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Details about Alessia Paccagnini

E-mail:
Homepage:https://sites.google.com/site/alessiapaccagnini/
Workplace:Michael Smurfit Graduate School of Business, School of Business, University College Dublin, (more information at EDIRC)
Centre for Applied Macroeconomic Analysis (CAMA), Crawford School of Public Policy, Australian National University, (more information at EDIRC)

Access statistics for papers by Alessia Paccagnini.

Last updated 2021-03-19. Update your information in the RePEc Author Service.

Short-id: ppa357


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Working Papers

2021

  1. Identifying high-frequency shocks with Bayesian mixed-frequency VARs
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads

2020

  1. Common factors and the dynamics of cereal prices. A forecasting perspective
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads
  2. Federal reserve chair communication sentiments’ heterogeneity, personal characteristics, and their impact on target rate discovery
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads
  3. Has the credit supply shock asymmetric effects on macroeconomic variables?
    Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna Downloads View citations (1)
  4. Testing the predictive accuracy of COVID-19 forecasts
    Discussion Papers, Department of Economics, University of York Downloads
  5. The asymmetric effects of uncertainty shocks
    CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University Downloads

2019

  1. Forecasting with instabilities: an application to DSGE models with financial frictions
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (1)
    Also in Working Papers, School of Economics, University College Dublin (2015) Downloads

    See also Journal Article in Journal of Macroeconomics (2019)

2018

  1. Limited Asset Market Participation and the Euro Area Crisis. An Empirical DSGE Model
    Working Papers, University of Milano-Bicocca, Department of Economics Downloads View citations (1)
    See also Journal Article in Economic Inquiry (2019)

2017

  1. Dealing with Misspecification in DSGE Models: A Survey
    MPRA Paper, University Library of Munich, Germany Downloads View citations (5)
  2. Forecasting with FAVAR: macroeconomic versus financial factors
    NBP Working Papers, Narodowy Bank Polski, Economic Research Department Downloads
  3. PIIGS in the Euro area: An empirical DSGE model
    Discussion Papers in Economics, Griffith University, Department of Accounting, Finance and Economics Downloads
    Also in Working Papers, University of Milano-Bicocca, Department of Economics (2016) Downloads View citations (3)
  4. The Effectiveness of Forward Guidance in an Estimated DSGE Model for the Euro Area: the Role of Expectations
    Working Papers, School of Economics, University College Dublin Downloads

2016

  1. Dealing with Financial Instability under a DSGE modeling approach with Banking Intermediation: a predictability analysis versus TVP-VARs
    Working Papers, School of Economics, University College Dublin Downloads View citations (8)
    Also in Open Access publications, School of Economics, University College Dublin (2016) Downloads View citations (8)

    See also Journal Article in Journal of Financial Stability (2016)
  2. Great Recession, Slow Recovery and Muted Fiscal Policies in the US
    Working Papers, School of Economics, University College Dublin Downloads View citations (5)
    See also Journal Article in Journal of Economic Dynamics and Control (2017)
  3. In search of the Euro Area Fiscal Stance
    Working Papers, University of Milano-Bicocca, Department of Economics Downloads View citations (18)
    Also in Working Papers, School of Economics, University College Dublin (2016) Downloads View citations (7)

    See also Journal Article in Journal of Empirical Finance (2016)
  4. The Macroeconomic Determinants of the US Term-Structure During The Great Moderation
    Open Access publications, School of Economics, University College Dublin Downloads View citations (9)
    Also in Working Papers, University of Milano-Bicocca, Department of Economics (2014) Downloads

    See also Journal Article in Economic Modelling (2016)

2015

  1. DSGE model-based forecasting of modelled and nonmodelled inflation variables in South Africa
    Open Access publications, School of Economics, University College Dublin Downloads View citations (4)
    Also in Working Papers, University of Pretoria, Department of Economics (2013) View citations (8)

