Domenico Giannone
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Blog mentions
As found by EconAcademics.org, the blog aggregator for Economics research:- Marc Giannoni & Domenico Giannone & Andrea Tambalotti & Marco Del Negro, 2017.
"Safety, Liquidity, and the Natural Rate of Interest,"
2017 Meeting Papers
803, Society for Economic Dynamics.
- Marco Del Negro & Domenico Giannone & Marc P. Giannoni & Andrea Tambalotti, 2017. "Safety, Liquidity, and the Natural Rate of Interest," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 48(1 (Spring), pages 235-316.
- Marco Del Negro & Domenico Giannone & Marc Giannoni & Andrea Tambalotti, 2017. "Safety, liquidity, and the natural rate of interest," Staff Reports 812, Federal Reserve Bank of New York.
Mentioned in:
- What’s happened so far with the return on safe and liquid assets?
by ? in FRED blog on 2020-08-31 13:00:00
- Giannone, Domenico & Monti, Francesca & Reichlin, Lucrezia, 2016.
"Exploiting the monthly data flow in structural forecasting,"
Journal of Monetary Economics, Elsevier, vol. 84(C), pages 201-215.
- Domenico Giannone & Francesca Monti & Lucrezia Reichlin, 2015. "Exploiting the monthly data flow in structural forecasting," Staff Reports 751, Federal Reserve Bank of New York.
- Giannone, Domenico & Monti, Francesca & Reichlin, Lucrezia, 2014. "Exploiting the monthly data-flow in structural forecasting," LSE Research Online Documents on Economics 57998, London School of Economics and Political Science, LSE Library.
- Domenico Giannone & Francesca Monti & Lucrezia Reichlin, 2014. "Exploiting the monthly data-flow in structural forecasting," Discussion Papers 1416, Centre for Macroeconomics (CFM).
- Giannone, Domenico & Monti , Francesca & Reichlin , Lucrezia, 2014. "Exploiting the monthly data flow in structural forecasting," Bank of England working papers 509, Bank of England.
Mentioned in:
- Hey, Economist! How Do You Forecast the Present?
by Blog Author in Liberty Street Economics on 2017-06-16 20:15:00 - Exploiting the monthly data flow in structural forecasting
by Christian Zimmermann in NEP-DGE blog on 2014-10-05 22:06:38
- Giannone, Domenico & Monti , Francesca & Reichlin , Lucrezia, 2014.
"Exploiting the monthly data flow in structural forecasting,"
Bank of England working papers
509, Bank of England.
- Giannone, Domenico & Monti, Francesca & Reichlin, Lucrezia, 2016. "Exploiting the monthly data flow in structural forecasting," Journal of Monetary Economics, Elsevier, vol. 84(C), pages 201-215.
- Domenico Giannone & Francesca Monti & Lucrezia Reichlin, 2015. "Exploiting the monthly data flow in structural forecasting," Staff Reports 751, Federal Reserve Bank of New York.
- Giannone, Domenico & Monti, Francesca & Reichlin, Lucrezia, 2014. "Exploiting the monthly data-flow in structural forecasting," LSE Research Online Documents on Economics 57998, London School of Economics and Political Science, LSE Library.
- Domenico Giannone & Francesca Monti & Lucrezia Reichlin, 2014. "Exploiting the monthly data-flow in structural forecasting," Discussion Papers 1416, Centre for Macroeconomics (CFM).
Mentioned in:
- Hey, Economist! How Do You Forecast the Present?
by Blog Author in Liberty Street Economics on 2017-06-16 20:15:00 - Exploiting the monthly data flow in structural forecasting
by Christian Zimmermann in NEP-DGE blog on 2014-10-05 22:06:38
- Giannone, Domenico & Reichlin, Lucrezia & Small, David, 2008.
"Nowcasting: The real-time informational content of macroeconomic data,"
Journal of Monetary Economics, Elsevier, vol. 55(4), pages 665-676, May.
- Reichlin, Lucrezia & Giannone, Domenico & Small, David, 2005. "Nowcasting GDP and Inflation: The Real Time Informational Content of Macroeconomic Data Releases," CEPR Discussion Papers 5178, C.E.P.R. Discussion Papers.
- Domenico Giannone & Lucrezia Reichlin & David H Small, 2007. "Nowcasting GDP and Inflation: The Real-Time Informational Content of Macroeconomic Data Releases," Money Macro and Finance (MMF) Research Group Conference 2006 164, Money Macro and Finance Research Group.
- Domenico Giannone & Lucrezia Reichlin & David H. Small, 2005. "Nowcasting GDP and inflation: the real-time informational content of macroeconomic data releases," Finance and Economics Discussion Series 2005-42, Board of Governors of the Federal Reserve System (U.S.).
Mentioned in:
- Just Released: Historical Reconstruction of the New York Fed Staff Nowcast, 2002-15
by Blog Author in Liberty Street Economics on 2019-07-12 15:27:59 - GDPNow's Forecast: Why Did It Spike Recently?
by macroblog in Macroblog on 2018-02-13 18:29:31 - The "Scariest Spreadsheet In Fed Possession" Just Revealed A Very Scary Number For Q2 GDP
by Tyler Durden in Zero Hedge on 2015-05-01 00:03:58
- Tobias Adrian & Nina Boyarchenko & Domenico Giannone, 2019.
"Vulnerable Growth,"
American Economic Review, American Economic Association, vol. 109(4), pages 1263-1289, April.
- Adrian, Tobias & Boyarchenko, Nina & Giannone, Domenico, 2016. "Vulnerable Growth," CEPR Discussion Papers 11583, C.E.P.R. Discussion Papers.
- Tobias Adrian & Nina Boyarchenko & Domenico Giannone, 2018. "Vulnerable Growth," Liberty Street Economics 20180409, Federal Reserve Bank of New York.
- Nina Boyarchenko & Domenico Giannone & Tobias Adrian, 2017. "Vulnerable Growth," 2017 Meeting Papers 1317, Society for Economic Dynamics.
- Tobias Adrian & Nina Boyarchenko & Domenico Giannone, 2016. "Vulnerable growth," Staff Reports 794, Federal Reserve Bank of New York.
Mentioned in:
- Possible pitfalls of a 1-in-X approach to financial stability
by BankUnderground in Bank Underground on 2020-02-06 09:00:00
- Del Negro, Marco & Giannone, Domenico & Giannoni, Marc P. & Tambalotti, Andrea, 2019.
"Global trends in interest rates,"
Journal of International Economics, Elsevier, vol. 118(C), pages 248-262.
- Marco Del Negro & Domenico Giannone & Marc Giannoni & Andrea Tambalotti, 2018. "Global Trends in Interest Rates," NBER Chapters, in: NBER International Seminar on Macroeconomics 2018, pages 248-262, National Bureau of Economic Research, Inc.
- Marco Del Negro & Domenico Giannone & Marc P. Giannoni & Andrea Tambalotti, 2018. "Global Trends in Interest Rates," NBER Working Papers 25039, National Bureau of Economic Research, Inc.
- Brandyn Bok & Marco Del Negro & Domenico Giannone & Marc Giannoni & Eric Qian & Andrea Tambalotti, 2019. "Global Trends in Interest Rates," Liberty Street Economics 20190227, Federal Reserve Bank of New York.
- Marco Del Negro & Andrea Tambalotti & Domenico Giannone & Marc Giannoni, 2019. "Global Trends in Interest Rates," 2019 Meeting Papers 77, Society for Economic Dynamics.
- Marco Del Negro & Domenico Giannone & Marc Giannoni & Andrea Tambalotti, 2018. "Global Trends in Interest Rates," Working Papers 1812, Federal Reserve Bank of Dallas.
- Marco Del Negro & Domenico Giannone & Marc Giannoni & Andrea Tambalotti, 2018. "Global trends in interest rates," Staff Reports 866, Federal Reserve Bank of New York.
Mentioned in:
- Così l’invecchiamento abbassa i tassi di interesse
by Andrea Papetti in La Voce on 2021-05-25 21:55:46
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012.
"A Quasi–Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models,"
The Review of Economics and Statistics, MIT Press, vol. 94(4), pages 1014-1024, November.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2008. "A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models," Working Papers ECARES 2008_034, ULB -- Universite Libre de Bruxelles.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012. "A Quasi Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models," Post-Print hal-00638440, HAL.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012. "A Quasi Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00638440, HAL.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012. "A Quasi Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models," PSE-Ecole d'économie de Paris (Postprint) hal-00638440, HAL.
- Reichlin, Lucrezia & Doz, Catherine & Giannone, Domenico, 2006. "A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models," CEPR Discussion Papers 5724, C.E.P.R. Discussion Papers.
- Doz, Catherine & Giannone, Domenico & Reichlin, Lucrezia, 2006. "A quasi maximum likelihood approach for large approximate dynamic factor models," Working Paper Series 674, European Central Bank.
Mentioned in:
- Time-Varying Dynamic Factor Loadings
by Francis Diebold in No Hesitations on 2016-01-20 23:32:00
- Domenico Giannone & Michele Lenza & Lucrezia Reichlin, 2008.
"Business Cycles in the Euro Area,"
NBER Working Papers
14529, National Bureau of Economic Research, Inc.
- Domenico Giannone & Michele Lenza, 2009. "Business cycles in the euro area," Research Bulletin, European Central Bank, vol. 8, pages 5-7.
- Domenico Giannone & Michele Lenza & Lucrezia Reichlin, 2010. "Business Cycles in the Euro Area," NBER Chapters, in: Europe and the Euro, pages 141-167, National Bureau of Economic Research, Inc.
- Domenico Giannone & Michèle Lenza & Lucrezia Reichlin, 2008. "Business Cycles in the euro Area," Working Papers ECARES 2008_040, ULB -- Universite Libre de Bruxelles.
- Reichlin, Lucrezia & Giannone, Domenico & Lenza, Michele, 2009. "Business Cycles in the Euro Area," CEPR Discussion Papers 7124, C.E.P.R. Discussion Papers.
Mentioned in:
- 34. Notable Women researchers on Economics
by Euro American Association EAAEDS in Euro-American Association: World Development on 2018-10-09 19:52:00
RePEc Biblio mentions
As found on the RePEc Biblio, the curated bibliography of Economics:- Laura Coroneo & Domenico Giannone & Michele Modugno, 2014.
"Unspanned macroeconomic factors in the yield curve,"
Finance and Economics Discussion Series
2014-57, Board of Governors of the Federal Reserve System (U.S.).
- Laura Coroneo & Domenico Giannone & Michele Modugno, 2016. "Unspanned Macroeconomic Factors in the Yield Curve," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(3), pages 472-485, July.
- Laura Coroneo & Domenico Giannone & Michèle Modugno, 2013. "Unspanned Macroeconomic Factors in the Yields Curve," Working Papers ECARES ECARES 2013-07, ULB -- Universite Libre de Bruxelles.
Mentioned in:
- Bańbura, Marta & Giannone, Domenico & Modugno, Michele & Reichlin, Lucrezia, 2013.
"Now-Casting and the Real-Time Data Flow,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 195-237,
Elsevier.
- Martha Banbura & Domenico Giannone & Michèle Modugno & Lucrezia Reichlin, 2012. "Now-Casting and the Real-Time Data Flow," Working Papers ECARES ECARES 2012-026, ULB -- Universite Libre de Bruxelles.
- Giannone, Domenico & Reichlin, Lucrezia & Bańbura, Marta & Modugno, Michele, 2013. "Now-casting and the real-time data flow," Working Paper Series 1564, European Central Bank.
- Reichlin, Lucrezia & Giannone, Domenico & Modugno, Michele & Banbura, Marta, 2012. "Now-casting and the real-time data flow," CEPR Discussion Papers 9112, C.E.P.R. Discussion Papers.
Mentioned in:
- Antonello D'Agostino & Luca Gambetti & Domenico Giannone, 2013.
"Macroeconomic forecasting and structural change,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(1), pages 82-101, January.
- Giannone, Domenico & D'Agostino, Antonello & Gambetti, Luca, 2010. "Macroeconomic forecasting and structural change," Working Paper Series 1167, European Central Bank.
- D'Agostino, Antonello & Gambetti, Luca & Giannone, Domenico & Giannone, Domenico, 2009. "Macroeconomic Forecasting and Structural Change," Research Technical Papers 8/RT/09, Central Bank of Ireland.
- Giannone, Domenico & D’Agostino, Antonello & Gambetti, Luca, 2009. "Macroeconomic Forecasting and Structural Change," CEPR Discussion Papers 7542, C.E.P.R. Discussion Papers.
- Antonello D'Agostino & Luca Gambetti & Domenico Giannone, 2009. "Macroeconomic Forecasting and Structural Change," Working Papers ECARES 2009_020, ULB -- Universite Libre de Bruxelles.
Mentioned in:
- Domenico Giannone & Lucrezia Reichlin, 2006.
"Does information help recovering structural shocks from past observations?,"
Journal of the European Economic Association, MIT Press, vol. 4(2-3), pages 455-465, 04-05.
- Reichlin, Lucrezia & Giannone, Domenico, 2006. "Does Information Help Recovering Structural Shocks from Past Observations?," CEPR Discussion Papers 5725, C.E.P.R. Discussion Papers.
- Giannone, Domenico & Reichlin, Lucrezia, 2006. "Does information help recovering structural shocks from past observations?," Working Paper Series 632, European Central Bank.
- Domenico Giannone & Lucrezia Reichlin, 2006. "Does information help recovering structural shocks from past observations?," ULB Institutional Repository 2013/166169, ULB -- Universite Libre de Bruxelles.
Mentioned in:
- Brandyn Bok & Daniele Caratelli & Domenico Giannone & Argia M. Sbordone & Andrea Tambalotti, 2017.
"Macroeconomic nowcasting and forecasting with big data,"
Staff Reports
830, Federal Reserve Bank of New York.
- Brandyn Bok & Daniele Caratelli & Domenico Giannone & Argia M. Sbordone & Andrea Tambalotti, 2018. "Macroeconomic Nowcasting and Forecasting with Big Data," Annual Review of Economics, Annual Reviews, vol. 10(1), pages 615-643, August.
- Giannone, Domenico & Tambalotti, Andrea & Sbordone, Argia & Bok, Brandyn & Caratelli, Daniele, 2018. "Macroeconomic Nowcasting and Forecasting with Big Data," CEPR Discussion Papers 12589, C.E.P.R. Discussion Papers.
Mentioned in:
- > Econometrics > Forecasting > Nowcasting
- > Econometrics > Big Data
- Bańbura, Marta & Giannone, Domenico & Lenza, Michele, 2015.
"Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections,"
International Journal of Forecasting, Elsevier, vol. 31(3), pages 739-756.
- Giannone, Domenico & Banbura, Marta & Lenza, Michele, 2014. "Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections," CEPR Discussion Papers 9931, C.E.P.R. Discussion Papers.
- Martha Banbura & Domenico Giannone & Michèle Lenza, 2014. "Conditional Forecasts and Scenario Analysis with Vector Autoregressions for Large Cross-Sections," Working Papers ECARES ECARES 2014-15, ULB -- Universite Libre de Bruxelles.
- Giannone, Domenico & Bańbura, Marta & Lenza, Michele, 2014. "Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections," Working Paper Series 1733, European Central Bank.
Mentioned in:
- Forni, Mario & Giannone, Domenico & Lippi, Marco & Reichlin, Lucrezia, 2009.
"Opening The Black Box: Structural Factor Models With Large Cross Sections,"
Econometric Theory, Cambridge University Press, vol. 25(5), pages 1319-1347, October.
- Mario Forni & Domenico Giannone & Marco Lippi & Lucrezia Reichlin, 2008. "Opening the Black Box: Structural Factor Models with Large Cross-Sections," Working Papers ECARES 2008_036, ULB -- Universite Libre de Bruxelles.
- Forni, Mario & Giannone, Domenico & Lippi, Marco & Reichlin, Lucrezia, 2007. "Opening the black box: structural factor models with large cross-sections," Working Paper Series 712, European Central Bank.
- Mario Forni & Domenico Giannone & Marco Lippi & Lucrezia Reichlin, 2007. "Opening the Black Box: Structural Factor Models with Large Cross-Sections," Center for Economic Research (RECent) 008, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
Mentioned in:
- Giannone, Domenico & Reichlin, Lucrezia & Small, David, 2008.
"Nowcasting: The real-time informational content of macroeconomic data,"
Journal of Monetary Economics, Elsevier, vol. 55(4), pages 665-676, May.
- Reichlin, Lucrezia & Giannone, Domenico & Small, David, 2005. "Nowcasting GDP and Inflation: The Real Time Informational Content of Macroeconomic Data Releases," CEPR Discussion Papers 5178, C.E.P.R. Discussion Papers.
- Domenico Giannone & Lucrezia Reichlin & David H Small, 2007. "Nowcasting GDP and Inflation: The Real-Time Informational Content of Macroeconomic Data Releases," Money Macro and Finance (MMF) Research Group Conference 2006 164, Money Macro and Finance Research Group.
- Domenico Giannone & Lucrezia Reichlin & David H. Small, 2005. "Nowcasting GDP and inflation: the real-time informational content of macroeconomic data releases," Finance and Economics Discussion Series 2005-42, Board of Governors of the Federal Reserve System (U.S.).
Mentioned in:
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012.
"A Quasi–Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models,"
The Review of Economics and Statistics, MIT Press, vol. 94(4), pages 1014-1024, November.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2008. "A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models," Working Papers ECARES 2008_034, ULB -- Universite Libre de Bruxelles.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012. "A Quasi Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models," Post-Print hal-00638440, HAL.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012. "A Quasi Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00638440, HAL.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012. "A Quasi Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models," PSE-Ecole d'économie de Paris (Postprint) hal-00638440, HAL.
- Reichlin, Lucrezia & Doz, Catherine & Giannone, Domenico, 2006. "A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models," CEPR Discussion Papers 5724, C.E.P.R. Discussion Papers.
- Doz, Catherine & Giannone, Domenico & Reichlin, Lucrezia, 2006. "A quasi maximum likelihood approach for large approximate dynamic factor models," Working Paper Series 674, European Central Bank.
Mentioned in:
- Giannone, Domenico & Reichlin, Lucrezia & Sala, Luca, 2006.
"VARs, common factors and the empirical validation of equilibrium business cycle models,"
Journal of Econometrics, Elsevier, vol. 132(1), pages 257-279, May.
- Domenica Giannone & Lucrezia Reichlin & Luca Sala, 2004. "VARs, Common Factors and the Empirical Validation of Equilibrium Business Cycle Models," Working Papers 258, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Reichlin, Lucrezia & Sala, Luca & Giannone, Domenico, 2002. "VARs, Common Factors and the Empirical Validation of Equilibrium Business Cycle Models," CEPR Discussion Papers 3701, C.E.P.R. Discussion Papers.
- Domenico Giannone & Lucrezia Reichlin & Luca Sala, 2006. "VARs, common factors and the empirical validation of equilibrium business cycle models," ULB Institutional Repository 2013/10127, ULB -- Universite Libre de Bruxelles.
Mentioned in:
- Giannone, Domenico & Lenza, Michele & Primiceri, Giorgio, 2017.
"Economic Predictions with Big Data: The Illusion Of Sparsity,"
CEPR Discussion Papers
12256, C.E.P.R. Discussion Papers.
- Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2021. "Economic Predictions With Big Data: The Illusion of Sparsity," Econometrica, Econometric Society, vol. 89(5), pages 2409-2437, September.
- Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2018. "Economic Predictions with Big Data: The Illusion of Sparsity," Liberty Street Economics 20180521, Federal Reserve Bank of New York.
- Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2018. "Economic predictions with big data: the illusion of sparsity," Staff Reports 847, Federal Reserve Bank of New York.
- Giannone, Domenico & Lenza, Michele & Primiceri, Giorgio E., 2021. "Economic predictions with big data: the illusion of sparsity," Working Paper Series 2542, European Central Bank.
Mentioned in:
- > Econometrics > Big Data
- Domenico Giannone & Lucrezia Reichlin & Luca Sala, 2005.
"Monetary Policy in Real Time,"
NBER Chapters, in: NBER Macroeconomics Annual 2004, Volume 19, pages 161-224,
National Bureau of Economic Research, Inc.
- Domenico Giannone & Lucrezia Reichlin & Luca Sala, 2005. "Monetary policy in real time," ULB Institutional Repository 2013/6401, ULB -- Universite Libre de Bruxelles.
- Domenico Giannone & Lucrezia Reichlin & Luca Sala, 2005. "Monetary Policy in Real Time," Working Papers 284, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Reichlin, Lucrezia & Sala, Luca & Giannone, Domenico, 2005. "Monetary Policy in Real Time," CEPR Discussion Papers 4981, C.E.P.R. Discussion Papers.
- Lucrezia Reichlin & Domenico Giannone & Luca Sala, "undated". "Monetary policy in real time," ULB Institutional Repository 2013/10177, ULB -- Universite Libre de Bruxelles.
Mentioned in:
- Marta Banbura & Domenico Giannone & Lucrezia Reichlin, 2010.
"Large Bayesian vector auto regressions,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 71-92.
- Marta Bańbura & Domenico Giannone & Lucrezia Reichlin, 2010. "Large Bayesian vector auto regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 71-92, January.
- Domenico Giannone & Martha Banbura & Lucrezia Reichlin, 2010. "Large Bayesian vector auto regressions," ULB Institutional Repository 2013/13388, ULB -- Universite Libre de Bruxelles.
- Martha Banbura & Domenico Giannone & Lucrezia Reichlin, 2008. "Large Bayesian VARs," Working Papers ECARES 2008_033, ULB -- Universite Libre de Bruxelles.
- Marta Bańbura, 2008. "Large Bayesian VARs," 2008 Meeting Papers 334, Society for Economic Dynamics.
- Reichlin, Lucrezia & Giannone, Domenico & Banbura, Marta, 2007. "Bayesian VARs with Large Panels," CEPR Discussion Papers 6326, C.E.P.R. Discussion Papers.
Mentioned in:
- Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2015.
"Prior Selection for Vector Autoregressions,"
The Review of Economics and Statistics, MIT Press, vol. 97(2), pages 436-451, May.
- Domenico Giannone & Michèle Lenza & Giorgio E. Primiceri, 2012. "Prior Selection for Vector Autoregressions," Working Papers ECARES ECARES 2012-002, ULB -- Universite Libre de Bruxelles.
- Giannone, Domenico & Lenza, Michele & Primiceri, Giorgio, 2012. "Prior Selection for Vector Autoregressions," CEPR Discussion Papers 8755, C.E.P.R. Discussion Papers.
- Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2012. "Prior Selection for Vector Autoregressions," NBER Working Papers 18467, National Bureau of Economic Research, Inc.
- Giannone, Domenico & Lenza, Michele & Primiceri, Giorgio E., 2012. "Prior selection for vector autoregressions," Working Paper Series 1494, European Central Bank.
Mentioned in:
- Primiceri, Giorgio & Giannone, Domenico & Lenza, Michele, 2016.
"Priors for the Long Run,"
CEPR Discussion Papers
11261, C.E.P.R. Discussion Papers.
- Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2019. "Priors for the Long Run," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 114(526), pages 565-580, April.
- Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2017. "Priors for the long run," Staff Reports 832, Federal Reserve Bank of New York.
- Giannone, Domenico & Lenza, Michele & Primiceri, Giorgio E., 2018. "Priors for the long run," Working Paper Series 2132, European Central Bank.
Mentioned in:
Wikipedia or ReplicationWiki mentions
(Only mentions on Wikipedia that link back to a page on a RePEc service)- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012.
"A Quasi–Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models,"
The Review of Economics and Statistics, MIT Press, vol. 94(4), pages 1014-1024, November.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2008. "A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models," Working Papers ECARES 2008_034, ULB -- Universite Libre de Bruxelles.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012. "A Quasi Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models," Post-Print hal-00638440, HAL.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012. "A Quasi Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00638440, HAL.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012. "A Quasi Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models," PSE-Ecole d'économie de Paris (Postprint) hal-00638440, HAL.
- Reichlin, Lucrezia & Doz, Catherine & Giannone, Domenico, 2006. "A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models," CEPR Discussion Papers 5724, C.E.P.R. Discussion Papers.
- Doz, Catherine & Giannone, Domenico & Reichlin, Lucrezia, 2006. "A quasi maximum likelihood approach for large approximate dynamic factor models," Working Paper Series 674, European Central Bank.
Mentioned in:
- Antonello D'Agostino & Luca Gambetti & Domenico Giannone, 2013.
"Macroeconomic forecasting and structural change,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(1), pages 82-101, January.
- Giannone, Domenico & D'Agostino, Antonello & Gambetti, Luca, 2010. "Macroeconomic forecasting and structural change," Working Paper Series 1167, European Central Bank.
- D'Agostino, Antonello & Gambetti, Luca & Giannone, Domenico & Giannone, Domenico, 2009. "Macroeconomic Forecasting and Structural Change," Research Technical Papers 8/RT/09, Central Bank of Ireland.
- Giannone, Domenico & D’Agostino, Antonello & Gambetti, Luca, 2009. "Macroeconomic Forecasting and Structural Change," CEPR Discussion Papers 7542, C.E.P.R. Discussion Papers.
- Antonello D'Agostino & Luca Gambetti & Domenico Giannone, 2009. "Macroeconomic Forecasting and Structural Change," Working Papers ECARES 2009_020, ULB -- Universite Libre de Bruxelles.
Mentioned in:
- Macroeconomic forecasting and structural change (Journal of Applied Econometrics 2013) in ReplicationWiki ()
- Martha Banbura & Domenico Giannone & Lucrezia Reichlin, 2010.
"Nowcasting,"
Working Papers ECARES
ECARES 2010-021, ULB -- Universite Libre de Bruxelles.
- Reichlin, Lucrezia & Giannone, Domenico & Banbura, Marta, 2010. "Nowcasting," CEPR Discussion Papers 7883, C.E.P.R. Discussion Papers.
- Giannone, Domenico & Reichlin, Lucrezia & Bańbura, Marta, 2010. "Nowcasting," Working Paper Series 1275, European Central Bank.
Mentioned in:
- Nowcasting (economics) in Wikipedia (English)
- Marta Banbura & Domenico Giannone & Lucrezia Reichlin, 2010.
"Large Bayesian vector auto regressions,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 71-92.
- Marta Bańbura & Domenico Giannone & Lucrezia Reichlin, 2010. "Large Bayesian vector auto regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 71-92, January.
- Domenico Giannone & Martha Banbura & Lucrezia Reichlin, 2010. "Large Bayesian vector auto regressions," ULB Institutional Repository 2013/13388, ULB -- Universite Libre de Bruxelles.
- Martha Banbura & Domenico Giannone & Lucrezia Reichlin, 2008. "Large Bayesian VARs," Working Papers ECARES 2008_033, ULB -- Universite Libre de Bruxelles.
- Marta Bańbura, 2008. "Large Bayesian VARs," 2008 Meeting Papers 334, Society for Economic Dynamics.
- Reichlin, Lucrezia & Giannone, Domenico & Banbura, Marta, 2007. "Bayesian VARs with Large Panels," CEPR Discussion Papers 6326, C.E.P.R. Discussion Papers.
Mentioned in:
- Large Bayesian vector auto regressions (Journal of Applied Econometrics 2011) in ReplicationWiki ()
Working papers
- Lenza, Michele & Cimadomo, Jacopo & Giannone, Domenico & Monti, Francesca & Sokol, Andrej, 2021.
"Nowcasting with Large Bayesian Vector Autoregressions,"
CEPR Discussion Papers
15854, C.E.P.R. Discussion Papers.
- Cimadomo, Jacopo & Giannone, Domenico & Lenza, Michele & Monti, Francesca & Sokol, Andrej, 2022. "Nowcasting with large Bayesian vector autoregressions," Journal of Econometrics, Elsevier, vol. 231(2), pages 500-519.
- Cimadomo, Jacopo & Giannone, Domenico & Lenza, Michele & Monti, Francesca & Sokol, Andrej, 2020. "Nowcasting with large Bayesian vector autoregressions," Working Paper Series 2453, European Central Bank.
Cited by:
- Longo, Luigi & Riccaboni, Massimo & Rungi, Armando, 2022.
"A neural network ensemble approach for GDP forecasting,"
Journal of Economic Dynamics and Control, Elsevier, vol. 134(C).
- Luigi Longo & Massimo Riccaboni & Armando Rungi, 2021. "A Neural Network Ensemble Approach for GDP Forecasting," Working Papers 02/2021, IMT School for Advanced Studies Lucca, revised Mar 2021.
- Richard K. Crump & Stefano Eusepi & Domenico Giannone & Eric Qian & Argia M. Sbordone, 2021. "A Large Bayesian VAR of the United States Economy," Staff Reports 976, Federal Reserve Bank of New York.
- Martin Feldkircher & Florian Huber & Michael Pfarrhofer, 2020.
"Measuring the Effectiveness of US Monetary Policy during the COVID-19 Recession,"
Papers
2007.15419, arXiv.org.
- Martin Feldkircher & Florian Huber & Michael Pfarrhofer, 2021. "Measuring the effectiveness of US monetary policy during the COVID‐19 recession," Scottish Journal of Political Economy, Scottish Economic Society, vol. 68(3), pages 287-297, July.
- Drechsel, Thomas & Antolin-Diaz, Juan & Petrella, Ivan, 2023.
"Advances in Nowcasting Economic Activity: The Role of Heterogeneous Dynamics and Fat Tails,"
CEPR Discussion Papers
17800, C.E.P.R. Discussion Papers.
- Antolín-Díaz, Juan & Drechsel, Thomas & Petrella, Ivan, 2024. "Advances in nowcasting economic activity: The role of heterogeneous dynamics and fat tails," Journal of Econometrics, Elsevier, vol. 238(2).
- Bjarni G. Einarsson, 2024. "Online Monitoring of Policy Optimality," Economics wp95, Department of Economics, Central bank of Iceland.
- Richard Schnorrenberger & Aishameriane Schmidt & Guilherme Valle Moura, 2024. "Harnessing Machine Learning for Real-Time Inflation Nowcasting," Working Papers 806, DNB.
- Beck, Günter W. & Carstensen, Kai & Menz, Jan-Oliver & Schnorrenberger, Richard & Wieland, Elisabeth, 2023.
"Nowcasting consumer price inflation using high-frequency scanner data: Evidence from Germany,"
Discussion Papers
34/2023, Deutsche Bundesbank.
- Beck, Günter W. & Carstensen, Kai & Menz, Jan-Oliver & Schnorrenberger, Richard & Wieland, Elisabeth, 2024. "Nowcasting consumer price inflation using high-frequency scanner data: evidence from Germany," Working Paper Series 2930, European Central Bank.
- Bańbura, Marta & Belousova, Irina & Bodnár, Katalin & Tóth, Máté Barnabás, 2023. "Nowcasting employment in the euro area," Working Paper Series 2815, European Central Bank.
- Ricco, Giovanni & Hasenzagl, Thomas & Pellegrino, Filippo & Reichlin, Lucrezia, 2022.
"Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices,"
CEPR Discussion Papers
17111, C.E.P.R. Discussion Papers.
- Thomas Hasenzagl & Filippo Pellegrino & Lucrezia Reichlin & Giovanni Ricco, 2022. "Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices," Working Papers 2023-06, Center for Research in Economics and Statistics.
- Thomas Hasenzagl & Filippo Pellegrino & Lucrezia Reichlin & Giovanni Ricco, 2022. "Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices," SciencePo Working papers Main hal-03573080, HAL.
- Thomas Hasenzagl & Filippo Pellegrino & Lucrezia Reichlin & Giovanni Ricco, 2022. "Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices," Working Papers hal-03573080, HAL.
- Thomas Hasenzagl & Filippo Pellegrino & Lucrezia Reichlin & Giovanni Ricco, 2022. "Monitoring the Economy in Real Time: Trends and Gaps in Real Activity and Prices," Papers 2201.05556, arXiv.org, revised Mar 2023.
- Saiz, Lorena & Ashwin, Julian & Kalamara, Eleni, 2021. "Nowcasting euro area GDP with news sentiment: a tale of two crises," Working Paper Series 2616, European Central Bank.
- Matteo Iacopini & Aubrey Poon & Luca Rossini & Dan Zhu, 2022.
"Bayesian Mixed-Frequency Quantile Vector Autoregression: Eliciting tail risks of Monthly US GDP,"
Papers
2209.01910, arXiv.org.
- Iacopini, Matteo & Poon, Aubrey & Rossini, Luca & Zhu, Dan, 2023. "Bayesian mixed-frequency quantile vector autoregression: Eliciting tail risks of monthly US GDP," Journal of Economic Dynamics and Control, Elsevier, vol. 157(C).
- Donato Ceci & Orest Prifti & Andrea Silvestrini, 2024. "Nowcasting Italian GDP growth: a Factor MIDAS approach," Temi di discussione (Economic working papers) 1446, Bank of Italy, Economic Research and International Relations Area.
- Boriss Siliverstovs, 2021. "Gauging the Effect of Influential Observations on Measures of Relative Forecast Accuracy in a Post-COVID-19 Era: Application to Nowcasting Euro Area GDP Growth," Working Papers 2021/01, Latvijas Banka.
- Tesi Aliaj & Milos Ciganovic & Massimiliano Tancioni, 2023. "Nowcasting inflation with Lasso‐regularized vector autoregressions and mixed frequency data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(3), pages 464-480, April.
- Boriss Siliverstovs, 2021. "New York FED Staff Nowcasts and Reality: What Can We Learn about the Future, the Present, and the Past?," Econometrics, MDPI, vol. 9(1), pages 1-25, March.
- Meyer-Gohde, Alexander & Shabalina, Ekaterina, 2022. "Estimation and forecasting using mixed-frequency DSGE models," IMFS Working Paper Series 175, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
- Daniel Hopp, 2022. "Performance of long short-term memory artificial neural networks in nowcasting during the COVID-19 crisis," Papers 2203.11872, arXiv.org.
- James T. E. Chapman & Ajit Desai, 2022.
"Macroeconomic Predictions using Payments Data and Machine Learning,"
Papers
2209.00948, arXiv.org.
- James T. E. Chapman & Ajit Desai, 2023. "Macroeconomic Predictions Using Payments Data and Machine Learning," Forecasting, MDPI, vol. 5(4), pages 1-32, November.
- James Chapman & Ajit Desai, 2022. "Macroeconomic Predictions Using Payments Data and Machine Learning," Staff Working Papers 22-10, Bank of Canada.
- Sokol, Andrej, 2021. "Fan charts 2.0: flexible forecast distributions with expert judgement," Working Paper Series 2624, European Central Bank.
- Andreini, Paolo & Hasenzagl, Thomas & Reichlin, Lucrezia & Senftleben-König, Charlotte & Strohsal, Till, 2023. "Nowcasting German GDP: Foreign factors, financial markets, and model averaging," International Journal of Forecasting, Elsevier, vol. 39(1), pages 298-313.
- Serena Ng & Susannah Scanlan, 2023. "Constructing High Frequency Economic Indicators by Imputation," Papers 2303.01863, arXiv.org, revised Oct 2023.
- Alain Hecq & Marie Ternes & Ines Wilms, 2023. "Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions," Papers 2301.10592, arXiv.org.
- Barbaglia, Luca & Frattarolo, Lorenzo & Onorante, Luca & Pericoli, Filippo Maria & Ratto, Marco & Tiozzo Pezzoli, Luca, 2022.
"Testing big data in a big crisis: Nowcasting under COVID-19,"
Working Papers
2022-06, Joint Research Centre, European Commission.
- Barbaglia, Luca & Frattarolo, Lorenzo & Onorante, Luca & Pericoli, Filippo Maria & Ratto, Marco & Tiozzo Pezzoli, Luca, 2023. "Testing big data in a big crisis: Nowcasting under Covid-19," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1548-1563.
- Richard K. Crump & Stefano Eusepi & Domenico Giannone & Eric Qian & Argia M. Sbordone, 2021.
"A Large Bayesian VAR of the United States Economy,"
Staff Reports
976, Federal Reserve Bank of New York.
Cited by:
- Lenza, Michele & Cimadomo, Jacopo & Giannone, Domenico & Monti, Francesca & Sokol, Andrej, 2021.
"Nowcasting with Large Bayesian Vector Autoregressions,"
CEPR Discussion Papers
15854, C.E.P.R. Discussion Papers.
- Cimadomo, Jacopo & Giannone, Domenico & Lenza, Michele & Monti, Francesca & Sokol, Andrej, 2022. "Nowcasting with large Bayesian vector autoregressions," Journal of Econometrics, Elsevier, vol. 231(2), pages 500-519.
- Cimadomo, Jacopo & Giannone, Domenico & Lenza, Michele & Monti, Francesca & Sokol, Andrej, 2020. "Nowcasting with large Bayesian vector autoregressions," Working Paper Series 2453, European Central Bank.
- Anna Sznajderska & Alfred A. Haug, 2023. "Bayesian VARs of the U.S. economy before and during the pandemic," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 13(2), pages 211-236, June.
- Addie, Ron & Taranto, Aldo, 2024. "Economic Similarities and their Application to Inflation," EconStor Preprints 283286, ZBW - Leibniz Information Centre for Economics.
- Lenza, Michele & Cimadomo, Jacopo & Giannone, Domenico & Monti, Francesca & Sokol, Andrej, 2021.
"Nowcasting with Large Bayesian Vector Autoregressions,"
CEPR Discussion Papers
15854, C.E.P.R. Discussion Papers.
- Danilo Cascaldi-Garcia & Thiago Revil T. Ferreira & Domenico Giannone & Michele Modugno, 2021.
"Back to the Present: Learning about the Euro Area through a Now-casting Model,"
International Finance Discussion Papers
1313, Board of Governors of the Federal Reserve System (U.S.).
- Cascaldi-Garcia, Danilo & Ferreira, Thiago R.T. & Giannone, Domenico & Modugno, Michele, 2024. "Back to the present: Learning about the euro area through a now-casting model," International Journal of Forecasting, Elsevier, vol. 40(2), pages 661-686.
Cited by:
- Knut Are Aastveit & Tuva Marie Fastbø & Eleonora Granziera & Kenneth Sæterhagen Paulsen & Kjersti Næss Torstensen, 2020. "Nowcasting Norwegian household consumption with debit card transaction data," Working Paper 2020/17, Norges Bank.
- Arce-Alfaro, Gabriel & Blagov, Boris, 2021. "Heterogeneity, co-movements and financial fragmentation within the euro area," Ruhr Economic Papers 927, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
- Andreini, Paolo & Hasenzagl, Thomas & Reichlin, Lucrezia & Senftleben-König, Charlotte & Strohsal, Till, 2023. "Nowcasting German GDP: Foreign factors, financial markets, and model averaging," International Journal of Forecasting, Elsevier, vol. 39(1), pages 298-313.
- Patrick A. Adams & Tobias Adrian & Nina Boyarchenko & Domenico Giannone & J. Nellie Liang & Eric Qian, 2020.
"What Do Financial Conditions Tell Us about Risks to GDP Growth?,"
Liberty Street Economics
20200521, Federal Reserve Bank of New York.
Cited by:
- Kremer, Manfred & Chavleishvili, Sulkhan, 2021. "Measuring Systemic Financial Stress and its Impact on the Macroeconomy," VfS Annual Conference 2021 (Virtual Conference): Climate Economics 242346, Verein für Socialpolitik / German Economic Association.
- Chavleishvili, Sulkhan & Kremer, Manfred, 2023. "Measuring systemic financial stress and its risks for growth," Working Paper Series 2842, European Central Bank.
- Chavleishvili, Sulkhan & Fahr, Stephan & Kremer, Manfred & Manganelli, Simone & Schwaab, Bernd, 2021. "A risk management perspective on macroprudential policy," Working Paper Series 2556, European Central Bank.
- Bank for International Settlements, 2022. "Private sector debt and financial stability," CGFS Papers, Bank for International Settlements, number 67, december.
- Nina Boyarchenko & Domenico Giannone & Anna Kovner, 2020.
"Bank Capital and Real GDP Growth,"
Staff Reports
950, Federal Reserve Bank of New York.
Cited by:
- Nina Boyarchenko & Giovanni Favara & Moritz Schularick, 2022.
"Financial Stability Considerations for Monetary Policy: Empirical Evidence and Challenges,"
Finance and Economics Discussion Series
2022-006, Board of Governors of the Federal Reserve System (U.S.).
- Nina Boyarchenko & Giovanni Favara & Moritz Schularick, 2022. "Financial Stability Considerations for Monetary Policy: Empirical Evidence and Challenges," Staff Reports 1003, Federal Reserve Bank of New York.
- Gloria Gonzalez-Rivera & Vladimir Rodriguez-Caballero & Esther Ruiz, 2021.
"Expecting the unexpected: economic growth under stress,"
Working Papers
202106, University of California at Riverside, Department of Economics.
- Gloria González-Rivera & Carlos Vladimir Rodríguez-Caballero & Esther Ruiz Ortega, 2021. "Expecting the unexpected: economic growth under stress," CREATES Research Papers 2021-06, Department of Economics and Business Economics, Aarhus University.
- Gonzalez Rivera, Gloria & Rodríguez Caballero, Carlos Vladimir & Ruiz Ortega, Esther, 2021. "Expecting the unexpected: economic growth under stress," DES - Working Papers. Statistics and Econometrics. WS 32148, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Nina Boyarchenko & Giovanni Favara & Moritz Schularick, 2022.
"Financial Stability Considerations for Monetary Policy: Empirical Evidence and Challenges,"
Finance and Economics Discussion Series
2022-006, Board of Governors of the Federal Reserve System (U.S.).
- Adrian, Tobias & Adams, Patrick & Boyarchenko, Nina & Giannone, Domenico, 2020.
"Forecasting Macroeconomic Risks,"
CEPR Discussion Papers
14436, C.E.P.R. Discussion Papers.
- Adams, Patrick A. & Adrian, Tobias & Boyarchenko, Nina & Giannone, Domenico, 2021. "Forecasting macroeconomic risks," International Journal of Forecasting, Elsevier, vol. 37(3), pages 1173-1191.
- Patrick A. Adams & Tobias Adrian & Nina Boyarchenko & Domenico Giannone, 2020. "Forecasting Macroeconomic Risks," Staff Reports 914, Federal Reserve Bank of New York.
Cited by:
- Christian P Pinshi, 2022. "Ciblage des prévisions d'inflation : Un nouveau cadre pour la politique monétaire ?," Working Papers hal-03548273, HAL.
- David Kohns & Tibor Szendrei, 2021. "Decoupling Shrinkage and Selection for the Bayesian Quantile Regression," Papers 2107.08498, arXiv.org.
- Laurent Ferrara & Matteo Mogliani & Jean-Guillaume Sahuc, 2020.
"High-frequency monitoring of growth-at-risk,"
CAMA Working Papers
2020-97, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Jean-Guillaume Sahuc & Matteo Mogliani & Laurent Ferrara, 2022. "High-frequency monitoring of growth at risk," Post-Print hal-03361425, HAL.
- Ferrara, Laurent & Mogliani, Matteo & Sahuc, Jean-Guillaume, 2022. "High-frequency monitoring of growth at risk," International Journal of Forecasting, Elsevier, vol. 38(2), pages 582-595.
- Noori, Mohammad & Hitaj, Asmerilda, 2023. "Dissecting hedge funds' strategies," International Review of Financial Analysis, Elsevier, vol. 85(C).
- Michael Pfarrhofer, 2021.
"Modeling tail risks of inflation using unobserved component quantile regressions,"
Papers
2103.03632, arXiv.org, revised Oct 2021.
- Pfarrhofer, Michael, 2022. "Modeling tail risks of inflation using unobserved component quantile regressions," Journal of Economic Dynamics and Control, Elsevier, vol. 143(C).
- Jan Pruser & Florian Huber, 2023. "Nonlinearities in Macroeconomic Tail Risk through the Lens of Big Data Quantile Regressions," Papers 2301.13604, arXiv.org, revised Sep 2023.
- Piotr Rubaj, 2021. "Risk Mitigation in Business Activities on Emerging Markets," European Research Studies Journal, European Research Studies Journal, vol. 0(4B), pages 699-712.
- Valentina Aprigliano & Alessandro Borin & Francesco Paolo Conteduca & Simone Emiliozzi & Marco Flaccadoro & Sabina Marchetti & Stefania Villa, 2021. "Forecasting Italian GDP growth with epidemiological data," Questioni di Economia e Finanza (Occasional Papers) 664, Bank of Italy, Economic Research and International Relations Area.
- Jane M. Ryngaert, 2023. "Balance of Risks and the Anchoring of Consumer Expectations," JRFM, MDPI, vol. 16(2), pages 1-18, January.
- Nina Boyarchenko & Giovanni Favara & Moritz Schularick, 2022.
"Financial Stability Considerations for Monetary Policy: Empirical Evidence and Challenges,"
Finance and Economics Discussion Series
2022-006, Board of Governors of the Federal Reserve System (U.S.).
- Nina Boyarchenko & Giovanni Favara & Moritz Schularick, 2022. "Financial Stability Considerations for Monetary Policy: Empirical Evidence and Challenges," Staff Reports 1003, Federal Reserve Bank of New York.
- Efrem Castelnuovo & Lorenzo Mori, 2022.
"Uncertainty, Skewness and the Business Cycle - Through the MIDAS Lens,"
CAMA Working Papers
2022-69, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Efrem Castelnuovo & Lorenzo Mori, 2022. "Uncertainty, Skewness, and the Business Cycle Through the MIDAS Lens," "Marco Fanno" Working Papers 0291, Dipartimento di Scienze Economiche "Marco Fanno".
- Efrem Castelnuovo & Lorenzo Mori, 2022. "Uncertainty, Skewness, and the Business Cycle through the MIDAS Lens," CESifo Working Paper Series 10062, CESifo.
- Matteo Iacopini & Aubrey Poon & Luca Rossini & Dan Zhu, 2022.
"Bayesian Mixed-Frequency Quantile Vector Autoregression: Eliciting tail risks of Monthly US GDP,"
Papers
2209.01910, arXiv.org.
- Iacopini, Matteo & Poon, Aubrey & Rossini, Luca & Zhu, Dan, 2023. "Bayesian mixed-frequency quantile vector autoregression: Eliciting tail risks of monthly US GDP," Journal of Economic Dynamics and Control, Elsevier, vol. 157(C).
- Marian Vavra, 2023. "Bias-Correction in Time Series Quantile Regression Models," Working and Discussion Papers WP 3/2023, Research Department, National Bank of Slovakia.
- Sharpe, Steven A. & Sinha, Nitish R. & Hollrah, Christopher A., 2023. "The power of narrative sentiment in economic forecasts," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1097-1121.
- PINSHI, Christian P., 2022. "Inflation-Forecast Targeting: A New Framework for Monetary Policy?," MPRA Paper 111709, University Library of Munich, Germany.
- Daniel Gros, 2021. "High Public Debt in an Uncertain World: Post-Covid-19 Dangers for Public Finance," EconPol Policy Brief 38, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
- Matteo Iacopini & Francesco Ravazzolo & Luca Rossini, 2022. "Bayesian Multivariate Quantile Regression with alternative Time-varying Volatility Specifications," Papers 2211.16121, arXiv.org.
- Iseringhausen, Martin, 2024.
"A time-varying skewness model for Growth-at-Risk,"
International Journal of Forecasting, Elsevier, vol. 40(1), pages 229-246.
- Martin Iseringhausen, 2021. "A time-varying skewness model for Growth-at-Risk," Working Papers 49, European Stability Mechanism.
- Fischer, Manfred M. & Hauzenberger, Niko & Huber, Florian & Pfarrhofer, Michael, 2022. "General Bayesian time-varying parameter VARs for modeling government bond yields," Working Papers in Regional Science 2021/01, WU Vienna University of Economics and Business.
- Lang, Jan Hannes & Rusnák, Marek & Greiwe, Moritz, 2023. "Medium-term growth-at-risk in the euro area," Working Paper Series 2808, European Central Bank.
- Stolbov, Mikhail & Shchepeleva, Maria, 2022. "Modeling global real economic activity: Evidence from variable selection across quantiles," The Journal of Economic Asymmetries, Elsevier, vol. 25(C).
- Manfred M. Fischer & Niko Hauzenberger & Florian Huber & Michael Pfarrhofer, 2023. "General Bayesian time‐varying parameter vector autoregressions for modeling government bond yields," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(1), pages 69-87, January.
- Sokol, Andrej, 2021. "Fan charts 2.0: flexible forecast distributions with expert judgement," Working Paper Series 2624, European Central Bank.
- Michael P. Clements & Shixuan Wang, 2023. "Do Professional Forecasters' Phillips Curves Incorporate the Beliefs of Others?," Economics Discussion Papers em-dp2023-05, Department of Economics, University of Reading.
- Manfred M. Fischer & Niko Hauzenberger & Florian Huber & Michael Pfarrhofer, 2021. "General Bayesian time-varying parameter VARs for predicting government bond yields," Papers 2102.13393, arXiv.org.
- Jack Fosten & Daniel Gutknecht & Marc-Oliver Pohle, 2023. "Testing Quantile Forecast Optimality," Papers 2302.02747, arXiv.org, revised Oct 2023.
- Nyholm, Juho & Voutilainen, Ville, 2021. "Quantiles of growth: Household debt and growth vulnerabilities in Finland," BoF Economics Review 2/2021, Bank of Finland.
- Boyarchenko, Nina & Adrian, Tobias & Giannone, Domenico, 2020.
"Multimodality in Macro-Financial Dynamics,"
CEPR Discussion Papers
15088, C.E.P.R. Discussion Papers.
- Tobias Adrian & Nina Boyarchenko & Domenico Giannone, 2021. "Multimodality In Macrofinancial Dynamics," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 62(2), pages 861-886, May.
- Tobias Adrian & Nina Boyarchenko & Domenico Giannone, 2019. "Multimodality in Macro-Financial Dynamics," Staff Reports 903, Federal Reserve Bank of New York.
Cited by:
- Chen, Guojin & Liu, Yanzhen & Zhang, Yu, 2020. "Can systemic risk measures predict economic shocks? Evidence from China," China Economic Review, Elsevier, vol. 64(C).
- Niko Hauzenberger & Florian Huber & Gary Koop & James Mitchell, 2023. "Bayesian Modeling of Time-Varying Parameters Using Regression Trees," Working Papers 23-05, Federal Reserve Bank of Cleveland.
- Eller, Markus & Hauzenberger, Niko & Huber, Florian & Schuberth, Helene & Vashold, Lukas, 2021.
"The impact of macroprudential policies on capital flows in CESEE,"
Journal of International Money and Finance, Elsevier, vol. 119(C).
- Eller, Markus & Hauzenberger, Niko & Huber, Florian & Schuberth, Helene & Vashold, Lukas, 2021. "The impact of macroprudential policies on capital flows in CESEE," ESRB Working Paper Series 118, European Systemic Risk Board.
- Jesús Fernández-Villaverde & Pablo A. Guerrón-Quintana, 2020.
"Uncertainty Shocks and Business Cycle Research,"
NBER Working Papers
26768, National Bureau of Economic Research, Inc.
- Jesus Fernandez-Villaverde & Pablo Guerron-Quintana, 2020. "Uncertainty Shocks and Business Cycle Research," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 37, pages 118-166, August.
- Fernández-Villaverde, Jesús, 2020. "Uncertainty Shocks and Business Cycle Research," CEPR Discussion Papers 14398, C.E.P.R. Discussion Papers.
- James Mitchell & Aubrey Poon & Dan Zhu, 2022. "Constructing Density Forecasts from Quantile Regressions: Multimodality in Macro-Financial Dynamics," Working Papers 22-12R, Federal Reserve Bank of Cleveland, revised 11 Apr 2023.
- Florian, Huber & Koop, Gary & Onorante, Luca & Pfarrhofer, Michael & Schreiner, Josef, 2021.
"Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs,"
Working Papers
2021-01, Joint Research Centre, European Commission.
- Huber, Florian & Koop, Gary & Onorante, Luca & Pfarrhofer, Michael & Schreiner, Josef, 2023. "Nowcasting in a pandemic using non-parametric mixed frequency VARs," Journal of Econometrics, Elsevier, vol. 232(1), pages 52-69.
- Huber, Florian & Koop, Gary & Onorante, Luca & Pfarrhofer, Michael & Schreiner, Josef, 2021. "Nowcasting in a pandemic using non-parametric mixed frequency VARs," Working Paper Series 2510, European Central Bank.
- Florian Huber & Gary Koop & Luca Onorante & Michael Pfarrhofer & Josef Schreiner, 2020. "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs," Papers 2008.12706, arXiv.org, revised Dec 2020.
- Alexander Georges Gretener & Matthias Neuenkirch & Dennis Umlandt, 2022.
"Dynamic Mixture Vector Autoregressions with Score-Driven Weights,"
Research Papers in Economics
2022-02, University of Trier, Department of Economics.
- Alexander Georges Gretener & Matthias Neuenkirch & Dennis Umlandt, 2022. "Dynamic Mixture Vector Autoregressions with Score-Driven Weights," Working Paper Series 2022-02, University of Trier, Research Group Quantitative Finance and Risk Analysis.
- Alexander Georges Gretener & Matthias Neuenkirch & Dennis Umlandt, 2023. "Dynamic Mixture Vector Autoregressions with Score-Driven Weights," CESifo Working Paper Series 10366, CESifo.
- Jan Pruser & Florian Huber, 2023. "Nonlinearities in Macroeconomic Tail Risk through the Lens of Big Data Quantile Regressions," Papers 2301.13604, arXiv.org, revised Sep 2023.
- Adrian, Tobias & Adams, Patrick & Boyarchenko, Nina & Giannone, Domenico, 2020.
"Forecasting Macroeconomic Risks,"
CEPR Discussion Papers
14436, C.E.P.R. Discussion Papers.
- Adams, Patrick A. & Adrian, Tobias & Boyarchenko, Nina & Giannone, Domenico, 2021. "Forecasting macroeconomic risks," International Journal of Forecasting, Elsevier, vol. 37(3), pages 1173-1191.
- Patrick A. Adams & Tobias Adrian & Nina Boyarchenko & Domenico Giannone, 2020. "Forecasting Macroeconomic Risks," Staff Reports 914, Federal Reserve Bank of New York.
- Jesús Fernández-Villaverde & Samuel Hurtado & Galo Nuño, 2019.
"Financial Frictions and the Wealth Distribution,"
NBER Working Papers
26302, National Bureau of Economic Research, Inc.
- Jesús Fernández-Villaverde & Samuel Hurtado & Galo Nuño, 2020. "Financial frictions and the wealth distribution," Working Papers 2013, Banco de España.
- Fernández-Villaverde, Jesús & Hurtado, Samuel & Nuño, Galo, 2019. "Financial Frictions and the Wealth Distribution," CEPR Discussion Papers 14002, C.E.P.R. Discussion Papers.
- Jesús Fernández‐Villaverde & Samuel Hurtado & Galo Nuño, 2023. "Financial Frictions and the Wealth Distribution," Econometrica, Econometric Society, vol. 91(3), pages 869-901, May.
- Jesus Fernandez-Villaverde & Samuel Hurtado & Galo Nuno, 2019. "Financial Frictions and the Wealth Distribution," PIER Working Paper Archive 19-015, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Jesús Fernández-Villaverde & Samuel Hurtado & Galo Nuño, 2020. "Financial Frictions and the Wealth Distribution," CESifo Working Paper Series 8482, CESifo.
- Gael M. Martin & David T. Frazier & Worapree Maneesoonthorn & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2022. "Bayesian Forecasting in Economics and Finance: A Modern Review," Papers 2212.03471, arXiv.org, revised Jul 2023.
- Jan Prüser & Florian Huber, 2024. "Nonlinearities in macroeconomic tail risk through the lens of big data quantile regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(2), pages 269-291, March.
