Details about Marco Jacopo Lombardi

Access statistics for papers by Marco Jacopo Lombardi.

Last updated 2023-04-11. Update your information in the RePEc Author Service.

Short-id: plo54

Working Papers

2022

1. Are Households Indifferent to Monetary Policy Announcements?
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in BIS Working Papers, Bank for International Settlements (2021) View citations (7)
2. Inflation indicators amid high uncertainty
   BIS Bulletins, Bank for International Settlements

2021

3. Fiscal and monetary policy interactions in a low interest rate world
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in BIS Working Papers, Bank for International Settlements (2021) View citations (9)
4. Income inequality and the depth of economic downturns
   BIS Working Papers, Bank for International Settlements View citations (2)
   See also Journal Article in Economics Letters (2021)

2020

5. Bargaining power and the Phillips curve: a micro-macro analysis
   Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (4)
   Also in BIS Working Papers, Bank for International Settlements (2020) View citations (4)
6. The dollar, bank leverage and real economic activity: an evolving relationship
   BIS Working Papers, Bank for International Settlements View citations (11)
   See also Journal Article in AEA Papers and Proceedings (2020)
7. The impact of unconventional monetary policies on retail lending and deposit rates in the euro area
   BIS Working Papers, Bank for International Settlements View citations (1)

2019

8. Measuring financial cycle time
   Bank of England working papers, Bank of England View citations (5)
   Also in BIS Working Papers, Bank for International Settlements (2018) View citations (14)

2018

9. Monetary policy spillovers, global commodity prices and cooperation
   Working Papers, Banco Central de Reserva del Perú View citations (6)
   Also in BIS Working Papers, Bank for International Settlements (2018) View citations (6)

2017

10. Global impact of US and euro area unconventional monetary policies: a comparison
    BIS Working Papers, Bank for International Settlements View citations (38)
11. The real effects of household debt in the short and long run
    BIS Working Papers, Bank for International Settlements View citations (61)

2016

12. Fiscal sustainability and the financial cycle
    BIS Working Papers, Bank for International Settlements View citations (21)
13. Output gaps and policy stabilisation in Latin America: the effect of commodity and capital flow cycles
    BIS Working Papers, Bank for International Settlements View citations (8)

2015

14. The biofuel connection: impact of US regulation on oil and food prices
    BIS Working Papers, Bank for International Settlements View citations (3)
15. Why Did Bank Lending Rates Diverge from Policy Rates After the Financial Crisis?
    Discussion Papers, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM) View citations (71)
    Also in BIS Working Papers, Bank for International Settlements (2015) View citations (71)

2014

16. A shadow policy rate to calibrate US monetary policy at the zero lower bound
    BIS Working Papers, Bank for International Settlements View citations (120)
    See also Journal Article in International Journal of Central Banking (2018)
17. Has the transmission of policy rates to lending rates been impaired by the Global Financial Crisis?
    BIS Working Papers, Bank for International Settlements View citations (22)

2013

18. On the correlation between commodity and equity returns: implications for portfolio allocation
    BIS Working Papers, Bank for International Settlements View citations (16)
    See also Journal Article in Journal of Commodity Markets (2016)

2012

19. Monetary policy and the oil futures market
    Discussion Papers, Deutsche Bundesbank View citations (3)
20. Oil price density forecasts: Exploring the linkages with stock markets
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School View citations (11)
    Also in Working Paper, Norges Bank (2012) View citations (11)
21. Short-Term Forecasting of the Japanese Economy Using Factor Models
    Staff Working Papers, Bank of Canada View citations (11)
    Also in Working Paper Series, European Central Bank (2012) View citations (10)
22. The impact of monetary policy shocks on commodity prices
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (52)
    Also in Working Paper Series, European Central Bank (2010) View citations (56)
    See also Journal Article in International Journal of Central Banking (2013)

2011

23. Bayesian prior elicitation in DSGE models: macro- vs micro-priors
    Working Paper Series, European Central Bank View citations (3)
    See also Journal Article in Journal of Economic Dynamics and Control (2012)
24. Do Financial Investors Destabilize the Oil Price?
    Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration View citations (102)
    Also in Working Paper Series, European Central Bank (2011) View citations (91)
25. Forecasting economic growth in the euro area during the Great Moderation and the Great Recession
    Working Paper Series, European Central Bank View citations (16)

