Details about Michele Lenza

Access statistics for papers by Michele Lenza.

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Short-id: ple337

Working Papers

2025

1. Word2Prices: embedding central bank communications for inflation prediction
   Working Paper Series, European Central Bank View citations (1)
   Also in BIS Working Papers, Bank for International Settlements (2025) View citations (1)

2024

2. Density forecasts of inflation: a quantile regression forest approach
   Documents de Travail de l'Insee - INSEE Working Papers, Institut National de la Statistique et des Etudes Economiques
   Also in Working Paper Series, European Central Bank (2023) View citations (5)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2023)
3. Do we need firm data to understand macroeconomic dynamics?
   Working Paper Series, Sveriges Riksbank (Central Bank of Sweden)

2021

4. Economic predictions with big data: the illusion of sparsity
   Working Paper Series, European Central Bank View citations (70)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2017) View citations (28)
   Staff Reports, Federal Reserve Bank of New York (2018) View citations (26)
   Liberty Street Economics, Federal Reserve Bank of New York (2018) View citations (23)
   See also Journal Article Economic Predictions With Big Data: The Illusion of Sparsity, Econometrica, Econometric Society (2021) View citations (69) (2021)
5. How Does Monetary Policy Affect Income and Wealth Inequality? Evidence from Quantitative Easing in the Euro Area
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in Working Paper Series, European Central Bank (2018) View citations (78)
   See also Journal Article How does monetary policy affect income and wealth inequality? Evidence from quantitative easing in the euro area, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2024) View citations (11) (2024)
6. Nowcasting with Large Bayesian Vector Autoregressions
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (6)
   Also in Working Paper Series, European Central Bank (2020) View citations (12)
   See also Journal Article Nowcasting with large Bayesian vector autoregressions, Journal of Econometrics, Elsevier (2022) View citations (20) (2022)

2020

7. How to Estimate a VAR after March 2020
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (152)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020) View citations (168)
   Working Paper Series, European Central Bank (2020) View citations (147)
8. What's up with the Phillips Curve?
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (19)
   Also in Liberty Street Economics, Federal Reserve Bank of New York (2020) View citations (5)
   Working Paper Series, European Central Bank (2020) View citations (6)
   NBER Working Papers, National Bureau of Economic Research, Inc (2020) View citations (6)
   See also Journal Article What's Up with the Phillips Curve?, Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution (2020) View citations (10) (2020)

2019

9. Interbank rate uncertainty and bank lending
   Working Paper Series, European Central Bank View citations (11)
10. Mind the gap: a multi-country BVAR benchmark for the Eurosystem projections
    Working Paper Series, European Central Bank View citations (19)
    See also Journal Article Mind the gap: A multi-country BVAR benchmark for the Eurosystem projections, International Journal of Forecasting, Elsevier (2019) View citations (16) (2019)
11. Money, credit, monetary policy and the business cycle in the euro area: what has changed since the crisis?
    Working Paper Series, European Central Bank View citations (22)
    Also in Staff Reports, Federal Reserve Bank of New York (2019) View citations (11)
    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) View citations (21) (2019)

2018

12. Priors for the long run
    Working Paper Series, European Central Bank View citations (13)
    Also in Staff Reports, Federal Reserve Bank of New York (2017) View citations (4)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2016) View citations (12)
    See also Journal Article Priors for the Long Run, Journal of the American Statistical Association, Taylor & Francis Journals (2019) View citations (43) (2019)

2016

13. An inflation-predicting measure of the output gap in the euro area
    Working Paper Series, European Central Bank View citations (16)
    See also Journal Article An Inflation‐Predicting Measure of the Output Gap in the Euro Area, Journal of Money, Credit and Banking, Blackwell Publishing (2018) View citations (88) (2018)

2015

14. 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 (11)
    See also Chapter Nowcasting Business Cycles: A Bayesian Approach to Dynamic Heterogeneous Factor Models, Advances in Econometrics, Emerald Group Publishing Limited (2016) View citations (17) (2016)