- Rottner, Matthias, 2023. "Financial crises and shadow banks: A quantitative analysis," Journal of Monetary Economics, Elsevier, vol. 139(C), pages 74-92.
- Mark Gertler & Nobuhiro Kiyotaki & Andrea Prestipino, 2020. "Credit Booms, Financial Crises and Macroprudential Policy," Working Papers 2020-62, Princeton University. Economics Department..
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- Garratt, Anthony & Henckel, Timo & Vahey, Shaun P., 2023.
"Empirically-transformed linear opinion pools,"
International Journal of Forecasting, Elsevier, vol. 39(2), pages 736-753.
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- Mark Gertler & Nobuhiro Kiyotaki & Andrea Prestipino, 2020.
"Credit Booms, Financial Crises and Macroprudential Policy,"
NBER Working Papers
27481, National Bureau of Economic Research, Inc.
- Mark Gertler & Nobuhiro Kiyotaki & Andrea Prestipino, 2020. "Credit Booms, Financial Crises, and Macroprudential Policy," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 37, pages 8-33, August.
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"Monitoring multicountry macroeconomic risk,"
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2305.09563, arXiv.org.
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- Dimitris Korobilis & Maximilian Schröder, 2023. "Monitoring multicountry macroeconomic risk," Working Paper 2023/9, Norges Bank.
- Dimitris Korobilis & Maximilian Schröder, 2023. "Monitoring multicountry macroeconomic risk," Working Papers No 06/2023, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Chavleishvili, Sulkhan & Kremer, Manfred, 2023. "Measuring systemic financial stress and its risks for growth," Working Paper Series 2842, European Central Bank.
- Chavleishvili, Sulkhan & Fahr, Stephan & Kremer, Manfred & Manganelli, Simone & Schwaab, Bernd, 2021. "A risk management perspective on macroprudential policy," Working Paper Series 2556, European Central Bank.
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"Money, credit, monetary policy and the business cycle in the euro area: what has changed since the crisis?,"
Working Paper Series
2226, European Central Bank.
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Cited by:
- Del Negro, Marco & Lenza, Michele & Primiceri, Giorgio E. & Tambalotti, Andrea, 2020.
"What’s up with the Phillips Curve?,"
Working Paper Series
2435, European Central Bank.
- Primiceri, Giorgio & Del Negro, Marco & Lenza, Michele & Tambalotti, Andrea, 2020. "What's up with the Phillips Curve?," CEPR Discussion Papers 14583, C.E.P.R. Discussion Papers.
- William Chen & Marco Del Negro & Michele Lenza & Giorgio E. Primiceri & Andrea Tambalotti, 2020. "What’s Up with the Phillips Curve?," Liberty Street Economics 20200918a, Federal Reserve Bank of New York.
- Marco Del Negro & Michele Lenza & Giorgio E. Primiceri & Andrea Tambalotti, 2020. "What’s up with the Phillips Curve?," NBER Working Papers 27003, National Bureau of Economic Research, Inc.
- Marco Del Negro & Michele Lenza & Giorgio E. Primiceri & Andrea Tambalotti, 2020. "What's Up with the Phillips Curve?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 51(1 (Spring), pages 301-373.
- Richard K. Crump & Stefano Eusepi & Domenico Giannone & Eric Qian & Argia M. Sbordone, 2021. "A Large Bayesian VAR of the United States Economy," Staff Reports 976, Federal Reserve Bank of New York.
- Guido Ascari & Luca Fosso, 2021.
"The Inflation Rate Disconnect Puzzle: On the International Component of Trend Inflation and the Flattening of the Phillips Curve,"
Working Paper
2021/17, Norges Bank.
- Guido Ascari & Luca Fosso, 2021. "The Inflation Rate Disconnect Puzzle: On the International Component of Trend Inflation and the Flattening of the Phillips Curve," Working Papers 733, DNB.
- Guido Ascari & Luca Fosso, 2021. "The Inflation Rate Disconnect Puzzle: On the International Component of Trend Inflation and the Flattening of the Phillips Curve," Discussion Papers 2113, Centre for Macroeconomics (CFM).
- Lenza, Michele & Cimadomo, Jacopo & Giannone, Domenico & Monti, Francesca & Sokol, Andrej, 2021.
"Nowcasting with Large Bayesian Vector Autoregressions,"
CEPR Discussion Papers
15854, C.E.P.R. Discussion Papers.
- Cimadomo, Jacopo & Giannone, Domenico & Lenza, Michele & Monti, Francesca & Sokol, Andrej, 2022. "Nowcasting with large Bayesian vector autoregressions," Journal of Econometrics, Elsevier, vol. 231(2), pages 500-519.
- Cimadomo, Jacopo & Giannone, Domenico & Lenza, Michele & Monti, Francesca & Sokol, Andrej, 2020. "Nowcasting with large Bayesian vector autoregressions," Working Paper Series 2453, European Central Bank.
- Petrella, Ivan & Antolin-Diaz, Juan & Rubio-RamÃrez, Juan Francisco, 2018.
"Structural Scenario Analysis with SVARs,"
CEPR Discussion Papers
12579, C.E.P.R. Discussion Papers.
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- Antolin-Diaz, Juan & Petrella, Ivan & Rubio-Ramirez, Juan F., 2020. "Structural Scenario Analysis with SVARs," EMF Research Papers 32, Economic Modelling and Forecasting Group.
- Angela Capolongo & Claudia Pacella, 2019.
"Forecasting inflation in the euro area: countries matter!,"
Temi di discussione (Economic working papers)
1224, Bank of Italy, Economic Research and International Relations Area.
- Angela Capolongo & Claudia Pacella, 2021. "Forecasting inflation in the euro area: countries matter!," Empirical Economics, Springer, vol. 61(5), pages 2477-2499, November.
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- Elena Afanasyeva, 2020. "Can Forecast Errors Predict Financial Crises? Exploring the Properties of a New Multivariate Credit Gap," Finance and Economics Discussion Series 2020-045, Board of Governors of the Federal Reserve System (U.S.).
- Pedro J. Gutiérrez-Diez & Tibor Pàl, 2023. "Monetary policy models: lessons from the Eurozone crisis," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-19, December.
- Matteo Barigozzi, 2023. "Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models: A Critical Review," Papers 2303.11777, arXiv.org, revised May 2024.
- Chavleishvili, Sulkhan & Kremer, Manfred & Lund-Thomsen, Frederik, 2023. "Quantifying financial stability trade-offs for monetary policy: a quantile VAR approach," Working Paper Series 2833, European Central Bank.
- Gianluca Cafiso, 2022. "Loans to Different Groups and Economic Activity at Times of Crisis and Growth," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(3), pages 594-623, June.
- Marco Del Negro & Domenico Giannone & Marc Giannoni & Andrea Tambalotti, 2018.
"Global Trends in Interest Rates,"
Working Papers
1812, Federal Reserve Bank of Dallas.
- Del Negro, Marco & Giannone, Domenico & Giannoni, Marc P. & Tambalotti, Andrea, 2019. "Global trends in interest rates," Journal of International Economics, Elsevier, vol. 118(C), pages 248-262.
- Marco Del Negro & Domenico Giannone & Marc Giannoni & Andrea Tambalotti, 2018. "Global Trends in Interest Rates," NBER Chapters, in: NBER International Seminar on Macroeconomics 2018, pages 248-262, National Bureau of Economic Research, Inc.
- Marco Del Negro & Domenico Giannone & Marc P. Giannoni & Andrea Tambalotti, 2018. "Global Trends in Interest Rates," NBER Working Papers 25039, National Bureau of Economic Research, Inc.
- Brandyn Bok & Marco Del Negro & Domenico Giannone & Marc Giannoni & Eric Qian & Andrea Tambalotti, 2019. "Global Trends in Interest Rates," Liberty Street Economics 20190227, Federal Reserve Bank of New York.
- Marco Del Negro & Andrea Tambalotti & Domenico Giannone & Marc Giannoni, 2019. "Global Trends in Interest Rates," 2019 Meeting Papers 77, Society for Economic Dynamics.
- Marco Del Negro & Domenico Giannone & Marc Giannoni & Andrea Tambalotti, 2018. "Global trends in interest rates," Staff Reports 866, Federal Reserve Bank of New York.
Cited by:
- Taylor, Alan M. & Grimm, Maximilian & Jordà , Òscar & Schularick, Moritz, 2023.
"Loose monetary policy and financial instability,"
CEPR Discussion Papers
17896, C.E.P.R. Discussion Papers.
- Maximilian Grimm & Òscar Jordà & Moritz Schularick & Alan M. Taylor, 2023. "Loose Monetary Policy and Financial Instability," NBER Working Papers 30958, National Bureau of Economic Research, Inc.
- Maximilian Grimm & Òscar Jordà & Moritz Schularick & Alan M. Taylor, 2023. "Loose Monetary Policy and Financial Instability," Working Paper Series 2023-06, Federal Reserve Bank of San Francisco.
- Edoardo Rainone, 2022. "Currency demand at negative policy rates," Temi di discussione (Economic working papers) 1359, Bank of Italy, Economic Research and International Relations Area.
- Goodhart, Charles A.E. & Tsomocos, Dimitrios P. & Wang, Xuan, 2023.
"Support for small businesses amid COVID‐19,"
LSE Research Online Documents on Economics
118164, London School of Economics and Political Science, LSE Library.
- Charles A.E. Goodhart & Dimitrios P. Tsomocos & Xuan Wang, 2023. "Support for small businesses amid COVID‐19," Economica, London School of Economics and Political Science, vol. 90(358), pages 612-652, April.
- Goodhart, Charles & Tsomocos, Dimitrios P & Wang, Xuan, 2020. "Support for Small Businesses amid COVID-19," CEPR Discussion Papers 15055, C.E.P.R. Discussion Papers.
- Charles Goodhart & Dimitrios Tsomocos & Xuan Wang, 2020. "Support for Small Businesses amid COVID-19," Tinbergen Institute Discussion Papers 20-044/IV, Tinbergen Institute, revised 22 Jan 2021.
- Alexander Beames & Mariano Kulish & Nadine Yamout, 2022. "Fiscal Policy and the Slowdown in Trend Growth in an Open Economy," Working Papers 143, Red Nacional de Investigadores en Economía (RedNIE).
- Andrade Philippe, & Galí Jordi, & Le Bihan Hervé, & Matheron Julien., 2021.
"Should the ECB Adjust its Strategy in the Face of a Lower r*?,"
Working papers
811, Banque de France.
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- Philippe Andrade & Jordi Galí & Hervé Le Bihan & Julien Matheron, 2021. "Should the ECB Adjust its Strategy in the Face of a Lower r*?," Working Papers 1236, Barcelona School of Economics.
- Philippe Andrade & Jordi Galí & Hervé Le Bihan & Julien Matheron, 2021. "Should the ECB adjust its strategy in the face of a lower r*?," Economics Working Papers 1767, Department of Economics and Business, Universitat Pompeu Fabra, revised Apr 2021.
- Philippe Andrade & Jordi Gali & Hervé Le Bihan & Julien Matheron, 2021. "Should the ECB Adjust Its Strategy in the Face of a Lower r*?," Working Papers 22-1, Federal Reserve Bank of Boston.
- Nitschka, Thomas & Satkurunathan, Shajivan, 2021.
"Habits die hard: implications for bond and stock markets internationally,"
VfS Annual Conference 2021 (Virtual Conference): Climate Economics
242358, Verein für Socialpolitik / German Economic Association.
- Dr. Thomas Nitschka & Shajivan Satkurunathan, 2021. "Habits die hard: implications for bond and stock markets internationally," Working Papers 2021-08, Swiss National Bank.
- Beyer, Robert & Milivojevic, Lazar, 2021.
"Dynamics and synchronization of global equilibrium interest rates,"
IMFS Working Paper Series
146, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
- Robert C. M. Beyer & Lazar Milivojevic, 2023. "Dynamics and synchronization of global equilibrium interest rates," Applied Economics, Taylor & Francis Journals, vol. 55(28), pages 3195-3214, June.
- Beyer,Robert Carl Michael & Milivojevic,Lazar, 2020. "Dynamics and Synchronization of Global Equilibrium Interest Rates," Policy Research Working Paper Series 9489, The World Bank.
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- Kuvshinov, Dmitry & Richter, Björn & Zimmermann, Kaspar, 2022. "The shifts and the shocks: bank risk, leverage, and the macroeconomy," Working Paper Series 2672, European Central Bank.
- Gary Hansen & Selahattin Imrohoroglu, 2023.
"Demographic Change, Government Debt and Fiscal Sustainability in Japan: The Impact of Bond Purchase by the Bank of Japan,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 50, pages 88-105, October.
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"Global Factors Driving Inflation and Monetary Policy: A Global VAR Assessment,"
Department of Economics Working Paper Series
289, WU Vienna University of Economics and Business.
- Martin Feldkircher & Gabriele Tondl, 2020. "Global Factors Driving Inflation and Monetary Policy: A Global VAR Assessment," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 26(3), pages 225-247, August.
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- Brand, Claus & Mazelis, Falk, 2019. "Taylor-rule consistent estimates of the natural rate of interest," Working Paper Series 2257, European Central Bank.
- Westerhout, Ed & Meijdam, Lex & Ponds, Eduard & Bonenkamp, Jan, 2021.
"Should we Revive PAYG? On the Optimal Pension System in View of Current Economic Trends,"
Discussion Paper
2021-013, Tilburg University, Center for Economic Research.
- Westerhout, Ed & Meijdam, Lex & Ponds, Eduard & Bonenkamp, Jan, 2022. "Should we revive PAYG? On the optimal pension system in view of current economic trends," European Economic Review, Elsevier, vol. 148(C).
- Westerhout, Ed & Meijdam, Lex & Ponds, Eduard & Bonenkamp, Jan, 2021. "Should we Revive PAYG? On the Optimal Pension System in View of Current Economic Trends," Other publications TiSEM 63418f60-e248-4dc9-aac8-f, Tilburg University, School of Economics and Management.
- Casalin, Fabrizio & Cerniglia, Floriana & Dia, Enzo, 2023. "Stock-flow adjustments, public debt management and interest costs," Economic Modelling, Elsevier, vol. 129(C).
- Dario Caldara & Etienne Gagnon & Enrique Martínez García & Christopher J. Neely, 2020.
"Monetary Policy and Economic Performance since the Financial Crisis,"
Finance and Economics Discussion Series
2020-065, Board of Governors of the Federal Reserve System (U.S.).
- Dario Caldara & Etienne Gagnon & Enrique Martínez García & Christopher J. Neely, 2021. "Monetary Policy and Economic Performance Since the Financial Crisis," Review, Federal Reserve Bank of St. Louis, vol. 103(4), pages 425-460, October.
- Dario Caldara & Etienne Gagnon & Enrique Martínez García & Christopher J. Neely, 2020. "Monetary Policy and Economic Performance Since the Financial Crisis," Globalization Institute Working Papers 399, Federal Reserve Bank of Dallas.
- Dario Caldara & Etienne Gagnon & Enrique Martínez García & Christopher J. Neely, 2020. "Monetary Policy and Economic Performance since the Financial Crisis," Working Papers 2020-026, Federal Reserve Bank of St. Louis, revised 02 Nov 2020.
- Yunus Aksoy & Henrique S. Basso & Carolyn St Aubyn, 2019.
"Time Variation in Lifecycle Consumption and Income,"
BCAM Working Papers
1904, Birkbeck Centre for Applied Macroeconomics.
- Yunus Aksoy & Henrique S. Basso & Carolyn St Aubyn, 2020. "Time Variation in Lifecycle Consumption and Income," CESifo Working Paper Series 8162, CESifo.
- Yunus Aksoy & Henrique S. Basso & Carolyn St Aubyn, 2021. "Time variation in lifecycle consumption and income," Working Papers 2111, Banco de España.
- Boda Kang & Christina Sklibosios Nikitopoulos & Marcel Prokopczuk, 2019.
"Economic Determinants of Oil Futures Volatility: A Term Structure Perspective,"
Research Paper Series
401, Quantitative Finance Research Centre, University of Technology, Sydney.
- Kang, Boda & Nikitopoulos, Christina Sklibosios & Prokopczuk, Marcel, 2020. "Economic determinants of oil futures volatility: A term structure perspective," Energy Economics, Elsevier, vol. 88(C).
- Corradin, Stefano & Grimm, Niklas & Schwaab, Bernd, 2021. "Euro area sovereign bond risk premia during the Covid-19 pandemic," Working Paper Series 2561, European Central Bank.
- Renzhi, Nuobu, 2022. "Do house prices play a role in unconventional monetary policy transmission in Japan?," Journal of Asian Economics, Elsevier, vol. 83(C).
- Lucio Gobbi & Ronny Mazzocchi & Roberto Tamborini, 2019.
"Monetary Policy, Rational Confidence and Neo-Fisherian Depressions,"
EconPol Working Paper
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- Lucio Gobbi & Ronny Mazzocchi & Roberto Tamborini, 2022. "Monetary policy, rational confidence, and Neo‐Fisherian depressions," Metroeconomica, Wiley Blackwell, vol. 73(4), pages 1179-1199, November.
- Lucio Gobbi & Ronny Mazzocchi & Roberto Tamborini, 2019. "Monetary Policy, rational confidence, and Neo- Fisherian depressions," DEM Working Papers 2019/19, Department of Economics and Management.
- Kuvshinov, Dmitry & Zimmermann, Kaspar, 2020. "The Expected Return on Risky Assets: International Long-run Evidence," CEPR Discussion Papers 15610, C.E.P.R. Discussion Papers.
- Ambrocio, Gene & Hasan, Iftekhar, 2021. "Quid pro quo? Political ties and sovereign borrowing," Journal of International Economics, Elsevier, vol. 133(C).
- Schünemann, Johannes & Grossmann, Volker & Strulik, Holger, 2023. "Fair Pension Policies with Occupation-Specific Aging," VfS Annual Conference 2023 (Regensburg): Growth and the "sociale Frage" 277593, Verein für Socialpolitik / German Economic Association.
- Carolin Schellhorn, 2020. "Financial System Stability, the Timing of Climate Change Action and the Federal Reserve," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 9(3), pages 45-59.
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- Calice,Pietro & Diaz Kalan,Federico Alfonso & Masetti,Oliver, 2020. "Interest Rate Repression : A New Database," Policy Research Working Paper Series 9457, The World Bank.
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"Demographics and the natural interest rate in the euro area,"
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- Marcin Bielecki & Michał Brzoza-Brzezina & Marcin Kolasa, 2020. "Demographics and the natural interest rate in the euro area," KAE Working Papers 2020-050, Warsaw School of Economics, Collegium of Economic Analysis.
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- Madalen Castells Jauregui & Dmitry Kuvshinov & Bjoern Richter & Victoria Vanasco, 2024. "Sectoral dynamics of safe assets in advanced economies," Economics Working Papers 1884, Department of Economics and Business, Universitat Pompeu Fabra.
- Juvenal José Duarte & Sahudy Montenegro González & José César Cruz, 2021. "Predicting Stock Price Falls Using News Data: Evidence from the Brazilian Market," Computational Economics, Springer;Society for Computational Economics, vol. 57(1), pages 311-340, January.
- Hauptmeier, Sebastian & Kamps, Christophe & Radke, Lucas, 2022. "Counter-cyclical fiscal rules and the zero lower bound," Working Paper Series 2715, European Central Bank.
- Billi, Roberto & Galí, Jordi & Nakov, Anton, 2024.
"Optimal Monetary Policy with r,"
Working Paper Series
433, Sveriges Riksbank (Central Bank of Sweden).
- Roberto M. Billi & Jordi Galí & Anton Nakov, 2022. "Optimal Monetary Policy with r," Economics Working Papers 1830, Department of Economics and Business, Universitat Pompeu Fabra.
- Roberto M. Billi & Jordi Galí & Anton Nakov, 2023. "Optimal Monetary Policy with r," NBER Working Papers 31508, National Bureau of Economic Research, Inc.
- Billi, Roberto & Galí, Jordi & Nakov, Anton, 2024. "Optimal monetary policy with r∗<0," Journal of Monetary Economics, Elsevier, vol. 142(C).
- Roberto M. Billi & Jordi Galí & Anton Nakov, 2022. "Optimal Monetary Policy with r," Working Papers 1333, Barcelona School of Economics.
- Chen, Jiaqian & Finocchiaro, Daria & Lindé, Jesper & Walentin, Karl, 2020.
"The costs of macroprudential deleveraging in a liquidity trap,"
Working Paper Series
389, Sveriges Riksbank (Central Bank of Sweden).
- Jiaqian Chen & Daria Finocchiaro & Jesper Linde & Karl Walentin, 2023. "The costs of macroprudential deleveraging in a liquidity trap"," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 51, pages 991-1011, December.
- Linde, Jesper & Finocchiaro, Daria & Walentin, Karl & Chen, Jack, 2020. "The costs of macroprudential deleveraging in a liquidity trap," CEPR Discussion Papers 14564, C.E.P.R. Discussion Papers.
- Mr. Jiaqian Chen & Daria Finocchiaro & Jesper Lindé & Karl Walentin, 2020. "The Costs of Macroprudential Deleveraging in a Liquidity Trap," IMF Working Papers 2020/089, International Monetary Fund.
- Maurice Obstfeld, 2020.
"Global Dimensions of U.S. Monetary Policy,"
International Journal of Central Banking, International Journal of Central Banking, vol. 16(1), pages 73-132, February.
- Obstfeld, Maurice, 2019. "Global Dimensions of U.S. Monetary Policy," CEPR Discussion Papers 13887, C.E.P.R. Discussion Papers.
- Maurice Obstfeld, 2019. "Global Dimensions of US Monetary Policy," Working Paper Series WP19-16, Peterson Institute for International Economics.
- Maurice Obstfeld, 2019. "Global Dimensions of U.S. Monetary Policy," NBER Working Papers 26039, National Bureau of Economic Research, Inc.
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"Demographics and the natural real interest rate: historical and projected paths for the euro area,"
Working Paper Series
2258, European Central Bank.
- Papetti, Andrea, 2021. "Demographics and the natural real interest Rate: historical and projected paths for the euro area," Journal of Economic Dynamics and Control, Elsevier, vol. 132(C).
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"Safe U.S. Assets and U.S. Capital Flows,"
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- Charles Engel, 2019. "Safe U.S. Assets and U.S. Capital Flows," GRU Working Paper Series GRU_2019_025, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
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"Natural rate chimera and bond pricing reality,"
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2612, European Central Bank.
- Brand, Claus & Goy, Gavin W & Lemke, Wolfgang, 2020. "Natural rate chimera and bond pricing reality," VfS Annual Conference 2020 (Virtual Conference): Gender Economics 224546, Verein für Socialpolitik / German Economic Association.
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"Precision-based sampling for state space models that have no measurement error,"
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"Growth prospects, the natural interest rate, and monetary policy,"
Economics Discussion Papers
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"The Riddle of the Natural Rate of Interest,"
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"Harry Johnson's “Case for flexible exchange rates”—50 years later,"
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"Factor extraction using Kalman filter and smoothing: this is not just another survey,"
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"Measuring Real Activity Using a Weekly Economic Index,"
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CEPR Discussion Papers
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"Machine Learning Time Series Regressions With an Application to Nowcasting,"
LIDAM Reprints LFIN
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"ddml: Double/debiased machine learning in Stata,"
Swiss Stata Conference 2022
02, Stata Users Group.
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"Targeting predictors in random forest regression,"
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"How local is the local inflation factor? Evidence from emerging European countries,"
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- Claudia Wellenreuther, 2021. "Konjunkturschlaglicht: Rohstoffpreise: Superzyklus oder Aufschwung? [Economic headline: Commodity prices: Supercycle or upswing?]," Wirtschaftsdienst, Springer;ZBW - Leibniz Information Centre for Economics, vol. 101(8), pages 663-664, August.
- Primiceri, Giorgio & Giannone, Domenico & Lenza, Michele, 2016.
"Priors for the Long Run,"
CEPR Discussion Papers
11261, C.E.P.R. Discussion Papers.
- Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2019. "Priors for the Long Run," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 114(526), pages 565-580, April.
- Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2017. "Priors for the long run," Staff Reports 832, Federal Reserve Bank of New York.
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Cited by:
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019.
"Financial and fiscal interaction in the euro area crisis: this time was different,"
SciencePo Working papers Main
hal-03403269, HAL.
- Reichlin, Lucrezia & Caruso, Alberto & Ricco, Giovanni, 2018. "Financial and Fiscal Interaction in the Euro Area Crisis: This Time was Different," CEPR Discussion Papers 13016, C.E.P.R. Discussion Papers.
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the Euro Area crisis: This time was different," Post-Print hal-03403613, HAL.
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the euro area crisis: this time was different," Sciences Po publications 11, Sciences Po.
- Caruso, Alberto & Reichlin, Lucrezia & Ricco, Giovanni, 2018. "Financial and Fiscal Interaction in the Euro Area Crisis : This Time was Different," The Warwick Economics Research Paper Series (TWERPS) 1167, University of Warwick, Department of Economics.
- Albert Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the euro area crisis : this time was different," Documents de Travail de l'OFCE 2019-11, Observatoire Francais des Conjonctures Economiques (OFCE).
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the Euro Area crisis: This time was different," Sciences Po publications info:hdl:2441/4u5amfvji89, Sciences Po.
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the Euro Area crisis: This time was different," SciencePo Working papers Main hal-03403613, HAL.
- Caruso, Alberto & Reichlin, Lucrezia & Ricco, Giovanni, 2019. "Financial and fiscal interaction in the Euro Area crisis: This time was different," European Economic Review, Elsevier, vol. 119(C), pages 333-355.
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the euro area crisis: this time was different," Working Papers hal-03403269, HAL.
- Tallman, Ellis W. & Zaman, Saeed, 2020.
"Combining survey long-run forecasts and nowcasts with BVAR forecasts using relative entropy,"
International Journal of Forecasting, Elsevier, vol. 36(2), pages 373-398.
- Ellis W. Tallman & Saeed Zaman, 2018. "Combining Survey Long-Run Forecasts and Nowcasts with BVAR Forecasts Using Relative Entropy," Working Papers (Old Series) 1809, Federal Reserve Bank of Cleveland.
- Bauwens, Luc & Chevillon, Guillaume & Laurent, Sébastien, 2023.
"We modeled long memory with just one lag!,"
Journal of Econometrics, Elsevier, vol. 236(1).
- Bauwens, Luc & Chevillon, Guillaume & Laurent, Sébastien, 2022. "We modeled long memory with just one lag!," LIDAM Discussion Papers CORE 2022016, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Luc Bauwens & Guillaume Chevillon & Sébastien Laurent, 2023. "We modeled long memory with just one lag!," Post-Print hal-04185755, HAL.
- Bauwens, Luc & Chevillon, Guillaume & Laurent, Sébastien, 2023. "We modeled long memory with just one lag!," LIDAM Reprints CORE 3234, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Richard K. Crump & Stefano Eusepi & Domenico Giannone & Eric Qian & Argia M. Sbordone, 2021. "A Large Bayesian VAR of the United States Economy," Staff Reports 976, Federal Reserve Bank of New York.
- Budrys, Žymantas & Porqueddu, Mario & Sokol, Andrej, 2022.
"Striking a bargain: narrative identification of wage bargaining shocks,"
Research Bulletin, European Central Bank, vol. 98.
- Žymantas Budrys & Mario Porqueddu & Andrej Sokol, 2024. "Striking a Bargain: Narrative Identification of Wage Bargaining Shocks," Bank of Lithuania Working Paper Series 121, Bank of Lithuania.
- Budrys, Žymantas & Porqueddu, Mario & Sokol, Andrej, 2021. "Striking a bargain: narrative identification of wage bargaining shocks," Working Paper Series 2602, European Central Bank.
- Warne, Anders, 2023. "DSGE model forecasting: rational expectations vs. adaptive learning," Working Paper Series 2768, European Central Bank.
- Delle Monache, Davide & Petrella, Ivan & Venditti, Fabrizio, 2020.
"Price dividend ratio and long-run stock returns: a score driven state space model,"
Temi di discussione (Economic working papers)
1296, Bank of Italy, Economic Research and International Relations Area.
- Davide Delle Monache & Ivan Petrella & Fabrizio Venditti, 2021. "Price Dividend Ratio and Long-Run Stock Returns: A Score-Driven State Space Model," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(4), pages 1054-1065, October.
- Petrella, Ivan & Delle Monache, Davide & Venditti, Fabrizio, 2019. "Price Dividend Ratio and Long-Run Stock Returns: a Score Driven State Space Model," CEPR Discussion Papers 14107, C.E.P.R. Discussion Papers.
- Delle Monache, Davide & Petrella, Ivan & Venditti, Fabrizio, 2019. "Price Dividend Ratio and Long-Run Stock Returns: a Score Driven State Space Model," EMF Research Papers 29, Economic Modelling and Forecasting Group.
- Delle Monache, Davide & Venditti, Fabrizio & Petrella, Ivan, 2020. "Price dividend ratio and long-run stock returns: a score driven state space model," Working Paper Series 2369, European Central Bank.
- Lenza, Michele & Cimadomo, Jacopo & Giannone, Domenico & Monti, Francesca & Sokol, Andrej, 2021.
"Nowcasting with Large Bayesian Vector Autoregressions,"
CEPR Discussion Papers
15854, C.E.P.R. Discussion Papers.
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- Cimadomo, Jacopo & Giannone, Domenico & Lenza, Michele & Monti, Francesca & Sokol, Andrej, 2020. "Nowcasting with large Bayesian vector autoregressions," Working Paper Series 2453, European Central Bank.
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"Economic theories and macroeconomic reality,"
Journal of Monetary Economics, Elsevier, vol. 126(C), pages 105-117.
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"Large time‐varying parameter VARs: A nonparametric approach,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(7), pages 1027-1049, November.
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- George Kapetanios & Massimiliano Marcellino & Fabrizio Venditti, 2017. "Large time-varying parameter VARs: a non-parametric approach," Temi di discussione (Economic working papers) 1122, Bank of Italy, Economic Research and International Relations Area.
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"Priors about Observables in Vector Autoregressions,"
UFAE and IAE Working Papers
929.13, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
- Jarociński, Marek & Marcet, Albert, 2019. "Priors about observables in vector autoregressions," Journal of Econometrics, Elsevier, vol. 209(2), pages 238-255.
- Marek Jarocinski & Albert Marcet, 2013. "Priors about Observables in Vector Autoregressions," Working Papers 684, Barcelona School of Economics.
- Bjarni G. Einarsson, 2024. "Online Monitoring of Policy Optimality," Economics wp95, Department of Economics, Central bank of Iceland.
- Ciobotaru, Corina & Mazza, Christian, 2022. "Consistency and asymptotic normality of M-estimates of scatter on Grassmann manifolds," Journal of Multivariate Analysis, Elsevier, vol. 190(C).
- Felix Kapfhammer & Vegard H. Larsen & Leif Anders Thorsrud, 2020.
"Climate risk and commodity currencies,"
Working Paper
2020/18, Norges Bank.
- Felix Kapfhammer & Vegard H. Larsen & Leif Anders Thorsrud, 2020. "Climate Risk and Commodity Currencies," CESifo Working Paper Series 8788, CESifo.
- Felix Kapfhammer & Vegard H. Larsen & Leif Anders Thorsrud, 2020. "Climate Risk and Commodity Currencies," Working Papers No 10/2020, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Marcela De Castro-Valderrama & Santiago Forero-Alvarado & Nicolas Moreno-Arias & Sara Naranjo-Saldarriaga, 2022. "Unravelling the Narratives Behind Macroeconomic Forecasts," IHEID Working Papers 18-2022, Economics Section, The Graduate Institute of International Studies.
- Nooman Rebei & Rashid Sbia, 2019.
"Transitory and Permanent Shocks in the Global Market for Crude Oil,"
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- Mr. Nooman Rebei & Rashid Sbia, 2020. "Transitory and Permanent Shocks in the Global Market for Crude Oil," IMF Working Papers 2020/047, International Monetary Fund.
- Nooman Rebei & Rashid Sbia, 2021. "Transitory and permanent shocks in the global market for crude oil," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(7), pages 1047-1064, November.
- Nooman Rebei & Rashid Sbia, 2021. "Transitory and permanent shocks in the global market for crude oil," Post-Print hal-03355309, HAL.
- Nooman Rebei & Rashid Sbia, 2019. "Transitory and Permanent Shocks in the Global Market for Crude Oil," AMSE Working Papers 1918, Aix-Marseille School of Economics, France.
- Michele Lenza & Giorgio E. Primiceri, 2022. "How to estimate a vector autoregression after March 2020," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(4), pages 688-699, June.
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"Prior selection for panel vector autoregressions,"
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- Korobilis, Dimitris, 2015. "Prior selection for panel vector autoregressions," MPRA Paper 64143, University Library of Munich, Germany.
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- Ho, Paul, 2023.
"Global robust Bayesian analysis in large models,"
Journal of Econometrics, Elsevier, vol. 235(2), pages 608-642.
- Paul Ho, 2020. "Global Robust Bayesian Analysis in Large Models," Working Paper 20-07, Federal Reserve Bank of Richmond.
- Paul Ho, 2019. "Global Robust Bayesian Analysis in Large Models," 2019 Meeting Papers 390, Society for Economic Dynamics.
- Jef Boeckx & Leonardo Iania & Joris Wauters, 2024.
"Macroeconomic drivers of inflation expectations and inflation risk premia,"
Working Paper Research
446, National Bank of Belgium.
- Boeckx, Jef & Iania, Leonardo & Wauters, Joris, 2023. "Macroeconomic drivers of Inflation Expectations and Inflation Risk Premia," LIDAM Discussion Papers LFIN 2023003, Université catholique de Louvain, Louvain Finance (LFIN).
- Drago Bergholt & Francesco Furlanetto & Nicolò Maffei-Faccioli, 2022.
"The Decline of the Labor Share: New Empirical Evidence,"
American Economic Journal: Macroeconomics, American Economic Association, vol. 14(3), pages 163-198, July.
- Drago, Bergholt & Furlanetto, Francesco & Faccioli, Nicolò Maffei, 2019. "The decline of the labor share: new empirical evidence," Working Paper 2019/18, Norges Bank.
- Giannone, Domenico & Lenza, Michele & Reichlin, Lucrezia, 2019.
"Money, credit, monetary policy and the business cycle in the euro area: what has changed since the crisis?,"
Working Paper Series
2226, European Central Bank.
- Domenico Giannone & Michele Lenza & Lucrezia Reichlin, 2019. "Money, Credit, Monetary Policy, and the Business Cycle in the Euro Area: What Has Changed Since the Crisis?," International Journal of Central Banking, International Journal of Central Banking, vol. 15(5), pages 137-173, December.
- Domenico Giannone & Michele Lenza & Lucrezia Reichlin, 2019. "Money, credit, monetary policy, and the business cycle in the euro area: what has changed since the crisis?," Staff Reports 885, Federal Reserve Bank of New York.
- Gergely Ganics & Florens Odendahl, 2019.
"Bayesian VAR forecasts, survey information and structural change in the euro area,"
Working Papers
1948, Banco de España.
- Ganics, Gergely & Odendahl, Florens, 2021. "Bayesian VAR forecasts, survey information, and structural change in the euro area," International Journal of Forecasting, Elsevier, vol. 37(2), pages 971-999.
- Gergely Ganics & Florens Odendahl, 2019. "Bayesian VAR Forecasts, Survey Information and Structural Change in the Euro Area," Working papers 733, Banque de France.
- Francesco Bianchi & Giovanni Nicolo & Dongho Song, 2023. "Inflation and Real Activity over the Business Cycle," Finance and Economics Discussion Series 2023-038, Board of Governors of the Federal Reserve System (U.S.).
- Lieb, Lenard & Smeekes, Stephan, 2017.
"Inference for Impulse Responses under Model Uncertainty,"
Research Memorandum
022, Maastricht University, Graduate School of Business and Economics (GSBE).
- Lenard Lieb & Stephan Smeekes, 2017. "Inference for Impulse Responses under Model Uncertainty," Papers 1709.09583, arXiv.org, revised Oct 2019.
- George ANTON, 2022. "The importance of demand, uncertainty and monetary policy shocks from the euro area for the Romanian economy," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(2(631), S), pages 25-38, Summer.
- Philippe Goulet Coulombe & Maximilian Gobel, 2021. "Arctic Amplification of Anthropogenic Forcing: A Vector Autoregressive Analysis," Working Papers 21-04, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management.
- Hartwig, Benny, 2022. "Bayesian VARs and prior calibration in times of COVID-19," Discussion Papers 52/2022, Deutsche Bundesbank.
- McAdam, Peter & Warne, Anders, 2020. "Density forecast combinations: the real-time dimension," Working Paper Series 2378, European Central Bank.
- Amaze Lusompa, 2021.
"Local Projections, Autocorrelation, and Efficiency,"
Research Working Paper
RWP 21-01, Federal Reserve Bank of Kansas City.
- Lusompa, Amaze, 2019. "Local Projections, Autocorrelation, and Efficiency," MPRA Paper 99856, University Library of Munich, Germany, revised 11 Apr 2020.
- Angelini, Elena & Lalik, Magdalena & Lenza, Michele & Paredes, Joan, 2019.
"Mind the gap: A multi-country BVAR benchmark for the Eurosystem projections,"
International Journal of Forecasting, Elsevier, vol. 35(4), pages 1658-1668.
- Angelini, Elena & Lalik, Magdalena & Lenza, Michele & Paredes, Joan, 2019. "Mind the gap: a multi-country BVAR benchmark for the Eurosystem projections," Working Paper Series 2227, European Central Bank.
- Niko Hauzenberger & Michael Pfarrhofer & Luca Rossini, 2020. "Sparse time-varying parameter VECMs with an application to modeling electricity prices," Papers 2011.04577, arXiv.org, revised Apr 2023.
- Philippe Goulet Coulombe & Maximilian Gobel, 2020. "Arctic Amplification of Anthropogenic Forcing: A Vector Autoregressive Analysis," Papers 2005.02535, arXiv.org, revised Mar 2021.
- Marta Baltar Moreira Areosa & Wagner Piazza Gaglianone, 2023. "Anchoring Long-term VAR Forecasts Based On Survey Data and State-space Models," Working Papers Series 574, Central Bank of Brazil, Research Department.
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- Karau, Sören, 2020. "Buried in the vaults of central banks: Monetary gold hoarding and the slide into the Great Depression," Discussion Papers 63/2020, Deutsche Bundesbank.
- Prüser, Jan, 2023. "Data-based priors for vector error correction models," International Journal of Forecasting, Elsevier, vol. 39(1), pages 209-227.
- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2016. "Large Vector Autoregressions with Stochastic Volatility and Flexible Priors," Working Papers (Old Series) 1617, Federal Reserve Bank of Cleveland.
- Florian Huber & Gary Koop, 2023.
"Subspace shrinkage in conjugate Bayesian vector autoregressions,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(4), pages 556-576, June.
- Florian Huber & Gary Koop, 2021. "Subspace Shrinkage in Conjugate Bayesian Vector Autoregressions," Papers 2107.07804, arXiv.org.
- Dimitrios P. Louzis, 2019. "Steady‐state modeling and macroeconomic forecasting quality," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(2), pages 285-314, March.
- Carriero, Andrea & Clark, Todd E. & Marcellino, Massimiliano, 2019. "Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors," Journal of Econometrics, Elsevier, vol. 212(1), pages 137-154.
- Andrle, Michal & Plašil, Miroslav, 2018. "Econometrics with system priors," Economics Letters, Elsevier, vol. 172(C), pages 134-137.
- Wang,Dieter & Andree,Bo Pieter Johannes & Chamorro Elizondo,Andres Fernando & Spencer,Phoebe Girouard, 2020. "Stochastic Modeling of Food Insecurity," Policy Research Working Paper Series 9413, The World Bank.
- Kohns, David & Potjagailo, Galina, 2023. "Flexible Bayesian MIDAS: time‑variation, group‑shrinkage and sparsity," Bank of England working papers 1025, Bank of England.
- Adrian, Tobias & Boyarchenko, Nina & Giannone, Domenico, 2016.
"Vulnerable Growth,"
CEPR Discussion Papers
11583, C.E.P.R. Discussion Papers.
- Tobias Adrian & Nina Boyarchenko & Domenico Giannone, 2019. "Vulnerable Growth," American Economic Review, American Economic Association, vol. 109(4), pages 1263-1289, April.
- Tobias Adrian & Nina Boyarchenko & Domenico Giannone, 2018. "Vulnerable Growth," Liberty Street Economics 20180409, Federal Reserve Bank of New York.
- Nina Boyarchenko & Domenico Giannone & Tobias Adrian, 2017. "Vulnerable Growth," 2017 Meeting Papers 1317, Society for Economic Dynamics.
- Tobias Adrian & Nina Boyarchenko & Domenico Giannone, 2016. "Vulnerable growth," Staff Reports 794, Federal Reserve Bank of New York.
Cited by:
- Aaron J. Amburgey & Michael W. McCracken, 2023.
"On the real‐time predictive content of financial condition indices for growth,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(2), pages 137-163, March.
- Aaron Amburgey & Michael W. McCracken, 2022. "On the Real-Time Predictive Content of Financial Conditions Indices for Growth," Working Papers 2022-003, Federal Reserve Bank of St. Louis, revised 03 Jun 2022.
- Hyeongwoo Kim & Wen Shi & Hyun Hak Kim, 2020.
"Forecasting financial stress indices in Korea: a factor model approach,"
Empirical Economics, Springer, vol. 59(6), pages 2859-2898, December.
- Hyeongwoo Kim & Hyun Hak Kim & Wen Shi, 2015. "Forecasting Financial Stress Indices in Korea: A Factor Model Approach," Working Papers 2015-30, Economic Research Institute, Bank of Korea.
- Hyeongwoo Kim & Wen Shi & Hyun Hak Kim, 2016. "Forecasting Financial Stress Indices in Korea: A Factor Model Approach," Auburn Economics Working Paper Series auwp2016-10, Department of Economics, Auburn University.
- Hyeongwoo Kim & Wen Shi & Hyun Hak Kim, 2019. "Forecasting Financial Stress Indices in Korea: A Factor Model Approach," Auburn Economics Working Paper Series auwp2019-02, Department of Economics, Auburn University.
- Hyeongwoo Kim & Wen Shi & Hyun Hak Kim, 2018. "Forecasting Financial Stress Indices in Korea: A Factor Model Approach," Auburn Economics Working Paper Series auwp2018-06, Department of Economics, Auburn University.
- Kim, Hyeongwoo & Shi, Wen & Kim, Hyun Hak, 2018. "Forecasting Financial Stress Indices in Korea: A Factor Model Approach," MPRA Paper 89768, University Library of Munich, Germany.
- Piergiorgio Alessandri & Pierluigi Bologna & Maddalena Galardo, 2020.
"Financial crises, macroprudential policy and the reliability of credit-to-GDP gaps,"
Questioni di Economia e Finanza (Occasional Papers)
567, Bank of Italy, Economic Research and International Relations Area.
- Alessandri, Piergiorgio & Bologna, Pierluigi & Galardo, Maddalena, 2021. "Financial crises, macroprudential policy and the reliability of credit-to-GDP gaps," ESRB Working Paper Series 114, European Systemic Risk Board.
- Piergiorgio Alessandri & Pierluigi Bologna & Maddalena Galardo, 2022. "Financial Crises, Macroprudential Policy and the Reliability of Credit-to-GDP Gaps," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 70(4), pages 625-667, December.
- David Kohns & Tibor Szendrei, 2021. "Decoupling Shrinkage and Selection for the Bayesian Quantile Regression," Papers 2107.08498, arXiv.org.
- Lloyd, S. & Manuel, E. & Panchev, K., 2021.
"Foreign Vulnerabilities, Domestic Risks: The Global Drivers of GDP-at-Risk,"
Cambridge Working Papers in Economics
2156, Faculty of Economics, University of Cambridge.
- Lloyd, S. & Manuel, E. & Panchev, K., 2021. "Foreign Vulnerabilities, Domestic Risks: The Global Drivers of GDP-at-Risk," Janeway Institute Working Papers 2102, Faculty of Economics, University of Cambridge.
- Lloyd, Simon & Manuel, Ed & Panchev, Konstantin, 2021. "Foreign vulnerabilities, domestic risks: the global drivers of GDP-at-Risk," Bank of England working papers 940, Bank of England.
- Simon Lloyd & Ed Manuel & Konstantin Panchev, 2024. "Foreign Vulnerabilities, Domestic Risks: The Global Drivers of GDP-at-Risk," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 72(1), pages 335-392, March.
- Claudia Pacella, 2020. "Essays on Forecasting," ULB Institutional Repository 2013/307579, ULB -- Universite Libre de Bruxelles.
- Philippe Goulet Coulombe & Maxime Leroux & Dalibor Stevanovic & Stephane Surprenant, 2020.
"How is Machine Learning Useful for Macroeconomic Forecasting?,"
Working Papers
20-01, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management, revised Aug 2020.
- Philippe Goulet Coulombe & Maxime Leroux & Dalibor Stevanovic & Stéphane Surprenant, 2019. "How is Machine Learning Useful for Macroeconomic Forecasting?," CIRANO Working Papers 2019s-22, CIRANO.
- Philippe Goulet Coulombe & Maxime Leroux & Dalibor Stevanovic & Stéphane Surprenant, 2022. "How is machine learning useful for macroeconomic forecasting?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(5), pages 920-964, August.
- Philippe Goulet Coulombe & Maxime Leroux & Dalibor Stevanovic & St'ephane Surprenant, 2020. "How is Machine Learning Useful for Macroeconomic Forecasting?," Papers 2008.12477, arXiv.org.
- Mr. Yan Carriere-Swallow & José Marzluf, 2021.
"Macrofinancial Causes of Optimism in Growth Forecasts,"
IMF Working Papers
2021/275, International Monetary Fund.
- Yan Carrière-Swallow & José Marzluf, 2023. "Macrofinancial Causes of Optimism in Growth Forecasts," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 71(2), pages 509-537, June.
- Pietro Dindo & Andrea Modena & Loriana Pelizzon, 2019.
"Risk Pooling, Leverage, and the Business Cycle,"
Working Papers
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- Pietro Dindo & Andrea Modena & Loriana Pelizzon, 2019. "Risk Pooling, Leverage, and the Business Cycle," CESifo Working Paper Series 7772, CESifo.
- Ana Beatriz Galvão & Michael Owyang, 2022.
"Forecasting low‐frequency macroeconomic events with high‐frequency data,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(7), pages 1314-1333, November.
- Galvao, Ana Beatriz & Owyang, Michael, 2020. "Forecasting Low Frequency Macroeconomic Events with High Frequency Data," EMF Research Papers 38, Economic Modelling and Forecasting Group.
- Ana B. Galvão & Michael T. Owyang, 2020. "Forecasting Low Frequency Macroeconomic Events with High Frequency Data," Working Papers 2020-028, Federal Reserve Bank of St. Louis, revised Apr 2022.
- Juan M. Londono & Nancy R. Xu, 2021. "The Global Determinants of International Equity Risk Premiums," International Finance Discussion Papers 1318, Board of Governors of the Federal Reserve System (U.S.).
- Hartwig, Benny & Meinerding, Christoph & Schüler, Yves S., 2021.
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"Stress-ridden finance and growth losses: Does financial development break the link?,"
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"Measuring heterogeneity in banks' interest rate setting in Russia,"
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"Monetary Policy and Financial Conditions: A Cross-Country Study,"
CEPR Discussion Papers
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"Tracking the slowdown in long-run GDP growth,"
LSE Research Online Documents on Economics
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"Nowcasting Indonesia,"
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"Nowcasting with Large Bayesian Vector Autoregressions,"
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"Back to the present: Learning about the euro area through a now-casting model,"
International Journal of Forecasting, Elsevier, vol. 40(2), pages 661-686.
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"Advances in Nowcasting Economic Activity: The Role of Heterogeneous Dynamics and Fat Tails,"
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"Macroeconomic Nowcasting and Forecasting with Big Data,"
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"Combining time-variation and mixed-frequencies: an analysis of government spending multipliers in Italy,"
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"An Inflation‐Predicting Measure of the Output Gap in the Euro Area,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(6), pages 1189-1224, September.
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"Time-varying Price Flexibility and Inflation Dynamics,"
EMF Research Papers
28, Economic Modelling and Forecasting Group.
- Petrella, Ivan & Santoro, Emiliano & Simonsen, Lasse de la Porte, 2018. "Time-varying Price Flexibility and Inflation Dynamics," CEPR Discussion Papers 13027, C.E.P.R. Discussion Papers.
- Nataliia Ostapenko, 2022. "Do output gap estimates improve inflation forecasts in Slovakia?," Working and Discussion Papers WP 4/2022, Research Department, National Bank of Slovakia.
- Daniel Wochner, 2020. "Dynamic Factor Trees and Forests – A Theory-led Machine Learning Framework for Non-Linear and State-Dependent Short-Term U.S. GDP Growth Predictions," KOF Working papers 20-472, KOF Swiss Economic Institute, ETH Zurich.
- Scott A. Brave & R. Andrew Butters & David Kelley, 2019. "A New “Big Data” Index of U.S. Economic Activity," Economic Perspectives, Federal Reserve Bank of Chicago, issue 1, pages 1-30.
- Robert Lehmann & Magnus Reif & Timo Wollmershäuser, 2020. "ifoCAST: The New Forecast Standard of the ifo Institute," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 73(11), pages 31-39, November.
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"Low Frequency Effects of Macroeconomic News on Government Bond Yields,"
Working Papers ECARES
ECARES 2014-34, ULB -- Universite Libre de Bruxelles.
- Altavilla, Carlo & Giannone, Domenico & Modugno, Michele, 2017. "Low frequency effects of macroeconomic news on government bond yields," Journal of Monetary Economics, Elsevier, vol. 92(C), pages 31-46.
- Carlo Altavilla & Domenico Giannone & Michele Modugno, 2014. "Low Frequency Effects of Macroeconomic News on Government Bond Yields," CSEF Working Papers 372, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
- Carlo Altavilla & Domenico Giannone & Michele Modugno, 2014. "Low Frequency Effects of Macroeconomic News on Government Bond Yields," Finance and Economics Discussion Series 2014-52, Board of Governors of the Federal Reserve System (U.S.).
Cited by:
- Moench, Emanuel & Soofi-Siavash, Soroosh, 2022.
"What moves treasury yields?,"
Journal of Financial Economics, Elsevier, vol. 146(3), pages 1016-1043.
- Soroosh Soofi-Siavash & Emanuel Moench, 2021. "What Moves Treasury Yields?," Bank of Lithuania Working Paper Series 88, Bank of Lithuania.
- Moench, Emanuel & Soofi Siavash, Soroosh, 2022. "What Moves Treasury Yields?," CEPR Discussion Papers 15978, C.E.P.R. Discussion Papers.
- Benjamin Born & Zeno Enders & Manuel Menkhoff & Gernot J. Müller & Knut Niemann, 2023.
"Firm Expectations and News: Micro v Macro,"
ifo Working Paper Series
400, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
- Benjamin Born & Zeno Enders & Manuel Menkhoff & Gernot J. Müller & Knut Niemann & Gernot Müller, 2022. "Firm Expectations and News: Micro v Macro," CESifo Working Paper Series 10192, CESifo.
- Born, Benjamin & Enders, Zeno & Menkhoff, Manuel & Müller, Gernot J. & Niemann, Knut, 2023. "Firm expectations and news: Micro v macro," Working Papers 43, German Research Foundation's Priority Programme 1859 "Experience and Expectation. Historical Foundations of Economic Behaviour", Humboldt University Berlin.
- Born, Benjamin & Enders, Zeno & Menkhoff, Manuel & Müller, Gernot & Niemann, Knut, 2022. "Firm Expectations and News: Micro v Macro," CEPR Discussion Papers 17768, C.E.P.R. Discussion Papers.
- Alberto Caruso & Laura Coroneo, 2023. "Does Real‐Time Macroeconomic Information Help to Predict Interest Rates?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(8), pages 2027-2059, December.
- François Gourio & Phuong Ngo, 2020.
"Risk Premia at the ZLB: A Macroeconomic Interpretation,"
Working Paper Series
WP 2020-01, Federal Reserve Bank of Chicago.
- Phuong Ngo & Francois Gourio, 2016. "Risk Premia at the ZLB: a macroeconomic interpretation," 2016 Meeting Papers 1585, Society for Economic Dynamics.
- François Gourio & Phuong Ngo, 2020. "Risk Premia at the ZLB: A Macroeconomic Interpretation," Working Paper Series WP-2020-01, Federal Reserve Bank of Chicago.
- Miranda-Agrippino, Silvia, 2016.
"Unsurprising shocks: information, premia, and the monetary transmission,"
Bank of England working papers
626, Bank of England.
- Miranda-Agrippino, Silvia, 2016. "Unsurprising shocks: information, Premia, and the Monetary Transmission," LSE Research Online Documents on Economics 86234, London School of Economics and Political Science, LSE Library.
- Silvia Miranda-Agrippino, 2015. "Unsurprising Shocks: Information, Premia, and the Monetary Transmission," Discussion Papers 1613, Centre for Macroeconomics (CFM), revised Apr 2016.
- Stavrakeva, Vania & Tang, Jenny, 2023.
"A Fundamental Connection: Exchange Rates and Macroeconomic Expectations,"
CEPR Discussion Papers
18119, C.E.P.R. Discussion Papers.
- Vania Stavrakeva & Jenny Tang, 2020. "A Fundamental Connection: Exchange Rates and Macroeconomic Expectations," Working Papers 20-20, Federal Reserve Bank of Boston.
- Cascaldi-Garcia, Danilo & Ferreira, Thiago R.T. & Giannone, Domenico & Modugno, Michele, 2024.
"Back to the present: Learning about the euro area through a now-casting model,"
International Journal of Forecasting, Elsevier, vol. 40(2), pages 661-686.
- Danilo Cascaldi-Garcia & Thiago Revil T. Ferreira & Domenico Giannone & Michele Modugno, 2021. "Back to the Present: Learning about the Euro Area through a Now-casting Model," International Finance Discussion Papers 1313, Board of Governors of the Federal Reserve System (U.S.).
- Banerjee, Ameet Kumar & Dionisio, Andreia & Pradhan, H.K. & Mahapatra, Biplab, 2021. "Hunting the quicksilver: Using textual news and causality analysis to predict market volatility," International Review of Financial Analysis, Elsevier, vol. 77(C).
- Ingomar Krohn & Vladyslav Sushko & Witit Synsatayakul, 2023. "Foreign investor feedback trading in an emerging financial market," BIS Working Papers 1154, Bank for International Settlements.
- Brandyn Bok & Daniele Caratelli & Domenico Giannone & Argia M. Sbordone & Andrea Tambalotti, 2018.
"Macroeconomic Nowcasting and Forecasting with Big Data,"
Annual Review of Economics, Annual Reviews, vol. 10(1), pages 615-643, August.
- Brandyn Bok & Daniele Caratelli & Domenico Giannone & Argia M. Sbordone & Andrea Tambalotti, 2017. "Macroeconomic nowcasting and forecasting with big data," Staff Reports 830, Federal Reserve Bank of New York.
- Giannone, Domenico & Tambalotti, Andrea & Sbordone, Argia & Bok, Brandyn & Caratelli, Daniele, 2018. "Macroeconomic Nowcasting and Forecasting with Big Data," CEPR Discussion Papers 12589, C.E.P.R. Discussion Papers.
- Philippe Andrade & Filippo Ferroni, 2016.
"Delphic and Odyssean monetary policy shocks: Evidence from the euro-area,"
School of Economics Discussion Papers
1216, School of Economics, University of Surrey.
- Andrade, Philippe & Ferroni, Filippo, 2021. "Delphic and odyssean monetary policy shocks: Evidence from the euro area," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 816-832.
