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Details about Marco Jacopo Lombardi

Homepage:http://www.bis.org/author/marco_jacopo_lombardi.htm
Phone:+41-61-280-9492
Postal address:Bank for International Settlements Centralbahnplatz 2 CH-4002 Basel SWITZERLAND
Workplace:Bank for International Settlements (BIS), (more information at EDIRC)

Access statistics for papers by Marco Jacopo Lombardi.

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

Short-id: plo54


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Working Papers

2024

  1. The wage-price pass-through across sectors: evidence from the euro area
    BIS Working Papers, Bank for International Settlements Downloads
    Also in Working Paper Series, European Central Bank (2024) Downloads

2023

  1. The contribution of monetary policy to disinflation
    BIS Bulletins, Bank for International Settlements Downloads

2022

  1. Are Households Indifferent to Monetary Policy Announcements?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    Also in BIS Working Papers, Bank for International Settlements (2021) Downloads View citations (10)
  2. Inflation indicators amid high uncertainty
    BIS Bulletins, Bank for International Settlements Downloads

2021

  1. Fiscal and monetary policy interactions in a low interest rate world
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    Also in BIS Working Papers, Bank for International Settlements (2021) Downloads View citations (14)
  2. Income inequality and the depth of economic downturns
    BIS Working Papers, Bank for International Settlements Downloads View citations (4)
    See also Journal Article Income Inequality and the depth of economic downturns, Economics Letters, Elsevier (2021) Downloads View citations (2) (2021)

2020

  1. Bargaining power and the Phillips curve: a micro-macro analysis
    BIS Working Papers, Bank for International Settlements Downloads View citations (5)
    Also in Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area (2020) Downloads View citations (4)
  2. The dollar, bank leverage and real economic activity: an evolving relationship
    BIS Working Papers, Bank for International Settlements Downloads View citations (13)
    See also Journal Article The Dollar, Bank Leverage, and Real Economic Activity: An Evolving Relationship, AEA Papers and Proceedings, American Economic Association (2020) Downloads View citations (12) (2020)
  3. The impact of unconventional monetary policies on retail lending and deposit rates in the euro area
    BIS Working Papers, Bank for International Settlements Downloads View citations (2)

2019

  1. Measuring financial cycle time
    Bank of England working papers, Bank of England Downloads View citations (5)
    Also in BIS Working Papers, Bank for International Settlements (2018) Downloads View citations (15)

2018

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

2017

  1. Global impact of US and euro area unconventional monetary policies: a comparison
    BIS Working Papers, Bank for International Settlements Downloads View citations (42)
  2. The real effects of household debt in the short and long run
    BIS Working Papers, Bank for International Settlements Downloads View citations (65)

2016

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

2015

  1. The biofuel connection: impact of US regulation on oil and food prices
    BIS Working Papers, Bank for International Settlements Downloads View citations (3)
  2. 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) Downloads View citations (74)
    Also in BIS Working Papers, Bank for International Settlements (2015) Downloads View citations (74)

2014

  1. A shadow policy rate to calibrate US monetary policy at the zero lower bound
    BIS Working Papers, Bank for International Settlements Downloads View citations (123)
    See also Journal Article A Shadow Policy Rate to Calibrate U.S. Monetary Policy at the Zero Lower Bound, International Journal of Central Banking, International Journal of Central Banking (2018) Downloads View citations (57) (2018)
  2. Has the transmission of policy rates to lending rates been impaired by the Global Financial Crisis?
    BIS Working Papers, Bank for International Settlements Downloads View citations (23)

2013

  1. On the correlation between commodity and equity returns: implications for portfolio allocation
    BIS Working Papers, Bank for International Settlements Downloads View citations (16)
    See also Journal Article On the correlation between commodity and equity returns: Implications for portfolio allocation, Journal of Commodity Markets, Elsevier (2016) Downloads View citations (57) (2016)