2010

26. Energy markets and the euro area macroeconomy
    Occasional Paper Series, European Central Bank View citations (2)
27. Global commodity cycles and linkages a FAVAR approach
    Working Paper Series, European Central Bank View citations (20)
    See also Journal Article in Empirical Economics (2012)
28. The Emergence and Survival of Inflation Expectations
    EcoMod2010, EcoMod
29. ‘Lean’ versus ‘Rich’ Data Sets: Forecasting during the Great Moderation and the Great Recession
    Staff Working Papers, Bank of Canada View citations (1)

2009

30. External shocks and international inflation linkages: a global VAR analysis
    Working Paper Series, European Central Bank View citations (55)
31. Indirect inference of elliptical fat tailed distributions
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (2)
32. Key elements of global inflation
    Discussion Papers, University of Nottingham, GEP View citations (5)
    See also Chapter (2010)
33. The Role of Financial Variables in Predicting Economic Activity in the Euro Area
    IMF Working Papers, International Monetary Fund View citations (6)
34. The role of financial variables in predicting economic activity
    Working Paper Series, European Central Bank View citations (16)
    See also Journal Article in Journal of Forecasting (2012)

2007

35. (Un)naturally low? Sequential Monte Carlo tracking of the US natural interest rate
    Working Paper Series, European Central Bank View citations (8)
36. Indirect estimation of elliptical stable distributions
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (5)
    See also Journal Article in Computational Statistics & Data Analysis (2009)

2006

37. (Un)naturally low?
    Computing in Economics and Finance 2006, Society for Computational Economics View citations (1)
38. Indirect estimation of alpha-stable stochastic volatility models
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" View citations (6)
    See also Journal Article in Computational Statistics & Data Analysis (2009)

2005

39. The Effect of Seasonal Adjustment on the Properties of Business Cycle Regimes
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"
    See also Journal Article in Journal of Applied Econometrics (2008)

2004

40. Bayesian inference for alpha-stable distributions: a random walk MCMC approach
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" View citations (2)
    See also Journal Article in Computational Statistics & Data Analysis (2007)
41. Indirect estimation of alpha-stable distributions and processes
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" View citations (3)
    See also Journal Article in Econometrics Journal (2008)
42. On-line Bayesian estimation of AR signals in symmetric alpha-stable noise
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" View citations (5)

2002

43. Analytic Hessian Matrices and the Computation of FIGARCH Estimates
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" View citations (6)
    See also Journal Article in Statistical Methods & Applications (2002)
44. GARCH-based Volatility Forecasts for Market Volatility Indices
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" View citations (3)

Journal Articles

2022

1. Correction to: The relationship of household debt and growth in the short and long run
   Empirical Economics, 2022, 63, (4), 1913-1913
2. The relationship of household debt and growth in the short and long run
   Empirical Economics, 2022, 63, (4), 1887-1911

2021

3. Income Inequality and the depth of economic downturns
   Economics Letters, 2021, 205, (C) View citations (1)
   See also Working Paper (2021)

2020

4. Monetary Policy, Commodity Prices, and Misdiagnosis Risk
   International Journal of Central Banking, 2020, 16, (2), 45-79 View citations (3)
5. The Dollar, Bank Leverage, and Real Economic Activity: An Evolving Relationship
   AEA Papers and Proceedings, 2020, 110, 529-34 View citations (10)
   See also Working Paper (2020)

2019

6. Financial conditions and purchasing managers' indices: exploring the links
   BIS Quarterly Review, 2019 View citations (1)
7. The divergence of bank lending rates from policy rates after the financial crisis: The role of bank funding costs
   Journal of International Money and Finance, 2019, 93, (C), 117-141 View citations (16)

2018

8. A Shadow Policy Rate to Calibrate U.S. Monetary Policy at the Zero Lower Bound
   International Journal of Central Banking, 2018, 14, (5), 305-346 View citations (50)
   See also Working Paper (2014)

2017

9. Output gaps and stabilisation policies in Latin America: The effect of commodity and capital flow cycles
   Revista ESPE - Ensayos sobre Política Económica, 2017, 35, (82), 40-52
   Also in Revista ESPE - Ensayos Sobre Política Económica, 2017, 35, (82), 40-52 (2017)