- Philippe Andrade & Filippo Ferroni, 2018. "Delphic and Odyssean Monetary Policy Shocks: Evidence from the Euro Area," Working Paper Series WP-2018-12, Federal Reserve Bank of Chicago.
- Philippe Andrade & Filippo Ferroni, 2019. "Delphic and Odyssean Monetary Policy Shocks: Evidence from the Euro Area," Working Papers 19-17, Federal Reserve Bank of Boston.
- Filippo Ferroni, 2018. "Delphic and Odyssean monetary policy shocks: Evidence from the euro-area," 2018 Meeting Papers 60, Society for Economic Dynamics.
- Christoph E. Boehm & Niklas Kroner, 2023.
"The US, Economic News, and the Global Financial Cycle,"
International Finance Discussion Papers
1371, Board of Governors of the Federal Reserve System (U.S.).
- Christoph E. Boehm & T. Niklas Kroner, 2020. "The US, Economic News, and the Global Financial Cycle," Working Papers 677, Research Seminar in International Economics, University of Michigan.
- Christoph E. Boehm & T. Niklas Kroner, 2023. "The US, Economic News, and the Global Financial Cycle," NBER Working Papers 30994, National Bureau of Economic Research, Inc.
- Dumitru, Ana-Maria & Urga, Giovanni, 2016. "Jumps and Information Asymmetry in the US Treasury Market," EconStor Preprints 130148, ZBW - Leibniz Information Centre for Economics.
- Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2014.
"Macro News and Bond Yield Spreads in the Euro Area,"
Discussion Papers of DIW Berlin
1413, DIW Berlin, German Institute for Economic Research.
- Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2014. "Macro News and Bond Yield Spreads in the Euro Area," CESifo Working Paper Series 5008, CESifo.
- Guglielmo Maria Caporale & Fabio Spagnolo & Nicola Spagnolo, 2018. "Macro news and bond yield spreads in the euro area," The European Journal of Finance, Taylor & Francis Journals, vol. 24(2), pages 114-134, January.
- Rasmus Fatum & Naoko Hara & Yohei Yamamoto, 2019.
"Negative Interest Rate Policy and the Influence of Macroeconomic News on Yields,"
IMES Discussion Paper Series
19-E-02, Institute for Monetary and Economic Studies, Bank of Japan.
- Rasmus Fatum & Naoko Hara & Yohei Yamamoto, 2019. "Negative Interest Rate Policy and the Influence of Macroeconomic News on Yields," Globalization Institute Working Papers 354, Federal Reserve Bank of Dallas.
- Rasmus Fatum & Naoko Hara & Yohei Yamamoto, 2019. "Negative Interest Rate Policy and the Influence of Macroeconomic News on Yields," GRU Working Paper Series GRU_2019_006, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
- Eguren-Martin, Fernando & McLaren, Nick, 2015. "How much do UK market interest rates respond to macroeconomic data news?," Bank of England Quarterly Bulletin, Bank of England, vol. 55(3), pages 259-272.
- Bruno Feunou & Jean-Sébastien Fontaine & Ingomar Krohn, 2022. "Real Exchange Rate Decompositions," Discussion Papers 2022-6, Bank of Canada.
- Bruno Feunou & Rodrigo Sekkel & Morvan Nongni Donfack, 2018. "Does US or Canadian Macro News Drive Canadian Bond Yields?," Staff Analytical Notes 2018-38, Bank of Canada.
- Wildmer Daniel Gregori & Wildmer Agnese Sacchi, 2016.
"Has the Grexit news spilled over into euro area financial markets? The role of domestic political leaders, supranational executives and institutions,"
Mo.Fi.R. Working Papers
134, Money and Finance Research group (Mo.Fi.R.) - Univ. Politecnica Marche - Dept. Economic and Social Sciences.
- Gregori, Wildmer & Sacchi, Agnese, 2017. "Has the Grexit news affected euro area financial markets?," Working Papers 2017-13, Joint Research Centre, European Commission.
- Goodell, John W. & Alon, Ilan & Chiaramonte, Laura & Dreassi, Alberto & Paltrinieri, Andrea & Piserà, Stefano, 2023. "Risk substitution in cryptocurrencies: Evidence from BRICS announcements," Emerging Markets Review, Elsevier, vol. 54(C).
- Michiel De Pooter & Giovanni Favara & Michele Modugno & Jason J. Wu, 2020.
"Monetary Policy Uncertainty and Monetary Policy Surprises,"
Finance and Economics Discussion Series
2020-032, Board of Governors of the Federal Reserve System (U.S.).
- De Pooter, Michiel & Favara, Giovanni & Modugno, Michele & Wu, Jason, 2021. "Monetary policy uncertainty and monetary policy surprises," Journal of International Money and Finance, Elsevier, vol. 112(C).
- Alberto Caruso, 2016. "The Impact of Macroeconomic News on the Euro-Dollar Exchange Rate," Working Papers ECARES ECARES 2016-32, ULB -- Universite Libre de Bruxelles.
- De Pooter, Michiel & Favara, Giovanni & Modugno, Michele & Wu, Jason, 2021. "Reprint: Monetary policy uncertainty and monetary policy surprises," Journal of International Money and Finance, Elsevier, vol. 114(C).
- Guerino Ardizzi & Simone Emiliozzi & Juri Marcucci & Libero Monteforte, 2019. "News and consumer card payments," Temi di discussione (Economic working papers) 1233, Bank of Italy, Economic Research and International Relations Area.
- Patrick Hirsch & Lars P. Feld & Ekkehard A. Köhler & Tobias Thomas, 2024.
"“Whatever It Takes!” How Tonality of TV-News Affected Government Bond Yield Spreads during the European Debt Crisis,"
CESifo Working Paper Series
10980, CESifo.
- Hirsch, Patrick & Feld, Lars P. & Köhler, Ekkehard A. & Thomas, Tobias, 2024. "“Whatever It Takes!” How tonality of TV-news affected government bond yield spreads during the European debt crisis," European Journal of Political Economy, Elsevier, vol. 82(C).
- Julio E. Sandubete & León Beleña & Juan Carlos García-Villalobos, 2023. "Testing the Efficient Market Hypothesis and the Model-Data Paradox of Chaos on Top Currencies from the Foreign Exchange Market (FOREX)," Mathematics, MDPI, vol. 11(2), pages 1-29, January.
- Kerssenfischer, Mark & Schmeling, Maik, 2022. "What moves markets?," Discussion Papers 16/2022, Deutsche Bundesbank.
- Caruso, Alberto, 2019.
"Macroeconomic news and market reaction: Surprise indexes meet nowcasting,"
International Journal of Forecasting, Elsevier, vol. 35(4), pages 1725-1734.
- Alberto Caruso, 2018. "Macroeconomic News and Market Reaction: Surprise Indexes meet Nowcasting," Working Papers ECARES 2018-06, ULB -- Universite Libre de Bruxelles.
- Guido Bulligan & Davide Delle Monache, 2018. "Financial markets effects of ECB unconventional monetary policy announcements," Questioni di Economia e Finanza (Occasional Papers) 424, Bank of Italy, Economic Research and International Relations Area.
- Schlepper, Kathi, 2016. "High-frequency trading in the Bund futures market," Discussion Papers 15/2016, Deutsche Bundesbank.
- Yunus, Nafeesa, 2023. "Long-run and short-run impact of the U.S. economy on stock, bond and housing markets: An evaluation of U.S. and six major economies," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 211-232.
- Pilar Poncela & Eva Senra, 2017. "Measuring uncertainty and assessing its predictive power in the euro area," Empirical Economics, Springer, vol. 53(1), pages 165-182, August.
- André Marine Charlotte & Dai Meixing, 2020.
"The limits to robust monetary policy in a small open economy with learning agents,"
Working Papers
2020-12, Banco de México.
- Marine Charlotte André & Meixing Dai, 2018. "The limits to robust monetary policy in a small open economy with learning agents," Working Papers of BETA 2018-45, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
- Gregori, Wildmer Daniel & Sacchi, Agnese, 2019.
"Has the Grexit news affected euro area financial markets?,"
The North American Journal of Economics and Finance, Elsevier, vol. 49(C), pages 71-84.
- Gregori, Wildmer & Sacchi, Agnese, 2017. "Has the Grexit news affected euro area financial markets?," Working Papers 2017-13, Joint Research Centre, European Commission.
- Luca Brugnolini & Antonello D’Agostino & Alex Tagliabracci, 2021. "Is Anything Predictable in Market-Based Surprises?," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 7(3), pages 387-410, November.
- Sreejata Banerjee & Divya Sinha, 2015. "Effect of Macroeconomic News Releases on Bond Yields in India China and Japan," Working Papers 2015-125, Madras School of Economics,Chennai,India.
- Giannone, Domenico & Monti , Francesca & Reichlin , Lucrezia, 2014.
"Exploiting the monthly data flow in structural forecasting,"
Bank of England working papers
509, Bank of England.
- Giannone, Domenico & Monti, Francesca & Reichlin, Lucrezia, 2016. "Exploiting the monthly data flow in structural forecasting," Journal of Monetary Economics, Elsevier, vol. 84(C), pages 201-215.
- Domenico Giannone & Francesca Monti & Lucrezia Reichlin, 2015. "Exploiting the monthly data flow in structural forecasting," Staff Reports 751, Federal Reserve Bank of New York.
- Giannone, Domenico & Monti, Francesca & Reichlin, Lucrezia, 2014. "Exploiting the monthly data-flow in structural forecasting," LSE Research Online Documents on Economics 57998, London School of Economics and Political Science, LSE Library.
- Domenico Giannone & Francesca Monti & Lucrezia Reichlin, 2014. "Exploiting the monthly data-flow in structural forecasting," Discussion Papers 1416, Centre for Macroeconomics (CFM).
Cited by:
- David Kohns & Arnab Bhattacharjee, 2019. "Interpreting Big Data in the Macro Economy: A Bayesian Mixed Frequency Estimator," CEERP Working Paper Series 010, Centre for Energy Economics Research and Policy, Heriot-Watt University.
- Lenza, Michele & Cimadomo, Jacopo & Giannone, Domenico & Monti, Francesca & Sokol, Andrej, 2021.
"Nowcasting with Large Bayesian Vector Autoregressions,"
CEPR Discussion Papers
15854, C.E.P.R. Discussion Papers.
- Cimadomo, Jacopo & Giannone, Domenico & Lenza, Michele & Monti, Francesca & Sokol, Andrej, 2022. "Nowcasting with large Bayesian vector autoregressions," Journal of Econometrics, Elsevier, vol. 231(2), pages 500-519.
- Cimadomo, Jacopo & Giannone, Domenico & Lenza, Michele & Monti, Francesca & Sokol, Andrej, 2020. "Nowcasting with large Bayesian vector autoregressions," Working Paper Series 2453, European Central Bank.
- Bjarni G. Einarsson, 2024. "Online Monitoring of Policy Optimality," Economics wp95, Department of Economics, Central bank of Iceland.
- Todd E. Clark & Fabian Krueger & Francesco Ravazzolo, 2015.
"Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts,"
Working Papers (Old Series)
1439, Federal Reserve Bank of Cleveland.
- Fabian Krüger & Todd E. Clark & Francesco Ravazzolo, 2017. "Using Entropic Tilting to Combine BVAR Forecasts With External Nowcasts," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(3), pages 470-485, July.
- Krüger, Fabian & Clark, Todd E. & Ravazzolo, Francesco, 2015. "Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113077, Verein für Socialpolitik / German Economic Association.
- Fabian Kr�ger & Todd E. Clark & Francesco Ravazzolo, 2015. "Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts," Working Papers No 8/2015, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Boriss Siliverstovs, 2019.
"Assessing Nowcast Accuracy of US GDP Growth in Real Time: The Role of Booms and Busts,"
Working Papers
2019/01, Latvijas Banka.
- Boriss Siliverstovs, 2020. "Assessing nowcast accuracy of US GDP growth in real time: the role of booms and busts," Empirical Economics, Springer, vol. 58(1), pages 7-27, January.
- Norberto Rodríguez-Niño & Alejandra Ramírez-Ramírez, 2018. "Metodologías semi-estructurales para estimar la Inflación básica mensual en Colombia," Borradores de Economia 1040, Banco de la Republica de Colombia.
- Kohns, David & Bhattacharjee, Arnab, 2023. "Nowcasting growth using Google Trends data: A Bayesian Structural Time Series model," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1384-1412.
- Stylianos Asimakopoulos & Marco Lorusso & Francesco Ravazzolo, 2023.
"A Bayesian DSGE Approach to Modelling Cryptocurrency","
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 51, pages 1012-1035, December.
- Stylianos Asimakopoulos & Marco Lorusso & Francesco Ravazzolo, 2023. "Code and data files for "A Bayesian DSGE Approach to Modelling Cryptocurrency"," Computer Codes 21-87, Review of Economic Dynamics.
- Stylianos Asimakopoulos & Marco Lorusso & Francesco Ravazzolo, 2023. "A Bayesian DSGE Approach to Modelling Cryptocurrency," Working Papers No 09/2023, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Christensen, Bent Jesper & Posch, Olaf & van der Wel, Michel, 2016.
"Estimating dynamic equilibrium models using mixed frequency macro and financial data,"
Journal of Econometrics, Elsevier, vol. 194(1), pages 116-137.
- Bent Jesper Christensen & Olaf Posch & Michel van der Wel, 2014. "Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data," CESifo Working Paper Series 5030, CESifo.
- Boneva, Lena & Fawcett, Nicholas & Masolo, Riccardo M. & Waldron, Matt, 2019. "Forecasting the UK economy: Alternative forecasting methodologies and the role of off-model information," International Journal of Forecasting, Elsevier, vol. 35(1), pages 100-120.
- David Kohns & Arnab Bhattacharjee, 2020.
"Nowcasting Growth using Google Trends Data: A Bayesian Structural Time Series Model,"
Papers
2011.00938, arXiv.org, revised May 2022.
- Bhattacharjee, Arnab & Kohns, David, 2022. "Nowcasting Growth using Google Trends Data: A Bayesian Structural Time Series Model," National Institute of Economic and Social Research (NIESR) Discussion Papers 538, National Institute of Economic and Social Research.
- Meyer-Gohde, Alexander & Shabalina, Ekaterina, 2022. "Estimation and forecasting using mixed-frequency DSGE models," IMFS Working Paper Series 175, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
- Jack Fosten & Daniel Gutknecht, 2021. "Horizon confidence sets," Empirical Economics, Springer, vol. 61(2), pages 667-692, August.
- Giannone, Domenico & Banbura, Marta & Lenza, Michele, 2014.
"Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections,"
CEPR Discussion Papers
9931, C.E.P.R. Discussion Papers.
- Bańbura, Marta & Giannone, Domenico & Lenza, Michele, 2015. "Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections," International Journal of Forecasting, Elsevier, vol. 31(3), pages 739-756.
- Martha Banbura & Domenico Giannone & Michèle Lenza, 2014. "Conditional Forecasts and Scenario Analysis with Vector Autoregressions for Large Cross-Sections," Working Papers ECARES ECARES 2014-15, ULB -- Universite Libre de Bruxelles.
- Giannone, Domenico & Bańbura, Marta & Lenza, Michele, 2014. "Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections," Working Paper Series 1733, European Central Bank.
Cited by:
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019.
"Financial and fiscal interaction in the euro area crisis: this time was different,"
SciencePo Working papers Main
hal-03403269, HAL.
- Reichlin, Lucrezia & Caruso, Alberto & Ricco, Giovanni, 2018. "Financial and Fiscal Interaction in the Euro Area Crisis: This Time was Different," CEPR Discussion Papers 13016, C.E.P.R. Discussion Papers.
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the Euro Area crisis: This time was different," Post-Print hal-03403613, HAL.
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the euro area crisis: this time was different," Sciences Po publications 11, Sciences Po.
- Caruso, Alberto & Reichlin, Lucrezia & Ricco, Giovanni, 2018. "Financial and Fiscal Interaction in the Euro Area Crisis : This Time was Different," The Warwick Economics Research Paper Series (TWERPS) 1167, University of Warwick, Department of Economics.
- Albert Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the euro area crisis : this time was different," Documents de Travail de l'OFCE 2019-11, Observatoire Francais des Conjonctures Economiques (OFCE).
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the Euro Area crisis: This time was different," Sciences Po publications info:hdl:2441/4u5amfvji89, Sciences Po.
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the Euro Area crisis: This time was different," SciencePo Working papers Main hal-03403613, HAL.
- Caruso, Alberto & Reichlin, Lucrezia & Ricco, Giovanni, 2019. "Financial and fiscal interaction in the Euro Area crisis: This time was different," European Economic Review, Elsevier, vol. 119(C), pages 333-355.
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the euro area crisis: this time was different," Working Papers hal-03403269, HAL.
- Anastasios Evgenidis & Stephanos Papadamou, 2021. "The impact of unconventional monetary policy in the euro area. Structural and scenario analysis from a Bayesian VAR," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5684-5703, October.
- Antonello D'Agostino & Domenico Giannone & Michele Lenza & Michele Modugno, 2015.
"Nowcasting Business Cycles: a Bayesian Approach to Dynamic Heterogeneous Factor Models,"
Finance and Economics Discussion Series
2015-66, Board of Governors of the Federal Reserve System (U.S.).
- Antonello D’Agostino & Domenico Giannone & Michele Lenza & Michele Modugno, 2016. "Nowcasting Business Cycles: A Bayesian Approach to Dynamic Heterogeneous Factor Models," Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 569-594, Emerald Group Publishing Limited.
- Tallman, Ellis W. & Zaman, Saeed, 2020.
"Combining survey long-run forecasts and nowcasts with BVAR forecasts using relative entropy,"
International Journal of Forecasting, Elsevier, vol. 36(2), pages 373-398.
- Ellis W. Tallman & Saeed Zaman, 2018. "Combining Survey Long-Run Forecasts and Nowcasts with BVAR Forecasts Using Relative Entropy," Working Papers (Old Series) 1809, Federal Reserve Bank of Cleveland.
- Gefang, Deborah & Koop, Gary & Poon, Aubrey, 2023. "Forecasting using variational Bayesian inference in large vector autoregressions with hierarchical shrinkage," International Journal of Forecasting, Elsevier, vol. 39(1), pages 346-363.
- Deborah Gefang & Gary Koop & Aubrey Poon, 2019.
"Variational Bayesian inference in large Vector Autoregressions with hierarchical shrinkage,"
CAMA Working Papers
2019-08, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Deborah Gefang & Gary Koop & Aubrey Poon, 2019. "Variational Bayesian Inference in Large Vector Autoregressions with Hierarchical Shrinkage," Discussion Papers in Economics 19/05, Division of Economics, School of Business, University of Leicester.
- Deborah Gefang & Gary Koop & Aubrey Poon, 2019. "Variational Bayesian Inference in Large Vector Autoregressions with Hierarchical Shrinkage," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2019-07, Economic Statistics Centre of Excellence (ESCoE).
- Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018.
"Bayesian vector autoregressions,"
LSE Research Online Documents on Economics
87393, London School of Economics and Political Science, LSE Library.
- Silvia Miranda Agrippino & Giovanni Ricco, 2018. "Bayesian vector autoregressions," Working Papers hal-03458277, HAL.
- Silvia Miranda-Agrippino & Giovanni Ricco, 2018. "Bayesian Vector Autoregressions," Discussion Papers 1808, Centre for Macroeconomics (CFM).
- Silvia Miranda Agrippino & Giovanni Ricco, 2018. "Bayesian vector autoregressions," Sciences Po publications 18, Sciences Po.
- Silvia Miranda Agrippino & Giovanni Ricco, 2018. "Bayesian vector autoregressions," SciencePo Working papers Main hal-03458277, HAL.
- Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018. "Bayesian vector autoregressions," Bank of England working papers 756, Bank of England.
- Silvia Miranda-Agrippino & Giovanni Ricco, 2018. "Bayesian vector autoregressions," Documents de Travail de l'OFCE 2018-18, Observatoire Francais des Conjonctures Economiques (OFCE).
- Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018. "Bayesian Vector Autoregressions," The Warwick Economics Research Paper Series (TWERPS) 1159, University of Warwick, Department of Economics.
- Edward S. Knotek & Saeed Zaman, 2017.
"Financial Nowcasts and Their Usefulness in Macroeconomic Forecasting,"
Working Papers (Old Series)
1702, Federal Reserve Bank of Cleveland.
- Knotek, Edward S. & Zaman, Saeed, 2019. "Financial nowcasts and their usefulness in macroeconomic forecasting," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1708-1724.
- Del Negro, Marco & Lenza, Michele & Primiceri, Giorgio E. & Tambalotti, Andrea, 2020.
"What’s up with the Phillips Curve?,"
Working Paper Series
2435, European Central Bank.
- Primiceri, Giorgio & Del Negro, Marco & Lenza, Michele & Tambalotti, Andrea, 2020. "What's up with the Phillips Curve?," CEPR Discussion Papers 14583, C.E.P.R. Discussion Papers.
- William Chen & Marco Del Negro & Michele Lenza & Giorgio E. Primiceri & Andrea Tambalotti, 2020. "What’s Up with the Phillips Curve?," Liberty Street Economics 20200918a, Federal Reserve Bank of New York.
- Marco Del Negro & Michele Lenza & Giorgio E. Primiceri & Andrea Tambalotti, 2020. "What’s up with the Phillips Curve?," NBER Working Papers 27003, National Bureau of Economic Research, Inc.
- Marco Del Negro & Michele Lenza & Giorgio E. Primiceri & Andrea Tambalotti, 2020. "What's Up with the Phillips Curve?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 51(1 (Spring), pages 301-373.
- Berg Tim Oliver, 2017.
"Forecast accuracy of a BVAR under alternative specifications of the zero lower bound,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(2), pages 1-29, April.
- Tim Oliver Berg, 2015. "Forecast Accuracy of a BVAR under Alternative Specifications of the Zero Lower Bound," ifo Working Paper Series 203, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
- Richard K. Crump & Stefano Eusepi & Domenico Giannone & Eric Qian & Argia M. Sbordone, 2021. "A Large Bayesian VAR of the United States Economy," Staff Reports 976, Federal Reserve Bank of New York.
- Salman Huseynov, 2021. "Long and short memory in dynamic term structure models," CREATES Research Papers 2021-15, Department of Economics and Business Economics, Aarhus University.
- Simona Delle Chiaie & Laurent Ferrara & Domenico Giannone, 2022.
"Common factors of commodity prices,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(3), pages 461-476, April.
- Delle Chiaie, Simona & Ferrara, Laurent & Giannone, Domenico, 2017. "Common factors of commodity prices," Working Paper Series 2112, European Central Bank.
- Giannone, Domenico & Ferrara, Laurent & Delle Chiaie, Simona, 2018. "Common Factors of Commodity Prices," CEPR Discussion Papers 12767, C.E.P.R. Discussion Papers.
- S. Delle Chiaie & L. Ferrara & D. Giannone, 2017. "Common Factors of Commodity Prices," Working papers 645, Banque de France.
- Delle Chiaie, Simona & Ferrara, Laurent & Giannone, Domenico, 2018. "Common factors of commodity prices," Research Bulletin, European Central Bank, vol. 51.
- Joshua C.C. Chan & Eric Eisenstat & Chenghan Hou & Gary Koop, 2018.
"Composite likelihood methods for large Bayesian VARs with stochastic volatility,"
CAMA Working Papers
2018-26, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Joshua C. C. Chan & Eric Eisenstat & Chenghan Hou & Gary Koop, 2020. "Composite likelihood methods for large Bayesian VARs with stochastic volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(6), pages 692-711, September.
- Joshua C.C. Chan & Eric Eisenstat & Chenghan Hou & Gary Koop, 2018. "Composite Likelihood Methods for Large Bayesian VARs with Stochastic Volatility," Working Paper Series 44, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
- Michael W. McCracken & Joseph T. McGillicuddy & Michael T. Owyang, 2022.
"Binary Conditional Forecasts,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(3), pages 1246-1258, June.
- Michael W. McCracken & Joseph McGillicuddy & Michael T. Owyang, 2019. "Binary Conditional Forecasts," Working Papers 2019-029, Federal Reserve Bank of St. Louis, revised Apr 2021.
- Matteo Barigozzi & Matteo Luciani, 2017. "Common Factors, Trends, and Cycles in Large Datasets," Finance and Economics Discussion Series 2017-111, Board of Governors of the Federal Reserve System (U.S.).
- Antonio M. Conti & Andrea Nobili & Federico M. Signoretti, 2018. "Bank capital constraints, lending supply and economic activity," Temi di discussione (Economic working papers) 1199, Bank of Italy, Economic Research and International Relations Area.
- Lenza, Michele & Cimadomo, Jacopo & Giannone, Domenico & Monti, Francesca & Sokol, Andrej, 2021.
"Nowcasting with Large Bayesian Vector Autoregressions,"
CEPR Discussion Papers
15854, C.E.P.R. Discussion Papers.
- Cimadomo, Jacopo & Giannone, Domenico & Lenza, Michele & Monti, Francesca & Sokol, Andrej, 2022. "Nowcasting with large Bayesian vector autoregressions," Journal of Econometrics, Elsevier, vol. 231(2), pages 500-519.
- Cimadomo, Jacopo & Giannone, Domenico & Lenza, Michele & Monti, Francesca & Sokol, Andrej, 2020. "Nowcasting with large Bayesian vector autoregressions," Working Paper Series 2453, European Central Bank.
- Petrella, Ivan & Antolin-Diaz, Juan & Rubio-RamÃrez, Juan Francisco, 2018.
"Structural Scenario Analysis with SVARs,"
CEPR Discussion Papers
12579, C.E.P.R. Discussion Papers.
- Antolín-Díaz, Juan & Petrella, Ivan & Rubio-Ramírez, Juan F., 2021. "Structural scenario analysis with SVARs," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 798-815.
- Antolin-Diaz, Juan & Petrella, Ivan & Rubio-Ramirez, Juan F., 2020. "Structural Scenario Analysis with SVARs," EMF Research Papers 32, Economic Modelling and Forecasting Group.
- Conti, Antonio M., 2017. "Has the FED Fallen behind the Curve? Evidence from VAR models," Economics Letters, Elsevier, vol. 159(C), pages 164-168.
- Todd E. Clark & Michael W. McCracken, 2014.
"Evaluating Conditional Forecasts from Vector Autoregressions,"
Working Papers
2014-25, Federal Reserve Bank of St. Louis.
- Todd E. Clark & Michael W. McCracken, 2014. "Evaluating Conditional Forecasts from Vector Autoregressions," Working Papers (Old Series) 1413, Federal Reserve Bank of Cleveland.
- Giannone, Domenico & Lenza, Michele & Primiceri, Giorgio, 2017.
"Economic Predictions with Big Data: The Illusion Of Sparsity,"
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Post-Print
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ZEW Discussion Papers
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"Que peut-on attendre de l'assouplissement quantitatif de la BCE ?,"
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Temi di discussione (Economic working papers)
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"A new database for financial crises in European countries,"
Occasional Paper Series
194, European Central Bank.
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"Euro area periphery countries' fiscal policy and monetary policy surprises,"
Weidener Diskussionspapiere
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"The Bank Lending Channel of Conventional and Unconventional Monetary Policy,"
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"Forecasting inflation in the euro area: countries matter!,"
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"International effects of a compression of euro area yield curves,"
Working Papers in Economics
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Discussion Papers of DIW Berlin
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"The geography of the great rebalancing in euro area bond markets during the sovereign debt crisis,"
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"The 2012 eurozone crisis and the ECB’s OMT program: A debt-overhang banking and sovereign crisis interpretation,"
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"Did small banks trade off lending with government bond purchases during the Sovereign debt crisis?,"
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- Fabrizio Balassone & Sara Cecchetti & Martina Cecioni & Marika Cioffi & Wanda Cornacchia & Flavia Corneli & Gabriele Semeraro, 2016. "Risk Reduction and Risk Sharing in the Governance of the Euro Area," Politica economica, Società editrice il Mulino, issue 3, pages 463-488.
- Abeer Reza & Eric Santor & Lena Suchanek, 2015. "Quantitative Easing as a Policy Tool Under the Effective Lower Bound," Discussion Papers 15-14, Bank of Canada.
- Beqiraj, Elton & Patella, Valeria & Tancioni, Massimiliano, 2021. "Fiscal stance and the sovereign risk pass-through," Economic Modelling, Elsevier, vol. 102(C).
- Mr. Richard Varghese & Ms. Yuanyan S Zhang, 2018. "A New Wave of ECB’s Unconventional Monetary Policies: Domestic Impact and Spillovers," IMF Working Papers 2018/011, International Monetary Fund.
- Rostagno, Massimo & Altavilla, Carlo & Carboni, Giacomo & Lemke, Wolfgang & Motto, Roberto & Saint Guilhem, Arthur & Yiangou, Jonathan, 2019. "A tale of two decades: the ECB’s monetary policy at 20," Working Paper Series 2346, European Central Bank.
- Altavilla, Carlo & Canova, Fabio & Ciccarelli, Matteo, 2020. "Mending the broken link: Heterogeneous bank lending rates and monetary policy pass-through," Journal of Monetary Economics, Elsevier, vol. 110(C), pages 81-98.
- Ute Volz & Martin Mandler & Michael Scharnagl, 2016. "Heterogeneity in Euro Area Monetary Policy Transmission: Results from a large Multi-Country BVAR," EcoMod2016 9609, EcoMod.
- Martien Lamers & Thomas Present & Nicolas Soenen & Rudi Vander Vennet, 2023. "Does BRRD mitigate the bank-to-sovereign risk channel?," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 23/1060, Ghent University, Faculty of Economics and Business Administration.
- Giannone, Domenico & Altavilla, Carlo, 2014.
"The Effectiveness of Non-Standard Monetary Policy Measures: Evidence from Survey Data,"
CEPR Discussion Papers
10001, C.E.P.R. Discussion Papers.
- Carlo Altavilla & Domenico Giannone, 2017. "The Effectiveness of Non‐Standard Monetary Policy Measures: Evidence from Survey Data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(5), pages 952-964, August.
- Altavilla, Carlo & Giannone, Domenico, 2016. "The effectiveness of non-standard monetary policy measures: evidence from survey data," Working Paper Series 1951, European Central Bank.
- Carlo Altavilla & Domenico Giannone, 2014. "The effectiveness of non-standard monetary policy measures: evidence from survey data," Working Papers CASMEF 1406, Dipartimento di Economia e Finanza, LUISS Guido Carli.
- Carlo Altavilla & Domenico Giannone, 2014. "The Effectiveness of Non-Standard Monetary Policy Measures: Evidence from Survey Data," Working Papers ECARES ECARES 2014-30, ULB -- Universite Libre de Bruxelles.
- Carlo Altavilla & Domenico Giannone, 2015. "The effectiveness of nonstandard monetary policy measures: evidence from survey data," Staff Reports 752, Federal Reserve Bank of New York.
Cited by:
- Francesco Paolo Mongelli & Gonzalo Camba-Mendez, 2018. "The Financial Crisis and Policy Responses in Europe (2007–2018)," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 60(4), pages 531-558, December.
- Roy Havemann & Henk Janse van Vuuren & Daan Steenkamp & Rossouw van Jaarsveld, 2022.
"The bond market impact of the South African Reserve Bank bond purchase programme,"
Working Papers
11024, South African Reserve Bank.
- Daan Steenkamp & Henk Janse van Vuuren & Rossouw van Jaarsveld & Roy Havemann, 2022. "The bond market impact of the South African Reserve Bank bond purchase programme," Working Papers 876, Economic Research Southern Africa.
- Atsushi Inoue & Barbara Rossi, 2019.
"A New Approach to Measuring Economic Policy Shocks, with an Application to Conventional and Unconventional Monetary Policy,"
Working Papers
1082, Barcelona School of Economics.
- Atsushi Inoue & Barbara Rossi, 2021. "A new approach to measuring economic policy shocks, with an application to conventional and unconventional monetary policy," Quantitative Economics, Econometric Society, vol. 12(4), pages 1085-1138, November.
- Atsushi Inoue & Barbara Rossi, 2018. "A new approach to measuring economic policy shocks, with an application to conventional and unconventional monetary policy," Economics Working Papers 1638, Department of Economics and Business, Universitat Pompeu Fabra, revised Apr 2021.
- Christophe Blot & Jérôme Creel & Paul Hubert & Fabien Labondance, 2015.
"The QE experience: worth a try?,"
SciencePo Working papers Main
hal-03470201, HAL.
- Christophe Blot & Jérôme Creel & Paul Hubert & Fabien Labondance, 2015. "The QE experience: Worth a try?," Sciences Po publications info:hdl:2441/76n8jifalu9, Sciences Po.
- Christophe Blot & Jérôme Creel & Paul Hubert & Fabien Labondance, 2015. "The QE experience: worth a try?," Sciences Po publications info:hdl:2441/4qb2og10r48, Sciences Po.
- Christophe Blot & Jérôme Creel & Paul Hubert & Fabien Labondance, 2015. "The QE experience: worth a try?," Working Papers hal-03470201, HAL.
- Christophe Blot & Jérôme Creel & Paul Hubert & Fabien Labondance, 2015. "The QE experience : Worth a try ?," SciencePo Working papers Main hal-03459951, HAL.
- Christophe Blot & Jérôme Creel & Paul Hubert & Fabien Labondance, 2015. "The QE experience: Worth a try?," Post-Print hal-03568216, HAL.
- Christophe Blot & Jérôme Creel & Paul Hubert & Fabien Labondance, 2015. "The QE experience: Worth a try?," SciencePo Working papers Main hal-03568216, HAL.
- Christophe Blot & Jérôme Creel & Paul Hubert & Fabien Labondance, 2015. "The QE experience : Worth a try ?," Sciences Po publications info:hdl:2441/166ip2fse39, Sciences Po.
- Christophe Blot & Jérôme Creel & Paul Hubert & Fabien Labondance, 2015. "The QE experience : Worth a try ?," Post-Print hal-03459951, HAL.
- McQuade, Peter & Falagiarda, Matteo & Tirpák, Marcel, 2015. "Spillovers from the ECB's non-standard monetary policies on non-euro area EU countries: evidence from an event-study analysis," Working Paper Series 1869, European Central Bank.
- Qadan, Mahmoud & Zoua’bi, Maher, 2019. "Financial attention and the demand for information," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 82(C).
- Jérôme Creel & Paul Hubert & Mathilde Viennot, 2016.
"The effect of ECB monetary policies on interest rates and volumes,"
Applied Economics, Taylor & Francis Journals, vol. 48(47), pages 4477-4501, October.
- Jérôme Creel & Paul Hubert & Mathilde Viennot, 2015. "The effect of ECB monetary policies on interest rates and volumes," Documents de Travail de l'OFCE 2015-26, Observatoire Francais des Conjonctures Economiques (OFCE).
- Jérôme Creel & Paul Hubert & Mathilde Viennot, 2015. "The Effect of ECB Monetary Policies on Interest Rates and Volumes," SciencePo Working papers Main hal-03459679, HAL.
- Jérôme Creel & Paul Hubert & Mathilde Viennot, 2015. "The Effect of ECB Monetary Policies on Interest Rates and Volumes," Sciences Po publications 2015-26, Sciences Po.
- Jérôme Creel & Paul Hubert & Mathilde Viennot, 2015. "The Effect of ECB Monetary Policies on Interest Rates and Volumes," Working Papers hal-03459679, HAL.
- Neely, Christopher J., 2022.
"How persistent are unconventional monetary policy effects?,"
Journal of International Money and Finance, Elsevier, vol. 126(C).
- Christopher J. Neely, 2014. "How Persistent Are Unconventional Monetary Policy Effects?," Working Papers 2014-004, Federal Reserve Bank of St. Louis, revised 15 Apr 2022.
- Christophe Blot & Jérôme Creel & Paul Hubert & Fabien Labondance, 2015.
"Que peut-on attendre de l'assouplissement quantitatif de la BCE ?,"
Post-Print
hal-03459898, HAL.
- Christophe Blot & Jérôme Creel & Paul Hubert & Fabien Labondance, 2015. "Que peut-on attendre de l'assouplissement quantitatif de la BCE ?," SciencePo Working papers Main hal-03459898, HAL.
- Christophe Blot & Jérôme Creel & Paul Hubert & Fabien Labondance, 2015. "Que peut-on attendre de l’assouplissement quantitatif de la BCE ?," Revue de l'OFCE, Presses de Sciences-Po, vol. 0(2), pages 265-290.
- Christophe Blot & Jérôme Creel & Paul Hubert & Fabien Labondance, 2015. "Que peut-on attendre de l'assouplissement quantitatif de la BCE ?," Sciences Po publications info:hdl:2441/3t12lkolqm8, Sciences Po.
- Atsushi Inoue & Barbara Rossi, 2018.
"The effects of conventional and unconventional monetary policy on exchange rates,"
Economics Working Papers
1639, Department of Economics and Business, Universitat Pompeu Fabra.
- Inoue, Atsushi & Rossi, Barbara, 2019. "The effects of conventional and unconventional monetary policy on exchange rates," Journal of International Economics, Elsevier, vol. 118(C), pages 419-447.
- Atsushi Inoue & Barbara Rossi, 2018. "The Effects of Conventional and Unconventional Monetary Policy on Exchange Rates," NBER Chapters, in: NBER International Seminar on Macroeconomics 2018, pages 419-447, National Bureau of Economic Research, Inc.
- Atsushi Inoue & Barbara Rossi, 2018. "The Effects of Conventional and Unconventional Monetary Policy on Exchange Rates," Working Papers 1078, Barcelona School of Economics.
- Atsushi Inoue & Barbara Rossi, 2018. "The Effects of Conventional and Unconventional Monetary Policy on Exchange Rates," NBER Working Papers 25021, National Bureau of Economic Research, Inc.
- Pierpaolo Benigno & Paolo Canofari & Giovanni Bartolomeo & Marcello Messori, 2022.
"The European Monetary Policy Responses During the Pandemic Crisis,"
Open Economies Review, Springer, vol. 33(4), pages 657-675, September.
- Benigno Pierpaolo & Canofari Paolo & Di Bartolomeo Giovanni & Messori Marcello, 2022. "The European monetary policy responses during the pandemic crisis," wp.comunite 00151, Department of Communication, University of Teramo.
- Dario Caldara & Etienne Gagnon & Enrique Martínez García & Christopher J. Neely, 2020.
"Monetary Policy and Economic Performance since the Financial Crisis,"
Finance and Economics Discussion Series
2020-065, Board of Governors of the Federal Reserve System (U.S.).
- Dario Caldara & Etienne Gagnon & Enrique Martínez García & Christopher J. Neely, 2021. "Monetary Policy and Economic Performance Since the Financial Crisis," Review, Federal Reserve Bank of St. Louis, vol. 103(4), pages 425-460, October.
- Dario Caldara & Etienne Gagnon & Enrique Martínez García & Christopher J. Neely, 2020. "Monetary Policy and Economic Performance Since the Financial Crisis," Globalization Institute Working Papers 399, Federal Reserve Bank of Dallas.
- Dario Caldara & Etienne Gagnon & Enrique Martínez García & Christopher J. Neely, 2020. "Monetary Policy and Economic Performance since the Financial Crisis," Working Papers 2020-026, Federal Reserve Bank of St. Louis, revised 02 Nov 2020.
- Böhl, Gregor & Goy, Gavin & Strobel, Felix, 2020.
"A structural investigation of quantitative easing,"
IMFS Working Paper Series
142, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
- Gregor Boehl & Gavin Goy & Felix Strobel, 2020. "A Structural Investigation of Quantitative Easing," Working Papers 691, DNB.
- Gregor Boehl & Gavin Goy & Felix Strobel, 2020. "A Structural Investigation of Quantitative Easing," CRC TR 224 Discussion Paper Series crctr224_2020_193, University of Bonn and University of Mannheim, Germany.
- Böhl, Gregor & Goy, Gavin & Strobel, Felix, 2021. "A structural investigation of quantitative easing," Discussion Papers 01/2021, Deutsche Bundesbank.
- Capasso, Salvatore & D'Uva, Marcella & Fiorelli, Cristiana & Napolitano, Oreste, 2023. "Cross-border Italian sovereign risk transmission in EMU countries," Economic Modelling, Elsevier, vol. 126(C).
- Ricco, Giovanni & Callegari, Giovanni & Cimadomo, Jacopo, 2014. "Signals from the Government: Policy Uncertainty and the Transmission of Fiscal Shocks," MPRA Paper 56136, University Library of Munich, Germany.
- Ugo Panizza & Charles Wyplosz, 2018. "The Folk Theorem of Decreasing Effectiveness of Monetary Policy: What Do the Data Say?," Russian Journal of Money and Finance, Bank of Russia, vol. 77(1), pages 71-107, March.
- Ioannou, Demosthenes & Pagliari, Maria Sole & Stracca, Livio, 2024. "The international impact of a fragile EMU," European Economic Review, Elsevier, vol. 161(C).
- Carlo Altavilla & Domenico Giannone & Michele Lenza, 2014.
"The Financial and Macroeconomic Effects of the OMT Announcements,"
CSEF Working Papers
352, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
- Giannone, Domenico & Lenza, Michele & Altavilla, Carlo, 2014. "The Financial and Macroeconomic Effects of OMT Announcements," CEPR Discussion Papers 10025, C.E.P.R. Discussion Papers.
- Michele Lenza, 2015. "The financial and macroeconomic effects of OMT announcements," Research Bulletin, European Central Bank, vol. 22, pages 12-16.
- Carlo Altavilla & Domenico Giannone & Michèle Lenza, 2014. "The Financial and Macroeconomic Effects of OMT Announcements," Working Papers ECARES ECARES 2014-31, ULB -- Universite Libre de Bruxelles.
- Carlo Altavilla & Domenico Giannone & Michele Lenza, 2016. "The Financial and Macroeconomic Effects of the OMT Announcements," International Journal of Central Banking, International Journal of Central Banking, vol. 12(3), pages 29-57, September.
- Giannone, Domenico & Altavilla, Carlo & Lenza, Michele, 2014. "The financial and macroeconomic effects of OMT announcements," Working Paper Series 1707, European Central Bank.
- Enders, Zeno & Hünnekes, Franziska & Müller, Gernot J., 2019.
"Monetary Policy Announcements and Expectations: Evidence from German Firms,"
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10, German Research Foundation's Priority Programme 1859 "Experience and Expectation. Historical Foundations of Economic Behaviour", Humboldt University Berlin.
- Müller, Gernot & Enders, Zeno & Hünnekes, Franziska, 2019. "Monetary Policy Announcements and Expectations: Evidence from German Firms," CEPR Discussion Papers 13916, C.E.P.R. Discussion Papers.
- Enders, Zeno & Huennekes, Franziska & Müller, Gernot J., 2019. "Monetary policy announcements and expectations: Evidence from german firms," Munich Reprints in Economics 78242, University of Munich, Department of Economics.
- Enders, Zeno & Hünnekes, Franziska & Müller, Gernot J., 2019. "Monetary policy announcements and expectations: Evidence from german firms," Journal of Monetary Economics, Elsevier, vol. 108(C), pages 45-63.
- Zhou, Siwen, 2018. "Measuring the Signaling Effect of the ECB’s Asset Purchase Programme at the Effective Lower Bound," MPRA Paper 87084, University Library of Munich, Germany.
- Ahundjanov, Behzod B. & Akhundjanov, Sherzod B. & Okhunjanov, Botir B., 2021. "Risk perception and oil and gasoline markets under COVID-19," Journal of Economics and Business, Elsevier, vol. 115(C).
- Thomas B. King, 2016.
"Expectation and Duration at the Effective Lower Bound,"
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- Eda Gulsen & Hakan Kara, 2020. "Formation of inflation expectations: Does macroeconomic and policy environment matter?," Koç University-TUSIAD Economic Research Forum Working Papers 2017, Koc University-TUSIAD Economic Research Forum.
- Luiz Renato Lima & Lucas Lúcio Godeiro & Mohammed Mohsin, 2021. "Time-Varying Dictionary and the Predictive Power of FED Minutes," Computational Economics, Springer;Society for Computational Economics, vol. 57(1), pages 149-181, January.
- Fasianos, Apostolos & Evgenidis, Anastasios, 2020.
"Unconventional Monetary Policy and Wealth Inequalities in Great Britain,"
CEPR Discussion Papers
14656, C.E.P.R. Discussion Papers.
- Anastasios Evgenidis & Apostolos Fasianos, 2021. "Unconventional Monetary Policy and Wealth Inequalities in Great Britain," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(1), pages 115-175, February.
- Ioannou, Demosthenes & Stracca, Livio & Pagliari, Maria Sole, 2020. "The international dimension of an incomplete EMU," Working Paper Series 2459, European Central Bank.
- Ioannou Demosthenes & Pagliari Maria Sole & Stracca Livio, 2020. "The international dimension of a fragile EMU," Working papers 795, Banque de France.
- Christian Beer & Christian Alexander Belabed & Andreas Breitenfellner & Christian Ragacs & Beat Weber, 2017. "EU integration and its impact on Austria," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue Q1/2017, pages 1-38.
- Hakan Yilmazkuday, 2021.
"Unequal Unemployment Effects of COVID-19 and Monetary Policy across U.S. States,"
Working Papers
2102, Florida International University, Department of Economics.
- Hakan Yilmazkuday, 2020. "Unequal unemployment effects of COVID-19 and monetary policy across U.S. States," Journal of Behavioral Economics for Policy, Society for the Advancement of Behavioral Economics (SABE), vol. 4(S3), pages 45-53, December.
- Motto, Roberto & Altavilla, Carlo & Carboni, Giacomo, 2015.
"Asset purchase programmes and financial markets: lessons from the euro area,"
Working Paper Series
1864, European Central Bank.
- Carlo Altavilla & Giacomo Carboni & Roberto Motto, 2021. "Asset Purchase Programs and Financial Markets: Lessons from the Euro Area," International Journal of Central Banking, International Journal of Central Banking, vol. 17(70), pages 1-48, October.
- Arthur Korus, 2019. "Spillover Effects from the ECB's Unconventional Monetary Policies: The Case of Denmark, Norway and Sweden," Athens Journal of Business & Economics, Athens Institute for Education and Research (ATINER), vol. 5(1), pages 53-78, January.
- Krokida, Styliani-Iris & Makrychoriti, Panagiota & Spyrou, Spyros, 2020. "Monetary policy and herd behavior: International evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 170(C), pages 386-417.
- Pierpaolo Benigno & Paolo Canofari & Giovanni Di Bartolomeo & Marcello Messori, 2021. "The ECB's policy measures during the COVID-19 crisis," Working Papers in Public Economics 207, University of Rome La Sapienza, Department of Economics and Law.
- Stefano Di Bucchianico, 2021. "Negative Interest Rate Policy to Fight Secular Stagnation: Unfeasible, Ineffective, Irrelevant, or Inadequate?," Review of Political Economy, Taylor & Francis Journals, vol. 33(4), pages 687-710, October.
- Guido Bulligan & Davide Delle Monache, 2018. "Financial markets effects of ECB unconventional monetary policy announcements," Questioni di Economia e Finanza (Occasional Papers) 424, Bank of Italy, Economic Research and International Relations Area.
- Rostagno, Massimo & Altavilla, Carlo & Carboni, Giacomo & Lemke, Wolfgang & Motto, Roberto & Saint Guilhem, Arthur, 2021. "Combining negative rates, forward guidance and asset purchases: identification and impacts of the ECB’s unconventional policies," Working Paper Series 2564, European Central Bank.
- Gang Wang, 2019. "The Effects of Quantitative Easing Announcements on the Mortgage Market: An Event Study Approach," IJFS, MDPI, vol. 7(1), pages 1-30, February.
- Silvia T. Trifonova, 2021. "Extraordinary Actions Of The Ecb In Response To The Coronavirus Pandemic," Economy & Business Journal, International Scientific Publications, Bulgaria, vol. 15(1), pages 1-23.
- Karlyn Mitchell & Douglas K. Pearce, 2020. "How Did Unconventional Monetary Policy Affect Economic Forecasts?," Contemporary Economic Policy, Western Economic Association International, vol. 38(1), pages 206-220, January.
- Chang, Ya-Ting & Gau, Yin-Feng & Hsu, Chih-Chiang, 2017. "Liquidity Commonality in Foreign Exchange Markets During the Global Financial Crisis and the Sovereign Debt Crisis: Effects of Macroeconomic and Quantitative Easing Announcements," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 172-192.
- Christian Beer & Christian Alexander Belabed & Andreas Breitenfellner & Christian Ragacs & Beat Weber, 2017. "Österreich und die europäische Integration," Monetary Policy & the Economy, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 86-126.
- Rostagno, Massimo & Altavilla, Carlo & Carboni, Giacomo & Lemke, Wolfgang & Motto, Roberto & Saint Guilhem, Arthur & Yiangou, Jonathan, 2019. "A tale of two decades: the ECB’s monetary policy at 20," Working Paper Series 2346, European Central Bank.
- Laura Coroneo & Domenico Giannone & Michèle Modugno, 2013.
"Unspanned Macroeconomic Factors in the Yields Curve,"
Working Papers ECARES
ECARES 2013-07, ULB -- Universite Libre de Bruxelles.
- Laura Coroneo & Domenico Giannone & Michele Modugno, 2016. "Unspanned Macroeconomic Factors in the Yield Curve," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(3), pages 472-485, July.
- Laura Coroneo & Domenico Giannone & Michele Modugno, 2014. "Unspanned macroeconomic factors in the yield curve," Finance and Economics Discussion Series 2014-57, Board of Governors of the Federal Reserve System (U.S.).
Cited by:
- Moench, Emanuel & Soofi-Siavash, Soroosh, 2022.
"What moves treasury yields?,"
Journal of Financial Economics, Elsevier, vol. 146(3), pages 1016-1043.
- Soroosh Soofi-Siavash & Emanuel Moench, 2021. "What Moves Treasury Yields?," Bank of Lithuania Working Paper Series 88, Bank of Lithuania.
- Moench, Emanuel & Soofi Siavash, Soroosh, 2022. "What Moves Treasury Yields?," CEPR Discussion Papers 15978, C.E.P.R. Discussion Papers.
- Giacomini, Raffaella & Ragusa, Giuseppe & Altavilla, Carlo, 2013.
"Anchoring the Yield Curve Using Survey Expectations,"
CEPR Discussion Papers
9738, C.E.P.R. Discussion Papers.
- Carlo Altavilla & Raffaella Giacomini & Giuseppe Ragusa, 2013. "Anchoring the yield curve using survey expectations," CeMMAP working papers 52/13, Institute for Fiscal Studies.
- Giacomini, Raffaella & Altavilla, Carlo & Ragusa, Giuseppe, 2014. "Anchoring the yield curve using survey expectations," Working Paper Series 1632, European Central Bank.
- Carlo Altavilla & Raffaella Giacomini & Giuseppe Ragusa, 2017. "Anchoring the yield curve using survey expectations," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(6), pages 1055-1068, September.
- Carlo Altavilla & Raffaella Giacomini & Giuseppe Ragusa, 2013. "Anchoring the yield curve using survey expectations," CeMMAP working papers CWP52/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Alberto Caruso & Laura Coroneo, 2023. "Does Real‐Time Macroeconomic Information Help to Predict Interest Rates?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(8), pages 2027-2059, December.
- Simona Delle Chiaie & Laurent Ferrara & Domenico Giannone, 2022.
"Common factors of commodity prices,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(3), pages 461-476, April.
- Delle Chiaie, Simona & Ferrara, Laurent & Giannone, Domenico, 2017. "Common factors of commodity prices," Working Paper Series 2112, European Central Bank.
- Giannone, Domenico & Ferrara, Laurent & Delle Chiaie, Simona, 2018. "Common Factors of Commodity Prices," CEPR Discussion Papers 12767, C.E.P.R. Discussion Papers.
- S. Delle Chiaie & L. Ferrara & D. Giannone, 2017. "Common Factors of Commodity Prices," Working papers 645, Banque de France.
- Delle Chiaie, Simona & Ferrara, Laurent & Giannone, Domenico, 2018. "Common factors of commodity prices," Research Bulletin, European Central Bank, vol. 51.
- Joseph P. Byrne & Shuo Cao. & Dimitris Korobilis., 2015.
"Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty,"
Working Papers
2015_08, Business School - Economics, University of Glasgow.
- Byrne, JP & Cao, S & Korobilis, D, 2016. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," Essex Finance Centre Working Papers 18195, University of Essex, Essex Business School.
- Byrne, Joseph & Cao, Shuo & Korobilis, Dimitris, 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," MPRA Paper 63844, University Library of Munich, Germany.
- P. Byrne, Joseph & Cao, Shuo & Korobilis, Dimitris, 2015. "Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty," SIRE Discussion Papers 2015-71, Scottish Institute for Research in Economics (SIRE).
- Matteo Barigozzi & Matteo Luciani, 2017. "Common Factors, Trends, and Cycles in Large Datasets," Finance and Economics Discussion Series 2017-111, Board of Governors of the Federal Reserve System (U.S.).
- Norman R. Swanson & Weiqi Xiong, 2018.
"Big data analytics in economics: What have we learned so far, and where should we go from here?,"
Canadian Journal of Economics, Canadian Economics Association, vol. 51(3), pages 695-746, August.
- Norman R. Swanson & Weiqi Xiong, 2018. "Big data analytics in economics: What have we learned so far, and where should we go from here?," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 51(3), pages 695-746, August.
- Massimo Guidolin & Manuela Pedio, 2019. "Forecasting and Trading Monetary Policy Effects on the Riskless Yield Curve with Regime Switching Nelson†Siegel Models," Working Papers 639, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Michael D. Bauer & Glenn D. Rudebusch, 2017.
"Resolving the Spanning Puzzle in Macro-Finance Term Structure Models,"
Review of Finance, European Finance Association, vol. 21(2), pages 511-553.
- Michael D. Bauer & Glenn D. Rudebusch, 2015. "Resolving the spanning puzzle in macro-finance term structure models," Working Paper Series 2015-1, Federal Reserve Bank of San Francisco.
- Michael D. Bauer & Glenn D. Rudebusch, 2015. "Resolving the Spanning Puzzle in Macro-Finance Term Structure Models," CESifo Working Paper Series 5187, CESifo.
- Luke Hartigan & Michelle Wright, 2023. "Monitoring Financial Conditions and Downside Risk to Economic Activity in Australia," The Economic Record, The Economic Society of Australia, vol. 99(325), pages 253-287, June.
- Carlo Altavilla & Riccardo Costantini & Raffaella Giacomini, 2013.
"Bond returns and market expectations,"
CeMMAP working papers
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- Carlo Altavilla & Riccardo Costantini & Raffaella Giacomini, 2013. "Bond returns and market expectations," CeMMAP working papers CWP20/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Carlo Altavilla & Raffaella Giacomini & Riccardo Costantini, 2014. "Bond Returns and Market Expectations," Journal of Financial Econometrics, Oxford University Press, vol. 12(4), pages 708-729.
- Han, Yang & Jiao, Anqi & Ma, Jun, 2021. "The predictive power of Nelson–Siegel factor loadings for the real economy," Journal of Empirical Finance, Elsevier, vol. 64(C), pages 95-127.
- Carlo Altavilla & Domenico Giannone & Michèle Modugno, 2014.
"Low Frequency Effects of Macroeconomic News on Government Bond Yields,"
Working Papers ECARES
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- Altavilla, Carlo & Giannone, Domenico & Modugno, Michele, 2017. "Low frequency effects of macroeconomic news on government bond yields," Journal of Monetary Economics, Elsevier, vol. 92(C), pages 31-46.
- Carlo Altavilla & Domenico Giannone & Michele Modugno, 2014. "Low Frequency Effects of Macroeconomic News on Government Bond Yields," CSEF Working Papers 372, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
- Carlo Altavilla & Domenico Giannone & Michele Modugno, 2014. "Low Frequency Effects of Macroeconomic News on Government Bond Yields," Finance and Economics Discussion Series 2014-52, Board of Governors of the Federal Reserve System (U.S.).