2012

  1. Monetary policy and the oil futures market
    Discussion Papers, Deutsche Bundesbank Downloads View citations (4)
  2. Oil price density forecasts: Exploring the linkages with stock markets
    Working Papers, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School Downloads View citations (12)
    Also in Working Paper, Norges Bank (2012) Downloads View citations (12)
  3. Short-Term Forecasting of the Japanese Economy Using Factor Models
    Staff Working Papers, Bank of Canada Downloads View citations (11)
    Also in Working Paper Series, European Central Bank (2012) Downloads View citations (10)
  4. The impact of monetary policy shocks on commodity prices
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (55)
    Also in Working Paper Series, European Central Bank (2010) Downloads View citations (57)

    See also Journal Article The Impact of Monetary Policy Shocks on Commodity Prices, International Journal of Central Banking, International Journal of Central Banking (2013) Downloads View citations (63) (2013)

2011

  1. Bayesian prior elicitation in DSGE models: macro- vs micro-priors
    Working Paper Series, European Central Bank Downloads View citations (3)
    See also Journal Article Bayesian prior elicitation in DSGE models: Macro- vs micropriors, Journal of Economic Dynamics and Control, Elsevier (2012) Downloads View citations (5) (2012)
  2. 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 Downloads View citations (104)
    Also in Working Paper Series, European Central Bank (2011) Downloads View citations (93)
  3. Forecasting economic growth in the euro area during the Great Moderation and the Great Recession
    Working Paper Series, European Central Bank Downloads View citations (16)

2010

  1. Energy markets and the euro area macroeconomy
    Occasional Paper Series, European Central Bank Downloads View citations (2)
  2. Global commodity cycles and linkages a FAVAR approach
    Working Paper Series, European Central Bank Downloads View citations (20)
    See also Journal Article Global commodity cycles and linkages: a FAVAR approach, Empirical Economics, Springer (2012) Downloads View citations (70) (2012)
  3. The Emergence and Survival of Inflation Expectations
    EcoMod2010, EcoMod Downloads
  4. ‘Lean’ versus ‘Rich’ Data Sets: Forecasting during the Great Moderation and the Great Recession
    Staff Working Papers, Bank of Canada Downloads View citations (1)

2009

  1. External shocks and international inflation linkages: a global VAR analysis
    Working Paper Series, European Central Bank Downloads View citations (56)
  2. Indirect inference of elliptical fat tailed distributions
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (2)
  3. Key elements of global inflation
    Discussion Papers, University of Nottingham, GEP Downloads View citations (5)
    See also Chapter Key Elements of Global Inflation, RBA Annual Conference Volume (Discontinued), Reserve Bank of Australia (2010) Downloads View citations (6) (2010)
  4. The Role of Financial Variables in Predicting Economic Activity in the Euro Area
    IMF Working Papers, International Monetary Fund Downloads View citations (6)
  5. The role of financial variables in predicting economic activity
    Working Paper Series, European Central Bank Downloads View citations (16)
    See also Journal Article The Role of Financial Variables in predicting economic activity, Journal of Forecasting, John Wiley & Sons, Ltd. (2012) View citations (40) (2012)

2007

  1. (Un)naturally low? Sequential Monte Carlo tracking of the US natural interest rate
    Working Paper Series, European Central Bank Downloads View citations (8)
  2. Indirect estimation of elliptical stable distributions
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (5)
    See also Journal Article Indirect estimation of elliptical stable distributions, Computational Statistics & Data Analysis, Elsevier (2009) Downloads View citations (13) (2009)

2006

  1. (Un)naturally low?
    Computing in Economics and Finance 2006, Society for Computational Economics View citations (1)
  2. Indirect estimation of alpha-stable stochastic volatility models
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads View citations (6)
    See also Journal Article Indirect estimation of [alpha]-stable stochastic volatility models, Computational Statistics & Data Analysis, Elsevier (2009) Downloads View citations (8) (2009)

2005

  1. 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" Downloads
    See also Journal Article The effect of seasonal adjustment on the properties of business cycle regimes, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2008) Downloads View citations (7) (2008)

