forecasting, 2015, 31, (4), 1096-1103 View citations (11)
   See also Working Paper (2012)
6. Prior Selection for Vector Autoregressions
   The Review of Economics and Statistics, 2015, 97, (2), 436-451 View citations (67)
   See also Working Paper (2012)

2014

7. Short-term inflation projections: A Bayesian vector autoregressive approach
   International Journal of Forecasting, 2014, 30, (3), 635-644 View citations (21)
   See also Working Paper (2010)

2013

8. Macroeconomic forecasting and structural change
   Journal of Applied Econometrics, 2013, 28, (1), 82-101 View citations (93)
   See also Working Paper (2010)

2012

9. A Quasi–Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models
   The Review of Economics and Statistics, 2012, 94, (4), 1014-1024 View citations (84)
   See also Working Paper (2012)
10. An Area-Wide Real-Time Database for the Euro Area
    The Review of Economics and Statistics, 2012, 94, (4), 1000-1013 View citations (23)
    See also Working Paper (2010)
11. Comparing Alternative Predictors Based on Large‐Panel Factor Models
    Oxford Bulletin of Economics and Statistics, 2012, 74, (2), 306-326 View citations (26)
    See also Working Paper (2007)
12. The ECB and the Interbank Market
    Economic Journal, 2012, 122, (564), F467-F486 View citations (29)
    See also Working Paper (2012)

2011

13. A two-step estimator for large approximate dynamic factor models based on Kalman filtering
    Journal of Econometrics, 2011, 164, (1), 188-205 View citations (138)
    See also Working Paper (2011)
14. Market Freedom and the Global Recession
    IMF Economic Review, 2011, 59, (1), 111-135 View citations (47)
    See also Working Paper (2010)
15. Short‐term forecasts of euro area GDP growth
    Econometrics Journal, 2011, 14, C25-C44 View citations (32)
    Also in Econometrics Journal, 2011, 14, (1), C25-C44 (2011) View citations (53)
    See also Working Paper (2008)

2010

16. Comment
    NBER International Seminar on Macroeconomics, 2010, 6, (1), 180 - 190
17. Large Bayesian vector auto regressions
    Journal of Applied Econometrics, 2010, 25, (1), 71-92 View citations (314)
    See also Working Paper (2008)
18. The Feldstein-Horioka Fact
    NBER International Seminar on Macroeconomics, 2010, 6, (1), 103 - 117 View citations (3)
    See also Working Paper (2009)
    Chapter (2010)

2009

19. Business cycles in the euro area
    Research Bulletin, 2009, 8, 5-7 View citations (3)
    See also Chapter (2010)
    Working Paper (2009)
20. Comments on "Forecasting economic and financial variables with global VARs"
    International Journal of Forecasting, 2009, 25, (4), 684-686 View citations (5)
21. NOWCASTING EURO AREA ECONOMIC ACTIVITY IN REAL TIME: THE ROLE OF CONFIDENCE INDICATORS
    National Institute Economic Review, 2009, 210, (1), 90-97 View citations (10)
    See also Working Paper (2009)
22. OPENING THE BLACK BOX: STRUCTURAL FACTOR MODELS WITH LARGE CROSS SECTIONS
    Econometric Theory, 2009, 25, (05), 1319-1347 View citations (163)
    See also Working Paper (2008)

2008

23. Explaining The Great Moderation: It Is Not The Shocks
    Journal of the European Economic Association, 2008, 6, (2-3), 621-633 View citations (55)
    See also Working Paper (2008)
24. Forecasting using a large number of predictors: Is Bayesian shrinkage a valid alternative to principal components?
    Journal of Econometrics, 2008, 146, (2), 318-328 View citations (152)
    See also Working Paper (2006)
25. Nowcasting: The real-time informational content of macroeconomic data
    Journal of Monetary Economics, 2008, 55, (4), 665-676 View citations (295)
    See also Working Paper (2007)

2007

26. A New Core Inflation Indicator for New Zealand
    International Journal of Central Banking, 2007, 3, (4), 145-180 View citations (17)
    See also Working Paper (2007)

2006

27. Does information help recovering structural shocks from past observations?
    Journal of the European Economic Association, 2006, 4, (2-3), 455-465 View citations (68)
    See also Working Paper (2006)
28. VARs, common factors and the empirical validation of equilibrium business cycle models
    Journal of Econometrics, 2006, 132, (1), 257-279 View citations (45)
    See also Working Paper (2006)

Chapters

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
   See also Working Paper (2015)

2013

2. Now-Casting and the Real-Time Data Flow
   Elsevier View citations (18)
   See also Working Paper (2013)

2011

3. 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

2010

4. Business Cycles in the Euro Area
   A chapter in Europe and the Euro, 2010, pp 141-167 View citations (13)
   See also Journal Article in Research Bulletin (2009)
   Working Paper (2009)
5. Comment on "Can Parameter Instability Explain the Meese-Rogoff Puzzle?"
   A chapter in NBER International Seminar on Macroeconomics 2009, 2010, pp 180-190 View citations (6)
6. The Feldstein-Horioka Fact
   A chapter in NBER International Seminar on Macroeconomics 2009, 2010, pp 103-117 View citations (4)
   See also Working Paper (2009)
   Journal Article in NBER International Seminar on Macroeconomics (2010)

2005

7. Monetary Policy in Real Time
   A chapter in NBER Macroeconomics Annual 2004, Volume 19, 2005, pp 161-224 View citations (100)
   See also Working Paper (2005)