- Byrne, JP & Cao, S & Korobilis, D, 2016.
"Decomposing Global Yield Curve Co-Movement,"
Essex Finance Centre Working Papers
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DES - Working Papers. Statistics and Econometrics. WS
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"Can Macroeconomists Forecast Risk? Event-Based Evidence from the Euro-Area SPF,"
International Journal of Central Banking, International Journal of Central Banking, vol. 11(4), pages 1-46, December.
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CEPR Discussion Papers
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Cited by:
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SciencePo Working papers Main
hal-03403269, HAL.
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- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the Euro Area crisis: This time was different," Post-Print hal-03403613, HAL.
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the euro area crisis: this time was different," Sciences Po publications 11, Sciences Po.
- Caruso, Alberto & Reichlin, Lucrezia & Ricco, Giovanni, 2018. "Financial and Fiscal Interaction in the Euro Area Crisis : This Time was Different," The Warwick Economics Research Paper Series (TWERPS) 1167, University of Warwick, Department of Economics.
- Albert Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the euro area crisis : this time was different," Documents de Travail de l'OFCE 2019-11, Observatoire Francais des Conjonctures Economiques (OFCE).
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the Euro Area crisis: This time was different," Sciences Po publications info:hdl:2441/4u5amfvji89, Sciences Po.
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the Euro Area crisis: This time was different," SciencePo Working papers Main hal-03403613, HAL.
- Caruso, Alberto & Reichlin, Lucrezia & Ricco, Giovanni, 2019. "Financial and fiscal interaction in the Euro Area crisis: This time was different," European Economic Review, Elsevier, vol. 119(C), pages 333-355.
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the euro area crisis: this time was different," Working Papers hal-03403269, HAL.
- Tomas Konecny & Oxana Babecka-Kucharcukova, 2016.
"Credit Spreads and the Links between the Financial and Real Sectors in a Small Open Economy: The Case of the Czech Republic,"
Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(4), pages 302-321, August.
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"Efficient selection of hyperparameters in large Bayesian VARs using automatic differentiation,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(6), pages 934-943, September.
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"Forecasting with a Panel Tobit Model,"
CAEPR Working Papers
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"Granger-Causal-Priority and Choice of Variables in Vector Autoregressions,"
CEPR Discussion Papers
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2206.08438, arXiv.org.
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"Choosing Prior Hyperparameters: With Applications to Time-Varying Parameter Models,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(1), pages 124-136, January.
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"Combining survey long-run forecasts and nowcasts with BVAR forecasts using relative entropy,"
International Journal of Forecasting, Elsevier, vol. 36(2), pages 373-398.
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"Gaussian Process Vector Autoregressions and Macroeconomic Uncertainty,"
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2112.01995, arXiv.org, revised Nov 2022.
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"QE: The Story so far,"
Bank of England working papers
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"Heterogeneity and Aggregate Fluctuations,"
NBER Working Papers
28853, National Bureau of Economic Research, Inc.
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- Schorfheide, Frank & Chang, Minsu & Chen, Xiaohong, 2021. "Heterogeneity and Aggregate Fluctuations," CEPR Discussion Papers 16183, C.E.P.R. Discussion Papers.
- Gary Koop & Dimitris Korobilis, 2018.
"Forecasting with High-Dimensional Panel VARs,"
Working Paper series
18-20, Rimini Centre for Economic Analysis.
- Koop, Gary & Korobilis, Dimitris, 2015. "Forecasting with High-Dimensional Panel VARs," MPRA Paper 84275, University Library of Munich, Germany, revised 31 Jan 2018.
- Koop, G & Korobilis, D, 2018. "Forecasting with High-Dimensional Panel VARs," Essex Finance Centre Working Papers 21329, University of Essex, Essex Business School.
- Gary Koop & Dimitris Korobilis, 2019. "Forecasting with High‐Dimensional Panel VARs," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(5), pages 937-959, October.
- Gary Koop & Dimitris Korobilis, 2015. "Forecasting With High Dimensional Panel VARs," Working Papers 2015_25, Business School - Economics, University of Glasgow.
- Francesca Monti, 2015.
"Can a data-rich environment help identify the sources of model misspecification?,"
Discussion Papers
1505, Centre for Macroeconomics (CFM).
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- Monti, Francesca, 2015. "Can a data-rich environment help identify the sources of model misspecification?," Bank of England working papers 527, Bank of England.
- Scott Brave & R. Andrew Butters & Alejandro Justiniano, 2016. "Forecasting Economic Activity with Mixed Frequency Bayesian VARs," Working Paper Series WP-2016-5, Federal Reserve Bank of Chicago.
- Inske Pirschel & Maik H. Wolters, 2018. "Forecasting with large datasets: compressing information before, during or after the estimation?," Empirical Economics, Springer, vol. 55(2), pages 573-596, September.
- Bańbura, Marta & Giannone, Domenico & Lenza, Michele, 2015.
"Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections,"
International Journal of Forecasting, Elsevier, vol. 31(3), pages 739-756.
- Giannone, Domenico & Banbura, Marta & Lenza, Michele, 2014. "Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections," CEPR Discussion Papers 9931, C.E.P.R. Discussion Papers.
- Martha Banbura & Domenico Giannone & Michèle Lenza, 2014. "Conditional Forecasts and Scenario Analysis with Vector Autoregressions for Large Cross-Sections," Working Papers ECARES ECARES 2014-15, ULB -- Universite Libre de Bruxelles.
- Giannone, Domenico & Bańbura, Marta & Lenza, Michele, 2014. "Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections," Working Paper Series 1733, European Central Bank.
- Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018.
"Bayesian vector autoregressions,"
LSE Research Online Documents on Economics
87393, London School of Economics and Political Science, LSE Library.
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- Silvia Miranda-Agrippino & Giovanni Ricco, 2018. "Bayesian Vector Autoregressions," Discussion Papers 1808, Centre for Macroeconomics (CFM).
- Silvia Miranda Agrippino & Giovanni Ricco, 2018. "Bayesian vector autoregressions," Sciences Po publications 18, Sciences Po.
- Silvia Miranda Agrippino & Giovanni Ricco, 2018. "Bayesian vector autoregressions," SciencePo Working papers Main hal-03458277, HAL.
- Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018. "Bayesian vector autoregressions," Bank of England working papers 756, Bank of England.
- Silvia Miranda-Agrippino & Giovanni Ricco, 2018. "Bayesian vector autoregressions," Documents de Travail de l'OFCE 2018-18, Observatoire Francais des Conjonctures Economiques (OFCE).
- Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018. "Bayesian Vector Autoregressions," The Warwick Economics Research Paper Series (TWERPS) 1159, University of Warwick, Department of Economics.
- Raffaella Giacomini, 2012.
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2012 Meeting Papers
548, Society for Economic Dynamics.
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- Michael Pfarrhofer, 2024.
"Forecasts with Bayesian vector autoregressions under real time conditions,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(3), pages 771-801, April.
- Michael Pfarrhofer, 2020. "Forecasts with Bayesian vector autoregressions under real time conditions," Papers 2004.04984, arXiv.org.
- Frank Schorfheide & Dongho Song, 2015.
"Real-Time Forecasting With a Mixed-Frequency VAR,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(3), pages 366-380, July.
- Frank Schorfheide & Dongho Song, 2012. "Real-time forecasting with a mixed-frequency VAR," Working Papers 701, Federal Reserve Bank of Minneapolis.
- Frank Schorfheide & Dongho Song, 2013. "Real-Time Forecasting with a Mixed-Frequency VAR," NBER Working Papers 19712, National Bureau of Economic Research, Inc.
- Del Negro, Marco & Lenza, Michele & Primiceri, Giorgio E. & Tambalotti, Andrea, 2020.
"What’s up with the Phillips Curve?,"
Working Paper Series
2435, European Central Bank.
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- Marco Del Negro & Michele Lenza & Giorgio E. Primiceri & Andrea Tambalotti, 2020. "What’s up with the Phillips Curve?," NBER Working Papers 27003, National Bureau of Economic Research, Inc.
- Marco Del Negro & Michele Lenza & Giorgio E. Primiceri & Andrea Tambalotti, 2020. "What's Up with the Phillips Curve?," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 51(1 (Spring), pages 301-373.
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"Multilateral Index Number Systems for International Price Comparisons: Properties, Existence and Uniqueness,"
CEPA Working Papers Series
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"Combining shrinkage and sparsity in conjugate vector autoregressive models,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(3), pages 304-327, April.
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"The Term Structure of Equity Risk Premia,"
NBER Working Papers
25690, National Bureau of Economic Research, Inc.
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"Forecast accuracy of a BVAR under alternative specifications of the zero lower bound,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(2), pages 1-29, April.
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- Richard K. Crump & Stefano Eusepi & Domenico Giannone & Eric Qian & Argia M. Sbordone, 2021. "A Large Bayesian VAR of the United States Economy," Staff Reports 976, Federal Reserve Bank of New York.
- Ricco, Giovanni & Miranda-Agrippino, Silvia, 2018.
"The Transmission of Monetary Policy Shocks,"
CEPR Discussion Papers
13396, C.E.P.R. Discussion Papers.
- Miranda-Agrippino, Silvia & Ricco, Giovanni, 2017. "The transmission of monetary policy shocks," LSE Research Online Documents on Economics 86163, London School of Economics and Political Science, LSE Library.
- Miranda-Agrippino, Silvia & Ricco, Giovanni, 2017. "The Transmission of Monetary Policy Shocks," The Warwick Economics Research Paper Series (TWERPS) 1136, University of Warwick, Department of Economics.
- Miranda-Agrippino, Silvia & Ricco, Giovanni, 2017. "The transmission of monetary policy shocks," Bank of England working papers 657, Bank of England.
- Miranda-Agrippino, Silvia & Ricco, Giovanni, 2017. "The Transmission of Monetary Policy Shocks," Economic Research Papers 269310, University of Warwick - Department of Economics.
- Silvia Miranda-Agrippino & Giovanni Ricco, 2017. "The transmission of monetary policy shocks," Documents de Travail de l'OFCE 2017-15, Observatoire Francais des Conjonctures Economiques (OFCE).
- Silvia Miranda-Agrippino & Giovanni Ricco, 2021. "The Transmission of Monetary Policy Shocks," American Economic Journal: Macroeconomics, American Economic Association, vol. 13(3), pages 74-107, July.
- Silvia Miranda-Agrippino & Giovanni Ricco, 2015. "The Transmission of Monetary Policy Shocks," Discussion Papers 1711, Centre for Macroeconomics (CFM), revised Feb 2017.
- Gary Koop & Dimitris Korobilis, 2012.
"Large Time-Varying Parameter VARs,"
Working Paper series
11_12, Rimini Centre for Economic Analysis.
- Gary Koop & Dimitris Korobilis, 2012. "Large time-varying parameter VARs," Working Papers 2012_04, Business School - Economics, University of Glasgow.
- Koop, Gary & Korobilis, Dimitris, 2012. "Large Time-Varying Parameter VARs," SIRE Discussion Papers 2012-14, Scottish Institute for Research in Economics (SIRE).
- Koop, Gary & Korobilis, Dimitris, 2012. "Large time-varying parameter VARs," MPRA Paper 38591, University Library of Munich, Germany.
- Koop, Gary & Korobilis, Dimitris, 2013. "Large time-varying parameter VARs," Journal of Econometrics, Elsevier, vol. 177(2), pages 185-198.
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"Now-casting and the real-time data flow,"
CEPR Discussion Papers
9112, C.E.P.R. Discussion Papers.
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- Giannone, Domenico & Reichlin, Lucrezia & Bańbura, Marta & Modugno, Michele, 2013. "Now-casting and the real-time data flow," Working Paper Series 1564, European Central Bank.
- Bańbura, Marta & Giannone, Domenico & Modugno, Michele & Reichlin, Lucrezia, 2013. "Now-Casting and the Real-Time Data Flow," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 195-237, Elsevier.
- Anttonen, Jetro, 2018. "Nowcasting the Unemployment Rate in the EU with Seasonal BVAR and Google Search Data," ETLA Working Papers 62, The Research Institute of the Finnish Economy.
- Schorfheide, Frank & Aruoba, Boragan & Mlikota, Marko & Villalvazo, Sergio, 2021.
"SVARs With Occasionally-Binding Constraints,"
CEPR Discussion Papers
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"How is Machine Learning Useful for Macroeconomic Forecasting?,"
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"Measuring Connectedness of Euro Area Sovereign Risk,"
SFB 649 Discussion Papers
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CEPR Discussion Papers
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- Joshua C.C. Chan & Eric Eisenstat & Chenghan Hou & Gary Koop, 2018.
"Composite likelihood methods for large Bayesian VARs with stochastic volatility,"
CAMA Working Papers
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"Forecasting Global Equity Indices Using Large Bayesian VARs,"
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- Gary Koop, 2013. "Using VARs and TVP-VARs with Many Macroeconomic Variables," Working Papers 1303, University of Strathclyde Business School, Department of Economics.
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Cited by:
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- Raputsoane, Leroi, 2015. "Alternative measures of credit extension for countercyclical buffer decisions in South Africa," MPRA Paper 67453, University Library of Munich, Germany.
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"Yields on sovereign debt, fragmentation and monetary policy transmission in the euro area: A GVAR approach,"
Working Papers del Instituto Complutense de Estudios Internacionales
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"Euro area real-time density forecasting with financial or labor market frictions,"
Working Paper Series
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"Does Central Bank Staff Beat Private Forecasters?,"
VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order
79925, Verein für Socialpolitik / German Economic Association.
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"Does the Phillips curve help to forecast euro area inflation?,"
International Journal of Forecasting, Elsevier, vol. 39(1), pages 364-390.
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- Marek RUSNAK, 2013. "Revisions to the Czech National Accounts: Properties and Predictability," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 63(3), pages 244-261, July.
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"Real-time Analysis on Japan's Labor Productivity,"
Bank of Japan Working Paper Series
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Economic Journal, Royal Economic Society, vol. 122(561), pages 651-674, June.
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CEPR Discussion Papers
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CEPR Discussion Papers
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Cited by:
- David Havrlant & Peter Tóth & Julia Wörz, 2016. "On the optimal number of indicators – nowcasting GDP growth in CESEE," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 4, pages 54-72.
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"Market freedom and the global recession,"
CEPR Discussion Papers
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"Can Leading Indicators Assess Country Vulnerability? Evidence from the 2008-09 Global Financial Crisis,"
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"Monetary policy, labor income redistribution and the credit channel: Evidence from matched employer-employee and credit registers,"
Economics Working Papers
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"Did Established Early Warning Signals Predict the 2008 Crises?,"
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"Post-Mortem Examination of the International Financial Network,"
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- Hagen, Tobias, 2013. "Impact of national financial regulation on macroeconomic and fiscal performance after the 2007 financial stock: Econometric analyses based on cross-country data," Working Paper Series 02, Frankfurt University of Applied Sciences, Faculty of Business and Law.
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- Caprio, Gerard & D’Apice, Vincenzo & Ferri, Giovanni & Puopolo, Giovanni Walter, 2014. "Macro-financial determinants of the great financial crisis: Implications for financial regulation," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 114-129.
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- M. Ayhan Kose & Prakash Loungani & Marco E. Terrones, 2013. "From the Global to the National Cycle: An Intricate Liaison," Pacific Economic Review, Wiley Blackwell, vol. 18(3), pages 370-402, August.
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- Pomfret, Richard, 2014. "European crises and the Asian economies," Journal of Asian Economics, Elsevier, vol. 31, pages 71-81.
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"The conundrum of profitability versus soundness for banks by ownership type: Evidence from the Indian banking sector,"
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"Stories of the Twentieth Century for the Twenty-First,"
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- Pierre-Olivier Gourinchas & Maurice Obstfeld, 2011. "Stories of the Twentieth Century for the Twenty-First," NBER Working Papers 17252, National Bureau of Economic Research, Inc.
- Gourinchas, Pierre-Olivier & Obstfeld, Maurice, 2011. "Stories of the Twentieth Century for the Twenty-First," Department of Economics, Working Paper Series qt6mq0x1jz, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
- Obstfeld, Maurice & Gourinchas, Pierre-Olivier, 2011. "Stories of the Twentieth Century for the Twenty-First," CEPR Discussion Papers 8518, C.E.P.R. Discussion Papers.
- Daniel Ferreira & Tom Kirchmaier & Daniel Metzger, 2011.
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- Grégory Levieuge & Yannick Lucotte & Florian Pradines-Jobet, 2021.
"Cost of Banking Crises: Does the Policy Framework Matter?,"
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- Grégory Levieuge & Yannick Lucotte & Florian Pradines-Jobet, 2021. "The cost of banking crises: Does the policy framework matter?," Post-Print hal-03493136, HAL.
- Grégory Levieuge & Yannick Lucotte & Florian Pradines-Jobet, 2019. "The Cost of Banking Crises: Does the Policy Framework Matter?," Working papers 712, Banque de France.
- Levieuge, Grégory & Lucotte, Yannick & Pradines-Jobet, Florian, 2021. "The cost of banking crises: Does the policy framework matter?," Journal of International Money and Finance, Elsevier, vol. 110(C).
- Shehzad, Choudhry Tanveer & De Haan, Jakob, 2013. "Was the 2007 crisis really a global banking crisis?," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 113-124.
- Chen Ray-Bing & Lee Kuo-Jung & Chen Yi-Chi & Chu Chi-Hsiang, 2017. "On the determinants of the 2008 financial crisis: a Bayesian approach to the selection of groups and variables," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(5), pages 1-17, December.
- Angelos Kotios & George Galanos, 2012. "The International Economic Crisis and the Crisis of Economics," The World Economy, Wiley Blackwell, vol. 35(7), pages 869-885, July.
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- Dwyer, Shane & Tan, Chih Ming, 2014. "Hits and runs: Determinants of the cross-country variation in the severity of impact from the 2008–09 financial crisis," Journal of Macroeconomics, Elsevier, vol. 42(C), pages 69-90.
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"Institutions and Business Cycles,"
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- Sumru Altug & Mustafa Emin & Bilin Neyapti, 2011. "Institutions and Business Cycles," Koç University-TUSIAD Economic Research Forum Working Papers 1109, Koc University-TUSIAD Economic Research Forum.
- Davide Furceri & Mr. Jonathan David Ostry, 2021.
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"Central banks preferences and banking sector vulnerability,"
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- Gary Koop & Dimitris Korobilis, 2014. "Model Uncertainty in Panel Vector Autoregressive Models," Working Paper series 39_14, Rimini Centre for Economic Analysis.
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"Bayesian Compressed Vector Autoregressions,"
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- Gary Koop & Dimitris Korobilis & Davide Pettenuzzo, 2016. "Bayesian Compressed Vector Autoregressions," Working Papers 103R, Brandeis University, Department of Economics and International Business School, revised Apr 2016.
- Gary Koop & Dimitris Korobilis & Davide Pettenuzzo, 2016. "Bayesian Compressed Vector Autoregressions," Working Papers 103, Brandeis University, Department of Economics and International Business School.
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"Large Bayesian VARMAs,"
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Questioni di Economia e Finanza (Occasional Papers)
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"Money, credit, monetary policy and the business cycle in the euro area,"
CEPR Discussion Papers
8944, C.E.P.R. Discussion Papers.
- Domenico Giannone & Michèle Lenza & Lucrezia Reichlin, 2012. "Money, Credit, Monetary Policy and the Business Cycle in the Euro Area," Working Papers ECARES ECARES 2012-008, ULB -- Universite Libre de Bruxelles.
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"The effectiveness of monetary policy in steering money market rates during the financial crisis,"
Journal of Macroeconomics, Elsevier, vol. 34(4), pages 945-954.
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"Structural Factor Analysis of Interest Rate Pass Through In Four Large Euro Area Economies,"
Working Papers in Economics
17/07, University of Canterbury, Department of Economics and Finance.
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- Marco Casiraghi & Eugenio Gaiotti & Lisa Rodano & Alessandro Secchi, 2016. "ECB Unconventional Monetary Policy and the Italian Economy during the Sovereign Debt Crisis," International Journal of Central Banking, International Journal of Central Banking, vol. 12(2), pages 269-315, June.
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CEPR Discussion Papers
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- Domenico Giannone & Michèle Lenza & Lucrezia Reichlin, 2008. "Business Cycles in the euro Area," Working Papers ECARES 2008_040, ULB -- Universite Libre de Bruxelles.
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Cited by:
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"Financial and fiscal interaction in the euro area crisis: this time was different,"
SciencePo Working papers Main
hal-03403269, HAL.
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- Caruso, Alberto & Reichlin, Lucrezia & Ricco, Giovanni, 2018. "Financial and Fiscal Interaction in the Euro Area Crisis : This Time was Different," The Warwick Economics Research Paper Series (TWERPS) 1167, University of Warwick, Department of Economics.
- Albert Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the euro area crisis : this time was different," Documents de Travail de l'OFCE 2019-11, Observatoire Francais des Conjonctures Economiques (OFCE).
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the Euro Area crisis: This time was different," Sciences Po publications info:hdl:2441/4u5amfvji89, Sciences Po.
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the Euro Area crisis: This time was different," SciencePo Working papers Main hal-03403613, HAL.
- Caruso, Alberto & Reichlin, Lucrezia & Ricco, Giovanni, 2019. "Financial and fiscal interaction in the Euro Area crisis: This time was different," European Economic Review, Elsevier, vol. 119(C), pages 333-355.
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"Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections,"
International Journal of Forecasting, Elsevier, vol. 31(3), pages 739-756.
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"High Order Openness,"
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"New evidence on the (de)synchronisation of business cycles: Reshaping the European business cycle,"
International Economics, CEPII research center, issue 147, pages 27-52.
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"Credit Supply and Monetary Policy: Identifying the Bank Balance-Sheet Channel with Loan Applications,"
American Economic Review, American Economic Association, vol. 102(5), pages 2301-2326, August.
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1221, European Central Bank.
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- Sebnem Kalemli-Ozcan & Elias Papaioannou & José Luis Peydró, 2009. "Financial Regulation, Financial Globalization and the Synchronization of Economic Activity," NBER Working Papers 14887, National Bureau of Economic Research, Inc.
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"Regionalization vs. Globalization,"
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- Parsley, David & Popper, Helen, 2019. "GDP Synchronicity and Risk Sharing Channels in a Monetary Union: Blue State and Red States," MPRA Paper 98981, University Library of Munich, Germany.
- Khalid Rashid, Alkhater & Syed Abul, Basher, 2015.
"The oil cycle, the Federal Reserve, and the monetary and exchange rate policies of Qatar,"
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"Has the Euro changed the business cycle?,"
European Economic Review, Elsevier, vol. 59(C), pages 189-211.
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- Enders, Zeno & Jung, Philip & Müller, Gernot J., 2009. "Has the Euro changed the Business Cycle?," Bonn Econ Discussion Papers 6/2009, University of Bonn, Bonn Graduate School of Economics (BGSE).
- Reichlin, Lucrezia & Giannone, Domenico & Lenza, Michele, 2009.
"Business Cycles in the Euro Area,"
CEPR Discussion Papers
7124, C.E.P.R. Discussion Papers.
- Domenico Giannone & Michèle Lenza & Lucrezia Reichlin, 2008. "Business Cycles in the euro Area," Working Papers ECARES 2008_040, ULB -- Universite Libre de Bruxelles.
- Domenico Giannone & Michele Lenza & Lucrezia Reichlin, 2008. "Business Cycles in the Euro Area," NBER Working Papers 14529, National Bureau of Economic Research, Inc.
- Domenico Giannone & Michele Lenza, 2009. "Business cycles in the euro area," Research Bulletin, European Central Bank, vol. 8, pages 5-7.
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"Nowcasting Euro Area Economic Activity in Real-Time: The Role of Confidence Indicator,"
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2009_021, ULB -- Universite Libre de Bruxelles.
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- Domenico Giannone & Lucrezia Reichlin & Saverio Simonelli, 2009. "Nowcasting Euro Area Economic Activity In Real Time: The Role Of Confidence Indicators," National Institute Economic Review, National Institute of Economic and Social Research, vol. 210(1), pages 90-97, October.
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Cited by:
- Michele Modugno & Lucrezia Reichlin & Domenico Giannone & Marta Banbura, 2012. "Nowcasting with Daily Data," 2012 Meeting Papers 555, Society for Economic Dynamics.
- Antonello D'Agostino & Domenico Giannone & Michele Lenza & Michele Modugno, 2015.
"Nowcasting Business Cycles: a Bayesian Approach to Dynamic Heterogeneous Factor Models,"
Finance and Economics Discussion Series
2015-66, Board of Governors of the Federal Reserve System (U.S.).
- Antonello D’Agostino & Domenico Giannone & Michele Lenza & Michele Modugno, 2016. "Nowcasting Business Cycles: A Bayesian Approach to Dynamic Heterogeneous Factor Models," Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 569-594, Emerald Group Publishing Limited.
- Reichlin, Lucrezia & Giannone, Domenico & Modugno, Michele & Banbura, Marta, 2012.
"Now-casting and the real-time data flow,"
CEPR Discussion Papers
9112, C.E.P.R. Discussion Papers.
- Martha Banbura & Domenico Giannone & Michèle Modugno & Lucrezia Reichlin, 2012. "Now-Casting and the Real-Time Data Flow," Working Papers ECARES ECARES 2012-026, ULB -- Universite Libre de Bruxelles.
- Giannone, Domenico & Reichlin, Lucrezia & Bańbura, Marta & Modugno, Michele, 2013. "Now-casting and the real-time data flow," Working Paper Series 1564, European Central Bank.
- Bańbura, Marta & Giannone, Domenico & Modugno, Michele & Reichlin, Lucrezia, 2013. "Now-Casting and the Real-Time Data Flow," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 195-237, Elsevier.
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"Combining distributions of real-time forecasts: An application to U.S. growth,"
Research Memorandum
027, Maastricht University, Graduate School of Business and Economics (GSBE).
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- Lenza, Michele & Cimadomo, Jacopo & Giannone, Domenico & Monti, Francesca & Sokol, Andrej, 2021.
"Nowcasting with Large Bayesian Vector Autoregressions,"
CEPR Discussion Papers
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- Cimadomo, Jacopo & Giannone, Domenico & Lenza, Michele & Monti, Francesca & Sokol, Andrej, 2022. "Nowcasting with large Bayesian vector autoregressions," Journal of Econometrics, Elsevier, vol. 231(2), pages 500-519.
- Cimadomo, Jacopo & Giannone, Domenico & Lenza, Michele & Monti, Francesca & Sokol, Andrej, 2020. "Nowcasting with large Bayesian vector autoregressions," Working Paper Series 2453, European Central Bank.
- David de Antonio Liedo, 2014. "Nowcasting Belgium," Working Paper Research 256, National Bank of Belgium.
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"Back to the present: Learning about the euro area through a now-casting model,"
International Journal of Forecasting, Elsevier, vol. 40(2), pages 661-686.
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- Aaron G. Grech, "undated". "The European Commission’s business and consumer surveys and Maltese macroeconomic trends," CBM Policy Papers PP/05/2019, Central Bank of Malta.
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"Macroeconomic news and market reaction: Surprise indexes meet nowcasting,"
International Journal of Forecasting, Elsevier, vol. 35(4), pages 1725-1734.
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- Cristea, R. G., 2020. "Can Alternative Data Improve the Accuracy of Dynamic Factor Model Nowcasts?," Cambridge Working Papers in Economics 20108, Faculty of Economics, University of Cambridge.
- Giannone, Domenico & Reichlin, Lucrezia & Bańbura, Marta, 2008.
"Large Bayesian VARs,"
Working Paper Series
966, European Central Bank.
- Martha Banbura & Domenico Giannone & Lucrezia Reichlin, 2008. "Large Bayesian VARs," Working Papers ECARES 2008_033, ULB -- Universite Libre de Bruxelles.
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Cited by:
- Koop, Gary & Korobilis, Dimitris, 2016.
"Model uncertainty in Panel Vector Autoregressive models,"
European Economic Review, Elsevier, vol. 81(C), pages 115-131.
- Koop, Gary & Korobilis, Dimitris, 2014. "Model Uncertainty in Panel Vector Autoregressive Models," MPRA Paper 58131, University Library of Munich, Germany.
- Koop, Gary & Korobilis, Dimitris, 2014. "Model Uncertainty in Panel Vector Autoregressive Models," SIRE Discussion Papers 2014-011, Scottish Institute for Research in Economics (SIRE).
- Gary Koop & Dimitris Korobilis, 2015. "Model Uncertainty in Panel Vector Autoregressive Models," Working Paper series 15-35, Rimini Centre for Economic Analysis.
- Gary Koop & Dimitris Korobilis, 2014. "Model uncertainty in panel vector autoregressive models," Working Papers 2014_10, Business School - Economics, University of Glasgow.
- Gary Koop & Dimitris Korobilis, 2014. "Model Uncertainty in Panel Vector Autoregressive Models," Working Paper series 39_14, Rimini Centre for Economic Analysis.
- Gary Koop & Dimitris Korobilis, 2014. "Model uncertainty in panel vector autoregressive models," Working Papers 1408, University of Strathclyde Business School, Department of Economics.
- Joshua C.C. Chan & Angelia L. Grant, 2016.
"Reconciling output gaps: unobserved components model and Hodrick-Prescott filter,"
CAMA Working Papers
2016-44, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Grant, Angelia L. & Chan, Joshua C.C., 2017. "Reconciling output gaps: Unobserved components model and Hodrick–Prescott filter," Journal of Economic Dynamics and Control, Elsevier, vol. 75(C), pages 114-121.
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019.
"Financial and fiscal interaction in the euro area crisis: this time was different,"
SciencePo Working papers Main
hal-03403269, HAL.
- Reichlin, Lucrezia & Caruso, Alberto & Ricco, Giovanni, 2018. "Financial and Fiscal Interaction in the Euro Area Crisis: This Time was Different," CEPR Discussion Papers 13016, C.E.P.R. Discussion Papers.
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the Euro Area crisis: This time was different," Post-Print hal-03403613, HAL.
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the euro area crisis: this time was different," Sciences Po publications 11, Sciences Po.
- Caruso, Alberto & Reichlin, Lucrezia & Ricco, Giovanni, 2018. "Financial and Fiscal Interaction in the Euro Area Crisis : This Time was Different," The Warwick Economics Research Paper Series (TWERPS) 1167, University of Warwick, Department of Economics.
- Albert Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the euro area crisis : this time was different," Documents de Travail de l'OFCE 2019-11, Observatoire Francais des Conjonctures Economiques (OFCE).
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the Euro Area crisis: This time was different," Sciences Po publications info:hdl:2441/4u5amfvji89, Sciences Po.
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the Euro Area crisis: This time was different," SciencePo Working papers Main hal-03403613, HAL.
- Caruso, Alberto & Reichlin, Lucrezia & Ricco, Giovanni, 2019. "Financial and fiscal interaction in the Euro Area crisis: This time was different," European Economic Review, Elsevier, vol. 119(C), pages 333-355.
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the euro area crisis: this time was different," Working Papers hal-03403269, HAL.
- Mumtaz, Haroon & Theodoridis, Konstantinos, 2017.
"Common and country specific economic uncertainty,"
Journal of International Economics, Elsevier, vol. 105(C), pages 205-216.
- Haroon Mumtaz & Konstantinos Theodoridis, 2015. "Common and Country Specific Economic Uncertainty," Working Papers 752, Queen Mary University of London, School of Economics and Finance.
- Haroon Mumtaz & Alexandra Solovyeva & Elena Vasilieva, 2012. "Asset prices, credit and the Russian economy," Joint Research Papers 1, Centre for Central Banking Studies, Bank of England.
- Joshua C. C. Chan & Liana Jacobi & Dan Zhu, 2020.
"Efficient selection of hyperparameters in large Bayesian VARs using automatic differentiation,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(6), pages 934-943, September.
- Joshua C. C. Chan & Liana Jacobi & Dan Zhu, 2019. "Efficient selection of hyperparameters in large Bayesian VARs using automatic differentiation," CAMA Working Papers 2019-46, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Henzel, Steffen R. & Mayr, Johannes, 2013. "The mechanics of VAR forecast pooling—A DSGE model based Monte Carlo study," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 1-24.
- Mackowiak, Bartosz & Jarocinski, Marek, 2013.
"Granger-Causal-Priority and Choice of Variables in Vector Autoregressions,"
CEPR Discussion Papers
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- Marek Jarociński & Bartosz Maćkowiak, 2017. "Granger Causal Priority and Choice of Variables in Vector Autoregressions," The Review of Economics and Statistics, MIT Press, vol. 99(2), pages 319-329, May.
- Jarociński, Marek & Maćkowiak, Bartosz, 2013. "Granger-causal-priority and choice of variables in vector autoregressions," Working Paper Series 1600, European Central Bank.
- Bartosz Mackowiak, 2015. "Granger-Causal-Priority and Choice of Variables in Vector Autoregressions," 2015 Meeting Papers 66, Society for Economic Dynamics.
- Joshua C. C. Chan & Gary Koop & Xuewen Yu, 2024.
"Large Order-Invariant Bayesian VARs with Stochastic Volatility,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(2), pages 825-837, April.
- Joshua C. C. Chan & Gary Koop & Xuewen Yu, 2021. "Large Order-Invariant Bayesian VARs with Stochastic Volatility," Papers 2111.07225, arXiv.org.
- Fornaro, Paolo, 2015. "Forecasting U.S. Recessions with a Large Set of Predictors," MPRA Paper 62973, University Library of Munich, Germany.
- Exterkate, Peter & Groenen, Patrick J.F. & Heij, Christiaan & van Dijk, Dick, 2016.
"Nonlinear forecasting with many predictors using kernel ridge regression,"
International Journal of Forecasting, Elsevier, vol. 32(3), pages 736-753.
- Peter Exterkate & Patrick J.F. Groenen & Christiaan Heij & Dick van Dijk, 2013. "Nonlinear Forecasting With Many Predictors Using Kernel Ridge Regression," CREATES Research Papers 2013-16, Department of Economics and Business Economics, Aarhus University.
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- Mario Forni & Luca Gambetti & Luca Sala, 2011. "No news in business cycles," Center for Economic Research (RECent) 063, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Forni, Mario & Sala, Luca & Gambetti, Luca, 2011. "No News in Business Cycles," CEPR Discussion Papers 8274, C.E.P.R. Discussion Papers.
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- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012. "A Quasi Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models," PSE-Ecole d'économie de Paris (Postprint) hal-00638440, HAL.
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- Kihwan Kim & Norman Swanson, 2013. "Diffusion Index Model Specification and Estimation Using Mixed Frequency Datasets," Departmental Working Papers 201315, Rutgers University, Department of Economics.
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"The yield spread puzzle and the information content of SPF forecasts,"
Economics Letters, Elsevier, vol. 118(1), pages 219-221.
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"Did the Euro imply more correlation of cycles?,"
ULB Institutional Repository
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Cited by:
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"Financial regulation, financial globalization and the synchronization of economic activity,"
Working Paper Series
1221, European Central Bank.
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- Sebnem Kalemli-Ozcan & Elias Papaioannou & José-Luis Peydró, 2013. "Financial Regulation, Financial Globalization, and the Synchronization of Economic Activity," Journal of Finance, American Finance Association, vol. 68(3), pages 1179-1228, June.
- Sebnem Kalemli-Ozcan & Elias Papaioannou & José Luis Peydró, 2009. "Financial Regulation, Financial Globalization and the Synchronization of Economic Activity," NBER Working Papers 14887, National Bureau of Economic Research, Inc.
- Kalemli-Ozcan, Sebnem & Papaioannou, Elias & Perri, Fabrizio, 2013.
"Global banks and crisis transmission,"
Journal of International Economics, Elsevier, vol. 89(2), pages 495-510.
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- Perri, Fabrizio & Kalemli-Özcan, Sebnem & Papaioannou, Elias, 2012. "Global Banks and Crisis Transmission," CEPR Discussion Papers 9044, C.E.P.R. Discussion Papers.
- Kalemli-Özcan, Sebnem & Papaioannou, Elias & Peydró, José-Luis, 2009. "Financial Integration and Business Cycle Synchronization," CEPR Discussion Papers 7292, C.E.P.R. Discussion Papers.
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"International portfolio diversification and multilateral effects of correlations,"
Journal of International Money and Finance, Elsevier, vol. 62(C), pages 52-71.
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- Sebnem Kalemli-Ozcan & Elias Papaioannou & José Luis Peydró, 2010. "Financial Regulation, Integration and Synchronization of Economic Activity," Koç University-TUSIAD Economic Research Forum Working Papers 1005, Koc University-TUSIAD Economic Research Forum, revised Apr 2010.
- Bogdan Murarasu & Alina Bobasu, 2014. "Output Spillovers from Trade and Financial Linkages in Central and Eastern European Countries: A Panel Analysis," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 6(2), pages 081-096, December.
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"Short-term Forecasts of Euro Area GDP Growth,"
CEPR Discussion Papers
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- Elena Angelini & Gonzalo Camba‐Mendez & Domenico Giannone & Lucrezia Reichlin & Gerhard Rünstler, 2011. "Short‐term forecasts of euro area GDP growth," Econometrics Journal, Royal Economic Society, vol. 14(1), pages 25-44, February.
- Angelini, Elena & Camba-Méndez, Gonzalo & Rünstler, Gerhard & Giannone, Domenico & Reichlin, Lucrezia, 2008. "Short-term forecasts of euro area GDP growth," Working Paper Series 949, European Central Bank.
- Elena Angelini & Gonzalo Camba-Mendez & Domenico Giannone & Lucrezia Reichlin & Gerhard Rünstler, 2008. "Short-Term Forecasts of Euro Area GDP Growth," Working Papers ECARES ECARES 2008-035, ULB -- Universite Libre de Bruxelles.
Cited by:
- Lamprou, Dimitra, 2016. "Nowcasting GDP in Greece: The impact of data revisions and forecast origin on model selection and performance," The Journal of Economic Asymmetries, Elsevier, vol. 14(PA), pages 93-102.
- Antonello D'Agostino & Domenico Giannone & Michele Lenza & Michele Modugno, 2015.
"Nowcasting Business Cycles: a Bayesian Approach to Dynamic Heterogeneous Factor Models,"
Finance and Economics Discussion Series
2015-66, Board of Governors of the Federal Reserve System (U.S.).
- Antonello D’Agostino & Domenico Giannone & Michele Lenza & Michele Modugno, 2016. "Nowcasting Business Cycles: A Bayesian Approach to Dynamic Heterogeneous Factor Models," Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 569-594, Emerald Group Publishing Limited.
- Maximo Camacho & Rafael Domenech, 2010.
"MICA-BBVA: A Factor Model of Economic and Financial Indicators for Short-term GDP Forecasting,"
Working Papers
1021, BBVA Bank, Economic Research Department.
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- Helena Rodríguez, 2014. "Un indicador de la evolución del PIB uruguayo en tiempo real," Documentos de trabajo 2014009, Banco Central del Uruguay.
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"Short-term forecasts of French GDP: A dynamic factor model with targeted predictors,"
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hal-01515605, HAL.
- Marie Bessec, 2013. "Short‐Term Forecasts of French GDP: A Dynamic Factor Model with Targeted Predictors," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(6), pages 500-511, September.
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- Reichlin, Lucrezia & Giannone, Domenico & Modugno, Michele & Banbura, Marta, 2012.
"Now-casting and the real-time data flow,"
CEPR Discussion Papers
9112, C.E.P.R. Discussion Papers.
- Martha Banbura & Domenico Giannone & Michèle Modugno & Lucrezia Reichlin, 2012. "Now-Casting and the Real-Time Data Flow," Working Papers ECARES ECARES 2012-026, ULB -- Universite Libre de Bruxelles.
- Giannone, Domenico & Reichlin, Lucrezia & Bańbura, Marta & Modugno, Michele, 2013. "Now-casting and the real-time data flow," Working Paper Series 1564, European Central Bank.
- Bańbura, Marta & Giannone, Domenico & Modugno, Michele & Reichlin, Lucrezia, 2013. "Now-Casting and the Real-Time Data Flow," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 195-237, Elsevier.
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"A survey of econometric methods for mixed-frequency data,"
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2013/06, Norges Bank.
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- Laurent Ferrara & Dominique Guegan & Patrick Rakotomarolahy, 2010. "GDP nowcasting with ragged-edge data: a semi-parametric modeling," Post-Print halshs-00460461, HAL.
- Siliverstovs Boriss & Kholodilin Konstantin A., 2012.
"Assessing the Real-Time Informational Content of Macroeconomic Data Releases for Now-/Forecasting GDP: Evidence for Switzerland,"
Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 232(4), pages 429-444, August.
- Boriss Siliverstovs & Konstantin A. Kholodilin, 2010. "Assessing the Real-Time Informational Content of Macroeconomic Data Releases for Now-/Forecasting GDP: Evidence for Switzerland," Discussion Papers of DIW Berlin 970, DIW Berlin, German Institute for Economic Research.
- Luciani, Matteo & Pundit, Madhavi & Ramayandi, Arief & Veronese , Giovanni, 2015.
"Nowcasting Indonesia,"
ADB Economics Working Paper Series
471, Asian Development Bank.
- Matteo Luciani & Madhavi Pundit & Arief Ramayandi & Giovanni Veronese, 2018. "Nowcasting Indonesia," Empirical Economics, Springer, vol. 55(2), pages 597-619, September.
- Matteo Luciani & Madhavi Pundit & Arief Ramayandi & Giovanni Veronese, 2015. "Nowcasting Indonesia," Finance and Economics Discussion Series 2015-100, Board of Governors of the Federal Reserve System (U.S.).
- Laurent Ferrara & Dominique Guegan, 2008.
"Business surveys modelling with seasonal-cyclical long memory models,"
Documents de travail du Centre d'Economie de la Sorbonne
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- Laurent Ferrara & Dominique Guegan, 2008. "Business surveys modelling with Seasonal-Cyclical Long Memory models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00277379, HAL.
- Laurent Ferrara & Dominique Guegan, 2008. "Business surveys modelling with Seasonal-Cyclical Long Memory models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00283710, HAL.
- Laurent Ferrara & Dominique Guegan, 2008. "Business surveys modelling with Seasonal-Cyclical Long Memory models," PSE-Ecole d'économie de Paris (Postprint) halshs-00283710, HAL.
- Laurent Ferrara & Dominique Guégan, 2008. "Business surveys modelling with Seasonal-Cyclical Long Memory models," Economics Bulletin, AccessEcon, vol. 3(29), pages 1-10.
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- Chauvet, Marcelle & Potter, Simon, 2013. "Forecasting Output," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 141-194, Elsevier.
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"Nowcasting Norway,"
International Journal of Central Banking, International Journal of Central Banking, vol. 10(4), pages 215-248, December.
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"Now-casting Irish GDP,"
Research Technical Papers
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- Antonello D'Agostino & Kieran McQuinn & Derry O’Brien, 2012. "Nowcasting Irish GDP," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2012(2), pages 21-31.
- Laurent Ferrara & Clément Marsilli & Juan-Pablo Ortega, 2014.
"Forecasting growth during the Great Recession: is financial volatility the missing ingredient?,"
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- Ferrara, L. & Marsilli, C. & Ortega, J-P., 2013. "Forecasting growth during the Great Recession: is financial volatility the missing ingredient?," Working papers 454, Banque de France.
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- Ferrara, Laurent & Marsilli, Clément & Ortega, Juan-Pablo, 2014. "Forecasting growth during the Great Recession: is financial volatility the missing ingredient?," Economic Modelling, Elsevier, vol. 36(C), pages 44-50.
- Laurent Ferrara & Clément Marsilli & Juan-Pablo Ortega, 2013. "Forecasting US growth during the Great Recession: Is the financial volatility the missing ingredient?," EconomiX Working Papers 2013-19, University of Paris Nanterre, EconomiX.
- Cascaldi-Garcia, Danilo & Ferreira, Thiago R.T. & Giannone, Domenico & Modugno, Michele, 2024.
"Back to the present: Learning about the euro area through a now-casting model,"
International Journal of Forecasting, Elsevier, vol. 40(2), pages 661-686.
- Danilo Cascaldi-Garcia & Thiago Revil T. Ferreira & Domenico Giannone & Michele Modugno, 2021. "Back to the Present: Learning about the Euro Area through a Now-casting Model," International Finance Discussion Papers 1313, Board of Governors of the Federal Reserve System (U.S.).
- Leif Anders Thorsrud, 2016.
"Nowcasting using news topics. Big Data versus big bank,"
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- Leif Anders Thorsrud, 2016. "Nowcasting using news topics Big Data versus big bank," Working Papers No 6/2016, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Katja Heinisch & Rolf Scheufele, 2018.
"Bottom-up or direct? Forecasting German GDP in a data-rich environment,"
Empirical Economics, Springer, vol. 54(2), pages 705-745, March.
- Katja Drechsel & Dr. Rolf Scheufele, 2012. "Bottom-up or Direct? Forecasting German GDP in a Data-rich Environment," Working Papers 2012-16, Swiss National Bank.
- Drechsel, Katja & Scheufele, Rolf, 2013. "Bottom-up or Direct? Forecasting German GDP in a Data-rich Environment," IWH Discussion Papers 7/2013, Halle Institute for Economic Research (IWH).
- Soybilgen, Barış & Yazgan, Ege, 2018. "Evaluating nowcasts of bridge equations with advanced combination schemes for the Turkish unemployment rate," Economic Modelling, Elsevier, vol. 72(C), pages 99-108.
- Lehmann, Robert & Wikman, Ida, 2022.
"Quarterly GDP Estimates for the German States,"
MPRA Paper
112642, University Library of Munich, Germany.
- Robert Lehmann & Ida Wikman, 2022. "Quarterly GDP Estimates for the German States," ifo Working Paper Series 370, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
- Robert Lehmann & Ida Wikman, 2023. "Quarterly GDP Estimates for the German States: New Data for Business Cycle Analyses and Long-Run Dynamics," CESifo Working Paper Series 10280, CESifo.
- Dandan ZHANG & Xunpeng SHI & Yu SHENG, 2014. "Enhanced Measurement of Energy Market Integration in East Asia: An Application of Dynamic Principal Component Analysis," Working Papers DP-2014-23, Economic Research Institute for ASEAN and East Asia (ERIA).
- Knut Are Aastveit & Karsten R. Gerdrup & Anne Sofie Jore & Leif Anders Thorsrud, 2011.
"Nowcasting GDP in Real-Time: A Density Combination Approach,"
Working Papers
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- Knut Are Aastveit & Karsten R. Gerdrup & Anne Sofie Jore & Leif Anders Thorsrud, 2011. "Nowcasting GDP in real-time: A density combination approach," Working Paper 2011/11, Norges Bank.
- Knut Are Aastveit & Karsten R. Gerdrup & Anne Sofie Jore & Leif Anders Thorsrud, 2014. "Nowcasting GDP in Real Time: A Density Combination Approach," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(1), pages 48-68, January.
- Lucia Alessi & Eric Ghysels & Luca Onorante & Richard Peach & Simon Potter, 2014.
"Central Bank Macroeconomic Forecasting During the Global Financial Crisis: The European Central Bank and Federal Reserve Bank of New York Experiences,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(4), pages 483-500, October.
- Onorante, Luca & Alessi, Lucia & Ghysels, Eric & Potter, Simon & Peach, Richard, 2014. "Central bank macroeconomic forecasting during the global financial crisis: the European Central Bank and Federal Reserve Bank of New York experiences," Working Paper Series 1688, European Central Bank.
- Luci Alessi & Eric Ghysels & Luca Onorante & Richard Peach & Simon M. Potter, 2014. "Central bank macroeconomic forecasting during the global financial crisis: the European Central Bank and Federal Reserve Bank of New York experiences," Staff Reports 680, Federal Reserve Bank of New York.
- Raïsa Basselier & David Antonio Liedo & Geert Langenus, 2018. "Nowcasting Real Economic Activity in the Euro Area: Assessing the Impact of Qualitative Surveys," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 14(1), pages 1-46, April.
- Massimiliano Marcellino & Mario Porqueddu & Fabrizio Venditti, 2016.
"Short-Term GDP Forecasting With a Mixed-Frequency Dynamic Factor Model With Stochastic Volatility,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(1), pages 118-127, January.
- Massimiliano Marcellino & Mario Porqueddu & Fabrizio Venditti, 2013. "Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility," Temi di discussione (Economic working papers) 896, Bank of Italy, Economic Research and International Relations Area.
- Marcellino, Massimiliano & Venditti, Fabrizio & Porqueddu, Mario, 2013. "Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility," CEPR Discussion Papers 9334, C.E.P.R. Discussion Papers.
- Jokubaitis, Saulius & Celov, Dmitrij & Leipus, Remigijus, 2021. "Sparse structures with LASSO through principal components: Forecasting GDP components in the short-run," International Journal of Forecasting, Elsevier, vol. 37(2), pages 759-776.
- Knut Are Aastveit & Francesco Ravazzolo & Herman K. van Dijk, 2014.
"Combined Density Nowcasting in an uncertain economic environment,"
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- Knut Are Aastveit & Francesco Ravazzolo & Herman K. van Dijk, 2014. "Combined Density Nowcasting in an Uncertain Economic Environment," Tinbergen Institute Discussion Papers 14-152/III, Tinbergen Institute.
- Knut Are Aastveit & Francesco Ravazzolo & Herman K. van Dijk, 2018. "Combined Density Nowcasting in an Uncertain Economic Environment," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(1), pages 131-145, January.
- Götz, Thomas B. & Knetsch, Thomas A., 2019.
"Google data in bridge equation models for German GDP,"
International Journal of Forecasting, Elsevier, vol. 35(1), pages 45-66.
- Götz, Thomas B. & Knetsch, Thomas A., 2017. "Google data in bridge equation models for German GDP," Discussion Papers 18/2017, Deutsche Bundesbank.
- Bhattacharya, Rudrani & Pandey, Radhika & Veronese, Giovanni, 2011. "Tracking India Growth in Real Time," Working Papers 11/90, National Institute of Public Finance and Policy.
- Barnett, William A. & Tang, Biyan, 2015.
"Chinese Divisia monetary index and GDP nowcasting,"
MPRA Paper
67691, University Library of Munich, Germany.
- William A. Barnett & Biyan Tang, 2016. "Chinese Divisia Monetary Index and GDP Nowcasting," Open Economies Review, Springer, vol. 27(5), pages 825-849, November.
- William Barnett & Biyan Tang, 2015. "Chinese Divisia Monetary Index and GDP Nowcasting," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201506, University of Kansas, Department of Economics, revised Nov 2015.
- Laurent Ferrara & Dominique Guégan & Patrick Rakotomarolahy, 2010.
"GDP nowcasting with ragged-edge data: a semi-parametric modeling,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 186-199.
- Laurent Ferrara & Dominique Guegan & Patrick Rakotomarolahy, 2010. "GDP nowcasting with ragged-edge data: a semi-parametric modeling," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00460461, HAL.
- Laurent Ferrara & Dominique Guegan & Patrick Rakotomarolahy, 2008. "GDP nowcasting with ragged-edge data: A semi-parametric modelling," Documents de travail du Centre d'Economie de la Sorbonne b08082, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Nov 2009.
- Laurent Ferrara & Dominique Guegan & Patrick Rakotomarolahy, 2010. "GDP nowcasting with ragged-edge data: a semi-parametric modeling," PSE-Ecole d'économie de Paris (Postprint) halshs-00460461, HAL.
- Laurent Ferrara & Dominique Guegan & Patrick Rakotomarolahy, 2009. "GDP nowcasting with ragged-edge data : A semi-parametric modelling," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00344839, HAL.
- Mayr, Johannes, 2010. "Forecasting Macroeconomic Aggregates," Munich Dissertations in Economics 11140, University of Munich, Department of Economics.
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"Short-term forecasting GDP with a DSGE model augmented by monthly indicators,"
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- Pirschel, Inske, 2016. "Forecasting euro area recessions in real-time," Kiel Working Papers 2020, Kiel Institute for the World Economy (IfW Kiel).
- Laurent Ferrara & Anna Simoni, 2023.
"When are Google Data Useful to Nowcast GDP? An Approach via Preselection and Shrinkage,"
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- Laurent Ferrara & Anna Simoni, 2020. "When are Google data useful to nowcast GDP? An approach via pre-selection and shrinkage," EconomiX Working Papers 2020-11, University of Paris Nanterre, EconomiX.
- Laurent Ferrara & Anna Simoni, 2019. "When are Google data useful to nowcast GDP? An approach via pre-selection and shrinkage," Working papers 717, Banque de France.
- Laurent Ferrara & Anna Simoni, 2019. "When are Google data useful to nowcast GDP? An approach via pre-selection and shrinkage," Working Papers 2019-04, Center for Research in Economics and Statistics.
- Laurent Ferrara & Anna Simoni, 2020. "When are Google data useful to nowcast GDP? An approach via pre-selection and shrinkage," Papers 2007.00273, arXiv.org, revised Sep 2022.
- Laurent Ferrara & Anna Simoni, 2023. "When are Google Data Useful to Nowcast GDP? An Approach via Preselection and Shrinkage," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(4), pages 1188-1202, October.
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"Macroeconomic dynamics and inflation regimes in the U.S. Results from threshold vector autoregressions,"
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201012, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
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"Great Moderation and Great Recession. From plain sailing to stormy seas?,"
EcoMod2015
8267, EcoMod.
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- Mr. Ashoka Mody & Ms. Alina Carare, 2010. "Spillovers of Domestic Shocks: Will They Counteract the “Great Moderation”?," IMF Working Papers 2010/078, International Monetary Fund.
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"Deposit interest rate ceilings as credit supply shifters: bank level evidence on the effects of Regulation Q,"
Working Papers
1406, Federal Reserve Bank of Dallas.
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- Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2007.
"A Review of Nonfundamentalness and Identification in Structural VAR Models,"
LEM Papers Series
2007/22, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
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- Friedrich Lucke, 2022. "The Great Moderation and the Financial Cycle," Working Papers REM 2022/0238, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
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- Joshua Brodie & Ingrid Daubechies & Christine De Mol & Domenico Giannone & Ignace Loris, 2007.
"Sparse and stable Markowitz portfolios,"
Papers
0708.0046, arXiv.org, revised May 2008.
- Giannone, Domenico & De Mol, Christine & Daubechies, Ingrid & Brodie, Joshua, 2007. "Sparse and Stable Markowitz Portfolios," CEPR Discussion Papers 6474, C.E.P.R. Discussion Papers.
- Giannone, Domenico & De Mol, Christine & Brodie, Joshua & Daubechies, Ingrid & Loris, Ignace, 2008. "Sparse and stable Markowitz portfolios," Working Paper Series 936, European Central Bank.
Cited by:
- Gianbiagio Curato & Jim Gatheral & Fabrizio Lillo, 2014. "Optimal execution with nonlinear transient market impact," Papers 1412.4839, arXiv.org.
- Giovanni Bonaccolto & Massimiliano Caporin & Sandra Paterlini, 2015.
"Asset Allocation Strategies Based On Penalized Quantile Regression,"
"Marco Fanno" Working Papers
0199, Dipartimento di Scienze Economiche "Marco Fanno".
- Giovanni Bonaccolto & Massimiliano Caporin & Sandra Paterlini, 2015. "Asset Allocation Strategies Based on Penalized Quantile Regression," Papers 1507.00250, arXiv.org.
- Giovanni Bonaccolto & Massimiliano Caporin & Sandra Paterlini, 2018. "Asset allocation strategies based on penalized quantile regression," Computational Management Science, Springer, vol. 15(1), pages 1-32, January.
- Mohammed Bouaddi & Abderrahim Taamouti, 2012. "Portfolio risk management in a data-rich environment," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 26(4), pages 469-494, December.
