Details about Matteo Luciani

Access statistics for papers by Matteo Luciani.

Last updated 2025-04-28. Update your information in the RePEc Author Service.

Short-id: plu244

Working Papers

2025

1. Scenario Synthesis and Macroeconomic Risk
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)
2. The Euro Area has a growth problem
   FEDS Notes, Board of Governors of the Federal Reserve System (U.S.)

2024

3. Common and Idiosyncratic Inflation
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (2)
   Also in FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) (2020) View citations (7)
4. Measuring the Euro Area Output Gap
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (1)
5. Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm
   Papers, arXiv.org View citations (11)
   Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2024) View citations (1)

2023

6. Lessons from Nowcasting GDP across the World
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.)

2021

7. Inferential Theory for Generalized Dynamic Factor Models
   Working Papers ECARES, ULB -- Universite Libre de Bruxelles
8. Quantifying the COVID-19 Effects on Core PCE Price Inflation
   FEDS Notes, Board of Governors of the Federal Reserve System (U.S.)
9. Relative prices and pure inflation since the mid-1990s
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)

2019

10. Comparing Two Measures of Core Inflation: PCE Excluding Food & Energy vs. the Trimmed Mean PCE Index
    FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) View citations (8)
11. Oil Price Pass-Through into Core Inflation
    FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) View citations (44)
    Also in FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) (2017) View citations (1)
    Questioni di Economia e Finanza (Occasional Papers), Bank of Italy, Economic Research and International Relations Area (2017) View citations (1)
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2017) View citations (1)
    See also Journal Article Oil Price Pass-through into Core Inflation, The Energy Journal, International Association for Energy Economics (2019) View citations (44) (2019)
12. Quasi Maximum Likelihood Estimation of Non-Stationary Large Approximate Dynamic Factor Models
    Papers, arXiv.org View citations (15)

2018

13. Do National Account Statistics Underestimate US Real Output Growth?
    FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) View citations (2)

2017

14. Common Factors, Trends, and Cycles in Large Datasets
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (2)

2016

15. Dynamic Factor Models, Cointegration, and Error Correction Mechanisms
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (4)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2014) View citations (5)
16. Non-Stationary Dynamic Factor Models for Large Datasets
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (19)

2015

17. Nowcasting Indonesia
    ADB Economics Working Paper Series, Asian Development Bank View citations (7)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2015) View citations (11)
    See also Journal Article Nowcasting Indonesia, Empirical Economics, Springer (2018) View citations (11) (2018)
18. Surfing through the GFC: systemic risk in Australia
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics View citations (7)
    See also Journal Article Surfing through the GFC: Systemic Risk in Australia, The Economic Record, The Economic Society of Australia (2017) View citations (11) (2017)

2013

19. Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (5)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2012)
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area (2013) View citations (14)
    See also Journal Article Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2014) View citations (95) (2014)
20. Monetary Policy, and the Housing Market: A Structural Factor Analysis
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (6)
    Also in Working Papers, Department of the Treasury, Ministry of the Economy and of Finance View citations (1)
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2012) View citations (5)
    See also Journal Article Monetary Policy and the Housing Market: A Structural Factor Analysis, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2015) View citations (59) (2015)
21. Nowcasting Norway
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (23)
    See also Journal Article Nowcasting Norway, International Journal of Central Banking, International Journal of Central Banking (2014) View citations (12) (2014)
22. Uncertainty and heterogeneity in factor models forecasting
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (1)
    Also in Working Papers, Department of the Treasury, Ministry of the Economy and of Finance (2012)

2012

23. A model for vast panels of volatilities
    Working Papers, Banco de España View citations (16)
24. Ranking Systemically Important Financial Institutions
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (22)
    Also in Working Papers, University of Tasmania, Tasmanian School of Business and Economics (2012) View citations (19)
    Tinbergen Institute Discussion Papers, Tinbergen Institute (2012) View citations (20)