2014

15. Conditional Forecasts and Scenario Analysis with Vector Autoregressions for Large Cross-Sections
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (22)
    Also in Working Paper Series, European Central Bank (2014) View citations (19)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) 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) View citations (130) (2015)
16. The Financial and Macroeconomic Effects of OMT Announcements
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (125)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2014) View citations (136)
    CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy (2014) View citations (132)
    Working Paper Series, European Central Bank (2014) View citations (135)
    See also Journal Article The Financial and Macroeconomic Effects of the OMT Announcements, International Journal of Central Banking, International Journal of Central Banking (2016) View citations (118) (2016)

2013

17. Corporate finance and economic activity in the euro area
    Occasional Paper Series, European Central Bank View citations (19)

2012

18. Money, Credit, Monetary Policy and the Business Cycle in the Euro Area
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (52)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012) View citations (55)
19. Prior Selection for Vector Autoregressions
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (93)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2012) View citations (106)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012) View citations (86)
    Working Paper Series, European Central Bank (2012) View citations (85)
    See also Journal Article Prior Selection for Vector Autoregressions, The Review of Economics and Statistics, MIT Press (2015) View citations (531) (2015)
20. The ECB and the Interbank Market
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (106)
    Also in Working Paper Series, European Central Bank (2012) View citations (98)
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2012) View citations (100)
    See also Journal Article The ECB and the Interbank Market, Economic Journal, Royal Economic Society (2012) View citations (100) (2012)

2011

21. Market freedom and the global recession
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (75)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2010) View citations (42)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2010) View citations (45)
    See also Journal Article Market Freedom and the Global Recession, IMF Economic Review, Palgrave Macmillan (2011) View citations (81) (2011)
22. Non-standard monetary policy measures and monetary developments
    Working Paper Series, European Central Bank View citations (52)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2010) View citations (9)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2010) View citations (18)
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2010) View citations (9)

2010

23. Monetary policy in exceptional times
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (266)
    Also in Working Paper Series, European Central Bank (2010) View citations (263)
    See also Journal Article Monetary policy in exceptional times, Economic Policy, CEPR, CESifo, Sciences Po (2010) View citations (223) (2010)
24. Prior Selection for Bayesian VARs
    2010 Meeting Papers, Society for Economic Dynamics View citations (1)
25. Short-Term Inflation Projections: a Bayesian Vector Autoregressive approach
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (68)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2010) View citations (63)
    See also Journal Article Short-term inflation projections: A Bayesian vector autoregressive approach, International Journal of Forecasting, Elsevier (2014) View citations (95) (2014)

2009

26. Business Cycles in the Euro Area
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (60)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2008) View citations (63)
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2008) View citations (55)
    See also Journal Article Business cycles in the euro area, Research Bulletin, European Central Bank (2009) View citations (42) (2009)
    Chapter Business Cycles in the Euro Area, NBER Chapters, National Bureau of Economic Research, Inc (2010) View citations (85) (2010)
27. The Feldstein-Horioka Fact
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (29)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) View citations (12)
    NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations (16)
    Working Paper Series, European Central Bank (2008) View citations (10)
    See also Chapter The Feldstein-Horioka Fact, NBER Chapters, National Bureau of Economic Research, Inc (2010) View citations (19) (2010)
    Journal Article The Feldstein-Horioka Fact, NBER International Seminar on Macroeconomics, University of Chicago Press (2010) View citations (19) (2010)

2008

28. Explaining the Great Moderation: it is not the shocks
    Working Paper Series, European Central Bank View citations (123)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2007) View citations (13)
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (2008) View citations (113)
    See also Journal Article Explaining The Great Moderation: It Is Not The Shocks, Journal of the European Economic Association, MIT Press (2008) View citations (109) (2008)

2007

29. Essays on monetary policy, saving and investment
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
30. Monetary policy and core inflation
    Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank View citations (1)
    Also in Working Paper Series, European Central Bank (2007) View citations (1)