2004

  1. 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" Downloads View citations (2)
    See also Journal Article Bayesian inference for [alpha]-stable distributions: A random walk MCMC approach, Computational Statistics & Data Analysis, Elsevier (2007) Downloads View citations (10) (2007)
  2. Indirect estimation of alpha-stable distributions and processes
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads View citations (3)
    See also Journal Article Indirect Estimation of α-Stable Distributions and Processes, Econometrics Journal, Royal Economic Society (2008) View citations (12) (2008)
  3. 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" Downloads View citations (5)

2002

  1. 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" Downloads View citations (6)
    See also Journal Article Analytic Hessian matrices and the computation of FIGARCH estimates, Statistical Methods & Applications, Springer (2002) Downloads View citations (4) (2002)
  2. GARCH-based Volatility Forecasts for Market Volatility Indices
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" Downloads View citations (3)

Journal Articles

2024

  1. Sectoral price dynamics in the last mile of post-Covid-19 disinflation
    BIS Quarterly Review, 2024 Downloads

2023

  1. Workers’ Bargaining Power and the Phillips Curve: A Micro–Macro Analysis
    Journal of the European Economic Association, 2023, 21, (5), 1905-1943 Downloads View citations (1)

2022

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

2021

  1. Income Inequality and the depth of economic downturns
    Economics Letters, 2021, 205, (C) Downloads View citations (2)
    See also Working Paper Income inequality and the depth of economic downturns, BIS Working Papers (2021) Downloads View citations (4) (2021)

2020

  1. Monetary Policy, Commodity Prices, and Misdiagnosis Risk
    International Journal of Central Banking, 2020, 16, (2), 45-79 Downloads View citations (3)
  2. The Dollar, Bank Leverage, and Real Economic Activity: An Evolving Relationship
    AEA Papers and Proceedings, 2020, 110, 529-34 Downloads View citations (12)
    See also Working Paper The dollar, bank leverage and real economic activity: an evolving relationship, BIS Working Papers (2020) Downloads View citations (13) (2020)

2019

  1. Financial conditions and purchasing managers' indices: exploring the links
    BIS Quarterly Review, 2019 Downloads View citations (2)
  2. 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 Downloads View citations (20)

2018

  1. 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 Downloads View citations (57)
    See also Working Paper A shadow policy rate to calibrate US monetary policy at the zero lower bound, BIS Working Papers (2014) Downloads View citations (123) (2014)

2017

  1. 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 Downloads
    Also in Revista ESPE - Ensayos Sobre Política Económica, 2017, 35, (82), 40-52 (2017) Downloads

2016

  1. On the correlation between commodity and equity returns: Implications for portfolio allocation
    Journal of Commodity Markets, 2016, 2, (1), 45-57 Downloads View citations (57)
    See also Working Paper On the correlation between commodity and equity returns: implications for portfolio allocation, BIS Working Papers (2013) Downloads View citations (16) (2013)

2015

  1. (Why) Is investment weak?
    BIS Quarterly Review, 2015 Downloads View citations (54)
  2. 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 Downloads View citations (29)
  3. Oil and debt
    BIS Quarterly Review, 2015 Downloads View citations (21)
  4. The use of payment systems data as early indicators of economic activity
    Applied Economics Letters, 2015, 22, (8), 646-650 Downloads View citations (1)

2013

  1. Interest rate pass-through since the financial crisis
    BIS Quarterly Review, 2013 Downloads View citations (60)
  2. The Impact of Monetary Policy Shocks on Commodity Prices
    International Journal of Central Banking, 2013, 9, (3), 125-150 Downloads View citations (63)
    See also Working Paper The impact of monetary policy shocks on commodity prices, Temi di discussione (Economic working papers) (2012) Downloads View citations (55) (2012)