- W. Briec & K. Kerstens & I. van de Woestyne, 2013.
"Portfolio selection with skewness : a comparison of methods and a generalized one fund result,"
Post-Print
hal-00837674, HAL.
- Briec, Walter & Kerstens, Kristiaan & Van de Woestyne, Ignace, 2013. "Portfolio selection with skewness: A comparison of methods and a generalized one fund result," European Journal of Operational Research, Elsevier, vol. 230(2), pages 412-421.
- Walter Briec & Kristiaan Kerstens & Ignace Van de Woestyne, 2013. "Portfolio Selection with Skewness: A Comparison of Methods and a Generalized One Fund Result," Working Papers 2013-ECO-04, IESEG School of Management.
- Philipp J. Kremer & Andreea Talmaciu & Sandra Paterlini, 2018. "Risk minimization in multi-factor portfolios: What is the best strategy?," Annals of Operations Research, Springer, vol. 266(1), pages 255-291, July.
- Fan, Jianqing & Liao, Yuan & Shi, Xiaofeng, 2013.
"Risks of large portfolios,"
MPRA Paper
44206, University Library of Munich, Germany.
- Jianqing Fan & Yuan Liao & Xiaofeng Shi, 2013. "Risks of Large Portfolios," Papers 1302.0926, arXiv.org.
- Fan, Jianqing & Liao, Yuan & Shi, Xiaofeng, 2015. "Risks of large portfolios," Journal of Econometrics, Elsevier, vol. 186(2), pages 367-387.
- Imre Kondor & G'abor Papp & Fabio Caccioli, 2017. "Analytic approach to variance optimization under an $\ell_1$ constraint," Papers 1709.08755, arXiv.org, revised Jul 2018.
- A. Belloni & D. Chen & V. Chernozhukov & C. Hansen, 2012.
"Sparse Models and Methods for Optimal Instruments With an Application to Eminent Domain,"
Econometrica, Econometric Society, vol. 80(6), pages 2369-2429, November.
- Alexandre Belloni & D. Chen & Victor Chernozhukov & Christian Hansen, 2010. "Sparse models and methods for optimal instruments with an application to eminent domain," CeMMAP working papers CWP31/10, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Alexandre Belloni & Daniel Chen & Victor Chernozhukov & Christian Hansen, 2010. "Sparse Models and Methods for Optimal Instruments with an Application to Eminent Domain," Papers 1010.4345, arXiv.org, revised Apr 2015.
- Akiko Takeda & Mahesan Niranjan & Jun-ya Gotoh & Yoshinobu Kawahara, 2013. "Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios," Computational Management Science, Springer, vol. 10(1), pages 21-49, February.
- Yen, Yu-Min & Yen, Tso-Jung, 2014. "Solving norm constrained portfolio optimization via coordinate-wise descent algorithms," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 737-759.
- Maillet, Bertrand & Tokpavi, Sessi & Vaucher, Benoit, 2015.
"Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach,"
European Journal of Operational Research, Elsevier, vol. 244(1), pages 289-299.
- Bertrand Maillet & Sessi Tokpavi & Benoit Vaucher, 2015. "Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach," Post-Print hal-01243408, HAL.
- Mayr, Johannes, 2010. "Forecasting Macroeconomic Aggregates," Munich Dissertations in Economics 11140, University of Munich, Department of Economics.
- Yu-Min Yen, 2010. "A Note on Sparse Minimum Variance Portfolios and Coordinate-Wise Descent Algorithms," Papers 1005.5082, arXiv.org, revised Sep 2013.
- Margherita Giuzio & Kay Eichhorn-Schott & Sandra Paterlini & Vincent Weber, 2018. "Tracking hedge funds returns using sparse clones," Annals of Operations Research, Springer, vol. 266(1), pages 349-371, July.
- Mian Huang & Shangbing Yu & Weixin Yao, 2022. "Regularized Factor Portfolio for Cross-sectional Multifactor Models," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 84(2), pages 427-449, August.
- Joshua Brodie & Ingrid Daubechies & Christine De Mol & Domenico Giannone & Ignace Loris, 2007.
"Sparse and stable Markowitz portfolios,"
Papers
0708.0046, arXiv.org, revised May 2008.
- Giannone, Domenico & De Mol, Christine & Daubechies, Ingrid & Brodie, Joshua, 2007. "Sparse and Stable Markowitz Portfolios," CEPR Discussion Papers 6474, C.E.P.R. Discussion Papers.
- Giannone, Domenico & De Mol, Christine & Brodie, Joshua & Daubechies, Ingrid & Loris, Ignace, 2008. "Sparse and stable Markowitz portfolios," Working Paper Series 936, European Central Bank.
- Nikolaus Hautsch & Stefan Voigt, 2017.
"Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty,"
Papers
1709.06296, arXiv.org, revised Jun 2018.
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- Hautsch, Nikolaus & Voigt, Stefan, 2019. "Large-scale portfolio allocation under transaction costs and model uncertainty," Journal of Econometrics, Elsevier, vol. 212(1), pages 221-240.
- Paulo Ferreira Naibert & João F. Caldeira, 2016. "Seleção De Carteiras Com Restrição Das Normas Das Posições: Uma Comparação Empírica Entre Diferentes Níveis De Restrição De Exposição Para Dados Da Bm&Fbovespa," Anais do XLII Encontro Nacional de Economia [Proceedings of the 42nd Brazilian Economics Meeting] 132, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
- Cristina Conflitti & Christine De Mol & Domenico Giannone, 2012.
"Optimal Combination of Survey Forecasts,"
Working Papers ECARES
ECARES 2012-023, ULB -- Universite Libre de Bruxelles.
- Conflitti, Cristina & De Mol, Christine & Giannone, Domenico, 2015. "Optimal combination of survey forecasts," International Journal of Forecasting, Elsevier, vol. 31(4), pages 1096-1103.
- Giannone, Domenico & De Mol, Christine & Conflitti, Cristina, 2012. "Optimal Combination of Survey Forecasts," CEPR Discussion Papers 9096, C.E.P.R. Discussion Papers.
- Richard K. Crump & Domenico Giannone & Sean Hundtofte, 2018.
"Changing Risk-Return Profiles,"
Liberty Street Economics
20181004, Federal Reserve Bank of New York.
- Richard K. Crump & Miro Everaert & Domenico Giannone & Sean Hundtofte, 2018. "Changing Risk-Return Profiles," Staff Reports 850, Federal Reserve Bank of New York.
- Imre Kondor, 2014. "Estimation Error of Expected Shortfall," Papers 1402.5534, arXiv.org.
- Carlos Castro, 2010. "Portfolio choice under local industry and country factors," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 24(4), pages 353-393, December.
- Ignace Loris & Caroline Verhoeven, 2013. "An iterative algorithm for sparse and constrained recovery with applications to divergence-free current reconstructions in magneto-encephalography," Computational Optimization and Applications, Springer, vol. 54(2), pages 399-416, March.
- Jun-ya Gotoh & Akiko Takeda, 2011. "On the role of norm constraints in portfolio selection," Computational Management Science, Springer, vol. 8(4), pages 323-353, November.
- Enzo Busseti & Fabrizio Lillo, 2012. "Calibration of optimal execution of financial transactions in the presence of transient market impact," Papers 1206.0682, arXiv.org.
- Qing Yang & Zhenning Hong & Ruyan Tian & Tingting Ye & Liangliang Zhang, 2020.
"Asset Allocation via Machine Learning and Applications to Equity Portfolio Management,"
Papers
2011.00572, arXiv.org, revised Nov 2020.
- Zhenning Hong & Ruyan Tian & Qing Yang & Weiliang Yao & Tingting Ye & Liangliang Zhang, 2021. "Asset Allocation via Machine Learning," Accounting and Finance Research, Sciedu Press, vol. 10(4), pages 1-34, November.
- Caihua Chen & Xindan Li & Caleb Tolman & Suyang Wang & Yinyu Ye, 2013. "Sparse Portfolio Selection via Quasi-Norm Regularization," Papers 1312.6350, arXiv.org.
- Serge Darolles & Christian Gouriéroux & Emmanuelle Jay, 2012. "Robust Portfolio Allocation with Systematic Risk Contribution Restrictions," Working Papers 2012-35, Center for Research in Economics and Statistics.
- Björn Fastrich & Peter Winker, 2014. "Combining Forecasts with Missing Data: Making Use of Portfolio Theory," Computational Economics, Springer;Society for Computational Economics, vol. 44(2), pages 127-152, August.
- Bjoern Fastrich & Sandra Paterlini & Peter Winker, 2011.
"Cardinality versus q-Norm Constraints for Index Tracking,"
Center for Economic Research (RECent)
056, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Bjöern Fastrich & Sandra Paterlini & Peter Winker, 2011. "Cardinality versus q-Norm Constraints for Index Tracking," Department of Economics 0642, University of Modena and Reggio E., Faculty of Economics "Marco Biagi".
- Bj�rn Fastrich & Sandra Paterlini & Peter Winker, 2014. "Cardinality versus q -norm constraints for index tracking," Quantitative Finance, Taylor & Francis Journals, vol. 14(11), pages 2019-2032, November.
- Yu Zheng & Timothy M. Hospedales & Yongxin Yang, 2018. "Diversity and Sparsity: A New Perspective on Index Tracking," Papers 1809.01989, arXiv.org, revised Feb 2020.
- Aït-Sahalia, Yacine & Xiu, Dacheng, 2017. "Using principal component analysis to estimate a high dimensional factor model with high-frequency data," Journal of Econometrics, Elsevier, vol. 201(2), pages 384-399.
- Fabio Caccioli & Imre Kondor & Matteo Marsili & Susanne Still, 2014. "$L_p$ regularized portfolio optimization," Papers 1404.4040, arXiv.org.
- B. Fastrich & S. Paterlini & P. Winker, 2015. "Constructing optimal sparse portfolios using regularization methods," Computational Management Science, Springer, vol. 12(3), pages 417-434, July.
- Gianbiagio Curato & Jim Gatheral & Fabrizio Lillo, 2017. "Optimal execution with non-linear transient market impact," Quantitative Finance, Taylor & Francis Journals, vol. 17(1), pages 41-54, January.
- Oleksandr Romanko & Helmut Mausser, 2016. "Robust scenario-based value-at-risk optimization," Annals of Operations Research, Springer, vol. 237(1), pages 203-218, February.
- Aaron J Molstad & Adam J Rothman, 2018. "Shrinking characteristics of precision matrix estimators," Biometrika, Biometrika Trust, vol. 105(3), pages 563-574.
- Oliver Hülsewig & Johannes Mayr & Timo Wollmershäuser, 2008. "Forecasting Euro Area Real GDP: Optimal Pooling of Information," CESifo Working Paper Series 2371, CESifo.
- Mr. Jorge A Chan-Lau, 2017. "Lasso Regressions and Forecasting Models in Applied Stress Testing," IMF Working Papers 2017/108, International Monetary Fund.
- Oikonomou, Ioannis & Platanakis, Emmanouil & Sutcliffe, Charles, 2018. "Socially responsible investment portfolios: Does the optimization process matter?," The British Accounting Review, Elsevier, vol. 50(4), pages 379-401.
- Jianqing Fan & Jingjin Zhang & Ke Yu, 2008. "Asset Allocation and Risk Assessment with Gross Exposure Constraints for Vast Portfolios," Papers 0812.2604, arXiv.org.
- Daniel Kinn, 2018. "Reducing Estimation Risk in Mean-Variance Portfolios with Machine Learning," Papers 1804.01764, arXiv.org, revised Jul 2018.
- C. Gourieroux & A. Monfort, 2013. "Granularity Adjustment for Efficient Portfolios," Econometric Reviews, Taylor & Francis Journals, vol. 32(4), pages 449-468, December.
- Philipp J. Kremer & Sangkyun Lee & Malgorzata Bogdan & Sandra Paterlini, 2017. "Sparse Portfolio Selection via the sorted $\ell_{1}$-Norm," Papers 1710.02435, arXiv.org.
- Briec, Walter & Kerstens, Kristiaan & Van de Woestyne, Ignace, 2011. "Portfolio Selection with Skewness: A Comparison and a Generalized Two Fund Separation Result," Working Papers 2011/09, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
- Jun-ya Gotoh & Akiko Takeda & Rei Yamamoto, 2014. "Interaction between financial risk measures and machine learning methods," Computational Management Science, Springer, vol. 11(4), pages 365-402, October.
- Reichlin, Lucrezia & Doz, Catherine & Giannone, Domenico, 2007.
"A Two-Step Estimator for Large Approximate Dynamic Factor Models Based on Kalman Filtering,"
CEPR Discussion Papers
6043, C.E.P.R. Discussion Papers.
- Doz, Catherine & Giannone, Domenico & Reichlin, Lucrezia, 2011. "A two-step estimator for large approximate dynamic factor models based on Kalman filtering," Journal of Econometrics, Elsevier, vol. 164(1), pages 188-205, September.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2006. "A Two-step estimator for large approximate dynamic factor models based on Kalman filtering," THEMA Working Papers 2006-23, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2011. "A two-step estimator for large approximate dynamic factor models based on Kalman filtering," Post-Print hal-00638009, HAL.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2011. "A two-step estimator for large approximate dynamic factor models based on Kalman filtering," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00638009, HAL.
- Catherine Doz & Lucrezia Reichlin, 2011. "A two-step estimator for large approximate dynamic factor models based on Kalman filtering," Post-Print hal-00844811, HAL.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2011. "A two-step estimator for large approximate dynamic factor models based on Kalman filtering," PSE-Ecole d'économie de Paris (Postprint) hal-00638009, HAL.
Cited by:
- Oxana Babecka Kucharcukova & Jan Bruha, 2016. "Nowcasting the Czech Trade Balance," Working Papers 2016/11, Czech National Bank.
- Robert Lehmann, 2016. "Economic Growth and Business Cycle Forecasting at the Regional Level," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 65.
- Lamprou, Dimitra, 2016. "Nowcasting GDP in Greece: The impact of data revisions and forecast origin on model selection and performance," The Journal of Economic Asymmetries, Elsevier, vol. 14(PA), pages 93-102.
- Heaton, Chris & Oslington, Paul, 2010.
"Micro vs macro explanations of post-war US unemployment movements,"
Economics Letters, Elsevier, vol. 106(2), pages 87-91, February.
- Chris Heaton & Paul Oslington, 2006. "Micro Vs Macro Explanations of Post-War US Unemployment Movements," Research Papers 0604, Macquarie University, Department of Economics.
- Claudio Morana, 2010. "Heteroskedastic Factor Vector Autoregressive Estimation of Persistent and Non Persistent Processes Subject to Structural Breaks," ICER Working Papers - Applied Mathematics Series 36-2010, ICER - International Centre for Economic Research.
- Marcellino, Massimiliano & Sivec, Vasja, 2016.
"Monetary, fiscal and oil shocks: Evidence based on mixed frequency structural FAVARs,"
Journal of Econometrics, Elsevier, vol. 193(2), pages 335-348.
- Marcellino, Massimiliano & Sivec, Vasja, 2015. "Monetary, Fiscal and Oil Shocks: Evidence based on Mixed Frequency Structural FAVARs," CEPR Discussion Papers 10610, C.E.P.R. Discussion Papers.
- Claudio Morana, 2014. "Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks," Working Papers 273, University of Milano-Bicocca, Department of Economics, revised May 2014.
- Elena Andreou & Eric Ghysels & Andros Kourtellos, 2010.
"Should macroeconomic forecasters use daily financial data and how?,"
University of Cyprus Working Papers in Economics
09-2010, University of Cyprus Department of Economics.
- Elena Andreou & Eric Ghysels & Andros Kourtellos, 2013. "Should Macroeconomic Forecasters Use Daily Financial Data and How?," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(2), pages 240-251, April.
- Eric Ghysels & Andros Kourtellos & Elena Andreou, 2012. "Should macroeconomic forecasters use daily financial data and how?," 2012 Meeting Papers 1196, Society for Economic Dynamics.
- Elena Andreou & Eric Ghysels & Andros Kourtellos, 2010. "Should Macroeconomic Forecasters Use Daily Financial Data and How?," Working Paper series 42_10, Rimini Centre for Economic Analysis.
- Poncela, Pilar & Ruiz Ortega, Esther, 2012. "More is not always better : back to the Kalman filter in dynamic factor models," DES - Working Papers. Statistics and Econometrics. WS ws122317, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Frauke Schleer & Willi Semmler, 2014.
"Financial Sector and Output Dynamics in the Euro Area: Non-linearities Reconsidered,"
SCEPA working paper series.
2014-5, Schwartz Center for Economic Policy Analysis (SCEPA), The New School.
- Schleer, Frauke & Semmler, Willi, 2015. "Financial sector and output dynamics in the euro area: Non-linearities reconsidered," Journal of Macroeconomics, Elsevier, vol. 46(C), pages 235-263.
- Schleer, Frauke & Semmler, Willi, 2014. "Financial Sector and Output Dynamics in the Euro Area: Non-linearities Reconsidered," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100578, Verein für Socialpolitik / German Economic Association.
- Audrone Jakaitiene & Stephane Dees, 2012.
"Forecasting the World Economy in the Short Term,"
The World Economy, Wiley Blackwell, vol. 35(3), pages 331-350, March.
- Jakaitiene, Audrone & Dées, Stéphane, 2009. "Forecasting the world economy in the short-term," Working Paper Series 1059, European Central Bank.
- Maurizio Daniele & Winfried Pohlmeier & Aygul Zagidullina, 2018.
"Sparse Approximate Factor Estimation for High-Dimensional Covariance Matrices,"
Working Paper Series of the Department of Economics, University of Konstanz
2018-07, Department of Economics, University of Konstanz.
- Maurizio Daniele & Winfried Pohlmeier & Aygul Zagidullina, 2020. "Sparse Approximate Factor Estimation for High-Dimensional Covariance Matrices," Working Paper series 20-03, Rimini Centre for Economic Analysis.
- Maurizio Daniele & Winfried Pohlmeier & Aygul Zagidullina, 2019. "Sparse Approximate Factor Estimation for High-Dimensional Covariance Matrices," Papers 1906.05545, arXiv.org.
- Bańbura, Marta & Giannone, Domenico & Lenza, Michele, 2015.
"Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections,"
International Journal of Forecasting, Elsevier, vol. 31(3), pages 739-756.
- Giannone, Domenico & Banbura, Marta & Lenza, Michele, 2014. "Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections," CEPR Discussion Papers 9931, C.E.P.R. Discussion Papers.
- Martha Banbura & Domenico Giannone & Michèle Lenza, 2014. "Conditional Forecasts and Scenario Analysis with Vector Autoregressions for Large Cross-Sections," Working Papers ECARES ECARES 2014-15, ULB -- Universite Libre de Bruxelles.
- Giannone, Domenico & Bańbura, Marta & Lenza, Michele, 2014. "Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections," Working Paper Series 1733, European Central Bank.
- Marie Bessec, 2013.
"Short-term forecasts of French GDP: A dynamic factor model with targeted predictors,"
Post-Print
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"Nowcasting Czech GDP in Real Time,"
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2013/06, Czech National Bank.
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"Dynamic Factor Models: A review of the Literature ,"
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430, Banque de France.
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"Nowcasting the state of the Italian economy: The role of financial markets,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(7), pages 1569-1593, November.
- Donato Ceci & Andrea Silvestrini, 2022. "Nowcasting the state of the Italian economy: the role of financial markets," Temi di discussione (Economic working papers) 1362, Bank of Italy, Economic Research and International Relations Area.
- Siem Jan Koopman & Geert Mesters, 2014.
"Empirical Bayes Methods for Dynamic Factor Models,"
Tinbergen Institute Discussion Papers
14-061/III, Tinbergen Institute.
- S. J. Koopman & G. Mesters, 2017. "Empirical Bayes Methods for Dynamic Factor Models," The Review of Economics and Statistics, MIT Press, vol. 99(3), pages 486-498, July.
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"Structural analysis with Multivariate Autoregressive Index models,"
Journal of Econometrics, Elsevier, vol. 192(2), pages 332-348.
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- Danilo Cascaldi-Garcia & Matteo Luciani & Michele Modugno, 2023. "Lessons from Nowcasting GDP across the World," International Finance Discussion Papers 1385, Board of Governors of the Federal Reserve System (U.S.).
- Bantis, Evripidis & Clements, Michael P. & Urquhart, Andrew, 2023. "Forecasting GDP growth rates in the United States and Brazil using Google Trends," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1909-1924.
- Francisco Blasques & Enzo D'Innocenzo & Siem Jan Koopman, 2021. "Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidence," Tinbergen Institute Discussion Papers 21-057/III, Tinbergen Institute.
- William A. Barnett & Marcelle Chauvet & Danilo Leiva-Leon, 2014. "Real-Time Nowcasting of Nominal GDP Under Structural Breaks," Staff Working Papers 14-39, Bank of Canada.
- Maldonado, Javier & Ruiz Ortega, Esther, 2017. "Accurate Subsampling Intervals of Principal Components Factors," DES - Working Papers. Statistics and Econometrics. WS 23974, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
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- Sandra Bilek-Steindl & Thomas Url, 2022. "Nowcasting and monitoring SDG 8," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 49(2), pages 313-345, May.
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- Duprey, Thibaut & Klaus, Benjamin, 2022. "Early warning or too late? A (pseudo-)real-time identification of leading indicators of financial stress," Journal of Banking & Finance, Elsevier, vol. 138(C).
- Mr. Sohrab Rafiq, 2015. "Monetary Policy Transmission and Financial Stability in a LIC: The Case of Bangladesh," IMF Working Papers 2015/231, International Monetary Fund.
- Juho Koistinen & Bernd Funovits, 2022. "Estimation of Impulse-Response Functions with Dynamic Factor Models: A New Parametrization," Papers 2202.00310, arXiv.org, revised Feb 2022.
- Ardia, David & Bluteau, Keven & Boudt, Kris, 2019. "Questioning the news about economic growth: Sparse forecasting using thousands of news-based sentiment values," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1370-1386.
- Andreini, Paolo & Hasenzagl, Thomas & Reichlin, Lucrezia & Senftleben-König, Charlotte & Strohsal, Till, 2023. "Nowcasting German GDP: Foreign factors, financial markets, and model averaging," International Journal of Forecasting, Elsevier, vol. 39(1), pages 298-313.
- Riccardo (Jack) Lucchetti & Ioannis A. Venetis, 2019. "Dynamic Factor Models in gretl. The DFM package," gretl working papers 7, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
- Gideon Du Rand & Kevin Kotze & Stan Du Plessis, 2015.
"Measuring Core Inflation in South Africa,"
Working Papers
503, Economic Research Southern Africa.
- Stan Plessis & Gideon Rand & Kevin Kotzé, 2015. "Measuring Core Inflation in South Africa," South African Journal of Economics, Economic Society of South Africa, vol. 83(4), pages 527-548, December.
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- Lya Paola Sierra Suárez & Jaime Andrés Collazos-Rodríguez & Johana Sanabria-Domínguez & Pavel Vidal-Alejandro, 2017. "La construcción de indicadores de la actividad económica: una revisión bibliográfica," Apuntes del Cenes, Universidad Pedagógica y Tecnológica de Colombia, vol. 36(64), pages 79-107, October.
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"Model selection with factors and variables,"
University of East Anglia School of Economics Working Paper Series
2016-07, School of Economics, University of East Anglia, Norwich, UK..
- Jack Fosten, 2017. "Model selection with estimated factors and idiosyncratic components," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(6), pages 1087-1106, September.
- Caruso, Alberto, 2018. "Nowcasting with the help of foreign indicators: The case of Mexico," Economic Modelling, Elsevier, vol. 69(C), pages 160-168.
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- Alberto Caruso, 2015. "Nowcasting Mexican GDP," Working Papers ECARES ECARES 2015-40, ULB -- Universite Libre de Bruxelles.
- Björn Roye, 2014. "Financial stress and economic activity in Germany," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 41(1), pages 101-126, February.
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"Real-time forecasting in a data-rich environment,"
Research Technical Papers
07/RT/12, Central Bank of Ireland.
- Liebermann, Joelle, 2012. "Real-time forecasting in a data-rich environment," MPRA Paper 39452, University Library of Munich, Germany.
- Martin Feldkircher & Florian Huber & Josef Schreiner & Julia Woerz & Marcel Tirpak & Peter Toth, 2015. "Small-scale nowcasting models of GDP for selected CESEE countries," Working and Discussion Papers WP 4/2015, Research Department, National Bank of Slovakia.
- Pilar Poncela & Eva Senra & Lya Paola Sierra, 2020. "Global vs Sectoral Factors and the Impact of the Financialization in Commodity Price Changes," Open Economies Review, Springer, vol. 31(4), pages 859-879, September.
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- Kihwan Kim & Norman Swanson, 2013. "Diffusion Index Model Specification and Estimation Using Mixed Frequency Datasets," Departmental Working Papers 201315, Rutgers University, Department of Economics.
- Kappler, Marcus & Schleer, Frauke, 2017.
"A financially stressed euro area,"
Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 11, pages 1-37.
- Kappler, Marcus & Schleer, Frauke, 2016. "A financially stressed Euro area," Economics Discussion Papers 2016-22, Kiel Institute for the World Economy (IfW Kiel).
- Françoise Charpin, 2011. "Réévaluation des modèles d’estimation précoce de la croissance," Sciences Po publications info:hdl:2441/eu4vqp9ompq, Sciences Po.
- Mäkinen, Mikko, 2016. "Nowcasting of Russian GDP growth," BOFIT Policy Briefs 4/2016, Bank of Finland Institute for Emerging Economies (BOFIT).
- Bai, Jushan & Liao, Yuan, 2017. "Inferences in panel data with interactive effects using large covariance matrices," Journal of Econometrics, Elsevier, vol. 200(1), pages 59-78.
- Xiong, Ruoxuan & Pelger, Markus, 2023. "Large dimensional latent factor modeling with missing observations and applications to causal inference," Journal of Econometrics, Elsevier, vol. 233(1), pages 271-301.
- Matteo Barigozzi & Matteo Luciani, 2019. "Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm," Papers 1910.03821, arXiv.org, revised Feb 2022.
- Kappler, Marcus & Schleer, Frauke, 2013. "How many factors and shocks cause financial stress?," ZEW Discussion Papers 13-100, ZEW - Leibniz Centre for European Economic Research.
- Borus Jungbacker & Siem Jan Koopman, 2008. "Likelihood-based Analysis for Dynamic Factor Models," Tinbergen Institute Discussion Papers 08-007/4, Tinbergen Institute, revised 20 Mar 2014.
- Giannone, Domenico & Matheson, Troy, 2007.
"A New Core Inflation Indicator for New Zealand,"
CEPR Discussion Papers
6469, C.E.P.R. Discussion Papers.
- Domenico Giannone & Troy D. Matheson, 2007. "A New Core Inflation Indicator for New Zealand," International Journal of Central Banking, International Journal of Central Banking, vol. 3(4), pages 145-180, December.
- Domenico Giannone & Troy Matheson, 2007. "A new core inflation indicator for New Zealand," ULB Institutional Repository 2013/6407, ULB -- Universite Libre de Bruxelles.
- Domenico Giannone & Troy Matheson, 2006. "A new core inflation indicator for New Zealand," Reserve Bank of New Zealand Discussion Paper Series DP2006/02, Reserve Bank of New Zealand.
Cited by:
- Riccardo Cristadoro & Giuseppe Saporito & Fabrizio Venditti, 2013.
"Forecasting inflation and tracking monetary policy in the euro area: does national information help?,"
Empirical Economics, Springer, vol. 44(3), pages 1065-1086, June.
- Venditti, Fabrizio & Cristadoro, Riccardo & Saporito, Giuseppe, 2008. "Forecasting inflation and tracking monetary policy in the euro area: does national information help?," Working Paper Series 900, European Central Bank.
- Riccardo Cristadoro & Fabrizio Venditti & Giuseppe Saporito, 2008. "Forecasting inflation and tracking monetary policy in the euro area: does national information help?," Temi di discussione (Economic working papers) 677, Bank of Italy, Economic Research and International Relations Area.
- Domenico Giannone & Troy Matheson, 2006.
"A new core inflation indicator for New Zealand,"
Reserve Bank of New Zealand Discussion Paper Series
DP2006/02, Reserve Bank of New Zealand.
- Giannone, Domenico & Matheson, Troy, 2007. "A New Core Inflation Indicator for New Zealand," CEPR Discussion Papers 6469, C.E.P.R. Discussion Papers.
- Domenico Giannone & Troy Matheson, 2007. "A new core inflation indicator for New Zealand," ULB Institutional Repository 2013/6407, ULB -- Universite Libre de Bruxelles.
- Domenico Giannone & Troy D. Matheson, 2007. "A New Core Inflation Indicator for New Zealand," International Journal of Central Banking, International Journal of Central Banking, vol. 3(4), pages 145-180, December.
- Ant?nio Cl¨¦cio de Brito & Elano Ferreira Arruda & Ivan Castelar & Nicolino Trompieri Neto & Cristiano Santos, 2019. "Core Inflation, Expectations and Inflation Dynamics in Brazil," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 11(6), pages 1-1, June.
- Elena Deryugina & Alexey Ponomarenko & Andrey Sinyakov & Konstantin Sorokin, 2015.
"Evaluating the underlying inflation measures for Russia,"
Bank of Russia Working Paper Series
wps4, Bank of Russia.
- Elena Deryugina & Alexey Ponomarenko & Andrey Sinyakov & Constantine Sorokin, 2018. "Evaluating underlying inflation measures for Russia," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 11(2), pages 124-145, May.
- Deryugina, Elena & Ponomarenko, Alexey & Sinyakov, Andrey & Sorokin, Constantine, 2015. "Evaluating underlying inflation measures for Russia," BOFIT Discussion Papers 24/2015, Bank of Finland Institute for Emerging Economies (BOFIT).
- Carlomagno, Guillermo & Fornero, Jorge & Sansone, Andrés, 2023. "A proposal for constructing and evaluating core inflation measures," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 4(3).
- Marlene Amstad & Simon M. Potter & Robert W. Rich, 2017. "The New York Fed Staff Underlying Inflation Gauge (UIG)," Economic Policy Review, Federal Reserve Bank of New York, issue 23-2, pages 1-32.
- Rangan Gupta & Alain Kabundi & Stephen M. Miller, 2009.
"Forecasting the US Real House Price Index: Structural and Non-Structural Models with and without Fundamentals,"
Working papers
2009-42, University of Connecticut, Department of Economics.
- Gupta, Rangan & Kabundi, Alain & Miller, Stephen M., 2011. "Forecasting the US real house price index: Structural and non-structural models with and without fundamentals," Economic Modelling, Elsevier, vol. 28(4), pages 2013-2021, July.
- Rangan Gupta & Alan Kabundi & Stephen M. Miller, 2010. "Forecasting the US Real House Price Index: Structural and Non-Structural Models with and without Fundamentals," Working Papers 1001, University of Nevada, Las Vegas , Department of Economics.
- Rangan Gupta & Alain Kabundi & Stephen M. Miller, 2009. "Forecasting the US Real House Price Index: Structural and Non-Structural Models with and without Fundamentals," Working Papers 200927, University of Pretoria, Department of Economics.
- Chris Bloor, 2009. "The use of statistical forecasting models at the Reserve Bank of New Zealand," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 72, pages 21-26, June.
- Davide Delle Monache & Ivan Petrella & Fabrizio Venditti, 2016.
"Common Faith or Parting Ways? A Time Varying Parameters Factor Analysis of Euro-Area Inflation,"
Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 539-565,
Emerald Group Publishing Limited.
- Delle Monache & Ivan Petrella & Fabrizio Venditti, 2015. "Common faith or parting ways? A time varying parameters factor analysis of euro-area inflation," Birkbeck Working Papers in Economics and Finance 1515, Birkbeck, Department of Economics, Mathematics & Statistics.
- Mark A. Wynne, 2008. "How should central banks define price stability?," Globalization Institute Working Papers 08, Federal Reserve Bank of Dallas.
- Pincheira, Pablo & Selaive, Jorge & Nolazco, Jose Luis, 2017.
"Forecasting Inflation in Latin America with Core Measures,"
MPRA Paper
80496, University Library of Munich, Germany.
- Pincheira-Brown, Pablo & Selaive, Jorge & Nolazco, Jose Luis, 2019. "Forecasting inflation in Latin America with core measures," International Journal of Forecasting, Elsevier, vol. 35(3), pages 1060-1071.
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"Dynamic Factors in the Presence of Block Structure,"
Economics Working Papers
ECO2008/22, European University Institute.
- Marc Hallin & Roman Liska, 2008. "Dynamic Factors in the Presence of Block Structure," Working Papers ECARES 2008_012, ULB -- Universite Libre de Bruxelles.
- Rachel Holden, 2006. "Measuring core inflation," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 69, pages 1-7, December.
- Marlene Amstad & Ye Huan & Guonan Ma, 2014.
"Developing an underlying inflation gauge for China,"
BIS Working Papers
465, Bank for International Settlements.
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"Some Benefits of Monetary-Policy Transparency in New Zealand,"
Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 57(11-12), pages 521-539, December.
- Aaron Drew & Özer Karagedikli, 2008. "Some benefits of monetary policy transparency in New Zealand," Reserve Bank of New Zealand Discussion Paper Series DP2008/01, Reserve Bank of New Zealand.
- Mikael Khan & Louis Morel & Patrick Sabourin, 2013. "The Common Component of CPI: An Alternative Measure of Underlying Inflation for Canada," Staff Working Papers 13-35, Bank of Canada.
- Oğuz Atuk & Mustafa Utku Özmen, 2009.
"Design and evaluation of core inflation measures for Turkey,"
IFC Working Papers
3, Bank for International Settlements.
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- Sigal Ribon, 2009. "Core Inflation Indices for Israel," Bank of Israel Working Papers 2009.08, Bank of Israel.
- Sandra Eickmeier & Christina Ziegler, 2008. "How successful are dynamic factor models at forecasting output and inflation? A meta-analytic approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(3), pages 237-265.
- Marlene Amstad & Simon Potter & Robert Rich, 2014.
"The FRBNY Staff Underlying Inflation Gauge: UIG,"
BIS Working Papers
453, Bank for International Settlements.
- Marlene Amstad & Simon M. Potter & Robert W. Rich, 2014. "The FRBNY staff underlying inflation gauge: UIG," Staff Reports 672, Federal Reserve Bank of New York.
- Qin Zhang & He Ni & Hao Xu, 2023. "Forecasting models for the Chinese macroeconomy in a data‐rich environment: Evidence from large dimensional approximate factor models with mixed‐frequency data," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(1), pages 719-767, March.
- Gupta, Rangan & Kabundi, Alain, 2011.
"A large factor model for forecasting macroeconomic variables in South Africa,"
International Journal of Forecasting, Elsevier, vol. 27(4), pages 1076-1088, October.
- Alain Kabundi & Rangan Gupta, 2009. "A Large Factor Model for Forecasting Macroeconomic Variables in South Africa," Working Papers 137, Economic Research Southern Africa.
- Amstad, Marlene & Fischer, Andreas M., 2010.
"Monthly pass-through ratios,"
Journal of Economic Dynamics and Control, Elsevier, vol. 34(7), pages 1202-1213, July.
- Marlene Amstad & Andreas M. Fischer, 2009. "Monthly pass-through ratios," Globalization Institute Working Papers 26, Federal Reserve Bank of Dallas.
- Satish Ranchhod, 2013. "Measures of New Zealand core inflation," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 76, pages 3-11, March.
- Baqaee, David, 2010.
"Using wavelets to measure core inflation: The case of New Zealand,"
The North American Journal of Economics and Finance, Elsevier, vol. 21(3), pages 241-255, December.
- David Baqaee, 2009. "Using wavelets to measure core inflation: the case in New Zealand," Reserve Bank of New Zealand Discussion Paper Series DP2009/05, Reserve Bank of New Zealand.
- Alan K. Detmeister, 2011. "The usefulness of core PCE inflation measures," Finance and Economics Discussion Series 2011-56, Board of Governors of the Federal Reserve System (U.S.).
- Brent Meyer & Saeed Zaman, 2016.
"The Usefulness of the Median CPI in Bayesian VARs Used for Macroeconomic Forecasting and Policy,"
FRB Atlanta Working Paper
2016-13, Federal Reserve Bank of Atlanta.
- Brent Meyer & Saeed Zaman, 2019. "The usefulness of the median CPI in Bayesian VARs used for macroeconomic forecasting and policy," Empirical Economics, Springer, vol. 57(2), pages 603-630, August.
- Muriel Nguiffo-Boyom, 2008. "A monthly indicator of Economic activity for Luxembourg," BCL working papers 31, Central Bank of Luxembourg.
- Günes Kamber & Benjamin Wong, 2016. "Testing an Interpretation of Core Inflation Measures in New Zealand," Reserve Bank of New Zealand Analytical Notes series AN2016/06, Reserve Bank of New Zealand.
- Jinill Kim & Byung Kwun Ahn, 2012. "A New Measure for Core Inflation Based on Generalized Dynamic-Factor Model," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, vol. 18(2), pages 1-28, June.
- Min Chang & Changho Choi & Keunhyeong Park, 2016. "Inflation dynamics in the post-crisis period: Korea's experience," BIS Papers chapters, in: Bank for International Settlements (ed.), Inflation mechanisms, expectations and monetary policy, volume 89, pages 221-230, Bank for International Settlements.
- Gideon Du Rand & Kevin Kotze & Stan Du Plessis, 2015.
"Measuring Core Inflation in South Africa,"
Working Papers
503, Economic Research Southern Africa.
- Stan Plessis & Gideon Rand & Kevin Kotzé, 2015. "Measuring Core Inflation in South Africa," South African Journal of Economics, Economic Society of South Africa, vol. 83(4), pages 527-548, December.
- Marlene Amstad & Simon M. Potter, 2009. "Real time underlying inflation gauges for monetary policymakers," Staff Reports 420, Federal Reserve Bank of New York.
- Bjarni G. Einarsson, 2014. "A Dynamic Factor Model for Icelandic Core Inflation," Economics wp67, Department of Economics, Central bank of Iceland.
- Hallin, Marc & Liska, Roman, 2011. "Dynamic factors in the presence of blocks," Journal of Econometrics, Elsevier, vol. 163(1), pages 29-41, July.
- Reichlin, Lucrezia & Giannone, Domenico & Banbura, Marta, 2007.
"Bayesian VARs with Large Panels,"
CEPR Discussion Papers
6326, C.E.P.R. Discussion Papers.
- Marta Banbura & Domenico Giannone & Lucrezia Reichlin, 2010. "Large Bayesian vector auto regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 71-92.
- Domenico Giannone & Martha Banbura & Lucrezia Reichlin, 2010. "Large Bayesian vector auto regressions," ULB Institutional Repository 2013/13388, ULB -- Universite Libre de Bruxelles.
- Martha Banbura & Domenico Giannone & Lucrezia Reichlin, 2008. "Large Bayesian VARs," Working Papers ECARES 2008_033, ULB -- Universite Libre de Bruxelles.
- Marta Bańbura, 2008. "Large Bayesian VARs," 2008 Meeting Papers 334, Society for Economic Dynamics.
Cited by:
- Koop, Gary & Korobilis, Dimitris, 2016.
"Model uncertainty in Panel Vector Autoregressive models,"
European Economic Review, Elsevier, vol. 81(C), pages 115-131.
- Koop, Gary & Korobilis, Dimitris, 2014. "Model Uncertainty in Panel Vector Autoregressive Models," MPRA Paper 58131, University Library of Munich, Germany.
- Koop, Gary & Korobilis, Dimitris, 2014. "Model Uncertainty in Panel Vector Autoregressive Models," SIRE Discussion Papers 2014-011, Scottish Institute for Research in Economics (SIRE).
- Gary Koop & Dimitris Korobilis, 2015. "Model Uncertainty in Panel Vector Autoregressive Models," Working Paper series 15-35, Rimini Centre for Economic Analysis.
- Gary Koop & Dimitris Korobilis, 2014. "Model uncertainty in panel vector autoregressive models," Working Papers 2014_10, Business School - Economics, University of Glasgow.
- Gary Koop & Dimitris Korobilis, 2014. "Model Uncertainty in Panel Vector Autoregressive Models," Working Paper series 39_14, Rimini Centre for Economic Analysis.
- Gary Koop & Dimitris Korobilis, 2014. "Model uncertainty in panel vector autoregressive models," Working Papers 1408, University of Strathclyde Business School, Department of Economics.
- Joshua C.C. Chan & Angelia L. Grant, 2016.
"Reconciling output gaps: unobserved components model and Hodrick-Prescott filter,"
CAMA Working Papers
2016-44, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Grant, Angelia L. & Chan, Joshua C.C., 2017. "Reconciling output gaps: Unobserved components model and Hodrick–Prescott filter," Journal of Economic Dynamics and Control, Elsevier, vol. 75(C), pages 114-121.
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019.
"Financial and fiscal interaction in the euro area crisis: this time was different,"
SciencePo Working papers Main
hal-03403269, HAL.
- Reichlin, Lucrezia & Caruso, Alberto & Ricco, Giovanni, 2018. "Financial and Fiscal Interaction in the Euro Area Crisis: This Time was Different," CEPR Discussion Papers 13016, C.E.P.R. Discussion Papers.
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the Euro Area crisis: This time was different," Post-Print hal-03403613, HAL.
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the euro area crisis: this time was different," Sciences Po publications 11, Sciences Po.
- Caruso, Alberto & Reichlin, Lucrezia & Ricco, Giovanni, 2018. "Financial and Fiscal Interaction in the Euro Area Crisis : This Time was Different," The Warwick Economics Research Paper Series (TWERPS) 1167, University of Warwick, Department of Economics.
- Albert Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the euro area crisis : this time was different," Documents de Travail de l'OFCE 2019-11, Observatoire Francais des Conjonctures Economiques (OFCE).
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the Euro Area crisis: This time was different," Sciences Po publications info:hdl:2441/4u5amfvji89, Sciences Po.
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the Euro Area crisis: This time was different," SciencePo Working papers Main hal-03403613, HAL.
- Caruso, Alberto & Reichlin, Lucrezia & Ricco, Giovanni, 2019. "Financial and fiscal interaction in the Euro Area crisis: This time was different," European Economic Review, Elsevier, vol. 119(C), pages 333-355.
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the euro area crisis: this time was different," Working Papers hal-03403269, HAL.
- Mumtaz, Haroon & Theodoridis, Konstantinos, 2017.
"Common and country specific economic uncertainty,"
Journal of International Economics, Elsevier, vol. 105(C), pages 205-216.
- Haroon Mumtaz & Konstantinos Theodoridis, 2015. "Common and Country Specific Economic Uncertainty," Working Papers 752, Queen Mary University of London, School of Economics and Finance.
- Haroon Mumtaz & Alexandra Solovyeva & Elena Vasilieva, 2012. "Asset prices, credit and the Russian economy," Joint Research Papers 1, Centre for Central Banking Studies, Bank of England.
- Joshua C. C. Chan & Liana Jacobi & Dan Zhu, 2020.
"Efficient selection of hyperparameters in large Bayesian VARs using automatic differentiation,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(6), pages 934-943, September.
- Joshua C. C. Chan & Liana Jacobi & Dan Zhu, 2019. "Efficient selection of hyperparameters in large Bayesian VARs using automatic differentiation," CAMA Working Papers 2019-46, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Henzel, Steffen R. & Mayr, Johannes, 2013. "The mechanics of VAR forecast pooling—A DSGE model based Monte Carlo study," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 1-24.
- Mackowiak, Bartosz & Jarocinski, Marek, 2013.
"Granger-Causal-Priority and Choice of Variables in Vector Autoregressions,"
CEPR Discussion Papers
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- Claudio Morana, 2014. "Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks," Working Papers 273, University of Milano-Bicocca, Department of Economics, revised May 2014.
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- Laurent Gobillon & Thierry Magnac, 2016. "Regional Policy Evaluation: Interactive Fixed Effects and Synthetic Controls," Post-Print halshs-01509743, HAL.
- Gobillon, Laurent & Magnac, Thierry, 2013. "Regional Policy Evaluation:Interactive Fixed Effects and Synthetic Controls," IDEI Working Papers 786, Institut d'Économie Industrielle (IDEI), Toulouse.
- Laurent Gobillon & Thierry Magnac, 2016. "Regional Policy Evaluation: Interactive Fixed Effects and Synthetic Controls," The Review of Economics and Statistics, MIT Press, vol. 98(3), pages 535-551, July.
- Magnac, Thierry & Gobillon, Laurent, 2014. "Regional Policy Evaluation: Interactive Fixed Effects and Synthetic Controls," CEPR Discussion Papers 10253, C.E.P.R. Discussion Papers.
- Reichlin, Lucrezia & Giannone, Domenico & Modugno, Michele & Banbura, Marta, 2012.
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- Giannone, Domenico & Reichlin, Lucrezia & Bańbura, Marta & Modugno, Michele, 2013. "Now-casting and the real-time data flow," Working Paper Series 1564, European Central Bank.
- Bańbura, Marta & Giannone, Domenico & Modugno, Michele & Reichlin, Lucrezia, 2013. "Now-Casting and the Real-Time Data Flow," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 195-237, Elsevier.
- Davide Ferrari & Francesco Ravazzolo & Joaquin Vespignani, 2021.
"Forecasting Energy Commodity Prices: A Large Global Dataset Sparse Approach,"
BEMPS - Bozen Economics & Management Paper Series
BEMPS83, Faculty of Economics and Management at the Free University of Bozen.
- Ferrari, Davide & Ravazzolo, Francesco & Vespignani, Joaquin, 2021. "Forecasting energy commodity prices: A large global dataset sparse approach," Energy Economics, Elsevier, vol. 98(C).
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DISCE - Quaderni dell'Istituto di Economia e Finanza
ief0078, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
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- Antonello D’Agostino & Kieran Mcquinn & Karl Whelan, 2012. "Are Some Forecasters Really Better Than Others?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(4), pages 715-732, June.
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"Common factors of commodity prices,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(3), pages 461-476, April.
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- Surico, Paolo & Giannone, Domenico & D'Agostino, Antonello, 2006. "(Un)Predictability and macroeconomic stability," Working Paper Series 605, European Central Bank.
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"New Eurocoin: Tracking Economic Growth in Real Time,"
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CEPR Discussion Papers
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MPRA Paper
60673, University Library of Munich, Germany.
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Economics Working Papers
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"Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP,"
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"Large Bayesian vector auto regressions,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 71-92, January.
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- Marta Banbura & Domenico Giannone & Lucrezia Reichlin, 2010. "Large Bayesian vector auto regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 71-92.
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"Nowcasting GDP and Inflation: The Real-Time Informational Content of Macroeconomic Data Releases,"
Money Macro and Finance (MMF) Research Group Conference 2006
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"Forecasting and nowcasting real GDP: Comparing statistical models and subjective forecasts,"
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"The Forecasting Performance of Dynamic Factor Models with Vintage Data,"
Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance)
0070, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
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"Are disaggregate data useful for factor analysis in forecasting French GDP?,"
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- Buss, Ginters, 2010. "A note on GDP now-/forecasting with dynamic versus static factor models along a business cycle," MPRA Paper 22147, University Library of Munich, Germany.
- Lombardi, Marco J. & Maier, Philipp, 2011. "Forecasting economic growth in the euro area during the Great Moderation and the Great Recession," Working Paper Series 1379, European Central Bank.
- Matteo Barigozzi & Marco Capasso, 2007. "A Multivariate Perspective for Modeling and Forecasting Inflation's Conditional Mean and Variance," LEM Papers Series 2007/21, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Guido Bulligan & Massimiliano Marcellino & Fabrizio Venditti, 2012. "Forecasting economic activity with higher frequency targeted predictors," Temi di discussione (Economic working papers) 847, Bank of Italy, Economic Research and International Relations Area.
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"Revisiting Useful Approaches to Data-Rich Macroeconomic Forecasting,"
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"Real-Time Nowcasting of GDP: Factor Model versus Professional Forecasters,"
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"Forecasting with approximate dynamic factor models: The role of non-pervasive shocks,"
International Journal of Forecasting, Elsevier, vol. 30(1), pages 20-29.
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"Uncertainty and Heterogeneity in factor models forecasting,"
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"Large Bayesian VARs,"
Working Paper Series
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- Martha Banbura & Domenico Giannone & Lucrezia Reichlin, 2008. "Large Bayesian VARs," Working Papers ECARES 2008_033, ULB -- Universite Libre de Bruxelles.
- Marta Bańbura, 2008. "Large Bayesian VARs," 2008 Meeting Papers 334, Society for Economic Dynamics.
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"Real-time forecasting in a data-rich environment,"
Research Technical Papers
07/RT/12, Central Bank of Ireland.
- Liebermann, Joelle, 2012. "Real-time forecasting in a data-rich environment," MPRA Paper 39452, University Library of Munich, Germany.
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- Guido Bulligan & Roberto Golinelli & Giuseppe Parigi, 2010. "Forecasting monthly industrial production in real-time: from single equations to factor-based models," Empirical Economics, Springer, vol. 39(2), pages 303-336, October.
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CEPR Discussion Papers
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- Giannone, Domenico & Reichlin, Lucrezia, 2006. "Does information help recovering structural shocks from past observations?," Working Paper Series 632, European Central Bank.
- Domenico Giannone & Lucrezia Reichlin, 2006. "Does information help recovering structural shocks from past observations?," ULB Institutional Repository 2013/166169, ULB -- Universite Libre de Bruxelles.
Cited by:
- Mario Forni & Luca Gambetti & Marco Lippi & Luca Sala, 2017.
"Noise Bubbles,"
Economic Journal, Royal Economic Society, vol. 127(604), pages 1940-1976, September.
- Lippi, Marco & Forni, Mario & Sala, Luca & Gambetti, Luca, 2013. "Noise Bubbles," CEPR Discussion Papers 9532, C.E.P.R. Discussion Papers.
- Mario Forni & Luca Gambetti & Marco Lippi & Luca Sala, 2014. "Noise Bubbles," Center for Economic Research (RECent) 096, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Mario Forni & Luca Gambetti & Marco Lippi & Luca Sala, 2014. "Noise Bubbles," Working Papers 532, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Anastasios Evgenidis & Stephanos Papadamou, 2021. "The impact of unconventional monetary policy in the euro area. Structural and scenario analysis from a Bayesian VAR," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5684-5703, October.
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"Granger-Causal-Priority and Choice of Variables in Vector Autoregressions,"
CEPR Discussion Papers
9686, C.E.P.R. Discussion Papers.
- Marek Jarociński & Bartosz Maćkowiak, 2017. "Granger Causal Priority and Choice of Variables in Vector Autoregressions," The Review of Economics and Statistics, MIT Press, vol. 99(2), pages 319-329, May.
- Jarociński, Marek & Maćkowiak, Bartosz, 2013. "Granger-causal-priority and choice of variables in vector autoregressions," Working Paper Series 1600, European Central Bank.
- Bartosz Mackowiak, 2015. "Granger-Causal-Priority and Choice of Variables in Vector Autoregressions," 2015 Meeting Papers 66, Society for Economic Dynamics.
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"Can a data-rich environment help identify the sources of model misspecification?,"
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- Monti, Francesca, 2015. "Can a data-rich environment help identify the sources of model misspecification?," Bank of England working papers 527, Bank of England.
- Georgiadis, Georgios, 2017. "To bi, or not to bi? Differences between spillover estimates from bilateral and multilateral multi-country models," Journal of International Economics, Elsevier, vol. 107(C), pages 1-18.
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"Local linear impulse responses for a small open economy,"
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- Forni, Mario & Gambetti, Luca & Ricco, Giovanni, 2023.
"External Instrument SVAR Analysis for Noninvertible Shocks,"
CEPR Discussion Papers
17886, C.E.P.R. Discussion Papers.
- Mario Forni & Luca Gambetti & Giovanni Ricco, 2023. "External Instrument SVAR Analysis forNoninvertible Shocks," Working Papers 2023-03, Center for Research in Economics and Statistics.
- Forni, Mario & Gambetti, Luca & Ricco, Giovanni, 2022. "External Instrument SVAR Analysis for Noninvertible Shocks," The Warwick Economics Research Paper Series (TWERPS) 1444, University of Warwick, Department of Economics.
- Giovanni Caggiano & Efrem Castelnuovo & Valentina Colombo & Gabriela Nodari, 2014.
"Estimating Fiscal Multipliers: News from a Nonlinear World,"
Melbourne Institute Working Paper Series
wp2014n26, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
- Giovanni Caggiano & Efrem Castelnuovo & Valentina Colombo & Gabriela Nodari, 2015. "Estimating Fiscal Multipliers: News From A Non‐linear World," Economic Journal, Royal Economic Society, vol. 0(584), pages 746-776, May.
- Giovanni Caggiano & Efrem Castelnuovo & Valentina Colombo & Gabriela Nodari, 2015. "Estimating Fiscal Multipliers:News From a Nonlinear World," Department of Economics - Working Papers Series 1196, The University of Melbourne.
- Mario Forni & Luca Gambetti & Luca Sala, 2017. "News, Uncertainty and Economic Fluctuations (No News is Good News)," Center for Economic Research (RECent) 132, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Bassam Fattouh, Lutz Kilian, and Lavan Mahadeva, 2013.
"The Role of Speculation in Oil Markets: What Have We Learned So Far?,"
The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
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"Speculation in the oil market,"
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- Luciana Juvenal & Ivan Petrella, 2015. "Speculation in the Oil Market," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(4), pages 621-649, June.
- Reichlin, Lucrezia & Giannone, Domenico & Banbura, Marta, 2007.
"Bayesian VARs with Large Panels,"
CEPR Discussion Papers
6326, C.E.P.R. Discussion Papers.
- Domenico Giannone & Martha Banbura & Lucrezia Reichlin, 2010. "Large Bayesian vector auto regressions," ULB Institutional Repository 2013/13388, ULB -- Universite Libre de Bruxelles.
- Martha Banbura & Domenico Giannone & Lucrezia Reichlin, 2008. "Large Bayesian VARs," Working Papers ECARES 2008_033, ULB -- Universite Libre de Bruxelles.
- Marta Bańbura, 2008. "Large Bayesian VARs," 2008 Meeting Papers 334, Society for Economic Dynamics.
- Marta Banbura & Domenico Giannone & Lucrezia Reichlin, 2010. "Large Bayesian vector auto regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 71-92.
- Ray Barrell & Sylvia Gottschalk & Dawn Holland & Ehsan Khoman & Iana Liadze & Olga Pomerantz, 2008. "The impact of EMU on growth and employment," European Economy - Economic Papers 2008 - 2015 318, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
- Mario Forni & Luca Gambetti & Marco Lippi & Luca Sala, 2014.
"Noisy News in Business Cycles,"
Working Papers
531, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Mario Forni & Luca Gambetti & Marco Lippi & Luca Sala, 2017. "Noisy News in Business Cycles," American Economic Journal: Macroeconomics, American Economic Association, vol. 9(4), pages 122-152, October.
- Mario Forni & Luca Gambetti & Marco Lippi & Luca Sala, 2014. "Noisy News in Business Cycles," Center for Economic Research (RECent) 097, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Luca Gambetti, 2014. "Noisy News in Business Cycles," 2014 Meeting Papers 1406, Society for Economic Dynamics.
- Lippi, Marco & Forni, Mario & Sala, Luca & Gambetti, Luca, 2013. "Noisy News in Business cycles," CEPR Discussion Papers 9601, C.E.P.R. Discussion Papers.
- Kilian, Lutz & Lee, Thomas K., 2014.
"Quantifying the speculative component in the real price of oil: The role of global oil inventories,"
Journal of International Money and Finance, Elsevier, vol. 42(C), pages 71-87.