Journal Articles

2024

1. How does monetary policy affect income and wealth inequality? Evidence from quantitative easing in the euro area
   Journal of Applied Econometrics, 2024, 39, (5), 746-765 View citations (11)
   See also Working Paper How Does Monetary Policy Affect Income and Wealth Inequality? Evidence from Quantitative Easing in the Euro Area, CEPR Discussion Papers (2021) (2021)

2023

2. Forecasting euro area inflation with machine-learning models
   Research Bulletin, 2023, 112 View citations (1)
3. Inflation and wage growth since the pandemic: A comment
   European Economic Review, 2023, 158, (C)

2022

4. How to estimate a vector autoregression after March 2020
   Journal of Applied Econometrics, 2022, 37, (4), 688-699 View citations (105)
5. Nowcasting with large Bayesian vector autoregressions
   Journal of Econometrics, 2022, 231, (2), 500-519 View citations (20)
   See also Working Paper Nowcasting with Large Bayesian Vector Autoregressions, CEPR Discussion Papers (2021) View citations (6) (2021)

2021

6. Economic Predictions With Big Data: The Illusion of Sparsity
   Econometrica, 2021, 89, (5), 2409-2437 View citations (69)
   See also Working Paper Economic predictions with big data: the illusion of sparsity, Working Paper Series (2021) View citations (70) (2021)

2020

7. What's Up with the Phillips Curve?
   Brookings Papers on Economic Activity, 2020, 51, (1 (Spring)), 301-373 View citations (10)
   See also Working Paper What's up with the Phillips Curve?, CEPR Discussion Papers (2020) View citations (19) (2020)
8. Why has inflation in the United States been so stable since the 1990s?
   Research Bulletin, 2020, 74

2019

9. Mind the gap: A multi-country BVAR benchmark for the Eurosystem projections
   International Journal of Forecasting, 2019, 35, (4), 1658-1668 View citations (16)
   See also Working Paper Mind the gap: a multi-country BVAR benchmark for the Eurosystem projections, Working Paper Series (2019) View citations (19) (2019)
10. 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 View citations (21)
    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) View citations (22) (2019)
11. Priors for the Long Run
    Journal of the American Statistical Association, 2019, 114, (526), 565-580 View citations (43)
    See also Working Paper Priors for the long run, Working Paper Series (2018) View citations (13) (2018)
12. Quantitative easing did not increase inequality in the euro area
    Research Bulletin, 2019, 54 View citations (4)

2018

13. An Inflation‐Predicting Measure of the Output Gap in the Euro Area
    Journal of Money, Credit and Banking, 2018, 50, (6), 1189-1224 View citations (88)
    See also Working Paper An inflation-predicting measure of the output gap in the euro area, Working Paper Series (2016) View citations (16) (2016)
14. Measures of underlying inflation for the euro area
    Economic Bulletin Articles, 2018, 4 View citations (24)

2017

15. The national segmentation of euro area bank balance sheets during the financial crisis
    Empirical Economics, 2017, 53, (1), 247-265 View citations (16)

2016

16. How large is the output gap in the euro area
    Research Bulletin, 2016, 24 View citations (2)
17. The Financial and Macroeconomic Effects of the OMT Announcements
    International Journal of Central Banking, 2016, 12, (3), 29-57 View citations (118)
    Also in Research Bulletin, 2015, 22, 12-16 (2015) View citations (2)
    See also Working Paper The Financial and Macroeconomic Effects of OMT Announcements, CEPR Discussion Papers (2014) View citations (125) (2014)

2015

18. Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections
    International Journal of Forecasting, 2015, 31, (3), 739-756 View citations (130)
    See also Working Paper Conditional Forecasts and Scenario Analysis with Vector Autoregressions for Large Cross-Sections, Working Papers ECARES (2014) View citations (22) (2014)
19. Prior Selection for Vector Autoregressions
    The Review of Economics and Statistics, 2015, 97, (2), 436-451 View citations (531)
    See also Working Paper Prior Selection for Vector Autoregressions, NBER Working Papers (2012) View citations (93) (2012)

