Details about Michele Modugno

Access statistics for papers by Michele Modugno.

Last updated 2024-10-10. Update your information in the RePEc Author Service.

Short-id: pmo711

Working Papers

2024

1. Lessons from the Co-movement of Inflation around the World
   FEDS Notes, Board of Governors of the Federal Reserve System (U.S.)

2023

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

2021

3. Back to the Present: Learning about the Euro Area through a Now-casting Model
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (3)
   See also Journal Article Back to the present: Learning about the euro area through a now-casting model, International Journal of Forecasting, Elsevier (2024) (2024)
4. The Information Content of Stress Test Announcements
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (2)
   See also Journal Article The information content of stress test announcements, Journal of Banking & Finance, Elsevier (2024) (2024)

2020

5. Macroeconomic News and Stock Prices Over the FOMC Cycle
   FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) View citations (2)
6. Monetary Policy Uncertainty and Monetary Policy Surprises
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (3)
   See also Journal Article Monetary policy uncertainty and monetary policy surprises, Journal of International Money and Finance, Elsevier (2021) View citations (16) (2021)
7. Sowing the Seeds of Financial Imbalances: The Role of Macroeconomic Performance
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (2)
   See also Journal Article Sowing the seeds of financial imbalances: The role of macroeconomic performance, Journal of Financial Stability, Elsevier (2024) (2024)

2018

8. Monetary Policy Surprises and Monetary Policy Uncertainty
   FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) View citations (9)
9. The Relationship between Macroeconomic Overheating and Financial Vulnerability: A Narrative Investigation
   FEDS Notes, Board of Governors of the Federal Reserve System (U.S.)
10. The Relationship between Macroeconomic Overheating and Financial Vulnerability: A Quantitative Exploration
    FEDS Notes, Board of Governors of the Federal Reserve System (U.S.)

2016

11. A Nowcasting Model for Canada: Do U.S. Variables Matter?
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (3)
    See also Journal Article A now-casting model for Canada: Do U.S. variables matter?, International Journal of Forecasting, Elsevier (2017) View citations (17) (2017)
12. A global trade model for the euro area
    Working Paper Series, European Central Bank
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2015) View citations (4)
    See also Journal Article A Global Trade Model for the Euro Area, International Journal of Central Banking, International Journal of Central Banking (2017) View citations (9) (2017)
13. Financial Vulnerabilities, Macroeconomic Dynamics, and Monetary Policy
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (11)
14. Nowcasting Turkish GDP and News Decomposition
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (22)
    See also Journal Article Nowcasting Turkish GDP and news decomposition, International Journal of Forecasting, Elsevier (2016) View citations (28) (2016)

2015

15. 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 (18) (2016)

2014

16. 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 (15)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2014) View citations (18)
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2014) View citations (18)
    See also Journal Article Low frequency effects of macroeconomic news on government bond yields, Journal of Monetary Economics, Elsevier (2017) View citations (42) (2017)
17. The Importance of Updating: Evidence from a Brazilian Nowcasting Model
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (12)
    See also Journal Article The importance of updating: Evidence from a Brazilian nowcasting model, OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys (2015) View citations (32) (2015)
18. Unspanned macroeconomic factors in the yield curve
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (8)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2013) View citations (13)
    See also Journal Article Unspanned Macroeconomic Factors in the Yield Curve, Journal of Business & Economic Statistics, Taylor & Francis Journals (2016) View citations (41) (2016)

2013

19. Now-casting and the real-time data flow
    Working Paper Series, European Central Bank View citations (207)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2012) View citations (88)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012) View citations (19)
    See also Chapter Now-Casting and the Real-Time Data Flow, Handbook of Economic Forecasting, Elsevier (2013) View citations (169) (2013)

2012

20. Nowcasting with Daily Data
    2012 Meeting Papers, Society for Economic Dynamics View citations (7)

2011

21. Essays on real-time econometrics and forecasting
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
22. Nowcasting inflation using high frequency data
    Working Paper Series, European Central Bank View citations (14)
    See also Journal Article Now-casting inflation using high frequency data, International Journal of Forecasting, Elsevier (2013) View citations (43) (2013)

2010

23. An Area Wide Real Time Data Base for the Euro Area
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (2)
    Also in Working Paper Series, European Central Bank (2010) View citations (36)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2010) View citations (35)
    See also Journal Article An Area-Wide Real-Time Database for the Euro Area, The Review of Economics and Statistics, MIT Press (2012) View citations (59) (2012)
24. Maximum likelihood estimation of factor models on data sets with arbitrary pattern of missing data
    Working Paper Series, European Central Bank View citations (74)
    See also Journal Article MAXIMUM LIKELIHOOD ESTIMATION OF FACTOR MODELS ON DATASETS WITH ARBITRARY PATTERN OF MISSING DATA, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2014) View citations (210) (2014)