- Kilian, Lutz & Lee, Thomas K, 2013. "Quantifying the Speculative Component in the Real Price of Oil: The Role of Global Oil Inventories," CEPR Discussion Papers 9297, C.E.P.R. Discussion Papers.
- Christiane Baumeister & Lutz Kilian, 2011.
"Real-Time Forecasts of the Real Price of Oil,"
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- Christiane Baumeister & Lutz Kilian, 2011. "Real-Time Forecasts of the Real Price of Oil," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(2), pages 326-336, September.
- Kilian, Lutz & Baumeister, Christiane, 2011. "Real-Time Forecasts of the Real Price of Oil," CEPR Discussion Papers 8414, C.E.P.R. Discussion Papers.
- Elmar Mertens, 2010.
"Are spectral estimators useful for implementing long-run restrictions in SVARs?,"
Finance and Economics Discussion Series
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- Elmar Mertens, 2008. "Are Spectral Estimators Useful for Implementing Long-Run Restrictions in SVARs?," Working Papers 08.01, Swiss National Bank, Study Center Gerzensee.
- Hamidi Sahneh, Mehdi, 2015. "Are the shocks obtained from SVAR fundamental?," MPRA Paper 65126, University Library of Munich, Germany.
- Corona, Francisco & Poncela, Pilar & Ruiz Ortega, Esther, 2017.
"Estimating non-stationary common factors : Implications for risk sharing,"
DES - Working Papers. Statistics and Econometrics. WS
24585, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Francisco Corona & Pilar Poncela & Esther Ruiz, 2020. "Estimating Non-stationary Common Factors: Implications for Risk Sharing," Computational Economics, Springer;Society for Computational Economics, vol. 55(1), pages 37-60, January.
- Alho, Kari & Nikula, Nuutti, 2007. "Productivity, Employment and Taxes - A SVAR Analysis of Trade-offs and Impacts," Discussion Papers 1074, The Research Institute of the Finnish Economy.
- Forni, Mario & Gambetti, Luca & Sala, Luca, 2017. "News, Uncertainty and Economic Fluctuations," CEPR Discussion Papers 12139, C.E.P.R. Discussion Papers.
- Lanne, Markku & Saikkonen, Pentti, 2009.
"Noncausal vector autoregression,"
Bank of Finland Research Discussion Papers
18/2009, Bank of Finland.
- Lanne, Markku & Saikkonen, Pentti, 2010. "Noncausal Vector Autoregression," MPRA Paper 23717, University Library of Munich, Germany.
- Lanne, Markku & Saikkonen, Pentti, 2013. "Noncausal Vector Autoregression," Econometric Theory, Cambridge University Press, vol. 29(3), pages 447-481, June.
- Marta Bańbura & Domenico Giannone & Lucrezia Reichlin, 2010.
"Large Bayesian vector auto regressions,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 71-92, January.
- Domenico Giannone & Martha Banbura & Lucrezia Reichlin, 2010. "Large Bayesian vector auto regressions," ULB Institutional Repository 2013/13388, ULB -- Universite Libre de Bruxelles.
- Marta Banbura & Domenico Giannone & Lucrezia Reichlin, 2010. "Large Bayesian vector auto regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 71-92.
- Kilian, Lutz, 2011.
"Structural Vector Autoregressions,"
CEPR Discussion Papers
8515, C.E.P.R. Discussion Papers.
- Lutz Kilian, 2013. "Structural vector autoregressions," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 22, pages 515-554, Edward Elgar Publishing.
- Ravn, Morten & Mertens, Karel, 2009.
"Measuring the Impact of Fiscal Policy in the Face of Anticipation: A Structural VAR Approach,"
CEPR Discussion Papers
7423, C.E.P.R. Discussion Papers.
- Karel Mertens & MortenO. Ravn, 2010. "Measuring the Impact of Fiscal Policy in the Face of Anticipation: A Structural VAR Approach," Economic Journal, Royal Economic Society, vol. 120(544), pages 393-413, May.
- Alho, Kari O.E. & Nikula, Nuutti, 2006. "Productivity, Empoyment and Taxes - Evidence on the Potential Trade-offs and Impacts in the EU," Discussion Papers 1054, The Research Institute of the Finnish Economy.
- Giannone, Domenico & Lenza, Michele & Reichlin, Lucrezia, 2008.
"Explaining the Great Moderation: it is not the shocks,"
Working Paper Series
865, European Central Bank.
- Domenico Giannone & Michèle Lenza & Lucrezia Reichlin, 2008. "Explaining the great moderation: it is not the shocks," ULB Institutional Repository 2013/6413, ULB -- Universite Libre de Bruxelles.
- Domenico Giannone & Michele Lenza & Lucrezia Reichlin, 2008. "Explaining The Great Moderation: It Is Not The Shocks," Journal of the European Economic Association, MIT Press, vol. 6(2-3), pages 621-633, 04-05.
- Reichlin, Lucrezia & Giannone, Domenico & Lenza, Michele, 2007. "Explaining The Great Moderation: It Is Not The Shocks," CEPR Discussion Papers 6600, C.E.P.R. Discussion Papers.
- Luca GATTINI & Paul HIEBERT, 2010.
"Forecasting and Assessing Euro Area House Prices Through the Lens of Key Fundamentals,"
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259600061, EcoMod.
- Gattini, Luca & Hiebert, Paul, 2010. "Forecasting and assessing Euro area house prices through the lens of key fundamentals," Working Paper Series 1249, European Central Bank.
- Miranda-Agrippino, Silvia & Hacıoğlu Hoke, Sinem & Bluwstein, Kristina, 2020. "Patents, News, and Business Cycles," CEPR Discussion Papers 15062, C.E.P.R. Discussion Papers.
- Valenti, Daniele & Bastianin, Andrea & Manera, Matteo, "undated".
"A weekly structural VAR model of the US crude oil market,"
FEEM Working Papers
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- Valenti, Daniele & Bastianin, Andrea & Manera, Matteo, 2023. "A weekly structural VAR model of the US crude oil market," Energy Economics, Elsevier, vol. 121(C).
- Ms. Adina Popescu & Ms. Alina Carare, 2011. "Monetary Policy and Risk-Premium Shocks in Hungary: Results from a Large Bayesian VAR," IMF Working Papers 2011/259, International Monetary Fund.
- Fabio Canova & Mehdi Hamidi Sahneh, 2018.
"Are Small-Scale SVARs Useful for Business Cycle Analysis? Revisiting Nonfundamentalness,"
Journal of the European Economic Association, European Economic Association, vol. 16(4), pages 1069-1093.
- Canova, Fabio & Hamidi Sahneh, Mehdi, 2016. "Are small scale VARs useful for business cycle analysis? Revisiting Non-Fundamentalness," CEPR Discussion Papers 11041, C.E.P.R. Discussion Papers.
- Fabio Canova, 2016. "Are Small-Scale SVARs Useful for Business Cycle Analysis? Revisiting Non-Fundamentalness," Working Papers No 2/2016, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Mario Forni & Domenico Giannone & Marco Lippi & Lucrezia Reichlin, 2007.
"Opening the Black Box: Structural Factor Models with Large Cross-Sections,"
Center for Economic Research (RECent)
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- Caruso, Alberto & Reichlin, Lucrezia & Ricco, Giovanni, 2018. "Financial and Fiscal Interaction in the Euro Area Crisis : This Time was Different," The Warwick Economics Research Paper Series (TWERPS) 1167, University of Warwick, Department of Economics.
- Albert Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the euro area crisis : this time was different," Documents de Travail de l'OFCE 2019-11, Observatoire Francais des Conjonctures Economiques (OFCE).
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the Euro Area crisis: This time was different," Sciences Po publications info:hdl:2441/4u5amfvji89, Sciences Po.
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CEPR Discussion Papers
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"Bayesian Dynamic Variable Selection In High Dimensions,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 64(3), pages 1047-1074, August.
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"Economic Predictions with Big Data: The Illusion Of Sparsity,"
CEPR Discussion Papers
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"Forecasting the US Real House Price Index: Structural and Non-Structural Models with and without Fundamentals,"
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"Large time‐varying parameter VARs: A nonparametric approach,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(7), pages 1027-1049, November.
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"An approach to increasing forecast-combination accuracy through VAR error modeling,"
CQE Working Papers
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"Dynamic Factor Models: a Genealogy,"
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"Prior Selection for Vector Autoregressions,"
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"Hierarchical shrinkage priors for dynamic regressions with many predictors,"
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"Pooling versus model selection for nowcasting with many predictors: an application to German GDP,"
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"Non‐Standard Monetary Policy Measures,"
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"Non standard Monetary Policy measures and monetary developments,"
Working Papers ECARES
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- Reichlin, Lucrezia & Pill, Huw & Giannone, Domenico & Lenza, Michele, 2010. "Non-standard Monetary Policy Measures and Monetary Developments," CEPR Discussion Papers 8125, C.E.P.R. Discussion Papers.
- Giannone, Domenico & Lenza, Michele & Pill, Huw & Reichlin, Lucrezia, 2011. "Non-standard monetary policy measures and monetary developments," Working Paper Series 1290, European Central Bank.
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"Forecasting Exchange Rates with a Large Bayesian VAR,"
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"Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey,"
SFB 649 Discussion Papers
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"Short-term forecasting GDP with a DSGE model augmented by monthly indicators,"
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"A network analysis of the volatility of high-dimensionalfinancial series,"
LSE Research Online Documents on Economics
67456, London School of Economics and Political Science, LSE Library.
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"Lasso Inference for High-Dimensional Time Series,"
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"When are Google Data Useful to Nowcast GDP? An Approach via Preselection and Shrinkage,"
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"Macroeconomic Nowcasting and Forecasting with Big Data,"
Annual Review of Economics, Annual Reviews, vol. 10(1), pages 615-643, August.
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"Targeting predictors in random forest regression,"
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"On the Selection of Common Factors for Macroeconomic Forecasting,"
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- Alessandro Giovannelli & Tommaso Proietti, 2014. "On the Selection of Common Factors for Macroeconomic Forecasting," CREATES Research Papers 2014-46, Department of Economics and Business Economics, Aarhus University.
- Domenico Giannone & Michele Lenza & Huw Pill & Lucrezia Reichlin, 2012.
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- Bjørn Eraker & Ching Wai (Jeremy) Chiu & Andrew T. Foerster & Tae Bong Kim & Hernán D. Seoane, 2015.
"Bayesian Mixed Frequency VARs,"
Journal of Financial Econometrics, Oxford University Press, vol. 13(3), pages 698-721.
- Ching Wai Chiu & Bjorn Eraker & Andrew T. Foerster & Tae Bong Kim & Hernan D. Seoane, 2011. "Estimating VAR's sampled at mixed or irregular spaced frequencies : a Bayesian approach," Research Working Paper RWP 11-11, Federal Reserve Bank of Kansas City.
- Christophe Piette, 2016. "Predicting Belgium’s GDP using targeted bridge models," Working Paper Research 290, National Bank of Belgium.
- Sagaert, Yves R. & Aghezzaf, El-Houssaine & Kourentzes, Nikolaos & Desmet, Bram, 2018. "Tactical sales forecasting using a very large set of macroeconomic indicators," European Journal of Operational Research, Elsevier, vol. 264(2), pages 558-569.
- Olfa Kaabia & Ilyes Abid & Khaled Guesmi, 2012. "Does Bayesian Shrinkage Help to Better Reflect What Happened during the Subprime Crisis?," Working Papers hal-04141032, HAL.
- Rangan Gupta & Alain Kabundi, 2008.
"Forecasting Macroeconomic Variables in a Small Open Economy: A Comparison between Small- and Large-Scale Models,"
Working Papers
200830, University of Pretoria, Department of Economics.
- Rangan Gupta & Alain Kabundi, 2010. "Forecasting macroeconomic variables in a small open economy: a comparison between small- and large-scale models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 168-185.
- Antonio Pacifico, 2019. "Structural Panel Bayesian VAR Model to Deal with Model Misspecification and Unobserved Heterogeneity Problems," Econometrics, MDPI, vol. 7(1), pages 1-24, March.
- Marius Cristian Acatrinei, 2020. "Financial stability indicator for non-banking markets," Journal of Financial Studies, Institute of Financial Studies, vol. 9(5), pages 3-9, November.
- Pirschel, Inske & Wolters, Maik, 2014.
"Forecasting German key macroeconomic variables using large dataset methods,"
VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy
100587, Verein für Socialpolitik / German Economic Association.
- Pirschel, Inske & Wolters, Maik H., 2014. "Forecasting German key macroeconomic variables using large dataset methods," Kiel Working Papers 1925, Kiel Institute for the World Economy (IfW Kiel).
- Lucrezia Reichlin, 2009. "Comment on "How Has the Euro Changed the Monetary Transmission Mechanism?"," NBER Chapters, in: NBER Macroeconomics Annual 2008, Volume 23, pages 127-139, National Bureau of Economic Research, Inc.
- Liebermann, Joelle, 2012.
"Real-time forecasting in a data-rich environment,"
Research Technical Papers
07/RT/12, Central Bank of Ireland.
- Liebermann, Joelle, 2012. "Real-time forecasting in a data-rich environment," MPRA Paper 39452, University Library of Munich, Germany.
- Iason Kynigakis & Ekaterini Panopoulou, 2022. "Does model complexity add value to asset allocation? Evidence from machine learning forecasting models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(3), pages 603-639, April.
- Eleftheria Kostika & Nikiforos T. Laopodis, 2022. "Assessing the effectiveness of the emergency liquidity assistance tool in the euro area," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 4142-4153, October.
- Petrevski, Goran & Exterkate, Peter & Tevdovski, Dragan & Bogoev, Jane, 2015. "The transmission of foreign shocks to South Eastern European economies: A Bayesian VAR approach," Economic Systems, Elsevier, vol. 39(4), pages 632-643.
- Cross, Jamie L. & Hou, Chenghan & Poon, Aubrey, 2020. "Macroeconomic forecasting with large Bayesian VARs: Global-local priors and the illusion of sparsity," International Journal of Forecasting, Elsevier, vol. 36(3), pages 899-915.
- Sebastiano Manzan, 2015. "Forecasting the Distribution of Economic Variables in a Data-Rich Environment," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(1), pages 144-164, January.
- Gefang, Deborah, 2014. "Bayesian doubly adaptive elastic-net Lasso for VAR shrinkage," International Journal of Forecasting, Elsevier, vol. 30(1), pages 1-11.
- Natalia MartÃn Fuentes & Elena Bárcena MartÃn & Salvador Pérez Moreno, "undated". "Who takes the cake? The heterogeneous effect of ECB accommodative monetary policy across income classes," Working Papers 657, ECINEQ, Society for the Study of Economic Inequality.
- Jiaqi Chen & Michael Tindall, 2016. "The Chen-Tindall system and the lasso operator: improving automatic model performance," Occasional Papers 16-1, Federal Reserve Bank of Dallas.
- Rostagno, Massimo & Altavilla, Carlo & Carboni, Giacomo & Lemke, Wolfgang & Motto, Roberto & Saint Guilhem, Arthur & Yiangou, Jonathan, 2019. "A tale of two decades: the ECB’s monetary policy at 20," Working Paper Series 2346, European Central Bank.
- C. Marsilli, 2014. "Variable Selection in Predictive MIDAS Models," Working papers 520, Banque de France.
- Simone Tonini & Francesca Chiaromonte & Alessandro Giovannelli, 2022. "On the impact of serial dependence on penalized regression methods," LEM Papers Series 2022/21, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Reichlin, Lucrezia & Sala, Luca & Giannone, Domenico, 2005.
"Monetary Policy in Real Time,"
CEPR Discussion Papers
4981, C.E.P.R. Discussion Papers.
- Domenico Giannone & Lucrezia Reichlin & Luca Sala, 2005. "Monetary Policy in Real Time," NBER Chapters, in: NBER Macroeconomics Annual 2004, Volume 19, pages 161-224, National Bureau of Economic Research, Inc.
- Domenico Giannone & Lucrezia Reichlin & Luca Sala, 2005. "Monetary policy in real time," ULB Institutional Repository 2013/6401, ULB -- Universite Libre de Bruxelles.
- Domenico Giannone & Lucrezia Reichlin & Luca Sala, 2005. "Monetary Policy in Real Time," Working Papers 284, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Lucrezia Reichlin & Domenico Giannone & Luca Sala, "undated". "Monetary policy in real time," ULB Institutional Repository 2013/10177, ULB -- Universite Libre de Bruxelles.
Cited by:
- Mario Forni & Luca Gambetti & Luca Sala, 2011.
"No News in Business Cycles,"
Working Papers
535, Barcelona School of Economics.
- Mario Forni & Luca Gambetti & Luca Sala, 2013. "No News in Business Cycles," Working Papers 491, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Mario Forni & Luca Gambetti & Luca Sala, 2014. "No News in Business Cycles," Economic Journal, Royal Economic Society, vol. 124(581), pages 1168-1191, December.
- Mario Forni & Luca Gambetti & Luca Sala, 2011. "No News in Business Cycles," UFAE and IAE Working Papers 862.11, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
- Mario Forni & Luca Gambetti & Luca Sala, 2011. "No news in business cycles," Center for Economic Research (RECent) 063, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Forni, Mario & Sala, Luca & Gambetti, Luca, 2011. "No News in Business Cycles," CEPR Discussion Papers 8274, C.E.P.R. Discussion Papers.
- Mario Forni & Luca Gambetti & Luca Sala, 2011. "No News in Business Cycles," Working Papers 383, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Teresa Buchen & Klaus Wohlrabe, 2013.
"Assessing the Macroeconomic Forecasting Performance of Boosting - Evidence for the United States, the Euro Area, and Germany,"
CESifo Working Paper Series
4148, CESifo.
- Klaus Wohlrabe & Teresa Buchen, 2014. "Assessing the Macroeconomic Forecasting Performance of Boosting: Evidence for the United States, the Euro Area and Germany," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(4), pages 231-242, July.
- Teresa, Buchen & Wohlrabe, Klaus, 2014. "Assessing the Macroeconomic Forecasting Performance of Boosting: Evidence for the United States, the Euro Area, and Germany," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100626, Verein für Socialpolitik / German Economic Association.
- Claudio Morana, 2010. "Heteroskedastic Factor Vector Autoregressive Estimation of Persistent and Non Persistent Processes Subject to Structural Breaks," ICER Working Papers - Applied Mathematics Series 36-2010, ICER - International Centre for Economic Research.
- Dimitris Korobilis, 2008.
"Forecasting in vector autoregressions with many predictors,"
Advances in Econometrics, in: Bayesian Econometrics, pages 403-431,
Emerald Group Publishing Limited.
- Korobilis, Dimitris, 2008. "Forecasting in vector autoregressions with many predictors," MPRA Paper 21122, University Library of Munich, Germany.
- Barigozzi, Matteo & Conti, Antonio & Luciani, Matteo, 2012.
"Do Euro area countries respond asymmetrically to the common monetary policy?,"
LSE Research Online Documents on Economics
43344, London School of Economics and Political Science, LSE Library.
- Matteo Luciani & Antoniomaria Conti & Matteo Barigozzi, 2013. "Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?," ULB Institutional Repository 2013/153330, ULB -- Universite Libre de Bruxelles.
- Matteo Barigozzi & Antonio M. Conti & Matteo Luciani, 2013. "Do euro area countries respond asymmetrically to the common monetary policy?," Temi di discussione (Economic working papers) 923, Bank of Italy, Economic Research and International Relations Area.
- Matteo Barigozzi & Antonio M. Conti & Matteo Luciani, 2014. "Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 76(5), pages 693-714, October.
- Li, Hongjun & Li, Qi & Shi, Yutang, 2017. "Determining the number of factors when the number of factors can increase with sample size," Journal of Econometrics, Elsevier, vol. 197(1), pages 76-86.
- Jon Faust & Abhishek Gupta, 2012.
"Posterior Predictive Analysis for Evaluating DSGE Models,"
NBER Working Papers
17906, National Bureau of Economic Research, Inc.
- Faust, Jon & Gupta, Abhishek, 2010. "Posterior Predictive Analysis for Evaluating DSGE Models," MPRA Paper 26721, University Library of Munich, Germany.
- Mario Forni & Luca Gambetti, 2010.
"Macroeconomic Shocks and the Business Cycle: Evidence from a Structural Factor Model,"
Center for Economic Research (RECent)
040, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Forni, Mario & Gambetti, Luca, 2010. "Macroeconomic Shocks and the Business Cycle: Evidence from a Structural Factor Model," CEPR Discussion Papers 7692, C.E.P.R. Discussion Papers.
- Mario Forni & Luca Gambetti, 2010. "Macroeconomic Shocks and the Business Cycle: Evidence from a Structural Factor Model," Working Papers 440, Barcelona School of Economics.
- Mario Forni & Luca Gambetti, 2010. "Macroeconomic Shocks and the Business Cycle: Evidence from a Structural Factor Model," UFAE and IAE Working Papers 850.10, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
- Maria Dolores Gadea & Ana Gomez Loscos & Antonio Montañes, 2011.
"Cycles Inside Cycles. Spanish Regional Aggregation,"
WIFO Working Papers
390, WIFO.
- Ana Gomez Loscos & M. Dolores Gadea & Antonio Montañes, 2011. "Cycles inside cycles: Spanish regional aggregation," ERSA conference papers ersa11p99, European Regional Science Association.
- Maria Gadea & Ana Gómez-Loscos & Antonio Montañés, 2012. "Cycles inside cycles: Spanish regional aggregation," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 3(4), pages 423-456, December.
- Matteo Luciani, 2013.
"Monetary Policy, and the Housing Market: A Structural Factor Analysis,"
ULB Institutional Repository
2013/153324, ULB -- Universite Libre de Bruxelles.
- Matteo LUCIANI, "undated". "Monetary Policy and the Housing Market: A Structural Factor Analysis," Working Papers wp2010-7, Department of the Treasury, Ministry of the Economy and of Finance.
- Matteo Luciani, 2012. "Monetary Policy and the Housing Market: A Structural Factor Analysis," Working Papers ECARES ECARES 2012-035, ULB -- Universite Libre de Bruxelles.
- Matteo Luciani, 2015. "Monetary Policy and the Housing Market: A Structural Factor Analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(2), pages 199-218, March.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2008.
"A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models,"
Working Papers ECARES
2008_034, ULB -- Universite Libre de Bruxelles.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012. "A Quasi Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models," Post-Print hal-00638440, HAL.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012. "A Quasi–Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models," The Review of Economics and Statistics, MIT Press, vol. 94(4), pages 1014-1024, November.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012. "A Quasi Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00638440, HAL.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012. "A Quasi Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models," PSE-Ecole d'économie de Paris (Postprint) hal-00638440, HAL.
- Reichlin, Lucrezia & Doz, Catherine & Giannone, Domenico, 2006. "A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models," CEPR Discussion Papers 5724, C.E.P.R. Discussion Papers.
- Doz, Catherine & Giannone, Domenico & Reichlin, Lucrezia, 2006. "A quasi maximum likelihood approach for large approximate dynamic factor models," Working Paper Series 674, European Central Bank.
- Pesaran, Hashem & Chudik, Alexander, 2013.
"Common Correlated Effects Estimation of Heterogeneous Dynamic Panel Data Models with Weakly Exogenous Regressors,"
Cambridge Working Papers in Economics
1317, Faculty of Economics, University of Cambridge.
- Alexander Chudik & M. Hashem Pesaran, 2013. "Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors," Globalization Institute Working Papers 146, Federal Reserve Bank of Dallas.
- Chudik, Alexander & Pesaran, M. Hashem, 2015. "Common correlated effects estimation of heterogeneous dynamic panel data models with weakly exogenous regressors," Journal of Econometrics, Elsevier, vol. 188(2), pages 393-420.
- Alexander Chudik & M. Hashem Pesaran, 2013. "Common Correlated Effects Estimation of Heterogeneous Dynamic Panel Data Models with Weakly Exogenous Regressors," CESifo Working Paper Series 4232, CESifo.
- Lasse Bork & Hans Dewachter & Romain Houssa, 2009.
"Identification of Macroeconomic Factors in Large Panels,"
CREATES Research Papers
2009-43, Department of Economics and Business Economics, Aarhus University.
- Lasse BORK & Hans DEWACHTER & Romain HOUSSA, 2009. "Identification of macroeconomic factors in large panels," Working Papers of Department of Economics, Leuven ces09.18, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
- Romain Houssa & Lasse Bork & Hans Dewachter, 2008. "Identification of Macroeconomic Factors in Large Panels," Working Papers 1010, University of Namur, Department of Economics.
- Aastveit, Knut Are & Trovik, Tørres, 2014.
"Estimating the output gap in real time: A factor model approach,"
The Quarterly Review of Economics and Finance, Elsevier, vol. 54(2), pages 180-193.
- Knut Are Aastveit & Tørres G. Trovik, 2008. "Estimating the output gap in real time: A factor model approach," Working Paper 2008/23, Norges Bank.
- Arpita Chatterjee & Richa Saraf, 2017. "Impact of China on World Commodity Prices and Commodity Exporters," Discussion Papers 2017-13, School of Economics, The University of New South Wales.
- Carlo A. Favero & Linlin Niu & Luca Sala, 2012.
"Term Structure Forecasting: No‐Arbitrage Restrictions versus Large Information Set,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 31(2), pages 124-156, March.
- Carlo A. Favero & Linlin Niu & Luca Sala, 2013. "Term Structure Forecasting: No-arbitrage Restrictions Versus Large Information set," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
- Eickmeier, Sandra & Breitung, Jörg, 2005. "How synchronized are central and east European economies with the euro area? Evidence from a structural factor model," Discussion Paper Series 1: Economic Studies 2005,20, Deutsche Bundesbank.
- Julius Stakenas, 2012. "Generating short-term forecasts of the Lithuanian GDP using factor models," Bank of Lithuania Working Paper Series 13, Bank of Lithuania.
- Belviso Francesco & Milani Fabio, 2006.
"Structural Factor-Augmented VARs (SFAVARs) and the Effects of Monetary Policy,"
The B.E. Journal of Macroeconomics, De Gruyter, vol. 6(3), pages 1-46, December.
- Francesco Belviso & Fabio Milani, 2005. "Structural Factor-Augmented VAR (SFAVAR) and the Effects of Monetary Policy," Macroeconomics 0503023, University Library of Munich, Germany.
- Niccolò Battistini & Marco Pagano & Saverio Simonelli, 2014.
"Systemic risk, sovereign yields and bank exposures in the euro crisis [Real effects of the sovereign debt crises in Europe: evidence from syndicated loans],"
Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 29(78), pages 203-251.
- Niccolò Battistini & Marco Pagano & Saverio Simonelli, 2013. "Systemic Risk, Sovereign Yields and Bank Exposures in the Euro Crisis," CSEF Working Papers 345, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
- Lenza, Michele & Cimadomo, Jacopo & Giannone, Domenico & Monti, Francesca & Sokol, Andrej, 2021.
"Nowcasting with Large Bayesian Vector Autoregressions,"
CEPR Discussion Papers
15854, C.E.P.R. Discussion Papers.
- Cimadomo, Jacopo & Giannone, Domenico & Lenza, Michele & Monti, Francesca & Sokol, Andrej, 2022. "Nowcasting with large Bayesian vector autoregressions," Journal of Econometrics, Elsevier, vol. 231(2), pages 500-519.
- Cimadomo, Jacopo & Giannone, Domenico & Lenza, Michele & Monti, Francesca & Sokol, Andrej, 2020. "Nowcasting with large Bayesian vector autoregressions," Working Paper Series 2453, European Central Bank.
- Mönch, Emanuel, 2005.
"Forecasting the yield curve in a data-rich environment: a no-arbitrage factor-augmented VAR approach,"
Working Paper Series
544, European Central Bank.
- Moench, Emanuel, 2008. "Forecasting the yield curve in a data-rich environment: A no-arbitrage factor-augmented VAR approach," Journal of Econometrics, Elsevier, vol. 146(1), pages 26-43, September.
- Marlene Amstad & Simon M. Potter & Robert W. Rich, 2017. "The New York Fed Staff Underlying Inflation Gauge (UIG)," Economic Policy Review, Federal Reserve Bank of New York, issue 23-2, pages 1-32.
- Jean Boivin & Marc Giannoni & Dalibor Stevanovic, 2013.
"Dynamic effects of credit shocks in a data-rich environment,"
Staff Reports
615, Federal Reserve Bank of New York.
- Jean Boivin & Marc P. Giannoni & Dalibor Stevanovic, 2013. "Dynamic Effects of Credit Shocks in a Data-Rich Environment," CIRANO Working Papers 2013s-11, CIRANO.
- Jean Boivin & Marc P. Giannoni & Dalibor Stevanovic, 2016. "Dynamic Effects of Credit Shocks in a Data-Rich Environment," CIRANO Working Papers 2016s-55, CIRANO.
- Jean Boivin & Marc P. Giannoni & Dalibor Stevanovic, 2013. "Dynamic Effects of Credit Shocks in a Data-Rich Environment," Cahiers de recherche 1324, CIRPEE.
- Jean Boivin & Marc P. Giannoni & Dalibor Stevanović, 2020. "Dynamic Effects of Credit Shocks in a Data-Rich Environment," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 272-284, April.
- Giannoni, Marc & Boivin, Jean & Stevanovic, Dalibor, 2013. "Dynamic Effects of Credit Shocks in a Data-Rich Environment," CEPR Discussion Papers 9470, C.E.P.R. Discussion Papers.
- Jörg Breitung & Sandra Eickmeier, 2006.
"Dynamic factor models,"
AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 90(1), pages 27-42, March.
- Breitung, Jörg & Eickmeier, Sandra, 2005. "Dynamic factor models," Discussion Paper Series 1: Economic Studies 2005,38, Deutsche Bundesbank.
- Jörg Breitung & Sandra Eickmeier, 2006. "Dynamic Factor Models," Springer Books, in: Olaf Hübler & Jachim Frohn (ed.), Modern Econometric Analysis, chapter 3, pages 25-40, Springer.
- Domenico Giannone & Lucrezia Reichlin, 2005. "Does information help recovering fundamental structural shocks from past observations?," Macroeconomics 0511017, University Library of Munich, Germany.
- Giannone, Domenico & D’Agostino, Antonello & Surico, Paolo, 2007.
"(Un)Predictability and Macroeconomic Stability,"
CEPR Discussion Papers
6594, C.E.P.R. Discussion Papers.
- D'Agostino, Antonello & Domenico, Giannone & Surico, Paolo, 2006. "(Un)Predictability and Macroeconomic Stability," Research Technical Papers 5/RT/06, Central Bank of Ireland.
- Antonello D'Agostino & Domenico Giannone & Paolo Surico, 2005. "(Un)Predictability and Macroeconomic Stability," Macroeconomics 0510024, University Library of Munich, Germany.
- Surico, Paolo & Giannone, Domenico & D'Agostino, Antonello, 2006. "(Un)Predictability and macroeconomic stability," Working Paper Series 605, European Central Bank.
- Eickmeier, Sandra & Breitung, Jorg, 2006. "How synchronized are new EU member states with the euro area? Evidence from a structural factor model," Journal of Comparative Economics, Elsevier, vol. 34(3), pages 538-563, September.
- Luciana Juvenal & Ivan Petrella, 2011.
"Speculation in the oil market,"
Working Papers
2011-027, Federal Reserve Bank of St. Louis.
- Luciana Juvenal & Ivan Petrella, 2012. "Speculation in the oil market," Economic Synopses, Federal Reserve Bank of St. Louis.
- Petrella, Ivan & Juvenal, Luciana, 2014. "Speculation in the Oil Market," CEPR Discussion Papers 9808, C.E.P.R. Discussion Papers.
- Luciana Juvenal & Ivan Petrella, 2015. "Speculation in the Oil Market," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(4), pages 621-649, June.
- Massimiliano Serati & Matteo Manera & Michele Plotegher, 2008.
"Modelling electricity prices: from the state of the art to a draft of a new proposal,"
LIUC Papers in Economics
210, Cattaneo University (LIUC).
- Matteo Manera & Massimiliano Serati & Michele Plotegher, 2008. "Modeling Electricity Prices: From the State of the Art to a Draft of a New Proposal," Working Papers 2008.9, Fondazione Eni Enrico Mattei.
- Serati, Massimiliano & Manera, Matteo & Plotegher, Michele, 2008. "Modeling Electricity Prices: From the State of the Art to a Draft of a New Proposal," International Energy Markets Working Papers 44426, Fondazione Eni Enrico Mattei (FEEM).
- Kuzin, Vladimir N. & Marcellino, Massimiliano & Schumacher, Christian, 2009.
"Pooling versus model selection for nowcasting with many predictors: an application to German GDP,"
Discussion Paper Series 1: Economic Studies
2009,03, Deutsche Bundesbank.
- Schumacher, Christian & Marcellino, Massimiliano & Kuzin, Vladimir, 2009. "Pooling versus model selection for nowcasting with many predictors: An application to German GDP," CEPR Discussion Papers 7197, C.E.P.R. Discussion Papers.
- Vladimir Kuzin & Massimiliano Marcellino & Christian Schumacher, 2009. "Pooling versus Model Selection for Nowcasting with Many Predictors: An Application to German GDP," Economics Working Papers ECO2009/13, European University Institute.
- Laura Coroneo & Domenico Giannone & Michele Modugno, 2016.
"Unspanned Macroeconomic Factors in the Yield Curve,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(3), pages 472-485, July.
- Laura Coroneo & Domenico Giannone & Michele Modugno, 2014. "Unspanned macroeconomic factors in the yield curve," Finance and Economics Discussion Series 2014-57, Board of Governors of the Federal Reserve System (U.S.).
- Laura Coroneo & Domenico Giannone & Michèle Modugno, 2013. "Unspanned Macroeconomic Factors in the Yields Curve," Working Papers ECARES ECARES 2013-07, ULB -- Universite Libre de Bruxelles.
- Reichlin, Lucrezia & Giannone, Domenico & Banbura, Marta, 2007.
"Bayesian VARs with Large Panels,"
CEPR Discussion Papers
6326, C.E.P.R. Discussion Papers.
- Domenico Giannone & Martha Banbura & Lucrezia Reichlin, 2010. "Large Bayesian vector auto regressions," ULB Institutional Repository 2013/13388, ULB -- Universite Libre de Bruxelles.
- Martha Banbura & Domenico Giannone & Lucrezia Reichlin, 2008. "Large Bayesian VARs," Working Papers ECARES 2008_033, ULB -- Universite Libre de Bruxelles.
- Marta Bańbura, 2008. "Large Bayesian VARs," 2008 Meeting Papers 334, Society for Economic Dynamics.
- Marta Banbura & Domenico Giannone & Lucrezia Reichlin, 2010. "Large Bayesian vector auto regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 71-92.
- Baumann, Ursel & Albuquerque, Bruno & Krustev, Georgi, 2014.
"Has US household deleveraging ended? a model-based estimate of equilibrium debt,"
Working Paper Series
1643, European Central Bank.
- Ursel Baumann, 2014. "Has US Household Deleveraging Ended? A Model-Based Estimate of Equilibrium Debt," Working Papers w201404, Banco de Portugal, Economics and Research Department.
- Lasse Bork, 2009.
"Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach,"
CREATES Research Papers
2009-11, Department of Economics and Business Economics, Aarhus University.
- Bork, Lasse, 2009. "Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach," Finance Research Group Working Papers F-2009-03, University of Aarhus, Aarhus School of Business, Department of Business Studies.
- Barnett, William A. & Tang, Biyan, 2015.
"Chinese Divisia monetary index and GDP nowcasting,"
MPRA Paper
67691, University Library of Munich, Germany.
- William A. Barnett & Biyan Tang, 2016. "Chinese Divisia Monetary Index and GDP Nowcasting," Open Economies Review, Springer, vol. 27(5), pages 825-849, November.
- William Barnett & Biyan Tang, 2015. "Chinese Divisia Monetary Index and GDP Nowcasting," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201506, University of Kansas, Department of Economics, revised Nov 2015.
- Helmut Lütkepohl, 2014.
"Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey,"
SFB 649 Discussion Papers
SFB649DP2014-004, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Helmut Lütkepohl, 2014. "Structural Vector Autoregressive Analysis in a Data Rich Environment: A Survey," Discussion Papers of DIW Berlin 1351, DIW Berlin, German Institute for Economic Research.
- Corsetti, Giancarlo & Duarte, Joao B. & Mann, Samuel, 2020.
"One Money, Many Markets: Monetary Transmission and Housing Financing in the Euro Area,"
CEPR Discussion Papers
14968, C.E.P.R. Discussion Papers.
- Giancarlo Corsetti & Joao B. Duarte & Samuel Mann, 2020. "One Money, Many Markets: Monetary Transmission and Housing Financing in the Euro Area," IMF Working Papers 2020/108, International Monetary Fund.
- Giannone, Domenico & Reichlin, Lucrezia, 2006.
"Does information help recovering structural shocks from past observations?,"
Working Paper Series
632, European Central Bank.
- Reichlin, Lucrezia & Giannone, Domenico, 2006. "Does Information Help Recovering Structural Shocks from Past Observations?," CEPR Discussion Papers 5725, C.E.P.R. Discussion Papers.
- Domenico Giannone & Lucrezia Reichlin, 2006. "Does information help recovering structural shocks from past observations?," Journal of the European Economic Association, MIT Press, vol. 4(2-3), pages 455-465, 04-05.
- Domenico Giannone & Lucrezia Reichlin, 2006. "Does information help recovering structural shocks from past observations?," ULB Institutional Repository 2013/166169, ULB -- Universite Libre de Bruxelles.
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- Giannone, Domenico & Bańbura, Marta & Lenza, Michele, 2014. "Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections," Working Paper Series 1733, European Central Bank.
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"MICA-BBVA: A Factor Model of Economic and Financial Indicators for Short-term GDP Forecasting,"
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"Predicting Benchmarked US State Employment Data in Real Time,"
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- Scott Brave & Charles S. Gascon & William Kluender & Thomas Walstrum, 2019. "Predicting Benchmarked US State Employment Data in Realtime," Working Paper Series WP 2019-11, Federal Reserve Bank of Chicago.
- Marina Diakonova & Luis Molina & Hannes Mueller & Javier J. Pérez & Cristopher Rauh, 2022.
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- Diakonova, M. & Molina, L. & Mueller, H. & Pérez, J. J. & Rauh, C., 2024. "The Information Content of Conflict, Social Unrest and Policy Uncertainty Measures for Macroeconomic Forecasting," Janeway Institute Working Papers 2413, Faculty of Economics, University of Cambridge.
- Edward S. Knotek & Saeed Zaman, 2017.
"Financial Nowcasts and Their Usefulness in Macroeconomic Forecasting,"
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"Real-Time Forecasting With a Mixed-Frequency VAR,"
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Textos para discussão
521, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Trucíos, Carlos & Mazzeu, João H.G. & Hotta, Luiz K. & Valls Pereira, Pedro L. & Hallin, Marc, 2021. "Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1520-1534.
- Soybilgen, Barış & Yazgan, Ege, 2018. "Evaluating nowcasts of bridge equations with advanced combination schemes for the Turkish unemployment rate," Economic Modelling, Elsevier, vol. 72(C), pages 99-108.
- Domenico Giannone & Lucrezia Reichlin, 2005. "Does information help recovering fundamental structural shocks from past observations?," Macroeconomics 0511017, University Library of Munich, Germany.
- Iyer , Tara & Sen Gupta, Abhijit, 2019. "Nowcasting Economic Growth in India: The Role of Rainfall," ADB Economics Working Paper Series 593, Asian Development Bank.
- Beber, Alessandro & Brandt, Michael & Luisi, Maurizio, 2013.
"Distilling the Macroeconomic News Flow,"
CEPR Discussion Papers
9360, C.E.P.R. Discussion Papers.
- Beber, Alessandro & Brandt, Michael W. & Luisi, Maurizio, 2015. "Distilling the macroeconomic news flow," Journal of Financial Economics, Elsevier, vol. 117(3), pages 489-507.
- Alessandro Beber & Michael W. Brandt & Maurizio Luisi, 2013. "Distilling the Macroeconomic News Flow," NBER Working Papers 19650, National Bureau of Economic Research, Inc.
- Proietti, Tommaso, 2008. "Estimation of Common Factors under Cross-Sectional and Temporal Aggregation Constraints: Nowcasting Monthly GDP and its Main Components," MPRA Paper 6860, University Library of Munich, Germany.
- Giannone, Domenico & D’Agostino, Antonello & Surico, Paolo, 2007.
"(Un)Predictability and Macroeconomic Stability,"
CEPR Discussion Papers
6594, C.E.P.R. Discussion Papers.
- D'Agostino, Antonello & Domenico, Giannone & Surico, Paolo, 2006. "(Un)Predictability and Macroeconomic Stability," Research Technical Papers 5/RT/06, Central Bank of Ireland.
- Antonello D'Agostino & Domenico Giannone & Paolo Surico, 2005. "(Un)Predictability and Macroeconomic Stability," Macroeconomics 0510024, University Library of Munich, Germany.
- Surico, Paolo & Giannone, Domenico & D'Agostino, Antonello, 2006. "(Un)Predictability and macroeconomic stability," Working Paper Series 605, European Central Bank.
- Matteo Barigozzi & Marc Hallin, 2023.
"Dynamic Factor Models: a Genealogy,"
Working Papers ECARES
2023-15, ULB -- Universite Libre de Bruxelles.
- Matteo Barigozzi & Marc Hallin, 2023. "Dynamic Factor Models: a Genealogy," Papers 2310.17278, arXiv.org, revised Jan 2024.
- Carlo Altavilla & Domenico Giannone, 2014.
"The Effectiveness of Non-Standard Monetary Policy Measures: Evidence from Survey Data,"
Working Papers ECARES
ECARES 2014-30, ULB -- Universite Libre de Bruxelles.
- Altavilla, Carlo & Giannone, Domenico, 2016. "The effectiveness of non-standard monetary policy measures: evidence from survey data," Working Paper Series 1951, European Central Bank.
- Carlo Altavilla & Domenico Giannone, 2014. "The effectiveness of non-standard monetary policy measures: evidence from survey data," Working Papers CASMEF 1406, Dipartimento di Economia e Finanza, LUISS Guido Carli.
- Carlo Altavilla & Domenico Giannone, 2017. "The Effectiveness of Non‐Standard Monetary Policy Measures: Evidence from Survey Data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(5), pages 952-964, August.
- Carlo Altavilla & Domenico Giannone, 2015. "The effectiveness of nonstandard monetary policy measures: evidence from survey data," Staff Reports 752, Federal Reserve Bank of New York.
- Giannone, Domenico & Altavilla, Carlo, 2014. "The Effectiveness of Non-Standard Monetary Policy Measures: Evidence from Survey Data," CEPR Discussion Papers 10001, C.E.P.R. Discussion Papers.
- Drechsel, Thomas & Antolin-Diaz, Juan & Petrella, Ivan, 2023.
"Advances in Nowcasting Economic Activity: The Role of Heterogeneous Dynamics and Fat Tails,"
CEPR Discussion Papers
17800, C.E.P.R. Discussion Papers.
- Antolín-Díaz, Juan & Drechsel, Thomas & Petrella, Ivan, 2024. "Advances in nowcasting economic activity: The role of heterogeneous dynamics and fat tails," Journal of Econometrics, Elsevier, vol. 238(2).
- Knut Are Aastveit & Karsten R. Gerdrup & Anne Sofie Jore & Leif Anders Thorsrud, 2011.
"Nowcasting GDP in Real-Time: A Density Combination Approach,"
Working Papers
No 1/2011, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Knut Are Aastveit & Karsten R. Gerdrup & Anne Sofie Jore & Leif Anders Thorsrud, 2011. "Nowcasting GDP in real-time: A density combination approach," Working Paper 2011/11, Norges Bank.
- Knut Are Aastveit & Karsten R. Gerdrup & Anne Sofie Jore & Leif Anders Thorsrud, 2014. "Nowcasting GDP in Real Time: A Density Combination Approach," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(1), pages 48-68, January.
- Lucia Alessi & Eric Ghysels & Luca Onorante & Richard Peach & Simon Potter, 2014.
"Central Bank Macroeconomic Forecasting During the Global Financial Crisis: The European Central Bank and Federal Reserve Bank of New York Experiences,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(4), pages 483-500, October.
- Onorante, Luca & Alessi, Lucia & Ghysels, Eric & Potter, Simon & Peach, Richard, 2014. "Central bank macroeconomic forecasting during the global financial crisis: the European Central Bank and Federal Reserve Bank of New York experiences," Working Paper Series 1688, European Central Bank.
- Luci Alessi & Eric Ghysels & Luca Onorante & Richard Peach & Simon M. Potter, 2014. "Central bank macroeconomic forecasting during the global financial crisis: the European Central Bank and Federal Reserve Bank of New York experiences," Staff Reports 680, Federal Reserve Bank of New York.
- Sean P. Grover & Michael W. McCracken, 2014. "Factor-based prediction of industry-wide bank stress," Review, Federal Reserve Bank of St. Louis, vol. 96(2), pages 173-194.
- Herman O. Stekler & Yongchen Zhao, 2016.
"Predicting U.S. Business Cycle Turning Points Using Real-Time Diffusion Indexes Based on a Large Data Set,"
Working Papers
2016-006, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- Herman Stekler & Yongchen Zhao, 2016. "Predicting U.S. Business Cycle Turning Points Using Real-Time Diffusion Indexes Based on a Large Data Set," Working Papers 2016-15, Towson University, Department of Economics, revised Sep 2016.
- Yongchen Zhao, 2020. "Predicting U.S. Business Cycle Turning Points Using Real-Time Diffusion Indexes Based on a Large Data Set," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 16(2), pages 77-97, November.
- Economides, Philip & Nikolaishvili, Giorgi, 2023. "Measuring economic activity in the presence of superstar MNEs," Economics Letters, Elsevier, vol. 226(C).
- Evren Erdogan Cosar & Sevim Kosem & Cagri Sarikaya, 2013. "Do We Really Need Filters In Estimating Output Gap? : Evidence From Turkey," Working Papers 1333, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Peter Hördahl & Eli M Remolona & Giorgio Valente, 2015. "Expectations and risk premia at 8:30am: Macroeconomic announcements and the yield curve," BIS Working Papers 527, Bank for International Settlements.
- Hilde C. Bj�rnland & Leif Anders Thorsrud & Sepideh K. Zahiri, 2016.
"Do central banks respond timely to developments in the global economy?,"
Working Papers
No 8/2016, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Hilde C. Bjornland & Leif Anders Thorsrud & Sepideh Khayati Zahiri, 2017. "Do central banks respond timely to developments in the global economy?," CAMA Working Papers 2017-20, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Hilde C. Bjørnland & Leif Anders Thorsrud & Sepideh Khayati Zahiri, 2016. "Do central banks respond timely to developments in the global economy?," Working Paper 2016/19, Norges Bank.
- Hilde C. Bj⊘rnland & Leif Anders Thorsrud & Sepideh Khayati Zahiri, 2020. "Do Central Banks Respond Timely to Developments in the Global Economy?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 82(2), pages 285-310, April.
- Kuzin, Vladimir N. & Marcellino, Massimiliano & Schumacher, Christian, 2009.
"Pooling versus model selection for nowcasting with many predictors: an application to German GDP,"
Discussion Paper Series 1: Economic Studies
2009,03, Deutsche Bundesbank.
- Schumacher, Christian & Marcellino, Massimiliano & Kuzin, Vladimir, 2009. "Pooling versus model selection for nowcasting with many predictors: An application to German GDP," CEPR Discussion Papers 7197, C.E.P.R. Discussion Papers.
- Vladimir Kuzin & Massimiliano Marcellino & Christian Schumacher, 2009. "Pooling versus Model Selection for Nowcasting with Many Predictors: An Application to German GDP," Economics Working Papers ECO2009/13, European University Institute.
- Heather D. Gibson & Stephen G. Hall & George S. Tavlas, 2020.
"A Suggestion for a Dynamic Multi Factor Model (DMFM),"
Working Papers
282, Bank of Greece.
- Gibson, Heather D. & Hall, Stephen G. & Tavlas, George S., 2022. "A Suggestion For A Dynamic Multifactor Model (Dmfm)," Macroeconomic Dynamics, Cambridge University Press, vol. 26(6), pages 1423-1443, September.
- Raïsa Basselier & David Antonio Liedo & Geert Langenus, 2018. "Nowcasting Real Economic Activity in the Euro Area: Assessing the Impact of Qualitative Surveys," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 14(1), pages 1-46, April.
- Massimiliano Marcellino & Christian Schumacher, 2008. "Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP1," Working Papers 333, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Alain Kabundi & Elmarie Nel & Franz Ruch, 2016.
"Nowcasting Real GDP growth in South Africa,"
Working Papers
54, Economic Research Southern Africa.
- Alain Kabundi & Elmarie Nel & Franz Ruch, 2016. "Nowcasting Real GDP growth in South Africa," Working Papers 7068, South African Reserve Bank.
- Alain Kabundi & Elmarie Nel & Franz Ruch, 2016. "Nowcasting Real GDP growth in South Africa," Working Papers 581, Economic Research Southern Africa.
- Massimiliano Marcellino & Mario Porqueddu & Fabrizio Venditti, 2016.
"Short-Term GDP Forecasting With a Mixed-Frequency Dynamic Factor Model With Stochastic Volatility,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(1), pages 118-127, January.
- Massimiliano Marcellino & Mario Porqueddu & Fabrizio Venditti, 2013. "Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility," Temi di discussione (Economic working papers) 896, Bank of Italy, Economic Research and International Relations Area.
- Marcellino, Massimiliano & Venditti, Fabrizio & Porqueddu, Mario, 2013. "Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility," CEPR Discussion Papers 9334, C.E.P.R. Discussion Papers.
- Knotek, Edward S. & Zaman, Saeed, 2023.
"Real-time density nowcasts of US inflation: A model combination approach,"
International Journal of Forecasting, Elsevier, vol. 39(4), pages 1736-1760.
- Edward S. Knotek & Saeed Zaman, 2020. "Real-Time Density Nowcasts of US Inflation: A Model-Combination Approach," Working Papers 20-31, Federal Reserve Bank of Cleveland.
- Edward Knotek & Saeed Zaman, 2020. "Real-time density nowcasts of US inflation: a model-combination approach," Working Papers 2015, University of Strathclyde Business School, Department of Economics.
- Daniel Baquero & Manuel Gonzalez-Astudillo, 2018. "A Nowcasting Model for the Growth Rate of Real GDP of Ecuador : Implementing a Time-Varying Intercept," Finance and Economics Discussion Series 2018-044, Board of Governors of the Federal Reserve System (U.S.).
- Dennis Kant & Andreas Pick & Jasper de Winter, 2022. "Nowcasting GDP using machine learning methods," Working Papers 754, DNB.
- Dr. Alain Galli & Dr. Christian Hepenstrick & Dr. Rolf Scheufele, 2017.
"Mixed-frequency models for tracking short-term economic developments in Switzerland,"
Working Papers
2017-02, Swiss National Bank.
- Alain Galli & Christian Hepenstrick & Rolf Scheufele, 2019. "Mixed-Frequency Models for Tracking Short-Term Economic Developments in Switzerland," International Journal of Central Banking, International Journal of Central Banking, vol. 15(2), pages 151-178, June.
- James Chapman & Ajit Desai, 2021. "Using Payments Data to Nowcast Macroeconomic Variables During the Onset of COVID-19," Staff Working Papers 21-2, Bank of Canada.
- Reichlin, Lucrezia & Giannone, Domenico & Banbura, Marta, 2007.
"Bayesian VARs with Large Panels,"
CEPR Discussion Papers
6326, C.E.P.R. Discussion Papers.
- Domenico Giannone & Martha Banbura & Lucrezia Reichlin, 2010. "Large Bayesian vector auto regressions," ULB Institutional Repository 2013/13388, ULB -- Universite Libre de Bruxelles.
- Martha Banbura & Domenico Giannone & Lucrezia Reichlin, 2008. "Large Bayesian VARs," Working Papers ECARES 2008_033, ULB -- Universite Libre de Bruxelles.
- Marta Bańbura, 2008. "Large Bayesian VARs," 2008 Meeting Papers 334, Society for Economic Dynamics.
- Marta Banbura & Domenico Giannone & Lucrezia Reichlin, 2010. "Large Bayesian vector auto regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 71-92.
- Jokubaitis, Saulius & Celov, Dmitrij & Leipus, Remigijus, 2021. "Sparse structures with LASSO through principal components: Forecasting GDP components in the short-run," International Journal of Forecasting, Elsevier, vol. 37(2), pages 759-776.
- Zhang, Yixiao & Yu, Cindy L. & Li, Haitao, 2022. "Nowcasting GDP Using Dynamic Factor Model with Unknown Number of Factors and Stochastic Volatility: A Bayesian Approach," Econometrics and Statistics, Elsevier, vol. 24(C), pages 75-93.
- Tony Chernis & Taylor Webley, 2022. "Nowcasting Canadian GDP with Density Combinations," Discussion Papers 2022-12, Bank of Canada.
- Knut Are Aastveit & Francesco Ravazzolo & Herman K. van Dijk, 2014.
"Combined Density Nowcasting in an uncertain economic environment,"
Working Paper
2014/17, Norges Bank.
- Knut Are Aastveit & Francesco Ravazzolo & Herman K. van Dijk, 2014. "Combined Density Nowcasting in an Uncertain Economic Environment," Tinbergen Institute Discussion Papers 14-152/III, Tinbergen Institute.
- Knut Are Aastveit & Francesco Ravazzolo & Herman K. van Dijk, 2018. "Combined Density Nowcasting in an Uncertain Economic Environment," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(1), pages 131-145, January.
- Duarte, Pablo & Süßmuth, Bernd, 2018.
"Implementing an approximate dynamic factor model to nowcast GDP using sensitivity analysis,"
Working Papers
152, University of Leipzig, Faculty of Economics and Management Science.
- Pablo Duarte & Bernd Süssmuth, 2018. "Implementing an Approximate Dynamic Factor Model to Nowcast GDP Using Sensitivity Analysis," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 14(1), pages 127-141, April.
- Ilkin Huseynov & Nazrin Ramazanova & Hikmat Valirzayev, 2022. "Using National Payment System Data to Nowcast Economic Activity in Azerbaijan," IHEID Working Papers 23-2022, Economics Section, The Graduate Institute of International Studies.
- Lasse Bork, 2009.
"Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach,"
CREATES Research Papers
2009-11, Department of Economics and Business Economics, Aarhus University.
- Bork, Lasse, 2009. "Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach," Finance Research Group Working Papers F-2009-03, University of Aarhus, Aarhus School of Business, Department of Business Studies.
- Dimpfl, Thomas & Langen, Tobias, 2015. "A Cross-Country Analysis of Unemployment and Bonds with Long-Memory Relations," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112921, Verein für Socialpolitik / German Economic Association.
- Grant Allan & Gary Koop & Stuart McIntyre & Paul Smith, 2019. "Nowcasting Using Mixed Frequency Methods: An Application to the Scottish Economy," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 81(1), pages 12-45, September.
- Bhattacharya, Rudrani & Pandey, Radhika & Veronese, Giovanni, 2011. "Tracking India Growth in Real Time," Working Papers 11/90, National Institute of Public Finance and Policy.
- Mr. Serhat Solmaz & Marzie Taheri Sanjani, 2015. "How External Factors Affect Domestic Economy: Nowcasting an Emerging Market," IMF Working Papers 2015/269, International Monetary Fund.
- Claudia Foroni & Francesco Ravazzolo & Luca Rossini, 2020.
"Are low frequency macroeconomic variables important for high frequency electricity prices?,"
Papers
2007.13566, arXiv.org, revised Dec 2022.
- Foroni, Claudia & Ravazzolo, Francesco & Rossini, Luca, 2023. "Are low frequency macroeconomic variables important for high frequency electricity prices?," Economic Modelling, Elsevier, vol. 120(C).