2014

20. Short-term inflation projections: A Bayesian vector autoregressive approach
    International Journal of Forecasting, 2014, 30, (3), 635-644 View citations (95)
    See also Working Paper Short-Term Inflation Projections: a Bayesian Vector Autoregressive approach, CEPR Discussion Papers (2010) View citations (68) (2010)

2012

21. The ECB and the Interbank Market
    Economic Journal, 2012, 122, (564), F467-F486 View citations (100)
    See also Working Paper The ECB and the Interbank Market, CEPR Discussion Papers (2012) View citations (106) (2012)

2011

22. A Factor Model for Euro-area Short-term Inflation Analysis
    Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2011, 231, (1), 50-62 View citations (7)
23. Market Freedom and the Global Recession
    IMF Economic Review, 2011, 59, (1), 111-135 View citations (81)
    See also Working Paper Market freedom and the global recession, ULB Institutional Repository (2011) View citations (75) (2011)
24. Revisiting the information content of core inflation
    Research Bulletin, 2011, 14, 11-13 View citations (2)

2010

25. Enhancing monetary analysis
    Research Bulletin, 2010, 11, 2-6 View citations (4)
26. Monetary policy in exceptional times
    (Preventing deflation: Lessons from Japan’s experience in the 1990s)
    Economic Policy, 2010, 25, (62), 295-339 View citations (223)
    See also Working Paper Monetary policy in exceptional times, CEPR Discussion Papers (2010) View citations (266) (2010)
27. The Feldstein-Horioka Fact
    NBER International Seminar on Macroeconomics, 2010, 6, (1), 103 - 117 View citations (19)
    See also Working Paper The Feldstein-Horioka Fact, Working Papers ECARES (2009) View citations (29) (2009)
    Chapter The Feldstein-Horioka Fact, NBER Chapters, 2010, 103-117 (2010) View citations (19) (2010)

2009

28. Business cycles in the euro area
    Research Bulletin, 2009, 8, 5-7 View citations (42)
    See also Chapter Business Cycles in the Euro Area, NBER Chapters, 2010, 141-167 (2010) View citations (85) (2010)
    Working Paper Business Cycles in the Euro Area, CEPR Discussion Papers (2009) View citations (60) (2009)
29. Monetary analysis and monetary policy in the euro area 1999-2006
    Journal of International Money and Finance, 2009, 28, (7), 1138-1164 View citations (28)

2008

30. Explaining The Great Moderation: It Is Not The Shocks
    Journal of the European Economic Association, 2008, 6, (2-3), 621-633 View citations (109)
    See also Working Paper Explaining the Great Moderation: it is not the shocks, Working Paper Series (2008) View citations (123) (2008)

Chapters

2024

1. Forecasting inflation in the US and in the euro area
   Chapter 9 in Handbook of Research Methods and Applications in Macroeconomic Forecasting, 2024, pp 218-245 View citations (2)

2016

2. Nowcasting Business Cycles: A Bayesian Approach to Dynamic Heterogeneous Factor Models
   A chapter in Dynamic Factor Models, 2016, vol. 35, pp 569-594 View citations (17)
   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) View citations (11) (2015)

2013

3. Cross-border banking transactions in the euro area
   A chapter in Proceedings of the Sixth IFC Conference on "Statistical issues and activities in a changing environment", Basel, 28-29 August 2012., 2013, vol. 36, pp 518-531 View citations (11)

2011

4. 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

5. Business Cycles in the Euro Area
   A chapter in Europe and the Euro, 2010, pp 141-167 View citations (85)
   See also Working Paper Business Cycles in the Euro Area, C.E.P.R. Discussion Papers (2009) View citations (60) (2009)
   Journal Article Business cycles in the euro area, European Central Bank (2009) View citations (42) (2009)
6. The Feldstein-Horioka Fact
   A chapter in NBER International Seminar on Macroeconomics 2009, 2010, pp 103-117 View citations (19)
   See also Journal Article The Feldstein-Horioka Fact, University of Chicago Press (2010) View citations (19) (2010)
   Working Paper The Feldstein-Horioka Fact, ULB -- Universite Libre de Bruxelles (2009) View citations (29) (2009)