2009

25. The forecasting power of internal yield curve linkages
    Working Paper Series, European Central Bank View citations (9)

Journal Articles

2024

1. Back to the present: Learning about the euro area through a now-casting model
   International Journal of Forecasting, 2024, 40, (2), 661-686
   See also Working Paper Back to the Present: Learning about the Euro Area through a Now-casting Model, International Finance Discussion Papers (2021) View citations (3) (2021)
2. Sowing the seeds of financial imbalances: The role of macroeconomic performance
   Journal of Financial Stability, 2024, 74, (C)
   See also Working Paper Sowing the Seeds of Financial Imbalances: The Role of Macroeconomic Performance, Finance and Economics Discussion Series (2020) View citations (2) (2020)
3. The information content of stress test announcements
   Journal of Banking & Finance, 2024, 160, (C)
   See also Working Paper The Information Content of Stress Test Announcements, Finance and Economics Discussion Series (2021) View citations (2) (2021)

2021

4. Monetary policy uncertainty and monetary policy surprises
   Journal of International Money and Finance, 2021, 112, (C) View citations (16)
   See also Working Paper Monetary Policy Uncertainty and Monetary Policy Surprises, Finance and Economics Discussion Series (2020) View citations (3) (2020)
5. Reprint: Monetary policy uncertainty and monetary policy surprises
   Journal of International Money and Finance, 2021, 114, (C) View citations (14)

2017

6. A Global Trade Model for the Euro Area
   International Journal of Central Banking, 2017, 13, (4), 1-34 View citations (9)
   See also Working Paper A global trade model for the euro area, Working Paper Series (2016) (2016)
7. A now-casting model for Canada: Do U.S. variables matter?
   International Journal of Forecasting, 2017, 33, (4), 786-800 View citations (17)
   See also Working Paper A Nowcasting Model for Canada: Do U.S. Variables Matter?, Finance and Economics Discussion Series (2016) View citations (3) (2016)
8. Low frequency effects of macroeconomic news on government bond yields
   Journal of Monetary Economics, 2017, 92, (C), 31-46 View citations (42)
   See also Working Paper Low Frequency Effects of Macroeconomic News on Government Bond Yields, CSEF Working Papers (2014) View citations (15) (2014)

2016

9. Nowcasting Turkish GDP and news decomposition
   International Journal of Forecasting, 2016, 32, (4), 1369-1384 View citations (28)
   See also Working Paper Nowcasting Turkish GDP and News Decomposition, Finance and Economics Discussion Series (2016) View citations (22) (2016)
10. Unspanned Macroeconomic Factors in the Yield Curve
    Journal of Business & Economic Statistics, 2016, 34, (3), 472-485 View citations (41)
    See also Working Paper Unspanned macroeconomic factors in the yield curve, Finance and Economics Discussion Series (2014) View citations (8) (2014)

2015

11. The importance of updating: Evidence from a Brazilian nowcasting model
    OECD Journal: Journal of Business Cycle Measurement and Analysis, 2015, 2015, (1), 5-22 View citations (32)
    See also Working Paper The Importance of Updating: Evidence from a Brazilian Nowcasting Model, Finance and Economics Discussion Series (2014) View citations (12) (2014)

2014

12. MAXIMUM LIKELIHOOD ESTIMATION OF FACTOR MODELS ON DATASETS WITH ARBITRARY PATTERN OF MISSING DATA
    Journal of Applied Econometrics, 2014, 29, (1), 133-160 View citations (210)
    See also Working Paper Maximum likelihood estimation of factor models on data sets with arbitrary pattern of missing data, Working Paper Series (2010) View citations (74) (2010)

2013

13. Now-casting inflation using high frequency data
    International Journal of Forecasting, 2013, 29, (4), 664-675 View citations (43)
    See also Working Paper Nowcasting inflation using high frequency data, Working Paper Series (2011) View citations (14) (2011)

2012

14. An Area-Wide Real-Time Database for the Euro Area
    The Review of Economics and Statistics, 2012, 94, (4), 1000-1013 View citations (59)
    See also Working Paper An Area Wide Real Time Data Base for the Euro Area, Working Papers ECARES (2010) View citations (2) (2010)

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 View citations (18)
   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

2. Now-Casting and the Real-Time Data Flow
   Elsevier View citations (169)
   See also Working Paper Now-casting and the real-time data flow, European Central Bank (2013) View citations (207) (2013)