2016

10. On the correlation between commodity and equity returns: Implications for portfolio allocation
    Journal of Commodity Markets, 2016, 2, (1), 45-57 View citations (53)
    See also Working Paper (2013)

2015

11. (Why) Is investment weak?
    BIS Quarterly Review, 2015 View citations (53)
12. Has the Transmission of Policy Rates to Lending Rates Changed in the Wake of the Global Financial Crisis?
    International Finance, 2015, 18, (3), 263-280 View citations (25)
13. Oil and debt
    BIS Quarterly Review, 2015 View citations (21)
14. The use of payment systems data as early indicators of economic activity
    Applied Economics Letters, 2015, 22, (8), 646-650 View citations (1)

2013

15. Interest rate pass-through since the financial crisis
    BIS Quarterly Review, 2013 View citations (59)
16. The Impact of Monetary Policy Shocks on Commodity Prices
    International Journal of Central Banking, 2013, 9, (3), 125-150 View citations (58)
    See also Working Paper (2012)

2012

17. Bayesian prior elicitation in DSGE models: Macro- vs micropriors
    Journal of Economic Dynamics and Control, 2012, 36, (2), 294-313 View citations (5)
    See also Working Paper (2011)
18. Global commodity cycles and linkages: a FAVAR approach
    Empirical Economics, 2012, 43, (2), 651-670 View citations (67)
    See also Working Paper (2010)
19. The Role of Financial Variables in predicting economic activity
    Journal of Forecasting, 2012, 31, (1), 15-46 View citations (39)
    See also Working Paper (2009)

2009

20. Indirect estimation of [alpha]-stable stochastic volatility models
    Computational Statistics & Data Analysis, 2009, 53, (6), 2298-2308 View citations (8)
    See also Working Paper (2006)
21. Indirect estimation of elliptical stable distributions
    Computational Statistics & Data Analysis, 2009, 53, (6), 2309-2324 View citations (13)
    See also Working Paper (2007)

2008

22. Indirect Estimation of α-Stable Distributions and Processes
    Econometrics Journal, 2008, 11, (1), 193-208 View citations (12)
    See also Working Paper (2004)
23. The effect of seasonal adjustment on the properties of business cycle regimes
    Journal of Applied Econometrics, 2008, 23, (2), 257-278 View citations (7)
    See also Working Paper (2005)

2007

24. Bayesian inference for [alpha]-stable distributions: A random walk MCMC approach
    Computational Statistics & Data Analysis, 2007, 51, (5), 2688-2700 View citations (10)
    See also Working Paper (2004)

2002

25. Analytic Hessian matrices and the computation of FIGARCH estimates
    Statistical Methods & Applications, 2002, 11, (2), 247-264 View citations (4)
    See also Working Paper (2002)

Books

2023

1. The two-regime view of inflation
   BIS Papers, Bank for International Settlements View citations (3)

2010

2. Catching the Flu from the United States
   Palgrave Macmillan Books, Palgrave Macmillan

Chapters

2014

1. Has Asian emerging market monetary policy been too procyclical when responding to swings in commodity prices?
   A chapter in Globalisation, inflation and monetary policy in Asia and the Pacific, 2014, vol. 77, pp 129-153 View citations (12)

2010

2. Business Cycle Synchronisation: Disentangling Global Trade and Financial Linkages
   Palgrave Macmillan
3. Business Cycle Synchronisation: The United States and the Euro Area
   Palgrave Macmillan
4. Conclusion
   Palgrave Macmillan
5. Economic Interactions US-Euro Area Over the 2007–9 Financial Crisis: What Did We Learn?
   Palgrave Macmillan
6. Introduction
   Palgrave Macmillan
7. Key Elements of Global Inflation
   A chapter in Inflation in an Era of Relative Price Shocks, 2010 View citations (6)
   See also Working Paper (2009)
8. The US-Euro Area Relationship in a Context of Possible Systemic Changes
   Palgrave Macmillan
9. The United States and the Euro Area: The Role of Financial Variables
   Palgrave Macmillan
10. The United States and the Euro Area: What Do Structural Models Say About the Linkages?
    Palgrave Macmillan