- Alessi, Lucia & Balduzzi, Pierluigi & Savona, Roberto, 2019. "Anatomy of a Sovereign Debt Crisis: CDS Spreads and Real-Time Macroeconomic Data," Working Papers 2019-03, Joint Research Centre, European Commission.
- Barnett, William A. & Tang, Biyan, 2015.
"Chinese Divisia monetary index and GDP nowcasting,"
MPRA Paper
67691, University Library of Munich, Germany.
- William A. Barnett & Biyan Tang, 2016. "Chinese Divisia Monetary Index and GDP Nowcasting," Open Economies Review, Springer, vol. 27(5), pages 825-849, November.
- William Barnett & Biyan Tang, 2015. "Chinese Divisia Monetary Index and GDP Nowcasting," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201506, University of Kansas, Department of Economics, revised Nov 2015.
- Daniel Hopp, 2021. "Economic Nowcasting with Long Short-Term Memory Artificial Neural Networks (LSTM)," Papers 2106.08901, arXiv.org.
- Laurent Ferrara & Dominique Guégan & Patrick Rakotomarolahy, 2010.
"GDP nowcasting with ragged-edge data: a semi-parametric modeling,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 186-199.
- Laurent Ferrara & Dominique Guegan & Patrick Rakotomarolahy, 2010. "GDP nowcasting with ragged-edge data: a semi-parametric modeling," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00460461, HAL.
- Laurent Ferrara & Dominique Guegan & Patrick Rakotomarolahy, 2008. "GDP nowcasting with ragged-edge data: A semi-parametric modelling," Documents de travail du Centre d'Economie de la Sorbonne b08082, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Nov 2009.
- Laurent Ferrara & Dominique Guegan & Patrick Rakotomarolahy, 2010. "GDP nowcasting with ragged-edge data: a semi-parametric modeling," PSE-Ecole d'économie de Paris (Postprint) halshs-00460461, HAL.
- Laurent Ferrara & Dominique Guegan & Patrick Rakotomarolahy, 2009. "GDP nowcasting with ragged-edge data : A semi-parametric modelling," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00344839, HAL.
- Santiago Etchegaray Alvarez, 2022. "Proyecciones macroeconómicas con datos en frecuencias mixtas. Modelos ADL-MIDAS, U-MIDAS y TF-MIDAS con aplicaciones para Uruguay," Documentos de trabajo 2022004, Banco Central del Uruguay.
- Scotti, Chiara, 2016.
"Surprise and uncertainty indexes: Real-time aggregation of real-activity macro-surprises,"
Journal of Monetary Economics, Elsevier, vol. 82(C), pages 1-19.
- Chiara Scotti, 2013. "Surprise and uncertainty indexes: real-time aggregation of real-activity macro surprises," International Finance Discussion Papers 1093, Board of Governors of the Federal Reserve System (U.S.).
- Marianna Cervená & Martin Schneider, 2010.
"Short-term forecasting GDP with a DSGE model augmented by monthly indicators,"
Working Papers
163, Oesterreichische Nationalbank (Austrian Central Bank).
- Červená, Marianna & Schneider, Martin, 2014. "Short-term forecasting of GDP with a DSGE model augmented by monthly indicators," International Journal of Forecasting, Elsevier, vol. 30(3), pages 498-516.
- Sean P. Grover & Kevin L. Kliesen & Michael W. McCracken, 2016. "A Macroeconomic News Index for Constructing Nowcasts of U.S. Real Gross Domestic Product Growth," Review, Federal Reserve Bank of St. Louis, vol. 98(4), pages 277-296.
- Smeekes, Stephan & Wijler, Etienne, 2021.
"An automated approach towards sparse single-equation cointegration modelling,"
Journal of Econometrics, Elsevier, vol. 221(1), pages 247-276.
- Stephan Smeekes & Etienne Wijler, 2018. "An Automated Approach Towards Sparse Single-Equation Cointegration Modelling," Papers 1809.08889, arXiv.org, revised Jul 2020.
- Lorenzo Donadio & Rossano Schifanella & Claudia R Binder & Emanuele Massaro, 2021. "Leveraging insurance customer data to characterize socioeconomic indicators of Swiss municipalities," PLOS ONE, Public Library of Science, vol. 16(3), pages 1-23, March.
- Jose M. Carabias, 2018. "The real-time information content of macroeconomic news: implications for firm-level earnings expectations," Review of Accounting Studies, Springer, vol. 23(1), pages 136-166, March.
- Ulrich Heilemann & Susanne Schnorr-Bäcker, 2016. "Could The Start Of The German Recession 2008-2009 Have Been Foreseen? Evidence From Real-Time Data," Working Papers 2016-003, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- Richard Schnorrenberger & Aishameriane Schmidt & Guilherme Valle Moura, 2024. "Harnessing Machine Learning for Real-Time Inflation Nowcasting," Working Papers 806, DNB.
- George Monokroussos & Yongchen Zhao, 2020.
"Nowcasting in Real Time Using Popularity Priors,"
Working Papers
2020-01, Towson University, Department of Economics, revised Feb 2020.
- Monokroussos, George, 2015. "Nowcasting in Real Time Using Popularity Priors," MPRA Paper 68594, University Library of Munich, Germany.
- Monokroussos, George & Zhao, Yongchen, 2020. "Nowcasting in real time using popularity priors," International Journal of Forecasting, Elsevier, vol. 36(3), pages 1173-1180.
- Troy Matheson, 2007.
"An analysis of the informational content of New Zealand data releases: the importance of business opinion surveys,"
Reserve Bank of New Zealand Discussion Paper Series
DP2007/13, Reserve Bank of New Zealand.
- Matheson, Troy D., 2010. "An analysis of the informational content of New Zealand data releases: The importance of business opinion surveys," Economic Modelling, Elsevier, vol. 27(1), pages 304-314, January.
- Probst, Julius, 2019. "Global real interest rate dynamics from the late 19th century to today," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 522-547.
- Gupta, Rangan & Ma, Jun & Risse, Marian & Wohar, Mark E., 2018.
"Common business cycles and volatilities in US states and MSAs: The role of economic uncertainty,"
Journal of Macroeconomics, Elsevier, vol. 57(C), pages 317-337.
- Rangan Gupta & Jun Ma & Marian Risse & Mark E. Wohar, 2017. "Common Business Cycles and Volatilities in US States and MSAs: The Role of Economic Uncertainty," Working Papers 201766, University of Pretoria, Department of Economics.
- Pirschel, Inske, 2016. "Forecasting euro area recessions in real-time," Kiel Working Papers 2020, Kiel Institute for the World Economy (IfW Kiel).
- Laurent Ferrara & Anna Simoni, 2023.
"When are Google Data Useful to Nowcast GDP? An Approach via Preselection and Shrinkage,"
Post-Print
hal-03919944, HAL.
- Laurent Ferrara & Anna Simoni, 2020. "When are Google data useful to nowcast GDP? An approach via pre-selection and shrinkage," EconomiX Working Papers 2020-11, University of Paris Nanterre, EconomiX.
- Laurent Ferrara & Anna Simoni, 2019. "When are Google data useful to nowcast GDP? An approach via pre-selection and shrinkage," Working papers 717, Banque de France.
- Laurent Ferrara & Anna Simoni, 2019. "When are Google data useful to nowcast GDP? An approach via pre-selection and shrinkage," Working Papers 2019-04, Center for Research in Economics and Statistics.
- Laurent Ferrara & Anna Simoni, 2020. "When are Google data useful to nowcast GDP? An approach via pre-selection and shrinkage," Papers 2007.00273, arXiv.org, revised Sep 2022.
- Laurent Ferrara & Anna Simoni, 2023. "When are Google Data Useful to Nowcast GDP? An Approach via Preselection and Shrinkage," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(4), pages 1188-1202, October.
- Laurent Ferrara & Anna Simoni, 2020. "When are Google data useful to nowcast GDP? An approach via pre-selection and shrinkage," Working Papers hal-04159714, HAL.
- Knut Are Aastveit & Andr� K. Anundsen & Eyo I. Herstad, 2017.
"Residential investment and recession predictability,"
Working Papers
No 8/2017, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Knut Are Aastveit & André K. Anundsen & Eyo I. Herstad, 2017. "Residential investment and recession predictability," Working Paper 2017/24, Norges Bank.
- Aastveit, Knut Are & Anundsen, André K. & Herstad, Eyo I., 2019. "Residential investment and recession predictability," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1790-1799.
- Reichlin, Lucrezia & Andreini, Paolo & Hasenzagl, Thomas & Senftleben-König, Charlotte & Strohsal, Till, 2020. "Nowcasting German GDP," CEPR Discussion Papers 14323, C.E.P.R. Discussion Papers.
- Katerina Arnostova & David Havrlant & Luboš Rùžièka & Peter Tóth, 2011.
"Short-Term Forecasting of Czech Quarterly GDP Using Monthly Indicators,"
Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 61(6), pages 566-583, December.
- Katerina Arnostova & David Havrlant & Lubos Ruzicka & Peter Toth, 2010. "Short-Term Forecasting of Czech Quarterly GDP Using Monthly Indicators," Working Papers 2010/12, Czech National Bank.
- Enrico D'Elia, 2014.
"Predictions vs. preliminary sample estimates: the case of eurozone quarterly GDP,"
Working Papers
2, Department of the Treasury, Ministry of the Economy and of Finance.
- D’Elia Enrico, 2014. "Predictions vs. Preliminary Sample Estimates: The Case of Eurozone Quarterly GDP," Journal of Official Statistics, Sciendo, vol. 30(3), pages 1-22, September.
- Martha Banbura & Domenico Giannone & Lucrezia Reichlin, 2010.
"Nowcasting,"
Working Papers ECARES
ECARES 2010-021, ULB -- Universite Libre de Bruxelles.
- Reichlin, Lucrezia & Giannone, Domenico & Banbura, Marta, 2010. "Nowcasting," CEPR Discussion Papers 7883, C.E.P.R. Discussion Papers.
- Giannone, Domenico & Reichlin, Lucrezia & Bańbura, Marta, 2010. "Nowcasting," Working Paper Series 1275, European Central Bank.
- William Barnett & Marcelle Chauvetz & Danilo Leiva-Leonx, 2014.
"Real-Time Nowcasting Nominal GDP Under Structural Break,"
WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS
201313, University of Kansas, Department of Economics, revised Feb 2014.
- Barnett, William A. & Chauvet, Marcelle & Leiva-Leon, Danilo, 2014. "Real-Time Nowcasting Nominal GDP Under Structural Break," MPRA Paper 53699, University Library of Munich, Germany.
- Reichlin, Lucrezia & Giannone, Domenico & De Mol, Christine, 2006.
"Forecasting Using a Large Number of Predictors: Is Bayesian Regression a Valid Alternative to Principal Components?,"
CEPR Discussion Papers
5829, C.E.P.R. Discussion Papers.
- Giannone, Domenico & Reichlin, Lucrezia & De Mol, Christine, 2006. "Forecasting using a large number of predictors: Is Bayesian regression a valid alternative to principal components?," Working Paper Series 700, European Central Bank.
- De Mol, Christine & Giannone, Domenico & Reichlin, Lucrezia, 2006. "Forecasting using a large number of predictors: is Bayesian regression a valid alternative to principal components?," Discussion Paper Series 1: Economic Studies 2006,32, Deutsche Bundesbank.
- De Mol, Christine & Giannone, Domenico & Reichlin, Lucrezia, 2008. "Forecasting using a large number of predictors: Is Bayesian shrinkage a valid alternative to principal components?," Journal of Econometrics, Elsevier, vol. 146(2), pages 318-328, October.
- Boriss Siliverstovs, 2015.
"Dissecting Models' Forecasting Performance,"
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"A Macroeconomic Perspective On Climate Change Mitigation: Meeting The Financing Challenge,"
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- Jacopo Cimadomo & Agnès Bénassy-Quéré, 2012. "Changing Patterns of Fiscal Policy Multipliers in Germany, the UK and the US," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00966144, HAL.
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- Daragh Clancy & Lorenzo Ricci, 2019. "Loss aversion, economic sentiments and international consumption smoothing," Working Papers 35, European Stability Mechanism.
- Lenza, Michele, 2023. "Inflation and wage growth since the pandemic: A comment," European Economic Review, Elsevier, vol. 158(C).
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"Hurricanes: Intertemporal Trade and Capital Shocks,"
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"Systems GMM estimates of the Feldstein-Horioka puzzle for the OECD countries and tests for structural breaks,"
Economic Modelling, Elsevier, vol. 27(5), pages 1269-1273, September.
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"On the Relationship Between Domestic Saving and the Current Account: Evidence and Theory for Developing Countries,"
CEPR Discussion Papers
14104, C.E.P.R. Discussion Papers.
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"A Time Series Approach to the Feldstein-Horioka Puzzle with Panel Data from the OECD Countries,"
MPRA Paper
18464, University Library of Munich, Germany.
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- Beckmann, Joscha & Czudaj, Robert L., 2024. "Uncertainty Shocks and Inflation: The Role of Credibility and Expectation Anchoring," MPRA Paper 119971, University Library of Munich, Germany.
- Vasudeva N. R. Murthy & Natalya Ketenci, 2020. "Capital mobility in Latin American and Caribbean countries: new evidence from dynamic common correlated effects panel data modeling," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-17, December.
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"Trends and cycles in the euro area: how much heterogeneity and should we worry about it?,"
Working Paper Series
595, European Central Bank.
- Domenico Giannone & Lucrezia Reichlin, 2005. "Trends and cycles in the Euro Area: how much heterogeneity and should we worry about it?," Macroeconomics 0511016, University Library of Munich, Germany.
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"Capital mobility in Russia,"
Russian Journal of Economics, Elsevier, vol. 1(4), pages 386-403.
- Ketenci, Natalya, 2014. "Capital Mobility in Russia," MPRA Paper 59013, University Library of Munich, Germany.
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- Harald Oberhofer & Christian Glocker & Werner Hölzl & Peter Huber & Serguei Kaniovski & Klaus Nowotny & Michael Pfaffermayr & Monique Ebell & Nikolaos Kontogiannis, 2016. "Single Market Transmission Mechanisms Before, During and After the 2008-09 Crisis. A Quantitative Assessment," WIFO Studies, WIFO, number 59156, February.
- Joe Garmondyu Greaves, 2018. "Investigating Saving and Investment Relationship: Evidence from an Autoregressive Distributed Lag Bounds Testing Approach in Liberia," International Journal of Economics and Financial Issues, Econjournals, vol. 8(4), pages 89-104.
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- Sal AMIRKHALKHALI & Atul DAR, 2016. "Public Debt, Saving-Investment-Current Account Dynamics, and Capital Mobility in OECD countries, 1999-2013," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 16(1), pages 5-12.
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"Does Fiscal Policy Affect Interest Rates? Evidence from a Factor-Augmented Panel,"
IMF Working Papers
2013/159, International Monetary Fund.
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"Euro area and US recessions: 1970-2003,"
ULB Institutional Repository
2013/6405, ULB -- Universite Libre de Bruxelles.
Cited by:
- Zeno Enders & Robert Kollmann & Gernot J. Müller, 2011.
"Global banking and international business cycles,"
Globalization Institute Working Papers
72, Federal Reserve Bank of Dallas.
- Kollmann, Robert & Müller, Gernot & Enders, Zeno, 2010. "Global Banking and International Business Cycles," CEPR Discussion Papers 7972, C.E.P.R. Discussion Papers.
- Robert Kollmann & Zeno Enders & Gernot J. Müller, 2010. "Global Banking and International Business Cycles," Working Papers ECARES ECARES 2010-028, ULB -- Universite Libre de Bruxelles.
- Robert KOLLMANN, 2011. "Global Banking and International Business Cycles," 2011 Meeting Papers 20, Society for Economic Dynamics.
- Kollmann, Robert & Enders, Zeno & Müller, Gernot J., 2011. "Global banking and international business cycles," European Economic Review, Elsevier, vol. 55(3), pages 407-426, April.
- Reichlin, Lucrezia & Giannone, Domenico & Lenza, Michele, 2009.
"Business Cycles in the Euro Area,"
CEPR Discussion Papers
7124, C.E.P.R. Discussion Papers.
- Domenico Giannone & Michèle Lenza & Lucrezia Reichlin, 2008. "Business Cycles in the euro Area," Working Papers ECARES 2008_040, ULB -- Universite Libre de Bruxelles.
- Domenico Giannone & Michele Lenza & Lucrezia Reichlin, 2008. "Business Cycles in the Euro Area," NBER Working Papers 14529, National Bureau of Economic Research, Inc.
- Domenico Giannone & Michele Lenza, 2009. "Business cycles in the euro area," Research Bulletin, European Central Bank, vol. 8, pages 5-7.
- Domenico Giannone & Michele Lenza & Lucrezia Reichlin, 2010. "Business Cycles in the Euro Area," NBER Chapters, in: Europe and the Euro, pages 141-167, National Bureau of Economic Research, Inc.
- Mili, Mehdi & Sahut, Jean-Michel & Teulon, Frédéric, 2012. "Non linear and asymmetric linkages between real growth in the Euro area and global financial market conditions: New evidence," Economic Modelling, Elsevier, vol. 29(3), pages 734-741.
- Heather M. Anderson & Mardi Dungey & Denise R Osborn & Farshid Vahid, 2010.
"Financial Integration and the Construction of Historical Financial Data for the Euro Area,"
Centre for Growth and Business Cycle Research Discussion Paper Series
152, Economics, The University of Manchester.
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- Heather Anderson & Mardi Dungey & Denise R. Osborn & Farshid Vahid, 2007.
"Constructing Historical Euro Area Data,"
CAMA Working Papers
2007-18, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Heather Anderson & Mardi Dungey & Denise Osborn & Farshid Vahid, 2007. "Constructing Historical Euro Area Data," Money Macro and Finance (MMF) Research Group Conference 2006 99, Money Macro and Finance Research Group.
- Mirko Abbritti; Sebastian Weber, 2008. "Labor Market Rigidities and the Business Cycle: Price vs. Quantity Restricting Institutions," IHEID Working Papers 01-2008, Economics Section, The Graduate Institute of International Studies, revised Jan 2008.
- Alain Kabundi & Elsabé Loots, 2010. "Patterns Of Co‐Movement Between South Africa And Germany: Evidence From The Period 1985 To 2006," South African Journal of Economics, Economic Society of South Africa, vol. 78(4), pages 383-399, December.
- Giannone, Domenico & Reichlin, Lucrezia & Lenza, Michele, 2009. "Business cycles in the euro area," Working Paper Series 1010, European Central Bank.
- Robert Pater, 2014. "Are there two types of business cycles? a note on crisis detection," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, vol. 10(3), pages 1-28, December.
- Marco Lombardi & Mr. Raphael A Espinoza & Fabio Fornari, 2009. "The Role of Financial Variables in Predicting Economic Activity in the Euro Area," IMF Working Papers 2009/241, International Monetary Fund.
- Rostagno, Massimo & Altavilla, Carlo & Carboni, Giacomo & Lemke, Wolfgang & Motto, Roberto & Saint Guilhem, Arthur & Yiangou, Jonathan, 2019. "A tale of two decades: the ECB’s monetary policy at 20," Working Paper Series 2346, European Central Bank.
- Zeno Enders & Robert Kollmann & Gernot J. Müller, 2011.
"Global banking and international business cycles,"
Globalization Institute Working Papers
72, Federal Reserve Bank of Dallas.
- Reichlin, Lucrezia & Sala, Luca & Giannone, Domenico, 2002.
"Tracking Greenspan: Systematic and Unsystematic Monetary Policy Revisited,"
CEPR Discussion Papers
3550, C.E.P.R. Discussion Papers.
Cited by:
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"International Macroeconomic Dynamics: a Factor Vector Autoregressive Approach,"
ICER Working Papers
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- Fabio C. Bagliano & Claudio Morana, 2006. "International Macroeconomic Dynamics: A Factor Vector Autoregressive Approach," Carlo Alberto Notebooks 32, Collegio Carlo Alberto.
- Bagliano, Fabio C. & Morana, Claudio, 2009. "International macroeconomic dynamics: A factor vector autoregressive approach," Economic Modelling, Elsevier, vol. 26(2), pages 432-444, March.
- Claudio Morana, 2010. "Heteroskedastic Factor Vector Autoregressive Estimation of Persistent and Non Persistent Processes Subject to Structural Breaks," ICER Working Papers - Applied Mathematics Series 36-2010, ICER - International Centre for Economic Research.
- Domenico Giannone & Lucrezia Reichlin & Luca Sala, 2005.
"Monetary policy in real time,"
ULB Institutional Repository
2013/6401, ULB -- Universite Libre de Bruxelles.
- Domenico Giannone & Lucrezia Reichlin & Luca Sala, 2005. "Monetary Policy in Real Time," Working Papers 284, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Domenico Giannone & Lucrezia Reichlin & Luca Sala, 2005. "Monetary Policy in Real Time," NBER Chapters, in: NBER Macroeconomics Annual 2004, Volume 19, pages 161-224, National Bureau of Economic Research, Inc.
- Reichlin, Lucrezia & Sala, Luca & Giannone, Domenico, 2005. "Monetary Policy in Real Time," CEPR Discussion Papers 4981, C.E.P.R. Discussion Papers.
- Lucrezia Reichlin & Domenico Giannone & Luca Sala, "undated". "Monetary policy in real time," ULB Institutional Repository 2013/10177, ULB -- Universite Libre de Bruxelles.
- Andreas Fischer & Marlene Amstad, 2004. "Sequential Information Flow and Real-Time Diagnosis of Swiss Inflation: Intra-Monthly DCF Estimates for a Low-Inflation Environment," Working Papers 04.06, Swiss National Bank, Study Center Gerzensee.
- Matteo Luciani, 2013.
"Monetary Policy, and the Housing Market: A Structural Factor Analysis,"
ULB Institutional Repository
2013/153324, ULB -- Universite Libre de Bruxelles.
- Matteo LUCIANI, "undated". "Monetary Policy and the Housing Market: A Structural Factor Analysis," Working Papers wp2010-7, Department of the Treasury, Ministry of the Economy and of Finance.
- Matteo Luciani, 2012. "Monetary Policy and the Housing Market: A Structural Factor Analysis," Working Papers ECARES ECARES 2012-035, ULB -- Universite Libre de Bruxelles.
- Matteo Luciani, 2015. "Monetary Policy and the Housing Market: A Structural Factor Analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(2), pages 199-218, March.
- Ms. Natalia T. Tamirisa & Alain N. Kabundi & Ms. Deniz O Igan & Mr. Francisco d Nadal De Simone & Marcelo Pinheiro, 2009. "Three Cycles: Housing, Credit, and Real Activity," IMF Working Papers 2009/231, International Monetary Fund.
- Eickmeier, Sandra & Breitung, Jörg, 2005. "How synchronized are central and east European economies with the euro area? Evidence from a structural factor model," Discussion Paper Series 1: Economic Studies 2005,20, Deutsche Bundesbank.
- Ben S. Bernanke & Jean Boivin & Piotr Eliasz, 2004.
"Measuring the effects of monetary policy: a factor-augmented vector autoregressive (FAVAR) approach,"
Finance and Economics Discussion Series
2004-03, Board of Governors of the Federal Reserve System (U.S.).
- Ben S. Bernanke & Jean Boivin & Piotr Eliasz, 2004. "Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach," NBER Working Papers 10220, National Bureau of Economic Research, Inc.
- Ben S. Bernanke & Jean Boivin & Piotr Eliasz, 2005. "Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 120(1), pages 387-422.
- Giannone, Domenico & Reichlin, Lucrezia & Sala, Luca, 2006.
"VARs, common factors and the empirical validation of equilibrium business cycle models,"
Journal of Econometrics, Elsevier, vol. 132(1), pages 257-279, May.
- Domenica Giannone & Lucrezia Reichlin & Luca Sala, 2004. "VARs, Common Factors and the Empirical Validation of Equilibrium Business Cycle Models," Working Papers 258, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Reichlin, Lucrezia & Sala, Luca & Giannone, Domenico, 2002. "VARs, Common Factors and the Empirical Validation of Equilibrium Business Cycle Models," CEPR Discussion Papers 3701, C.E.P.R. Discussion Papers.
- Domenico Giannone & Lucrezia Reichlin & Luca Sala, 2006. "VARs, common factors and the empirical validation of equilibrium business cycle models," ULB Institutional Repository 2013/10127, ULB -- Universite Libre de Bruxelles.
- Belviso Francesco & Milani Fabio, 2006.
"Structural Factor-Augmented VARs (SFAVARs) and the Effects of Monetary Policy,"
The B.E. Journal of Macroeconomics, De Gruyter, vol. 6(3), pages 1-46, December.
- Francesco Belviso & Fabio Milani, 2005. "Structural Factor-Augmented VAR (SFAVAR) and the Effects of Monetary Policy," Macroeconomics 0503023, University Library of Munich, Germany.
- Marcellino, Massimiliano & Kapetanios, George, 2006.
"Impulse Response Functions from Structural Dynamic Factor Models: A Monte Carlo Evaluation,"
CEPR Discussion Papers
5621, C.E.P.R. Discussion Papers.
- Massimiliano Marcellino & George Kapetanios, 2006. "Impulse Response Functions from Structural Dynamic Factor Models:A Monte Carlo Evaluation," Working Papers 306, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Kabundi, Alain & Nadal De Simone, Francisco, 2012. "Recent French relative export performance: Is there a competitiveness problem?," Economic Modelling, Elsevier, vol. 29(4), pages 1408-1435.
- Elmer Sterken, 2005.
"The Role of the Ifo Business Climate Indicator and Asset Prices in German Monetary Policy,"
Contributions to Economics, in: Jan-Egbert Sturm & Timo Wollmershäuser (ed.), Ifo Survey Data in Business Cycle and Monetary Policy Analysis, pages 173-201,
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- Elmer Sterken, 2004. "The Role of the IFO Business Climate Indicator and Asset Prices in German Monetary Policy," CESifo Working Paper Series 1204, CESifo.
- Eickmeier, Sandra & Breitung, Jorg, 2006. "How synchronized are new EU member states with the euro area? Evidence from a structural factor model," Journal of Comparative Economics, Elsevier, vol. 34(3), pages 538-563, September.
- Filippo Altissimo & Riccardo Cristadoro & Mario Forni & Marco Lippi & Giovanni Veronese, 2010.
"New Eurocoin: Tracking Economic Growth in Real Time,"
The Review of Economics and Statistics, MIT Press, vol. 92(4), pages 1024-1034, November.
- Filippo Altissimo & Riccardo Cristadoro & Mario Forni & Marco Lippi & Giovanni Veronese, 2007. "New Eurocoin: Tracking Economic Growth in Real Time," Temi di discussione (Economic working papers) 631, Bank of Italy, Economic Research and International Relations Area.
- Mario Forni & Filippo Altissimo & Riccardo Cristadoro & Marco Lippi & Giovanni Veronese., 2008. "New Eurocoin: Tracking Economic Growth in Real Time," Center for Economic Research (RECent) 020, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Lippi, Marco & Forni, Mario & Altissimo, Filippo & Cristadoro, Riccardo & Veronese, Giovanni, 2006. "New EuroCOIN: Tracking Economic Growth in Real Time," CEPR Discussion Papers 5633, C.E.P.R. Discussion Papers.
- Gary Koop & Simon Potter, 2003.
"Forecasting in Large Macroeconomic Panels using Bayesian Model Averaging,"
Discussion Papers in Economics
04/16, Division of Economics, School of Business, University of Leicester.
- Gary Koop & Simon M. Potter, 2003. "Forecasting in large macroeconomic panels using Bayesian Model Averaging," Staff Reports 163, Federal Reserve Bank of New York.
- Sterken, Elmer, 2003. "Monetary transmission, asset prices, and the business cycle indicator in Germany," CCSO Working Papers 200315, University of Groningen, CCSO Centre for Economic Research.
- Massimiliano Serati & Gianni Amisano, 2008. "Building composite leading indexes in a dynamic factor model framework: a new proposal," LIUC Papers in Economics 212, Cattaneo University (LIUC).
- Eickmeier, Sandra, 2007.
"Business cycle transmission from the US to Germany--A structural factor approach,"
European Economic Review, Elsevier, vol. 51(3), pages 521-551, April.
- Eickmeier, Sandra, 2004. "Business Cycle Transmission from the US to Germany: a Structural Factor Approach," Discussion Paper Series 1: Economic Studies 2004,12, Deutsche Bundesbank.
- Alejandro Justiniano, 2004. "Sources and Propagation Mechanims of Foreign Disturbances in Small Open Economies: A Dynamic Factor Analysis," Econometric Society 2004 Latin American Meetings 148, Econometric Society.
- James N. Blignaut & Jan H. van Heerden, 2015. "Is Water Shedding Next?," Working Papers 50, Economic Research Southern Africa.
- Boivin, J. & Giannoni, M., 2007.
"DSGE Models in a Data-Rich Environment,"
Working papers
162, Banque de France.
- Marc P. Giannoni & Jean Boivin, 2005. "DSGE Models in a Data-Rich Environment," Computing in Economics and Finance 2005 431, Society for Computational Economics.
- Jean Boivin & Marc Giannoni, 2006. "DSGE Models in a Data-Rich Environment," NBER Technical Working Papers 0332, National Bureau of Economic Research, Inc.
- Jean Boivin & Marc Giannoni, 2006. "DSGE Models in a Data-Rich Environment," NBER Working Papers 12772, National Bureau of Economic Research, Inc.
- Olivier Bandt & Catherine Bruneau & Alexis Flageollet, 2006.
"Assessing Aggregate Comovements in France, Germany and Italy Using a Non Stationary Factor Model of the Euro Area,"
Springer Books, in: Convergence or Divergence in Europe?, pages 95-120,
Springer.
- De Bandt. O. & Bruneau, C. & Flageollet, B., 2006. "Assessing Aggregate Comovements in France, Germany and Italy. Using a Non Stationary Factor Model of the Euro Area," Working papers 145, Banque de France.
- Jean Boivin & Serena Ng, 2003.
"Are More Data Always Better for Factor Analysis?,"
NBER Working Papers
9829, National Bureau of Economic Research, Inc.
- Boivin, Jean & Ng, Serena, 2006. "Are more data always better for factor analysis?," Journal of Econometrics, Elsevier, vol. 132(1), pages 169-194, May.
- Lucrezia Reichlin, 2003.
"Factor models in large cross sections of time series,"
ULB Institutional Repository
2013/10179, ULB -- Universite Libre de Bruxelles.
- Reichlin, Lucrezia, 2002. "Factor Models in Large Cross-Sections of Time Series," CEPR Discussion Papers 3285, C.E.P.R. Discussion Papers.
- Alain Kabundi & Francisco Nadal De Simone, 2011.
"France in the global economy: a structural approximate dynamic factor model analysis,"
Empirical Economics, Springer, vol. 41(2), pages 311-342, October.
- Mr. Francisco d Nadal De Simone & Alain N. Kabundi, 2007. "France in the Global Economy: A Structural Approximate Dynamic Factor Model Analysis," IMF Working Papers 2007/129, International Monetary Fund.
- Fabio Bagliano & Claudio Morana, 2008. "Factor vector autoregressive estimation: a new approach," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 3(1), pages 15-23, June.
- In Choi & Dukpa Kim & Yun Jung Kim & Noh-Sun Kwark, 2016.
"A Multilevel Factor Model: Identification, Asymptotic Theory and Applications,"
Working Papers
1609, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).
- In Choi & Dukpa Kim & Yun Jung Kim & Noh‐Sun Kwark, 2018. "A multilevel factor model: Identification, asymptotic theory and applications," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(3), pages 355-377, April.
- Steffen Henzel & Malte Rengel, 2013.
"Dimensions of macroeconomic uncertainty: A common factor analysis,"
ifo Working Paper Series
167, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
- Steffen Henzel & Malte Rengel, 2014. "Dimensions of Macroeconomic Uncertainty: A Common Factor Analysis," CESifo Working Paper Series 4991, CESifo.
- Henzel, Steffen R. & Rengel, Malte, 2017. "Dimensions of macroeconomic uncertainty: a common factor analysis," Munich Reprints in Economics 49932, University of Munich, Department of Economics.
- Steffen R. Henzel & Malte Rengel, 2017. "Dimensions Of Macroeconomic Uncertainty: A Common Factor Analysis," Economic Inquiry, Western Economic Association International, vol. 55(2), pages 843-877, April.
- Abdullah Al-Hassan, 2009. "A Coincident Indicator of the Gulf Cooperation Council (GCC) Business Cycle," IMF Working Papers 2009/073, International Monetary Fund.
- Mario Forni & Domenico Giannone & Marco Lippi & Lucrezia Reichlin, 2007.
"Opening the Black Box: Structural Factor Models with Large Cross-Sections,"
Center for Economic Research (RECent)
008, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Mario Forni & Domenico Giannone & Marco Lippi & Lucrezia Reichlin, 2008. "Opening the Black Box: Structural Factor Models with Large Cross-Sections," Working Papers ECARES 2008_036, ULB -- Universite Libre de Bruxelles.
- Forni, Mario & Giannone, Domenico & Lippi, Marco & Reichlin, Lucrezia, 2007. "Opening the black box: structural factor models with large cross-sections," Working Paper Series 712, European Central Bank.
- Forni, Mario & Giannone, Domenico & Lippi, Marco & Reichlin, Lucrezia, 2009. "Opening The Black Box: Structural Factor Models With Large Cross Sections," Econometric Theory, Cambridge University Press, vol. 25(5), pages 1319-1347, October.
- Sandra Eickmeier, 2009. "Comovements and heterogeneity in the euro area analyzed in a non-stationary dynamic factor model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(6), pages 933-959.
- In Choi, 2011. "Efficient Estimation of Nonstationary Factor Models," Working Papers 1101, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy), revised Jun 2011.
- Fladung, Michael, 2007. "Spill-over effects of monetary policy: a progress report on interest rate convergence in Europe," Discussion Paper Series 1: Economic Studies 2007,27, Deutsche Bundesbank.
- George Kapetanios & Massimiliano Marcellino, 2006.
"Factor-GMM Estimation with Large Sets of Possibly Weak Instruments,"
Working Papers
577, Queen Mary University of London, School of Economics and Finance.
- Kapetanios, George & Marcellino, Massimiliano, 2010. "Factor-GMM estimation with large sets of possibly weak instruments," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2655-2675, November.
- Marcellino, Massimiliano & Kapetanios, George, 2010. "Factor-GMM Estimation with Large Sets of Possibly Weak Instruments," CEPR Discussion Papers 7726, C.E.P.R. Discussion Papers.
- Sandra Eickmeier & Christina Ziegler, 2008. "How successful are dynamic factor models at forecasting output and inflation? A meta-analytic approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(3), pages 237-265.
- Ansgar Belke & Thorsten Polleit, 2007.
"How the ECB and the US Fed set interest rates,"
Applied Economics, Taylor & Francis Journals, vol. 39(17), pages 2197-2209.
- Ansgar Belke & Thorsten Polleit, 2006. "How the ECB and the US Fed Set Interest Rates," Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim 269/2006, Department of Economics, University of Hohenheim, Germany.
- Belke, Ansgar & Polleit, Thorsten, 2006. "How the ECB and US Fed set interest rates," Frankfurt School - Working Paper Series 72, Frankfurt School of Finance and Management.
- McCallum, Andrew & Smets, Frank, 2007. "Real wages and monetary policy transmission in the euro area," Kiel Working Papers 1360, Kiel Institute for the World Economy (IfW Kiel).
- Alain Kabundi & Elsabé Loots, 2010. "Patterns Of Co‐Movement Between South Africa And Germany: Evidence From The Period 1985 To 2006," South African Journal of Economics, Economic Society of South Africa, vol. 78(4), pages 383-399, December.
- Eickmeier, Sandra, 2005. "Common stationary and non-stationary factors in the euro area analyzed in a large-scale factor model," Discussion Paper Series 1: Economic Studies 2005,02, Deutsche Bundesbank.
- Romain Houssa, 2004.
"Monetary Union in West Africa and Asymmetric Shocks: A Dynamic Structural Factor Model Approach,"
Development and Comp Systems
0409063, University Library of Munich, Germany.
- Houssa, Romain, 2008. "Monetary union in West Africa and asymmetric shocks: A dynamic structural factor model approach," Journal of Development Economics, Elsevier, vol. 85(1-2), pages 319-347, February.
- Eickmeier, Sandra, 2006. "Comovements and heterogeneity in the Comovements and heterogeneity in the dynamic factor model," Discussion Paper Series 1: Economic Studies 2006,31, Deutsche Bundesbank.
- Erdemlioglu, Deniz, 2009. "Macro Factors in UK Excess Bond Returns: Principal Components and Factor-Model Approach," MPRA Paper 28895, University Library of Munich, Germany.
- Sandra Eickmeier & Joerg Breitung, 2006. "Business cycle transmission from the euro area to CEECs," Computing in Economics and Finance 2006 229, Society for Computational Economics.
- Lippi, Marco & Reichlin, Lucrezia & Forni, Mario, 2003. "Opening the Black Box: Structural Factor Models versus Structural VARs," CEPR Discussion Papers 4133, C.E.P.R. Discussion Papers.
- Pappa, Evi & Molteni, Francesco, 2017.
"The Combination of Monetary and Fiscal Policy Shocks: A TVP-FAVAR Approach,"
CEPR Discussion Papers
12541, C.E.P.R. Discussion Papers.
- MOLTENI, Francesco, PAPPA, Evi, 2017. "The Combination of Monetary and Fiscal Policy Shocks: A TVP-FAVAR Approach," Economics Working Papers MWP 2017/13, European University Institute.
- Blaes, Barno, 2009. "Money and monetary policy transmission in the euro area: evidence from FAVAR- and VAR approaches," Discussion Paper Series 1: Economic Studies 2009,18, Deutsche Bundesbank.
- David Navrátil, 2004. "Systematická složka měnové politiky ČNB v režimu cílování inflace [Systematic part of CNB's monetary policy in inflation targeting regime]," Politická ekonomie, Prague University of Economics and Business, vol. 2004(5), pages 623-636.
- James H. Stock & Mark W. Watson, 2005. "Implications of Dynamic Factor Models for VAR Analysis," NBER Working Papers 11467, National Bureau of Economic Research, Inc.
- Fabio C. Bagliano & Claudio Morana, 2006. "A New Approach to Factor Vector Autoregressive Estimation with an Application to Large-Scale Macroeconometric Modelling," Carlo Alberto Notebooks 28, Collegio Carlo Alberto.
- Andrea Beltratti & Claudio Morana, 2008. "International shocks and national house prices," ICER Working Papers - Applied Mathematics Series 14-2008, ICER - International Centre for Economic Research.
- Ansgar Belke & Wim Kösters & Martin Leschke & Thorsten Polleit, 2005. "Back to the rules," Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim 268/2005, Department of Economics, University of Hohenheim, Germany.
- Alain Kabundi, 2009. "Synchronisation Between South Africa And The U.S.: A Structural Dynamic Factor Analysis," South African Journal of Economics, Economic Society of South Africa, vol. 77(1), pages 1-27, March.
- Alain Kabundi & Elsabé Loots, 2009. "Patterns of co-movement between a developed and emerging market economy: The case of South Africa and Germany," Working Papers 159, Economic Research Southern Africa.
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"Model Selection for Factor Analysis: Some New Criteria and Performance Comparisons,"
Working Papers
1209, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).
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- Benoit Mojon, 2007. "Monetary policy, output composition and the Great Moderation," Working Paper Series WP-07-07, Federal Reserve Bank of Chicago.
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"International Macroeconomic Dynamics: a Factor Vector Autoregressive Approach,"
ICER Working Papers
41-2006, ICER - International Centre for Economic Research.
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"VARs, Common Factors and the Empirical Validation of Equilibrium Business Cycle Models,"
CEPR Discussion Papers
3701, C.E.P.R. Discussion Papers.
- Giannone, Domenico & Reichlin, Lucrezia & Sala, Luca, 2006. "VARs, common factors and the empirical validation of equilibrium business cycle models," Journal of Econometrics, Elsevier, vol. 132(1), pages 257-279, May.
- Domenica Giannone & Lucrezia Reichlin & Luca Sala, 2004. "VARs, Common Factors and the Empirical Validation of Equilibrium Business Cycle Models," Working Papers 258, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Domenico Giannone & Lucrezia Reichlin & Luca Sala, 2006. "VARs, common factors and the empirical validation of equilibrium business cycle models," ULB Institutional Repository 2013/10127, ULB -- Universite Libre de Bruxelles.
Cited by:
- Mario Forni & Luca Gambetti & Luca Sala, 2011.
"No News in Business Cycles,"
Working Papers
535, Barcelona School of Economics.
- Mario Forni & Luca Gambetti & Luca Sala, 2013. "No News in Business Cycles," Working Papers 491, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Mario Forni & Luca Gambetti & Luca Sala, 2014. "No News in Business Cycles," Economic Journal, Royal Economic Society, vol. 124(581), pages 1168-1191, December.
- Mario Forni & Luca Gambetti & Luca Sala, 2011. "No News in Business Cycles," UFAE and IAE Working Papers 862.11, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
- Mario Forni & Luca Gambetti & Luca Sala, 2011. "No news in business cycles," Center for Economic Research (RECent) 063, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Forni, Mario & Sala, Luca & Gambetti, Luca, 2011. "No News in Business Cycles," CEPR Discussion Papers 8274, C.E.P.R. Discussion Papers.
- Mario Forni & Luca Gambetti & Luca Sala, 2011. "No News in Business Cycles," Working Papers 383, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Antonello D'Agostino & Domenico Giannone & Michele Lenza & Michele Modugno, 2015.
"Nowcasting Business Cycles: a Bayesian Approach to Dynamic Heterogeneous Factor Models,"
Finance and Economics Discussion Series
2015-66, Board of Governors of the Federal Reserve System (U.S.).
- Antonello D’Agostino & Domenico Giannone & Michele Lenza & Michele Modugno, 2016. "Nowcasting Business Cycles: A Bayesian Approach to Dynamic Heterogeneous Factor Models," Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 569-594, Emerald Group Publishing Limited.
- Davide Brignone & Alessandro Franconi & Marco Mazzali, 2023. "Robust Impulse Responses using External Instruments: the Role of Information," Papers 2307.06145, arXiv.org.
- Mario Forni & Luca Gambetti, 2010.
"Macroeconomic Shocks and the Business Cycle: Evidence from a Structural Factor Model,"
Center for Economic Research (RECent)
040, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Forni, Mario & Gambetti, Luca, 2010. "Macroeconomic Shocks and the Business Cycle: Evidence from a Structural Factor Model," CEPR Discussion Papers 7692, C.E.P.R. Discussion Papers.
- Mario Forni & Luca Gambetti, 2010. "Macroeconomic Shocks and the Business Cycle: Evidence from a Structural Factor Model," Working Papers 440, Barcelona School of Economics.
- Mario Forni & Luca Gambetti, 2010. "Macroeconomic Shocks and the Business Cycle: Evidence from a Structural Factor Model," UFAE and IAE Working Papers 850.10, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
- Antolin-Diaz, Juan & Drechsel, Thomas & Petrella, Ivan, 2017.
"Tracking the slowdown in long-run GDP growth,"
LSE Research Online Documents on Economics
81869, London School of Economics and Political Science, LSE Library.
- Antolin-Diaz, Juan & Drechsel, Thomas & Petrella, Ivan, 2016. "Tracking the slowdown in long-run GDP growth," LSE Research Online Documents on Economics 86243, London School of Economics and Political Science, LSE Library.
- Juan Antolin-Diaz & Thomas Drechsel & Ivan Petrella, 2014. "Tracking the Slowdown in Long-Run GDP Growth," Discussion Papers 1604, Centre for Macroeconomics (CFM), revised Jan 2016.
- Juan Antolin-Diaz & Thomas Drechsel & Ivan Petrella, 2017. "Tracking the Slowdown in Long-Run GDP Growth," The Review of Economics and Statistics, MIT Press, vol. 99(2), pages 343-356, May.
- Antolin-Diaz, Juan & Drechsel, Thomas & Petrella, Ivan, 2016. "Tracking the slowdown in long-run GDP growth," Bank of England working papers 587, Bank of England.
- Petrella, Ivan & Drechsel, Thomas & Antolin-Diaz, Juan, 2014. "Following the Trend: Tracking GDP when Long-Run Growth is Uncertain," CEPR Discussion Papers 10272, C.E.P.R. Discussion Papers.
- Dias Francisco & Rua António & Pinheiro Maximiano, 2013. "Determining the number of global and country-specific factors in the euro area," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(5), pages 573-617, December.
- Raffaella Giacomini, 2013. "The relationship between DSGE and VAR models," CeMMAP working papers CWP21/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Giancarlo Corsetti & Luca Dedola & Sylvain Leduc, 2008.
"Productivity, External Balance, and Exchange Rates: Evidence on the Transmission Mechanism among G7 Countries,"
NBER Chapters, in: NBER International Seminar on Macroeconomics 2006, pages 117-194,
National Bureau of Economic Research, Inc.
- Corsetti, Giancarlo & Dedola, Luca & Leduc, Sylvain, 2006. "Productivity, External Balance and Exchange Rates: Evidence on the Transmission Mechanism among G7 Countries," CEPR Discussion Papers 5853, C.E.P.R. Discussion Papers.
- Giancarlo Corsetti & Luca Dedola & Sylvain Leduc, 2006. "Productivity, external balance and exchange rates: evidence on the transmission mechanism among G7 countries," Economics Working Papers ECO2006/39, European University Institute.
- Giancarlo Corsetti & Luca Dedola & Sylvain Leduc, 2006. "Productivity, External Balance and Exchange Rates: Evidence on the Transmission Mechanism Among G7 Countries," NBER Working Papers 12483, National Bureau of Economic Research, Inc.
- Dupaigne, Martial & Fève, Patrick & Matheron, Julien, 2005.
"Technology Shocks and Employment: Do We Really Need DSGE Models with a Fall in Hours?,"
IDEI Working Papers
349, Institut d'Économie Industrielle (IDEI), Toulouse.
- Dupaigne, M. & Fève, P. & Matheron, J., 2005. "Technology Shock and Employment: Do We Really Need DSGE Models with a Fall in Hours?," Working papers 124, Banque de France.
- Dordonnat, Virginie & Koopman, Siem Jan & Ooms, Marius, 2012. "Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3134-3152.
- Jeroen V.K. Rombouts & Jakob Guldbæk Mikkelsen, 2017. "Testing for time-varying loadings in dynamic factor models," CREATES Research Papers 2017-22, Department of Economics and Business Economics, Aarhus University.
- Özer Karagedikli & Troy Matheson & Christie Smith & Shaun P. Vahey, 2007.
"RBCs and DSGEs:The Computational Approach to Business Cycle Theory and Evidence,"
Reserve Bank of New Zealand Discussion Paper Series
DP2007/15, Reserve Bank of New Zealand.
- Özer Karagedikli & Troy Matheson & Christie Smith & Shaun Vahey, 2008. "RBCs and DSGEs: The Computational Approach to Business Cycle Theory and Evidence," Working Paper 2008/17, Norges Bank.
- Özer Karagedikli & Troy Matheson & Christie Smith & Shaun P. Vahey, 2010. "RBCs AND DSGEs: THE COMPUTATIONAL APPROACH TO BUSINESS CYCLE THEORY AND EVIDENCE," Journal of Economic Surveys, Wiley Blackwell, vol. 24(1), pages 113-136, February.
- Bodnar, Taras & Reiß, Markus, 2016. "Exact and asymptotic tests on a factor model in low and large dimensions with applications," Journal of Multivariate Analysis, Elsevier, vol. 150(C), pages 125-151.
- Marc Hallin & Roman Liska, 2008.
"Dynamic Factors in the Presence of Block Structure,"
Economics Working Papers
ECO2008/22, European University Institute.
- Marc Hallin & Roman Liska, 2008. "Dynamic Factors in the Presence of Block Structure," Working Papers ECARES 2008_012, ULB -- Universite Libre de Bruxelles.
- Forni, Mario & Gambetti, Luca, 2008.
"The Dynamic Effects of Monetary Policy: A Structural Factor Model Approach,"
CEPR Discussion Papers
7098, C.E.P.R. Discussion Papers.
- Forni, Mario & Gambetti, Luca, 2010. "The dynamic effects of monetary policy: A structural factor model approach," Journal of Monetary Economics, Elsevier, vol. 57(2), pages 203-216, March.
- Mario Forni & Luca Gambetti, 2008. "The dynamic e ects of monetary policy: A structural factor model approach," Center for Economic Research (RECent) 026, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Zsolt Darvas & György Szapáry, 2008.
"Business Cycle Synchronization in the Enlarged EU,"
Open Economies Review, Springer, vol. 19(1), pages 1-19, February.
- Szapáry, György & Darvas, Zsolt, 2005. "Business Cycle Sychronization in the Enlarged EU," CEPR Discussion Papers 5179, C.E.P.R. Discussion Papers.
- Zsolt Darvas & György Szapáry, 2006. "Business Cycle Synchronization in the Enlarged EU," Working Papers 0604, Department of Mathematical Economics and Economic Analysis, Corvinus University of Budapest.
- Francesco Lamperti, 2016. "Empirical Validation of Simulated Models through the GSL-div: an Illustrative Application," LEM Papers Series 2016/18, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Chevallier, Julien, 2011.
"Macroeconomics, finance, commodities: Interactions with carbon markets in a data-rich model,"
Economic Modelling, Elsevier, vol. 28(1), pages 557-567.
- Chevallier, Julien, 2011. "Macroeconomics, finance, commodities: Interactions with carbon markets in a data-rich model," Economic Modelling, Elsevier, vol. 28(1-2), pages 557-567, January.
- Julien Chevallier, 2011. "Macroeconomics, finance, commodities: Interactions with carbon markets in a data-rich model," Post-Print hal-00991961, HAL.
- Forni, Mario & Gambetti, Luca & Lippi, Marco & Sala, Luca, 2020.
"Common Component Structural VARs,"
CEPR Discussion Papers
15529, C.E.P.R. Discussion Papers.
- Mario Forni & Luca Gambetti & marco Lippi & Luca Sala, 2020. "Common Components Structural VARs," Center for Economic Research (RECent) 147, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Mario Forni & Domenico Giannone & Marco Lippi & Lucrezia Reichlin, 2007.
"Opening the Black Box: Structural Factor Models with Large Cross-Sections,"
Center for Economic Research (RECent)
008, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Mario Forni & Domenico Giannone & Marco Lippi & Lucrezia Reichlin, 2008. "Opening the Black Box: Structural Factor Models with Large Cross-Sections," Working Papers ECARES 2008_036, ULB -- Universite Libre de Bruxelles.
- Forni, Mario & Giannone, Domenico & Lippi, Marco & Reichlin, Lucrezia, 2007. "Opening the black box: structural factor models with large cross-sections," Working Paper Series 712, European Central Bank.
- Forni, Mario & Giannone, Domenico & Lippi, Marco & Reichlin, Lucrezia, 2009. "Opening The Black Box: Structural Factor Models With Large Cross Sections," Econometric Theory, Cambridge University Press, vol. 25(5), pages 1319-1347, October.
- Piyachart Phiromswad & Takeshi Yagihashi, 2016. "Empirical identification of factor models," Empirical Economics, Springer, vol. 51(2), pages 621-658, September.
- Wang, Zongrun & Zhou, Ling & Mi, Yunlong & Shi, Yong, 2022. "Measuring dynamic pandemic-related policy effects: A time-varying parameter multi-level dynamic factor model approach," Journal of Economic Dynamics and Control, Elsevier, vol. 139(C).
- Tibor Szendrei & Katalin Varga, 2020. "FISS – A Factor-based Index of Systemic Stress in the Financial System," Russian Journal of Money and Finance, Bank of Russia, vol. 79(1), pages 3-34, March.
- Kyriaki-Argyro Tsioptsia & Eleni Zafeiriou & Dimitrios Niklis & Nikolaos Sariannidis & Constantin Zopounidis, 2022. "The Corporate Economic Performance of Environmentally Eligible Firms Nexus Climate Change: An Empirical Research in a Bayesian VAR Framework," Energies, MDPI, vol. 15(19), pages 1-16, October.
- Francesco Bianchi & Giovanni Nicolo & Dongho Song, 2023. "Inflation and Real Activity over the Business Cycle," Finance and Economics Discussion Series 2023-038, Board of Governors of the Federal Reserve System (U.S.).
- Mario Forni & Luca Gambetti & Luca Sala, 2018. "Fundamentalness, Granger Causality and Aggregation," Center for Economic Research (RECent) 139, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Daniel Wochner, 2020. "Dynamic Factor Trees and Forests – A Theory-led Machine Learning Framework for Non-Linear and State-Dependent Short-Term U.S. GDP Growth Predictions," KOF Working papers 20-472, KOF Swiss Economic Institute, ETH Zurich.
- Zhao Zhao & Guowei Cui & Shaoping Wang, 2017. "A Monte Carlo comparison of estimating the number of dynamic factors," Empirical Economics, Springer, vol. 53(3), pages 1217-1241, November.
- Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2009. "A Robust Criterion for Determining the Number of Factors in Approximate Factor Models," Working Papers ECARES 2009_023, ULB -- Universite Libre de Bruxelles.
- AMMOURI, Bilel & TOUMI, Hassen & Zitouna, Habib, 2015. "Forecasting Inflation in Tunisia Using Dynamic Factors Model," MPRA Paper 65514, University Library of Munich, Germany.
- Luca Sala & Luca Gambetti & Mario Forni, 2016.
"VAR Information and the Empirical Validation of DSGE Models,"
2016 Meeting Papers
260, Society for Economic Dynamics.
- Forni, Mario & Gambetti, Luca & Sala, Luca, 2016. "VAR Information and the Empirical Validation of DSGE Models," CEPR Discussion Papers 11178, C.E.P.R. Discussion Papers.
- Mario Forni & Luca Gambetti & Luca Sala, 2016. "VAR Information and the Empirical Validation of DSGE Models," Center for Economic Research (RECent) 119, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Minxian Yang, 2017. "Effects of idiosyncratic shocks on macroeconomic time series," Empirical Economics, Springer, vol. 53(4), pages 1441-1461, December.
- Simon Freyaldenhoven, 2017.
"A Generalized Factor Model with Local Factors,"
2017 Papers
pfr361, Job Market Papers.
- Simon Freyaldenhoven, 2019. "A Generalized Factor Model with Local Factors," Working Papers 19-23, Federal Reserve Bank of Philadelphia.
- Lippi, Marco & Reichlin, Lucrezia & Forni, Mario, 2003. "Opening the Black Box: Structural Factor Models versus Structural VARs," CEPR Discussion Papers 4133, C.E.P.R. Discussion Papers.
- Gregor B urle, 2008. "Priors from DSGE Models for Dynamic Factor Analysis," Diskussionsschriften dp0803, Universitaet Bern, Departement Volkswirtschaft.
- Francesco Lamperti, 2015. "An Information Theoretic Criterion for Empirical Validation of Time Series Models," LEM Papers Series 2015/02, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Lamperti, Francesco, 2018. "An information theoretic criterion for empirical validation of simulation models," Econometrics and Statistics, Elsevier, vol. 5(C), pages 83-106.
- Barhoumi, K. & Darné, O. & Ferrara, L., 2013.
"Dynamic Factor Models: A review of the Literature ,"
Working papers
430, Banque de France.
- Karim Barhoumi & Olivier Darné & Laurent Ferrara, 2014. "Dynamic factor models: A review of the literature," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2013(2), pages 73-107.
- Karim Barhoumi & Olivier Darné & Laurent Ferrara, 2013. "Dynamic factor models: A review of the literature," Post-Print hal-01385974, HAL.
- Eric M. Leeper & Todd B. Walker & Shu-Chun Susan Yang, 2008.