2011

25. Forecasting with Approximate Dynamic Factor Models: the Role of Non-Pervasive Shocks
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (9)
    See also Journal Article Forecasting with approximate dynamic factor models: The role of non-pervasive shocks, International Journal of Forecasting, Elsevier (2014) View citations (36) (2014)
26. Measuring Euro Area Monetary Policy Transmission in a Structural Dynamic Factor Model
    European Economy - Economic Papers 2008 - 2015, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission View citations (9)

2010

27. Monetary Policy, the Housing Market, and the 2008 Recession: A Structural Factor Analysis
    Working Papers, Doctoral School of Economics, Sapienza University of Rome View citations (1)

2004

28. A VAR Model for the Analysis of the Effects of Monetary Policy in the Euro Area
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
    See also Journal Article A VAR Model for the Analysis of the Effects of Monetary Policy in the Euro Area, Rivista di Politica Economica, SIPI Spa (2004) (2004)

Journal Articles

2021

1. Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with I(1) cointegrated factors
   Journal of Econometrics, 2021, 221, (2), 455-482 View citations (24)

2020

2. Cointegration and Error Correction Mechanisms for Singular Stochastic Vectors
   Econometrics, 2020, 8, (1), 1-23 View citations (14)

2019

3. Oil Price Pass-through into Core Inflation
   The Energy Journal, 2019, Volume 40, (Number 6) View citations (44)
   See also Working Paper Oil Price Pass-Through into Core Inflation, FEDS Notes (2019) View citations (44) (2019)

2018

4. Nowcasting Indonesia
   Empirical Economics, 2018, 55, (2), 597-619 View citations (11)
   See also Working Paper Nowcasting Indonesia, ADB Economics Working Paper Series (2015) View citations (7) (2015)
5. Systemic risk in the US: Interconnectedness as a circuit breaker
   Economic Modelling, 2018, 71, (C), 305-315 View citations (13)

2017

6. Surfing through the GFC: Systemic Risk in Australia
   The Economic Record, 2017, 93, (300), 1-19 View citations (11)
   See also Working Paper Surfing through the GFC: systemic risk in Australia, Working Papers (2015) View citations (7) (2015)

2015

7. Estimating and Forecasting Large Panels of Volatilities with Approximate Dynamic Factor Models
   Journal of Forecasting, 2015, 34, (3), 163-176 View citations (25)
8. Monetary Policy and the Housing Market: A Structural Factor Analysis
   Journal of Applied Econometrics, 2015, 30, (2), 199-218 View citations (59)
   See also Working Paper Monetary Policy, and the Housing Market: A Structural Factor Analysis, ULB Institutional Repository (2013) View citations (6) (2013)

2014

9. Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?
   Oxford Bulletin of Economics and Statistics, 2014, 76, (5), 693-714 View citations (95)
   See also Working Paper Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?, ULB Institutional Repository (2013) View citations (5) (2013)
10. Forecasting with approximate dynamic factor models: The role of non-pervasive shocks
    International Journal of Forecasting, 2014, 30, (1), 20-29 View citations (36)
    See also Working Paper Forecasting with Approximate Dynamic Factor Models: the Role of Non-Pervasive Shocks, Working Papers ECARES (2011) View citations (9) (2011)
11. Nowcasting Norway
    International Journal of Central Banking, 2014, 10, (4), 215-248 View citations (12)
    See also Working Paper Nowcasting Norway, Working Papers ECARES (2013) View citations (23) (2013)

2011

12. The determinants of investment in information and communication technologies
    Economics of Innovation and New Technology, 2011, 20, (4), 387-403 View citations (36)

2004

13. A VAR Model for the Analysis of the Effects of Monetary Policy in the Euro Area
    Rivista di Politica Economica, 2004, 94, (6), 175-214
    See also Working Paper A VAR Model for the Analysis of the Effects of Monetary Policy in the Euro Area, ULB Institutional Repository (2004) (2004)