    See also Journal Article in Applied Economics (2015)
  2. Dealing with Financial Instability under a DSGE modeling approach with Banking Intermediation: a forecastability analysis versus TVP-VARs
    Economics Working Papers, European University Institute Downloads
  3. Forecasting Inflation in an Inflation Targeting Economy: Structural Versus Non-Structural Models
    Working Papers, University of Pretoria, Department of Economics
  4. Forecasting in a DSGE Model with Banking Intermediation: Evidence from the US
    Working Papers, University of Milano-Bicocca, Department of Economics Downloads View citations (10)
  5. Identifying Noise Shocks: a VAR with Data Revisions
    Discussion Papers, Centre for Macroeconomics (CFM) Downloads View citations (3)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2015) Downloads View citations (1)

    See also Journal Article in Journal of Money, Credit and Banking (2019)
  6. Macroprudential policy and forecasting using Hybrid DSGE models with financial frictions and State space Markov-Switching TVP-VARs
    Open Access publications, School of Economics, University College Dublin Downloads View citations (10)
    See also Journal Article in Macroeconomic Dynamics (2015)
  7. Oil Price Forecastability and Economic Uncertainty
    Working Papers, University of Milano-Bicocca, Department of Economics Downloads View citations (32)
    Also in Open Access publications, School of Economics, University College Dublin (2015) Downloads View citations (32)
    Working Papers, University of Pretoria, Department of Economics (2015) View citations (34)

    See also Journal Article in Economics Letters (2015)

2014

  1. Bayesian forecasting with small and medium scale factor-augmented vector autoregressive DSGE models
    Open Access publications, School of Economics, University College Dublin Downloads View citations (13)
    See also Journal Article in Computational Statistics & Data Analysis (2014)
  2. Estimating a DSGE model with Limited Asset Market Participation for the Euro Area
    Working Papers, University of Milano-Bicocca, Department of Economics Downloads View citations (10)
  3. Estimating point and density forecasts for the US economy with a factor-augmented vector autoregressive DSGE model
    Open Access publications, School of Economics, University College Dublin Downloads View citations (1)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2015)
  4. Forecasting the US Economy with a Factor-Augmented Vector Autoregressive DSGE model
    Working Papers, Department of Research, Ipag Business School Downloads View citations (15)
  5. Policy-oriented macroeconomic forecasting with hybrid DGSE and time-varying parameter VAR models
    Working Papers, Department of Research, Ipag Business School Downloads View citations (1)
    Also in Working Papers, University of Milano-Bicocca, Department of Economics (2013) Downloads View citations (6)

    See also Journal Article in Journal of Forecasting (2016)

2013

  1. Bayesian Forecasting with a Factor-Augmented Vector Autoregressive DSGE model
    Working Paper series, Rimini Centre for Economic Analysis Downloads
  2. DGSE Model-Based Forecasting of Modeled and Non-Modeled Inflation Variables in South Africa
    Working Papers, University of Milano-Bicocca, Department of Economics Downloads
  3. On the predictability of time-varying VAR and DSGE models
    Open Access publications, School of Economics, University College Dublin Downloads View citations (11)
    Also in Open Access publications, School of Economics, University College Dublin (2013) Downloads View citations (11)

    See also Journal Article in Empirical Economics (2013)

2012

  1. Comparing Hybrid DSGE Models
    Working Papers, University of Milano-Bicocca, Department of Economics Downloads

2011

  1. Does Trade Foster Institutions?
    Open Access publications, School of Economics, University College Dublin Downloads View citations (5)
  2. Does Trade Foster Institutions? An Empirical Assessment
    Open Access publications, School of Economics, University College Dublin Downloads View citations (3)
    See also Journal Article in Review of Economics and Institutions (2011)

2010

  1. DSGE Model Validation in a Bayesian Framework: an Assessment
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)

2009

  1. On the Statistical Identification of DSGE Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (30)
    Also in Open Access publications, School of Economics, University College Dublin (2009) Downloads View citations (18)
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2007) Downloads View citations (4)