2012

  1. Bayesian prior elicitation in DSGE models: Macro- vs micropriors
    Journal of Economic Dynamics and Control, 2012, 36, (2), 294-313 Downloads View citations (5)
    See also Working Paper Bayesian prior elicitation in DSGE models: macro- vs micro-priors, Working Paper Series (2011) Downloads View citations (3) (2011)
  2. Global commodity cycles and linkages: a FAVAR approach
    Empirical Economics, 2012, 43, (2), 651-670 Downloads View citations (70)
    See also Working Paper Global commodity cycles and linkages a FAVAR approach, Working Paper Series (2010) Downloads View citations (20) (2010)
  3. The Role of Financial Variables in predicting economic activity
    Journal of Forecasting, 2012, 31, (1), 15-46 View citations (40)
    See also Working Paper The role of financial variables in predicting economic activity, Working Paper Series (2009) Downloads View citations (16) (2009)

2009

  1. Indirect estimation of [alpha]-stable stochastic volatility models
    Computational Statistics & Data Analysis, 2009, 53, (6), 2298-2308 Downloads View citations (8)
    See also Working Paper Indirect estimation of alpha-stable stochastic volatility models, Econometrics Working Papers Archive (2006) Downloads View citations (6) (2006)
  2. Indirect estimation of elliptical stable distributions
    Computational Statistics & Data Analysis, 2009, 53, (6), 2309-2324 Downloads View citations (13)
    See also Working Paper Indirect estimation of elliptical stable distributions, LIDAM Discussion Papers CORE (2007) Downloads View citations (5) (2007)

2008

  1. Indirect Estimation of α-Stable Distributions and Processes
    Econometrics Journal, 2008, 11, (1), 193-208 View citations (12)
    See also Working Paper Indirect estimation of alpha-stable distributions and processes, Econometrics Working Papers Archive (2004) Downloads View citations (3) (2004)
  2. The effect of seasonal adjustment on the properties of business cycle regimes
    Journal of Applied Econometrics, 2008, 23, (2), 257-278 Downloads View citations (7)
    See also Working Paper The Effect of Seasonal Adjustment on the Properties of Business Cycle Regimes, Econometrics Working Papers Archive (2005) Downloads (2005)

2007

  1. Bayesian inference for [alpha]-stable distributions: A random walk MCMC approach
    Computational Statistics & Data Analysis, 2007, 51, (5), 2688-2700 Downloads View citations (10)
    See also Working Paper Bayesian inference for alpha-stable distributions: a random walk MCMC approach, Econometrics Working Papers Archive (2004) Downloads View citations (2) (2004)

2002

  1. Analytic Hessian matrices and the computation of FIGARCH estimates
    Statistical Methods & Applications, 2002, 11, (2), 247-264 Downloads View citations (4)
    See also Working Paper Analytic Hessian Matrices and the Computation of FIGARCH Estimates, Econometrics Working Papers Archive (2002) Downloads View citations (6) (2002)

Books

2023

  1. The two-regime view of inflation
    BIS Papers, Bank for International Settlements Downloads View citations (8)

2010

  1. 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 Downloads View citations (12)

2010

  1. Business Cycle Synchronisation: Disentangling Global Trade and Financial Linkages
    Palgrave Macmillan
  2. Business Cycle Synchronisation: The United States and the Euro Area
    Palgrave Macmillan
  3. Conclusion
    Palgrave Macmillan
  4. Economic Interactions US-Euro Area Over the 2007–9 Financial Crisis: What Did We Learn?
    Palgrave Macmillan
  5. Introduction
    Palgrave Macmillan
  6. Key Elements of Global Inflation
    A chapter in Inflation in an Era of Relative Price Shocks, 2010 Downloads View citations (6)
    See also Working Paper Key elements of global inflation, University of Nottingham, GEP (2009) Downloads View citations (5) (2009)
  7. The US-Euro Area Relationship in a Context of Possible Systemic Changes
    Palgrave Macmillan
  8. The United States and the Euro Area: The Role of Financial Variables
    Palgrave Macmillan
  9. The United States and the Euro Area: What Do Structural Models Say About the Linkages?
    Palgrave Macmillan
 
Page updated 2024-07-19