"Fiscal Foresight: Analytics and Econometrics,"
NBER Working Papers
14028, National Bureau of Economic Research, Inc.
- Eric M. Leeper & Todd B. Walker & Shu-Chun Susan Yang, 2008. "Fiscal Foresight: Analytics and Econometrics," CAEPR Working Papers 2008-013, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
- Fabio Canova & Filippo Ferroni, 2011.
"Multiple filtering devices for the estimation of cyclical DSGE models,"
Quantitative Economics, Econometric Society, vol. 2(1), pages 73-98, March.
- Fabio Canova & Filippo Ferroni, 2009. "Multiple filtering devices for the estimation of cyclical DSGE models," Economics Working Papers 1135, Department of Economics and Business, Universitat Pompeu Fabra, revised Sep 2010.
- Fabio Canova & Filippo Ferroni, 2010. "Multiple Filtering Devices for the Estimation of Cyclical DSGE Models," Working Papers 498, Barcelona School of Economics.
- António Rua & Francisco Craveiro Dias, 2008. "Determining the number of factors in approximate factor models with global and group-specific factors," Working Papers w200809, Banco de Portugal, Economics and Research Department.
- rea cipollini & giuseppe missaglia, 2005. "Business cycle effects on Portfolio Credit Risk: scenario generation through Dynamic Factor analysis," Finance 0502010, University Library of Munich, Germany.
- Renee Fry & Adrian Pagan, 2005. "Some Issues In Using Vars For Macroeconometric Research," CAMA Working Papers 2005-19, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Forni, Mario & Cavicchioli, Maddalena & Lippi, Marco & Zaffaroni, Paolo, 2016. "Eigenvalue Ratio Estimators for the Number of Common Factors," CEPR Discussion Papers 11440, C.E.P.R. Discussion Papers.
- Francesco Lamperti, 2018. "Empirical validation of simulated models through the GSL-div: an illustrative application," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 13(1), pages 143-171, April.
- Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2007.
"A Review of Nonfundamentalness and Identification in Structural VAR Models,"
LEM Papers Series
2007/22, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Alessi, Lucia & Barigozzi, Matteo & Capasso, Marco, 2008. "A review of nonfundamentalness and identification in structural VAR models," Working Paper Series 922, European Central Bank.
- Giancarlo Corsetti & Luca Dedola & Sylvain Leduc, 2007. "Productivity and the dollar," Working Paper Series 2007-27, Federal Reserve Bank of San Francisco.
- Hallin, Marc & Liska, Roman, 2011. "Dynamic factors in the presence of blocks," Journal of Econometrics, Elsevier, vol. 163(1), pages 29-41, July.
- Raffaella Giacomini, 2013. "The relationship between DSGE and VAR models," CeMMAP working papers 21/13, Institute for Fiscal Studies.
- Darvas, Zsolt & Szapáry, György, 2004. "Konjunktúraciklusok együttmozgása a régi és új EU-tagországokban [Business cycle harmonization in new and old EU member-states]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(5), pages 415-448.
Articles
- Cascaldi-Garcia, Danilo & Ferreira, Thiago R.T. & Giannone, Domenico & Modugno, Michele, 2024.
"Back to the present: Learning about the euro area through a now-casting model,"
International Journal of Forecasting, Elsevier, vol. 40(2), pages 661-686.
See citations under working paper version above.
- Danilo Cascaldi-Garcia & Thiago Revil T. Ferreira & Domenico Giannone & Michele Modugno, 2021. "Back to the Present: Learning about the Euro Area through a Now-casting Model," International Finance Discussion Papers 1313, Board of Governors of the Federal Reserve System (U.S.).
- Cimadomo, Jacopo & Giannone, Domenico & Lenza, Michele & Monti, Francesca & Sokol, Andrej, 2022.
"Nowcasting with large Bayesian vector autoregressions,"
Journal of Econometrics, Elsevier, vol. 231(2), pages 500-519.
See citations under working paper version above.
- Lenza, Michele & Cimadomo, Jacopo & Giannone, Domenico & Monti, Francesca & Sokol, Andrej, 2021. "Nowcasting with Large Bayesian Vector Autoregressions," CEPR Discussion Papers 15854, C.E.P.R. Discussion Papers.
- Cimadomo, Jacopo & Giannone, Domenico & Lenza, Michele & Monti, Francesca & Sokol, Andrej, 2020. "Nowcasting with large Bayesian vector autoregressions," Working Paper Series 2453, European Central Bank.
- Adams, Patrick A. & Adrian, Tobias & Boyarchenko, Nina & Giannone, Domenico, 2021.
"Forecasting macroeconomic risks,"
International Journal of Forecasting, Elsevier, vol. 37(3), pages 1173-1191.
See citations under working paper version above.
- Adrian, Tobias & Adams, Patrick & Boyarchenko, Nina & Giannone, Domenico, 2020. "Forecasting Macroeconomic Risks," CEPR Discussion Papers 14436, C.E.P.R. Discussion Papers.
- Patrick A. Adams & Tobias Adrian & Nina Boyarchenko & Domenico Giannone, 2020. "Forecasting Macroeconomic Risks," Staff Reports 914, Federal Reserve Bank of New York.
- Tobias Adrian & Nina Boyarchenko & Domenico Giannone, 2021.
"Multimodality In Macrofinancial Dynamics,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 62(2), pages 861-886, May.
See citations under working paper version above.
- Boyarchenko, Nina & Adrian, Tobias & Giannone, Domenico, 2020. "Multimodality in Macro-Financial Dynamics," CEPR Discussion Papers 15088, C.E.P.R. Discussion Papers.
- Tobias Adrian & Nina Boyarchenko & Domenico Giannone, 2019. "Multimodality in Macro-Financial Dynamics," Staff Reports 903, Federal Reserve Bank of New York.
- Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2021.
"Economic Predictions With Big Data: The Illusion of Sparsity,"
Econometrica, Econometric Society, vol. 89(5), pages 2409-2437, September.
See citations under working paper version above.
- Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2018. "Economic Predictions with Big Data: The Illusion of Sparsity," Liberty Street Economics 20180521, Federal Reserve Bank of New York.
- Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2018. "Economic predictions with big data: the illusion of sparsity," Staff Reports 847, Federal Reserve Bank of New York.
- Giannone, Domenico & Lenza, Michele & Primiceri, Giorgio E., 2021. "Economic predictions with big data: the illusion of sparsity," Working Paper Series 2542, European Central Bank.
- Giannone, Domenico & Lenza, Michele & Primiceri, Giorgio, 2017. "Economic Predictions with Big Data: The Illusion Of Sparsity," CEPR Discussion Papers 12256, C.E.P.R. Discussion Papers.
- Tobias Adrian & Nina Boyarchenko & Domenico Giannone, 2019.
"Vulnerable Growth,"
American Economic Review, American Economic Association, vol. 109(4), pages 1263-1289, April.
See citations under working paper version above.
- Adrian, Tobias & Boyarchenko, Nina & Giannone, Domenico, 2016. "Vulnerable Growth," CEPR Discussion Papers 11583, C.E.P.R. Discussion Papers.
- Tobias Adrian & Nina Boyarchenko & Domenico Giannone, 2018. "Vulnerable Growth," Liberty Street Economics 20180409, Federal Reserve Bank of New York.
- Nina Boyarchenko & Domenico Giannone & Tobias Adrian, 2017. "Vulnerable Growth," 2017 Meeting Papers 1317, Society for Economic Dynamics.
- Tobias Adrian & Nina Boyarchenko & Domenico Giannone, 2016. "Vulnerable growth," Staff Reports 794, Federal Reserve Bank of New York.
- Domenico Giannone & Michele Lenza & Lucrezia Reichlin, 2019.
"Money, Credit, Monetary Policy, and the Business Cycle in the Euro Area: What Has Changed Since the Crisis?,"
International Journal of Central Banking, International Journal of Central Banking, vol. 15(5), pages 137-173, December.
See citations under working paper version above.
- Domenico Giannone & Michele Lenza & Lucrezia Reichlin, 2019. "Money, credit, monetary policy, and the business cycle in the euro area: what has changed since the crisis?," Staff Reports 885, Federal Reserve Bank of New York.
- Giannone, Domenico & Lenza, Michele & Reichlin, Lucrezia, 2019. "Money, credit, monetary policy and the business cycle in the euro area: what has changed since the crisis?," Working Paper Series 2226, European Central Bank.
- Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2019.
"Priors for the Long Run,"
Journal of the American Statistical Association, Taylor & Francis Journals, vol. 114(526), pages 565-580, April.
See citations under working paper version above.
- Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2017. "Priors for the long run," Staff Reports 832, Federal Reserve Bank of New York.
- Giannone, Domenico & Lenza, Michele & Primiceri, Giorgio E., 2018. "Priors for the long run," Working Paper Series 2132, European Central Bank.
- Primiceri, Giorgio & Giannone, Domenico & Lenza, Michele, 2016. "Priors for the Long Run," CEPR Discussion Papers 11261, C.E.P.R. Discussion Papers.
- Del Negro, Marco & Giannone, Domenico & Giannoni, Marc P. & Tambalotti, Andrea, 2019.
"Global trends in interest rates,"
Journal of International Economics, Elsevier, vol. 118(C), pages 248-262.
- Marco Del Negro & Domenico Giannone & Marc Giannoni & Andrea Tambalotti, 2018. "Global Trends in Interest Rates," NBER Chapters, in: NBER International Seminar on Macroeconomics 2018, pages 248-262, National Bureau of Economic Research, Inc.
See citations under working paper version above.- Marco Del Negro & Domenico Giannone & Marc P. Giannoni & Andrea Tambalotti, 2018. "Global Trends in Interest Rates," NBER Working Papers 25039, National Bureau of Economic Research, Inc.
- Brandyn Bok & Marco Del Negro & Domenico Giannone & Marc Giannoni & Eric Qian & Andrea Tambalotti, 2019. "Global Trends in Interest Rates," Liberty Street Economics 20190227, Federal Reserve Bank of New York.
- Marco Del Negro & Andrea Tambalotti & Domenico Giannone & Marc Giannoni, 2019. "Global Trends in Interest Rates," 2019 Meeting Papers 77, Society for Economic Dynamics.
- Marco Del Negro & Domenico Giannone & Marc Giannoni & Andrea Tambalotti, 2018. "Global Trends in Interest Rates," Working Papers 1812, Federal Reserve Bank of Dallas.
- Marco Del Negro & Domenico Giannone & Marc Giannoni & Andrea Tambalotti, 2018. "Global trends in interest rates," Staff Reports 866, Federal Reserve Bank of New York.
- Brandyn Bok & Daniele Caratelli & Domenico Giannone & Argia M. Sbordone & Andrea Tambalotti, 2018.
"Macroeconomic Nowcasting and Forecasting with Big Data,"
Annual Review of Economics, Annual Reviews, vol. 10(1), pages 615-643, August.
See citations under working paper version above.
- Brandyn Bok & Daniele Caratelli & Domenico Giannone & Argia M. Sbordone & Andrea Tambalotti, 2017. "Macroeconomic nowcasting and forecasting with big data," Staff Reports 830, Federal Reserve Bank of New York.
- Giannone, Domenico & Tambalotti, Andrea & Sbordone, Argia & Bok, Brandyn & Caratelli, Daniele, 2018. "Macroeconomic Nowcasting and Forecasting with Big Data," CEPR Discussion Papers 12589, C.E.P.R. Discussion Papers.
- Delle Chiaie, Simona & Ferrara, Laurent & Giannone, Domenico, 2018.
"Common factors of commodity prices,"
Research Bulletin, European Central Bank, vol. 51.
- Simona Delle Chiaie & Laurent Ferrara & Domenico Giannone, 2022. "Common factors of commodity prices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(3), pages 461-476, April.
See citations under working paper version above.- Delle Chiaie, Simona & Ferrara, Laurent & Giannone, Domenico, 2017. "Common factors of commodity prices," Working Paper Series 2112, European Central Bank.
- Giannone, Domenico & Ferrara, Laurent & Delle Chiaie, Simona, 2018. "Common Factors of Commodity Prices," CEPR Discussion Papers 12767, C.E.P.R. Discussion Papers.
- S. Delle Chiaie & L. Ferrara & D. Giannone, 2017. "Common Factors of Commodity Prices," Working papers 645, Banque de France.
- Altavilla, Carlo & Giannone, Domenico & Modugno, Michele, 2017.
"Low frequency effects of macroeconomic news on government bond yields,"
Journal of Monetary Economics, Elsevier, vol. 92(C), pages 31-46.
See citations under working paper version above.
- Carlo Altavilla & Domenico Giannone & Michele Modugno, 2014. "Low Frequency Effects of Macroeconomic News on Government Bond Yields," CSEF Working Papers 372, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
- Carlo Altavilla & Domenico Giannone & Michèle Modugno, 2014. "Low Frequency Effects of Macroeconomic News on Government Bond Yields," Working Papers ECARES ECARES 2014-34, ULB -- Universite Libre de Bruxelles.
- Carlo Altavilla & Domenico Giannone & Michele Modugno, 2014. "Low Frequency Effects of Macroeconomic News on Government Bond Yields," Finance and Economics Discussion Series 2014-52, Board of Governors of the Federal Reserve System (U.S.).
- A. Colangelo & D. Giannone & M. Lenza & H. Pill & L. Reichlin, 2017.
"The national segmentation of euro area bank balance sheets during the financial crisis,"
Empirical Economics, Springer, vol. 53(1), pages 247-265, August.
Cited by:
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019.
"Financial and fiscal interaction in the euro area crisis: this time was different,"
SciencePo Working papers Main
hal-03403269, HAL.
- Reichlin, Lucrezia & Caruso, Alberto & Ricco, Giovanni, 2018. "Financial and Fiscal Interaction in the Euro Area Crisis: This Time was Different," CEPR Discussion Papers 13016, C.E.P.R. Discussion Papers.
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the Euro Area crisis: This time was different," Post-Print hal-03403613, HAL.
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the euro area crisis: this time was different," Sciences Po publications 11, Sciences Po.
- Caruso, Alberto & Reichlin, Lucrezia & Ricco, Giovanni, 2018. "Financial and Fiscal Interaction in the Euro Area Crisis : This Time was Different," The Warwick Economics Research Paper Series (TWERPS) 1167, University of Warwick, Department of Economics.
- Albert Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the euro area crisis : this time was different," Documents de Travail de l'OFCE 2019-11, Observatoire Francais des Conjonctures Economiques (OFCE).
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the Euro Area crisis: This time was different," Sciences Po publications info:hdl:2441/4u5amfvji89, Sciences Po.
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the Euro Area crisis: This time was different," SciencePo Working papers Main hal-03403613, HAL.
- Caruso, Alberto & Reichlin, Lucrezia & Ricco, Giovanni, 2019. "Financial and fiscal interaction in the Euro Area crisis: This time was different," European Economic Review, Elsevier, vol. 119(C), pages 333-355.
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019. "Financial and fiscal interaction in the euro area crisis: this time was different," Working Papers hal-03403269, HAL.
- Andreas Beyer & Benoît Coeuré & Caterina Mendicino, 2017. "Foreword – The crisis, ten years after: Lessons learnt for monetary and financial research," Economie et Statistique / Economics and Statistics, Institut National de la Statistique et des Etudes Economiques (INSEE), issue 494-495-4, pages 45-64.
- Marie‐Hélène Gagnon & Céline Gimet, 2023.
"One size may not fit all: Financial fragmentation and European monetary policies,"
Review of International Economics, Wiley Blackwell, vol. 31(1), pages 305-340, February.
- Marie‐hélène Gagnon & Céline Gimet, 2023. "One size may not fit all: Financial fragmentation and European monetary policies," Post-Print hal-03777950, HAL.
- Nikolay Hristov & Oliver Hülsewig & Johann Scharler, 2020.
"Unconventional Monetary Policy Shocks in the Euro Area and the Sovereign-Bank Nexus,"
CESifo Working Paper Series
8178, CESifo.
- Hristov, Nikolay & Hülsewig, Oliver & Scharler, Johann, 2020. "Unconventional monetary policy shocks in the euro area and the sovereign-bank nexus," Discussion Papers 19/2020, Deutsche Bundesbank.
- Nikolay Hristov & Oliver Hülsewig & Johann Scharler, 2021. "Unconventional Monetary Policy Shocks in the Euro Area and the Sovereign-Bank Nexus," International Journal of Central Banking, International Journal of Central Banking, vol. 17(3), pages 337-383, September.
- Alberto Caruso & Lucrezia Reichlin & Giovanni Ricco, 2019.
"Financial and fiscal interaction in the euro area crisis: this time was different,"
SciencePo Working papers Main
hal-03403269, HAL.
- Marco Del Negro & Domenico Giannone & Marc P. Giannoni & Andrea Tambalotti, 2017.
"Safety, Liquidity, and the Natural Rate of Interest,"
Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 48(1 (Spring), pages 235-316.
See citations under working paper version above.
- Marco Del Negro & Domenico Giannone & Marc Giannoni & Andrea Tambalotti, 2017. "Safety, liquidity, and the natural rate of interest," Staff Reports 812, Federal Reserve Bank of New York.
- Marc Giannoni & Domenico Giannone & Andrea Tambalotti & Marco Del Negro, 2017. "Safety, Liquidity, and the Natural Rate of Interest," 2017 Meeting Papers 803, Society for Economic Dynamics.
- Carlo Altavilla & Domenico Giannone, 2017.
"The Effectiveness of Non‐Standard Monetary Policy Measures: Evidence from Survey Data,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(5), pages 952-964, August.
See citations under working paper version above.
- Altavilla, Carlo & Giannone, Domenico, 2016. "The effectiveness of non-standard monetary policy measures: evidence from survey data," Working Paper Series 1951, European Central Bank.
- Carlo Altavilla & Domenico Giannone, 2014. "The effectiveness of non-standard monetary policy measures: evidence from survey data," Working Papers CASMEF 1406, Dipartimento di Economia e Finanza, LUISS Guido Carli.
- Carlo Altavilla & Domenico Giannone, 2014. "The Effectiveness of Non-Standard Monetary Policy Measures: Evidence from Survey Data," Working Papers ECARES ECARES 2014-30, ULB -- Universite Libre de Bruxelles.
- Carlo Altavilla & Domenico Giannone, 2015. "The effectiveness of nonstandard monetary policy measures: evidence from survey data," Staff Reports 752, Federal Reserve Bank of New York.
- Giannone, Domenico & Altavilla, Carlo, 2014. "The Effectiveness of Non-Standard Monetary Policy Measures: Evidence from Survey Data," CEPR Discussion Papers 10001, C.E.P.R. Discussion Papers.
- Laura Coroneo & Domenico Giannone & Michele Modugno, 2016.
"Unspanned Macroeconomic Factors in the Yield Curve,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(3), pages 472-485, July.
See citations under working paper version above.
- Laura Coroneo & Domenico Giannone & Michele Modugno, 2014. "Unspanned macroeconomic factors in the yield curve," Finance and Economics Discussion Series 2014-57, Board of Governors of the Federal Reserve System (U.S.).
- Laura Coroneo & Domenico Giannone & Michèle Modugno, 2013. "Unspanned Macroeconomic Factors in the Yields Curve," Working Papers ECARES ECARES 2013-07, ULB -- Universite Libre de Bruxelles.
- Carlo Altavilla & Domenico Giannone & Michele Lenza, 2016.
"The Financial and Macroeconomic Effects of the OMT Announcements,"
International Journal of Central Banking, International Journal of Central Banking, vol. 12(3), pages 29-57, September.
- Michele Lenza, 2015. "The financial and macroeconomic effects of OMT announcements," Research Bulletin, European Central Bank, vol. 22, pages 12-16.
See citations under working paper version above.- Giannone, Domenico & Lenza, Michele & Altavilla, Carlo, 2014. "The Financial and Macroeconomic Effects of OMT Announcements," CEPR Discussion Papers 10025, C.E.P.R. Discussion Papers.
- Carlo Altavilla & Domenico Giannone & Michèle Lenza, 2014. "The Financial and Macroeconomic Effects of OMT Announcements," Working Papers ECARES ECARES 2014-31, ULB -- Universite Libre de Bruxelles.
- Carlo Altavilla & Domenico Giannone & Michele Lenza, 2014. "The Financial and Macroeconomic Effects of the OMT Announcements," CSEF Working Papers 352, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
- Giannone, Domenico & Altavilla, Carlo & Lenza, Michele, 2014. "The financial and macroeconomic effects of OMT announcements," Working Paper Series 1707, European Central Bank.
- Giannone, Domenico & Monti, Francesca & Reichlin, Lucrezia, 2016.
"Exploiting the monthly data flow in structural forecasting,"
Journal of Monetary Economics, Elsevier, vol. 84(C), pages 201-215.
See citations under working paper version above.
- Domenico Giannone & Francesca Monti & Lucrezia Reichlin, 2015. "Exploiting the monthly data flow in structural forecasting," Staff Reports 751, Federal Reserve Bank of New York.
- Giannone, Domenico & Monti, Francesca & Reichlin, Lucrezia, 2014. "Exploiting the monthly data-flow in structural forecasting," LSE Research Online Documents on Economics 57998, London School of Economics and Political Science, LSE Library.
- Domenico Giannone & Francesca Monti & Lucrezia Reichlin, 2014. "Exploiting the monthly data-flow in structural forecasting," Discussion Papers 1416, Centre for Macroeconomics (CFM).
- Giannone, Domenico & Monti , Francesca & Reichlin , Lucrezia, 2014. "Exploiting the monthly data flow in structural forecasting," Bank of England working papers 509, Bank of England.
- Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2015.
"Prior Selection for Vector Autoregressions,"
The Review of Economics and Statistics, MIT Press, vol. 97(2), pages 436-451, May.
See citations under working paper version above.
- Domenico Giannone & Michèle Lenza & Giorgio E. Primiceri, 2012. "Prior Selection for Vector Autoregressions," Working Papers ECARES ECARES 2012-002, ULB -- Universite Libre de Bruxelles.
- Giannone, Domenico & Lenza, Michele & Primiceri, Giorgio, 2012. "Prior Selection for Vector Autoregressions," CEPR Discussion Papers 8755, C.E.P.R. Discussion Papers.
- Domenico Giannone & Michele Lenza & Giorgio E. Primiceri, 2012. "Prior Selection for Vector Autoregressions," NBER Working Papers 18467, National Bureau of Economic Research, Inc.
- Giannone, Domenico & Lenza, Michele & Primiceri, Giorgio E., 2012. "Prior selection for vector autoregressions," Working Paper Series 1494, European Central Bank.
- Bańbura, Marta & Giannone, Domenico & Lenza, Michele, 2015.
"Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections,"
International Journal of Forecasting, Elsevier, vol. 31(3), pages 739-756.
See citations under working paper version above.
- Giannone, Domenico & Banbura, Marta & Lenza, Michele, 2014. "Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections," CEPR Discussion Papers 9931, C.E.P.R. Discussion Papers.
- Martha Banbura & Domenico Giannone & Michèle Lenza, 2014. "Conditional Forecasts and Scenario Analysis with Vector Autoregressions for Large Cross-Sections," Working Papers ECARES ECARES 2014-15, ULB -- Universite Libre de Bruxelles.
- Giannone, Domenico & Bańbura, Marta & Lenza, Michele, 2014. "Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections," Working Paper Series 1733, European Central Bank.
- Conflitti, Cristina & De Mol, Christine & Giannone, Domenico, 2015.
"Optimal combination of survey forecasts,"
International Journal of Forecasting, Elsevier, vol. 31(4), pages 1096-1103.
See citations under working paper version above.
- Giannone, Domenico & De Mol, Christine & Conflitti, Cristina, 2012. "Optimal Combination of Survey Forecasts," CEPR Discussion Papers 9096, C.E.P.R. Discussion Papers.
- Cristina Conflitti & Christine De Mol & Domenico Giannone, 2012. "Optimal Combination of Survey Forecasts," Working Papers ECARES ECARES 2012-023, ULB -- Universite Libre de Bruxelles.
- Giannone, Domenico & Lenza, Michele & Momferatou, Daphne & Onorante, Luca, 2014.
"Short-term inflation projections: A Bayesian vector autoregressive approach,"
International Journal of Forecasting, Elsevier, vol. 30(3), pages 635-644.
See citations under working paper version above.
- Giannone, Domenico & Lenza, Michele & Onorante, Luca & Momferatou, Daphne, 2010. "Short-Term Inflation Projections: a Bayesian Vector Autoregressive approach," CEPR Discussion Papers 7746, C.E.P.R. Discussion Papers.
- Domenico Giannone & Michèle Lenza & Daphné Momferatu & Luca Onorante, 2010. "Short-term inflation projections: a Bayesian vector autoregressive approach," Working Papers ECARES ECARES 2010-011, ULB -- Universite Libre de Bruxelles.
- Antonello D'Agostino & Luca Gambetti & Domenico Giannone, 2013.
"Macroeconomic forecasting and structural change,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(1), pages 82-101, January.
See citations under working paper version above.
- Giannone, Domenico & D'Agostino, Antonello & Gambetti, Luca, 2010. "Macroeconomic forecasting and structural change," Working Paper Series 1167, European Central Bank.
- D'Agostino, Antonello & Gambetti, Luca & Giannone, Domenico & Giannone, Domenico, 2009. "Macroeconomic Forecasting and Structural Change," Research Technical Papers 8/RT/09, Central Bank of Ireland.
- Giannone, Domenico & D’Agostino, Antonello & Gambetti, Luca, 2009. "Macroeconomic Forecasting and Structural Change," CEPR Discussion Papers 7542, C.E.P.R. Discussion Papers.
- Antonello D'Agostino & Luca Gambetti & Domenico Giannone, 2009. "Macroeconomic Forecasting and Structural Change," Working Papers ECARES 2009_020, ULB -- Universite Libre de Bruxelles.
- Antonello D’ Agostino & Domenico Giannone, 2012.
"Comparing Alternative Predictors Based on Large‐Panel Factor Models,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(2), pages 306-326, April.
See citations under working paper version above.
- D'Agostino, Antonello & Giannone, Domenico, 2006. "Comparing alternative predictors based on large-panel factor models," Working Paper Series 680, European Central Bank.
- D'Agostino, Antonello & Giannone, Domenico, 2006. "Comparing Alternative Predictors Based on Large-Panel Factor Models," Research Technical Papers 14/RT/06, Central Bank of Ireland.
- Giannone, Domenico & D’Agostino, Antonello, 2007. "Comparing Alternative Predictors Based on Large-Panel Factor Models," CEPR Discussion Papers 6564, C.E.P.R. Discussion Papers.
- Domenico Giannone & Jérôme Henry & Magdalena Lalik & Michele Modugno, 2012.
"An Area-Wide Real-Time Database for the Euro Area,"
The Review of Economics and Statistics, MIT Press, vol. 94(4), pages 1000-1013, November.
See citations under working paper version above.
- Henry, Jerome & Giannone, Domenico & Lalik, Magdalena & Modugno, Michele, 2010. "An Area-Wide Real-Time Database for the Euro Area," CEPR Discussion Papers 7673, C.E.P.R. Discussion Papers.
- Domenico Giannone & Jérôme Henry & Magdalena Lalik & Michèle Modugno, 2010. "An Area Wide Real Time Data Base for the Euro Area," Working Papers ECARES ECARES 2010-026, ULB -- Universite Libre de Bruxelles.
- Giannone, Domenico & Henry, Jérôme & Lalik, Magdalena & Modugno, Michele, 2010. "An area-wide real-time database for the euro area," Working Paper Series 1145, European Central Bank.
- Domenico Giannone & Michele Lenza & Huw Pill & Lucrezia Reichlin, 2012.
"The ECB and the Interbank Market,"
Economic Journal, Royal Economic Society, vol. 122(564), pages 467-486, November.
See citations under working paper version above.
- Reichlin, Lucrezia & Pill, Huw & Giannone, Domenico & Lenza, Michele, 2012. "The ECB and the Interbank Market," CEPR Discussion Papers 8844, C.E.P.R. Discussion Papers.
- Domenico Giannone & Michèle Lenza & Huw Pill & Lucrezia Reichlin, 2012. "The ECB and the Interbank Market," Working Papers ECARES ECARES 2012-005, ULB -- Universite Libre de Bruxelles.
- Giannone, Domenico & Reichlin, Lucrezia & Lenza, Michele, 2012. "The ECB and the interbank market," Working Paper Series 1496, European Central Bank.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012.
"A Quasi–Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models,"
The Review of Economics and Statistics, MIT Press, vol. 94(4), pages 1014-1024, November.
See citations under working paper version above.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2008. "A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models," Working Papers ECARES 2008_034, ULB -- Universite Libre de Bruxelles.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012. "A Quasi Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models," Post-Print hal-00638440, HAL.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012. "A Quasi Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00638440, HAL.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2012. "A Quasi Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models," PSE-Ecole d'économie de Paris (Postprint) hal-00638440, HAL.
- Reichlin, Lucrezia & Doz, Catherine & Giannone, Domenico, 2006. "A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models," CEPR Discussion Papers 5724, C.E.P.R. Discussion Papers.
- Doz, Catherine & Giannone, Domenico & Reichlin, Lucrezia, 2006. "A quasi maximum likelihood approach for large approximate dynamic factor models," Working Paper Series 674, European Central Bank.
- Domenico Giannone & Michele Lenza & Lucrezia Reichlin, 2011.
"Market Freedom and the Global Recession,"
IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 59(1), pages 111-135, April.
See citations under working paper version above.
- Reichlin, Lucrezia & Giannone, Domenico & Lenza, Michele, 2010. "Market freedom and the global recession," CEPR Discussion Papers 7884, C.E.P.R. Discussion Papers.
- Domenico Giannone & Michèle Lenza & Lucrezia Reichlin, 2011. "Market freedom and the global recession," ULB Institutional Repository 2013/261757, ULB -- Universite Libre de Bruxelles.
- Domenico Giannone & Michèle Lenza & Lucrezia Reichlin, 2010. "Market Freedom and the Global Recession," Working Papers ECARES ECARES 2010-020, ULB -- Universite Libre de Bruxelles.
- Doz, Catherine & Giannone, Domenico & Reichlin, Lucrezia, 2011.
"A two-step estimator for large approximate dynamic factor models based on Kalman filtering,"
Journal of Econometrics, Elsevier, vol. 164(1), pages 188-205, September.
See citations under working paper version above.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2006. "A Two-step estimator for large approximate dynamic factor models based on Kalman filtering," THEMA Working Papers 2006-23, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2011. "A two-step estimator for large approximate dynamic factor models based on Kalman filtering," Post-Print hal-00638009, HAL.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2011. "A two-step estimator for large approximate dynamic factor models based on Kalman filtering," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00638009, HAL.
- Catherine Doz & Lucrezia Reichlin, 2011. "A two-step estimator for large approximate dynamic factor models based on Kalman filtering," Post-Print hal-00844811, HAL.
- Catherine Doz & Domenico Giannone & Lucrezia Reichlin, 2011. "A two-step estimator for large approximate dynamic factor models based on Kalman filtering," PSE-Ecole d'économie de Paris (Postprint) hal-00638009, HAL.
- Reichlin, Lucrezia & Doz, Catherine & Giannone, Domenico, 2007. "A Two-Step Estimator for Large Approximate Dynamic Factor Models Based on Kalman Filtering," CEPR Discussion Papers 6043, C.E.P.R. Discussion Papers.
- Elena Angelini & Gonzalo Camba‐Mendez & Domenico Giannone & Lucrezia Reichlin & Gerhard Rünstler, 2011.
"Short‐term forecasts of euro area GDP growth,"
Econometrics Journal, Royal Economic Society, vol. 14(1), pages 25-44, February.
- Elena Angelini & Gonzalo Camba‐Mendez & Domenico Giannone & Lucrezia Reichlin & Gerhard Rünstler, 2011. "Short‐term forecasts of euro area GDP growth," Econometrics Journal, Royal Economic Society, vol. 14, pages 25-44, February.
See citations under working paper version above.- Angelini, Elena & Camba-Méndez, Gonzalo & Rünstler, Gerhard & Giannone, Domenico & Reichlin, Lucrezia, 2008. "Short-term forecasts of euro area GDP growth," Working Paper Series 949, European Central Bank.
- Elena Angelini & Gonzalo Camba-Mendez & Domenico Giannone & Lucrezia Reichlin & Gerhard Rünstler, 2008. "Short-Term Forecasts of Euro Area GDP Growth," Working Papers ECARES ECARES 2008-035, ULB -- Universite Libre de Bruxelles.
- Reichlin, Lucrezia & Camba-Mendez, Gonzalo & Angelini, Elena & Rünstler, Gerhard & Giannone, Domenico, 2008. "Short-term Forecasts of Euro Area GDP Growth," CEPR Discussion Papers 6746, C.E.P.R. Discussion Papers.
- Domenico Giannone & Michele Lenza, 2010.
"The Feldstein-Horioka Fact,"
NBER International Seminar on Macroeconomics, University of Chicago Press, vol. 6(1), pages 103-117.
- Domenico Giannone & Michele Lenza, 2010. "The Feldstein-Horioka Fact," NBER Chapters, in: NBER International Seminar on Macroeconomics 2009, pages 103-117, National Bureau of Economic Research, Inc.
See citations under working paper version above.- Giannone, Domenico & Lenza, Michele, 2008. "The Feldstein-Horioka fact," Working Paper Series 873, European Central Bank.
- Domenico Giannone & Michele Lenza, 2009. "The Feldstein-Horioka fact," NBER Working Papers 15519, National Bureau of Economic Research, Inc.
- Giannone, Domenico & Lenza, Michele, 2004. "The Feldstein-Horioka Fact," CEPR Discussion Papers 4610, C.E.P.R. Discussion Papers.
- Domenico Giannone & Michèle Lenza, 2009. "The Feldstein-Horioka Fact," Working Papers ECARES 2009_022, ULB -- Universite Libre de Bruxelles.
- Marta Banbura & Domenico Giannone & Lucrezia Reichlin, 2010.
"Large Bayesian vector auto regressions,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 71-92.
- Marta Bańbura & Domenico Giannone & Lucrezia Reichlin, 2010. "Large Bayesian vector auto regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 71-92, January.
See citations under working paper version above.- Domenico Giannone & Martha Banbura & Lucrezia Reichlin, 2010. "Large Bayesian vector auto regressions," ULB Institutional Repository 2013/13388, ULB -- Universite Libre de Bruxelles.
- Martha Banbura & Domenico Giannone & Lucrezia Reichlin, 2008. "Large Bayesian VARs," Working Papers ECARES 2008_033, ULB -- Universite Libre de Bruxelles.
- Marta Bańbura, 2008. "Large Bayesian VARs," 2008 Meeting Papers 334, Society for Economic Dynamics.
- Reichlin, Lucrezia & Giannone, Domenico & Banbura, Marta, 2007. "Bayesian VARs with Large Panels," CEPR Discussion Papers 6326, C.E.P.R. Discussion Papers.
- Domenico Giannone & Michele Lenza, 2009.
"Business cycles in the euro area,"
Research Bulletin, European Central Bank, vol. 8, pages 5-7.
- Domenico Giannone & Michele Lenza & Lucrezia Reichlin, 2010. "Business Cycles in the Euro Area," NBER Chapters, in: Europe and the Euro, pages 141-167, National Bureau of Economic Research, Inc.
See citations under working paper version above.- Domenico Giannone & Michèle Lenza & Lucrezia Reichlin, 2008. "Business Cycles in the euro Area," Working Papers ECARES 2008_040, ULB -- Universite Libre de Bruxelles.
- Domenico Giannone & Michele Lenza & Lucrezia Reichlin, 2008. "Business Cycles in the Euro Area," NBER Working Papers 14529, National Bureau of Economic Research, Inc.
- Reichlin, Lucrezia & Giannone, Domenico & Lenza, Michele, 2009. "Business Cycles in the Euro Area," CEPR Discussion Papers 7124, C.E.P.R. Discussion Papers.
- Giannone, Domenico & Reichlin, Lucrezia & Simonelli, Saverio, 2009.
"Nowcasting Euro Area Economic Activity in Real Time: The Role of Confidence Indicators,"
National Institute Economic Review, National Institute of Economic and Social Research, vol. 210, pages 90-97, October.
- Domenico Giannone & Lucrezia Reichlin & Saverio Simonelli, 2009. "Nowcasting Euro Area Economic Activity In Real Time: The Role Of Confidence Indicators," National Institute Economic Review, National Institute of Economic and Social Research, vol. 210(1), pages 90-97, October.
See citations under working paper version above.- Domenico Giannone & Lucrezia Reichlin & Saverio Simonelli, 2009. "Nowcasting Euro Area Economic Activity in Real-Time: The Role of Confidence Indicators," CSEF Working Papers 240, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
- Domenico Giannone & Lucrezia Reichlin & Saverio Simonelli, 2009. "Nowcasting Euro Area Economic Activity in Real-Time: The Role of Confidence Indicator," Working Papers ECARES 2009_021, ULB -- Universite Libre de Bruxelles.
- Giannone, Domenico & Reichlin, Lucrezia, 2009.
"Comments on "Forecasting economic and financial variables with global VARs","
International Journal of Forecasting, Elsevier, vol. 25(4), pages 684-686, October.
Cited by:
- Arnold Zellner & Jacques K. Ngoie, 2012.
"Evaluation of the Effects of Reduced Personal and Corporate Tax Rates on the Growth Rates of the U.S. Economy,"
Working Papers
280, Economic Research Southern Africa.
- Arnold Zellner & Jacques Kibambe Ngoie, 2015. "Evaluation of the Effects of Reduced Personal and Corporate Tax Rates on the Growth Rates of the U.S. Economy," Econometric Reviews, Taylor & Francis Journals, vol. 34(1-2), pages 56-81, February.
- Jacques Kibambe Ngoie & Arnold Zellner, 2012. "Evaluation of the Effects of Reduced Personal and Corporate Tax Rates on the Growth Rates of the U.S. Economy," Working Papers 201217, University of Pretoria, Department of Economics.
- Dr. Gregor Bäurle & Elizabeth Steiner & Dr. Gabriel Züllig, 2018.
"Forecasting the production side of GDP,"
Working Papers
2018-16, Swiss National Bank.
- Gregor Bäurle & Elizabeth Steiner & Gabriel Züllig, 2021. "Forecasting the production side of GDP," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(3), pages 458-480, April.
- Camehl, Annika, 2023. "Penalized estimation of panel vector autoregressive models: A panel LASSO approach," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1185-1204.
- Florian Huber & Jesus Crespo-Cuaresma & Martin Feldkircher, 2014. "Forecasting with Bayesian Global Vector Autoregressions," ERSA conference papers ersa14p25, European Regional Science Association.
- Marcellino, Massimiliano & Bai, Yu & Carriero, Andrea & Clark, Todd, 2022.
"Macroeconomic Forecasting in a Multi-country Context,"
CEPR Discussion Papers
16994, C.E.P.R. Discussion Papers.
- Yu Bai & Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2022. "Macroeconomic forecasting in a multi‐country context," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(6), pages 1230-1255, September.
- Yu Bai & Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2022. "Macroeconomic Forecasting in a Multi-country Context," Working Papers 22-02, Federal Reserve Bank of Cleveland.
- Jesús Crespo Cuaresma & Martin Feldkircher & Florian Huber, 2016. "Forecasting with Global Vector Autoregressive Models: a Bayesian Approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1371-1391, November.
- Helmut Herwartz, 2011. "Forecast accuracy and uncertainty in applied econometrics: a recommendation of specific-to-general predictor selection," Empirical Economics, Springer, vol. 41(2), pages 487-510, October.
- Tomáš Slacík & Katharina Steiner & Julia Wörz, 2014. "Can Trade Partners Help Better FORCEE the Future? Impact of Trade Linkages on Economic Growth Forecasts in Selected CESEE Countries," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 36-56.
- Jesús Crespo Cuaresma & Martin Feldkircher & Florian Huber, 2014. "Forecasting with Bayesian Global Vector Autoregressive Models: A Comparison of Priors," Working Papers 189, Oesterreichische Nationalbank (Austrian Central Bank).
- Arnold Zellner & Jacques K. Ngoie, 2012.
"Evaluation of the Effects of Reduced Personal and Corporate Tax Rates on the Growth Rates of the U.S. Economy,"
Working Papers
280, Economic Research Southern Africa.
- Forni, Mario & Giannone, Domenico & Lippi, Marco & Reichlin, Lucrezia, 2009.
"Opening The Black Box: Structural Factor Models With Large Cross Sections,"
Econometric Theory, Cambridge University Press, vol. 25(5), pages 1319-1347, October.
See citations under working paper version above.
- Mario Forni & Domenico Giannone & Marco Lippi & Lucrezia Reichlin, 2008. "Opening the Black Box: Structural Factor Models with Large Cross-Sections," Working Papers ECARES 2008_036, ULB -- Universite Libre de Bruxelles.
- Forni, Mario & Giannone, Domenico & Lippi, Marco & Reichlin, Lucrezia, 2007. "Opening the black box: structural factor models with large cross-sections," Working Paper Series 712, European Central Bank.
- Mario Forni & Domenico Giannone & Marco Lippi & Lucrezia Reichlin, 2007. "Opening the Black Box: Structural Factor Models with Large Cross-Sections," Center for Economic Research (RECent) 008, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
- Giannone, Domenico & Reichlin, Lucrezia & Small, David, 2008.
"Nowcasting: The real-time informational content of macroeconomic data,"
Journal of Monetary Economics, Elsevier, vol. 55(4), pages 665-676, May.
See citations under working paper version above.
- Reichlin, Lucrezia & Giannone, Domenico & Small, David, 2005. "Nowcasting GDP and Inflation: The Real Time Informational Content of Macroeconomic Data Releases," CEPR Discussion Papers 5178, C.E.P.R. Discussion Papers.
- Domenico Giannone & Lucrezia Reichlin & David H Small, 2007. "Nowcasting GDP and Inflation: The Real-Time Informational Content of Macroeconomic Data Releases," Money Macro and Finance (MMF) Research Group Conference 2006 164, Money Macro and Finance Research Group.
- Domenico Giannone & Lucrezia Reichlin & David H. Small, 2005. "Nowcasting GDP and inflation: the real-time informational content of macroeconomic data releases," Finance and Economics Discussion Series 2005-42, Board of Governors of the Federal Reserve System (U.S.).
- Domenico Giannone & Michele Lenza & Lucrezia Reichlin, 2008.
"Explaining The Great Moderation: It Is Not The Shocks,"
Journal of the European Economic Association, MIT Press, vol. 6(2-3), pages 621-633, 04-05.
See citations under working paper version above.
- Domenico Giannone & Michèle Lenza & Lucrezia Reichlin, 2008. "Explaining the great moderation: it is not the shocks," ULB Institutional Repository 2013/6413, ULB -- Universite Libre de Bruxelles.
- Giannone, Domenico & Lenza, Michele & Reichlin, Lucrezia, 2008. "Explaining the Great Moderation: it is not the shocks," Working Paper Series 865, European Central Bank.
- Reichlin, Lucrezia & Giannone, Domenico & Lenza, Michele, 2007. "Explaining The Great Moderation: It Is Not The Shocks," CEPR Discussion Papers 6600, C.E.P.R. Discussion Papers.
- De Mol, Christine & Giannone, Domenico & Reichlin, Lucrezia, 2008.
"Forecasting using a large number of predictors: Is Bayesian shrinkage a valid alternative to principal components?,"
Journal of Econometrics, Elsevier, vol. 146(2), pages 318-328, October.
See citations under working paper version above.
- Reichlin, Lucrezia & Giannone, Domenico & De Mol, Christine, 2006. "Forecasting Using a Large Number of Predictors: Is Bayesian Regression a Valid Alternative to Principal Components?," CEPR Discussion Papers 5829, C.E.P.R. Discussion Papers.
- De Mol, Christine & Giannone, Domenico & Reichlin, Lucrezia, 2006. "Forecasting using a large number of predictors: is Bayesian regression a valid alternative to principal components?," Discussion Paper Series 1: Economic Studies 2006,32, Deutsche Bundesbank.
- Domenico Giannone & Troy D. Matheson, 2007.
"A New Core Inflation Indicator for New Zealand,"
International Journal of Central Banking, International Journal of Central Banking, vol. 3(4), pages 145-180, December.
See citations under working paper version above.
- Giannone, Domenico & Matheson, Troy, 2007. "A New Core Inflation Indicator for New Zealand," CEPR Discussion Papers 6469, C.E.P.R. Discussion Papers.
- Domenico Giannone & Troy Matheson, 2007. "A new core inflation indicator for New Zealand," ULB Institutional Repository 2013/6407, ULB -- Universite Libre de Bruxelles.
- Domenico Giannone & Troy Matheson, 2006. "A new core inflation indicator for New Zealand," Reserve Bank of New Zealand Discussion Paper Series DP2006/02, Reserve Bank of New Zealand.
- Domenico Giannone & Lucrezia Reichlin, 2006.
"Does information help recovering structural shocks from past observations?,"
Journal of the European Economic Association, MIT Press, vol. 4(2-3), pages 455-465, 04-05.
See citations under working paper version above.
- Reichlin, Lucrezia & Giannone, Domenico, 2006. "Does Information Help Recovering Structural Shocks from Past Observations?," CEPR Discussion Papers 5725, C.E.P.R. Discussion Papers.
- Giannone, Domenico & Reichlin, Lucrezia, 2006. "Does information help recovering structural shocks from past observations?," Working Paper Series 632, European Central Bank.
- Domenico Giannone & Lucrezia Reichlin, 2006. "Does information help recovering structural shocks from past observations?," ULB Institutional Repository 2013/166169, ULB -- Universite Libre de Bruxelles.
- Giannone, Domenico & Reichlin, Lucrezia & Sala, Luca, 2006.
"VARs, common factors and the empirical validation of equilibrium business cycle models,"
Journal of Econometrics, Elsevier, vol. 132(1), pages 257-279, May.
See citations under working paper version above.
- Domenica Giannone & Lucrezia Reichlin & Luca Sala, 2004. "VARs, Common Factors and the Empirical Validation of Equilibrium Business Cycle Models," Working Papers 258, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Reichlin, Lucrezia & Sala, Luca & Giannone, Domenico, 2002. "VARs, Common Factors and the Empirical Validation of Equilibrium Business Cycle Models," CEPR Discussion Papers 3701, C.E.P.R. Discussion Papers.
- Domenico Giannone & Lucrezia Reichlin & Luca Sala, 2006. "VARs, common factors and the empirical validation of equilibrium business cycle models," ULB Institutional Repository 2013/10127, ULB -- Universite Libre de Bruxelles.
Chapters
- Marco Del Negro & Domenico Giannone & Marc Giannoni & Andrea Tambalotti, 2018.
"Global Trends in Interest Rates,"
NBER Chapters, in: NBER International Seminar on Macroeconomics 2018, pages 248-262,
National Bureau of Economic Research, Inc.
- Del Negro, Marco & Giannone, Domenico & Giannoni, Marc P. & Tambalotti, Andrea, 2019. "Global trends in interest rates," Journal of International Economics, Elsevier, vol. 118(C), pages 248-262.
See citations under working paper version above.- Marco Del Negro & Domenico Giannone & Marc P. Giannoni & Andrea Tambalotti, 2018. "Global Trends in Interest Rates," NBER Working Papers 25039, National Bureau of Economic Research, Inc.
- Brandyn Bok & Marco Del Negro & Domenico Giannone & Marc Giannoni & Eric Qian & Andrea Tambalotti, 2019. "Global Trends in Interest Rates," Liberty Street Economics 20190227, Federal Reserve Bank of New York.
- Marco Del Negro & Andrea Tambalotti & Domenico Giannone & Marc Giannoni, 2019. "Global Trends in Interest Rates," 2019 Meeting Papers 77, Society for Economic Dynamics.
- Marco Del Negro & Domenico Giannone & Marc Giannoni & Andrea Tambalotti, 2018. "Global Trends in Interest Rates," Working Papers 1812, Federal Reserve Bank of Dallas.
- Marco Del Negro & Domenico Giannone & Marc Giannoni & Andrea Tambalotti, 2018. "Global trends in interest rates," Staff Reports 866, Federal Reserve Bank of New York.
- Antonello D’Agostino & Domenico Giannone & Michele Lenza & Michele Modugno, 2016.
"Nowcasting Business Cycles: A Bayesian Approach to Dynamic Heterogeneous Factor Models,"
Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 569-594,
Emerald Group Publishing Limited.
See citations under working paper version above.
- Antonello D'Agostino & Domenico Giannone & Michele Lenza & Michele Modugno, 2015. "Nowcasting Business Cycles: a Bayesian Approach to Dynamic Heterogeneous Factor Models," Finance and Economics Discussion Series 2015-66, Board of Governors of the Federal Reserve System (U.S.).
- Bańbura, Marta & Giannone, Domenico & Modugno, Michele & Reichlin, Lucrezia, 2013.
"Now-Casting and the Real-Time Data Flow,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 195-237,
Elsevier.
See citations under working paper version above.
- Martha Banbura & Domenico Giannone & Michèle Modugno & Lucrezia Reichlin, 2012. "Now-Casting and the Real-Time Data Flow," Working Papers ECARES ECARES 2012-026, ULB -- Universite Libre de Bruxelles.
- Giannone, Domenico & Reichlin, Lucrezia & Bańbura, Marta & Modugno, Michele, 2013. "Now-casting and the real-time data flow," Working Paper Series 1564, European Central Bank.
- Reichlin, Lucrezia & Giannone, Domenico & Modugno, Michele & Banbura, Marta, 2012. "Now-casting and the real-time data flow," CEPR Discussion Papers 9112, C.E.P.R. Discussion Papers.
- Domenico Giannone & Michele Lenza, 2010.
"The Feldstein-Horioka Fact,"
NBER Chapters, in: NBER International Seminar on Macroeconomics 2009, pages 103-117,
National Bureau of Economic Research, Inc.
- Domenico Giannone & Michele Lenza, 2010. "The Feldstein-Horioka Fact," NBER International Seminar on Macroeconomics, University of Chicago Press, vol. 6(1), pages 103-117.
See citations under working paper version above.- Giannone, Domenico & Lenza, Michele, 2008. "The Feldstein-Horioka fact," Working Paper Series 873, European Central Bank.
- Domenico Giannone & Michele Lenza, 2009. "The Feldstein-Horioka fact," NBER Working Papers 15519, National Bureau of Economic Research, Inc.
- Giannone, Domenico & Lenza, Michele, 2004. "The Feldstein-Horioka Fact," CEPR Discussion Papers 4610, C.E.P.R. Discussion Papers.
- Domenico Giannone & Michèle Lenza, 2009. "The Feldstein-Horioka Fact," Working Papers ECARES 2009_022, ULB -- Universite Libre de Bruxelles.
- Domenico Giannone, 2010.
"Comment on "Can Parameter Instability Explain the Meese-Rogoff Puzzle?","
NBER Chapters, in: NBER International Seminar on Macroeconomics 2009, pages 180-190,
National Bureau of Economic Research, Inc.
Cited by:
- Byrne, Joseph P & Korobilis, Dimitris & Ribeiro, Pinho J, 2014.
"On the Sources of Uncertainty in Exchange Rate Predictability,"
MPRA Paper
58956, University Library of Munich, Germany.
- Joseph P. Byrne & Dimitris Korobilis & Pinho J. Ribeiro, 2014. "On the Sources of Uncertainty in Exchange Rate Predictability," Working Papers 2014_16, Business School - Economics, University of Glasgow.
- Byrne, Joseph P. & Korobilis, Dimitris & Ribeiro, Pinho J., 2014. "On the Sources of Uncertainty in Exchange Rate Predictability," SIRE Discussion Papers 2015-24, Scottish Institute for Research in Economics (SIRE).
- Joseph P. Byrne & Dimitris Korobilis & Pinho J. Ribeiro, 2018. "On The Sources Of Uncertainty In Exchange Rate Predictability," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 59(1), pages 329-357, February.
- Byrne, Joseph P. & Korobilis, Dimitris & Ribeiro, Pinho J., 2014.
"Exchange Rate Predictability in a Changing World,"
SIRE Discussion Papers
2014-021, Scottish Institute for Research in Economics (SIRE).
- Joseph P. Byrne & Dimitris Korobilis & Pinho J. Ribeiro, 2014. "Exchange Rate Predictability in a Changing World," Working Paper series 06_14, Rimini Centre for Economic Analysis.
- Joseph Byrne & Dimitris Korobilis & Pinho Ribeiro, 2014. "Exchange Rate Predictability in a Changing World," Papers 1403.0627, arXiv.org.
- Byrne, Joseph P. & Korobilis, Dimitris & Ribeiro, Pinho J., 2016. "Exchange rate predictability in a changing world," Journal of International Money and Finance, Elsevier, vol. 62(C), pages 1-24.
- Joseph P. Byrne & Dimitris Korobilis & Pinho J. Ribeiro, 2014. "Exchange Rate Predictability in a Changing World," Working Papers 2014_03, Business School - Economics, University of Glasgow.
- Byrne, Joseph P & Korobilis, Dimitris & Ribeiro, Pinho J, 2014. "Exchange Rate Predictability in a Changing World," MPRA Paper 53684, University Library of Munich, Germany.
- Haroon Mumtaz & Laura Sunder‐Plassmann, 2013.
"Time‐Varying Dynamics Of The Real Exchange Rate: An Empirical Analysis,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(3), pages 498-525, April.
- Mumtaz, Haroon & Sunder-Plassmann, Laura, 2010. "Time-varying dynamics of the real exchange rate. A structural VAR analysis," Bank of England working papers 382, Bank of England.
- Byrne, Joseph P & Korobilis, Dimitris & Ribeiro, Pinho J, 2014.
"On the Sources of Uncertainty in Exchange Rate Predictability,"
MPRA Paper
58956, University Library of Munich, Germany.
- Domenico Giannone & Michele Lenza & Lucrezia Reichlin, 2010.
"Business Cycles in the Euro Area,"
NBER Chapters, in: Europe and the Euro, pages 141-167,
National Bureau of Economic Research, Inc.
- Domenico Giannone & Michele Lenza, 2009. "Business cycles in the euro area," Research Bulletin, European Central Bank, vol. 8, pages 5-7.
See citations under working paper version above.- Domenico Giannone & Michèle Lenza & Lucrezia Reichlin, 2008. "Business Cycles in the euro Area," Working Papers ECARES 2008_040, ULB -- Universite Libre de Bruxelles.
- Domenico Giannone & Michele Lenza & Lucrezia Reichlin, 2008. "Business Cycles in the Euro Area," NBER Working Papers 14529, National Bureau of Economic Research, Inc.
- Reichlin, Lucrezia & Giannone, Domenico & Lenza, Michele, 2009. "Business Cycles in the Euro Area," CEPR Discussion Papers 7124, C.E.P.R. Discussion Papers.
- Domenico Giannone & Lucrezia Reichlin & Luca Sala, 2005.
"Monetary Policy in Real Time,"
NBER Chapters, in: NBER Macroeconomics Annual 2004, Volume 19, pages 161-224,
National Bureau of Economic Research, Inc.
See citations under working paper version above.
- Domenico Giannone & Lucrezia Reichlin & Luca Sala, 2005. "Monetary policy in real time," ULB Institutional Repository 2013/6401, ULB -- Universite Libre de Bruxelles.
- Domenico Giannone & Lucrezia Reichlin & Luca Sala, 2005. "Monetary Policy in Real Time," Working Papers 284, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Reichlin, Lucrezia & Sala, Luca & Giannone, Domenico, 2005. "Monetary Policy in Real Time," CEPR Discussion Papers 4981, C.E.P.R. Discussion Papers.
- Lucrezia Reichlin & Domenico Giannone & Luca Sala, "undated". "Monetary policy in real time," ULB Institutional Repository 2013/10177, ULB -- Universite Libre de Bruxelles.