    See also Journal Article in Journal of Econometrics (2009)

Journal Articles

2020

  1. Does the credit supply shock have asymmetric effects on macroeconomic variables?
    Economics Letters, 2020, 188, (C) Downloads

2019

  1. Did financial factors matter during the Great Recession?
    Economics Letters, 2019, 174, (C), 26-30 Downloads View citations (3)
  2. Forecasting with instabilities: An application to DSGE models with financial frictions
    Journal of Macroeconomics, 2019, 61, (C), - Downloads View citations (1)
    See also Working Paper (2019)
  3. Identifying Noise Shocks: A VAR with Data Revisions
    Journal of Money, Credit and Banking, 2019, 51, (8), 2145-2172 Downloads View citations (1)
    See also Working Paper (2015)
  4. LIMITED ASSET MARKET PARTICIPATION AND THE EURO AREA CRISIS: AN EMPIRICAL DSGE MODEL
    Economic Inquiry, 2019, 57, (3), 1302-1323 Downloads View citations (4)
    See also Working Paper (2018)

2017

  1. Great recession, slow recovery and muted fiscal policies in the US
    Journal of Economic Dynamics and Control, 2017, 81, (C), 140-161 Downloads View citations (10)
    See also Working Paper (2016)

2016

  1. Dealing with financial instability under a DSGE modeling approach with banking intermediation: A predictability analysis versus TVP-VARs
    Journal of Financial Stability, 2016, 26, (C), 216-227 Downloads View citations (8)
    See also Working Paper (2016)
  2. In search of the Euro area fiscal stance
    Journal of Empirical Finance, 2016, 39, (PB), 254-264 Downloads View citations (10)
    See also Working Paper (2016)
  3. Policy‐Oriented Macroeconomic Forecasting with Hybrid DGSE and Time‐Varying Parameter VAR Models
    Journal of Forecasting, 2016, 35, (7), 613-632 Downloads View citations (2)
    See also Working Paper (2014)
  4. The macroeconomic determinants of the US term structure during the Great Moderation
    Economic Modelling, 2016, 52, (PA), 216-225 Downloads View citations (9)
    See also Working Paper (2016)

2015

  1. DSGE model-based forecasting of modelled and nonmodelled inflation variables in South Africa
    Applied Economics, 2015, 47, (3), 207-221 Downloads View citations (3)
    See also Working Paper (2015)
  2. Estimating point and density forecasts for the US economy with a factor-augmented vector autoregressive DSGE model
    Studies in Nonlinear Dynamics & Econometrics, 2015, 19, (2), 107-136 Downloads View citations (2)
    See also Working Paper (2014)
  3. MACROPRUDENTIAL POLICY AND FORECASTING USING HYBRID DSGE MODELS WITH FINANCIAL FRICTIONS AND STATE SPACE MARKOV-SWITCHING TVP-VARS
    Macroeconomic Dynamics, 2015, 19, (7), 1565-1592 Downloads View citations (9)
    See also Working Paper (2015)
  4. Oil price forecastability and economic uncertainty
    Economics Letters, 2015, 132, (C), 125-128 Downloads View citations (32)
    See also Working Paper (2015)

2014

  1. Bayesian forecasting with small and medium scale factor-augmented vector autoregressive DSGE models
    Computational Statistics & Data Analysis, 2014, 71, (C), 298-323 Downloads View citations (15)
    See also Working Paper (2014)

2013

  1. On the predictability of time-varying VAR and DSGE models
    Empirical Economics, 2013, 45, (1), 635-664 Downloads View citations (20)
    See also Working Paper (2013)

2011

  1. Does Trade Foster Institutions? An Empirical Assessment
    Review of Economics and Institutions, 2011, 2, (2) Downloads View citations (7)
    See also Working Paper (2011)

2009

  1. On the statistical identification of DSGE models
    Journal of Econometrics, 2009, 150, (1), 99-115 Downloads View citations (24)
    See also Working Paper (2009)
 
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