Lucia Alessi

European Central Bank (ECB)

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

SCHOLARLY PAPERS

10

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38

Scholarly Papers (10)

'Real Time' Early Warning Indicators for Costly Asset Price Boom/Bust Cycles: A Role for Global Liquidity

ECB Working Paper No. 1039
Number of pages: 58 Posted: 22 Apr 2009
Lucia Alessi and Carsten Detken
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 499 (53,534)
Citation 32

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Early Warning Indicators, Signalling Approach, Leaning Against the Wind, Asset Price Booms and Busts, Global Liquidity

'Real Time' Early Warning Indicators for Costly Asset Price Boom/Bust Cycles: A Role for Global Liquidity

Paolo Baffi Centre Research Paper No. 2010-70
Number of pages: 52 Posted: 09 Jul 2010 Last Revised: 20 Nov 2010
Lucia Alessi and Carsten Detken
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 272 (108,939)
Citation 32

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Early Warning Indicators, Signaling Approach, Leaning Against the Wind, Asset Price Booms and Busts, Global Liquidity

'Real Time' Early Warning Indicators for Costly Asset Price Boom/Bust Cycles: A Role for Global Liquidity

Finlawmetrics 2010 Conference Paper
Number of pages: 49 Posted: 12 Jan 2010
Lucia Alessi and Carsten Detken
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 114 (238,020)
Citation 32

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Early Warning Indicators, Signalling Approach, Leaning Against the Wind, Asset Price Booms and Busts, Global Liquidity

2.

Comparing Different Early Warning Systems: Results from a Horse Race Competition Among Members of the Macro-Prudential Research Network

Number of pages: 27 Posted: 18 Feb 2015
European Central Bank (ECB), Bank of Portugal - Department of Economics, Czech National Bank (CNB), De Nederlandsche Bank, European Central Bank (ECB), Banco de Portugal, London School of Economics & Political Science (LSE), European Central Bank (ECB), Bank for International Settlements (BIS) - Financial Stability Board (FSB), Bank of England, Czech National Bank (CNB), University of Glasgow - Department of Economics, Bank of Finland, Charles University in Prague - CERGE-EI, Bank of Portugal, Oesterreichische Nationalbank (OeNB), European Central Bank (ECB), Czech National Bank (CNB), Banco de Portugal, European Central Bank (ECB), Oesterreichische Nationalbank (OeNB), WHU - Otto Beisheim School of Management, Czech National Bank (Deceased), De Nederlandsche Bank, Czech National Bank (CNB) and Czech National Bank (CNB)
Downloads 262 (114,230)

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Early warning systems, financial crisis, Bayesian model averaging

3.

Identifying Excessive Credit Growth and Leverage

ECB Working Paper No. 1723
Number of pages: 51 Posted: 22 Aug 2014
Lucia Alessi and Carsten Detken
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 180 (163,425)

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early warning systems, banking crises, macroprudential policy, decision trees, random forest

4.

A Review of Nonfundamentalness and Identification in Structural VAR Models

ECB Working Paper No. 922
Number of pages: 38 Posted: 12 Aug 2008
Lucia Alessi, Matteo Barigozzi and Marco Capasso
European Central Bank (ECB), London School of Economics and Political Science and Utrecht University
Downloads 131 (213,300)
Citation 3

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Nonfundamentalness, Structural VAR, Dynamic Stochastic General Equilibrium Models, Factor Models

5.

The Response of Asset Prices to Monetary Policy Shocks: Stronger than Thought

ECB Working Paper No. 1967
Number of pages: 49 Posted: 19 Oct 2016
Lucia Alessi and Mark Kerssenfischer
European Central Bank (ECB) and Deutsche Bundesbank
Downloads 117 (232,333)

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Asset Prices, Monetary Policy, Structural Factor Models, Nonfundamentalness

6.

A Robust Criterion for Determining the Number of Static Factors in Approximate Factor Models

ECB Working Paper No. 903
Number of pages: 27 Posted: 16 May 2008
Lucia Alessi, Matteo Barigozzi and Marco Capasso
European Central Bank (ECB), London School of Economics and Political Science and Utrecht University
Downloads 96 (266,518)
Citation 1

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Approximate factor models, Information criterion, Number of factors.

Central Bank Macroeconomic Forecasting During the Global Financial Crisis: The European Central Bank and Federal Reserve Bank of New York Experiences

ECB Working Paper No. 1688
Number of pages: 58 Posted: 11 Jul 2014
European Central Bank (ECB), University of North Carolina Kenan-Flagler Business School, European Central Bank (ECB), Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 55 (369,525)

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forecast evaluation, mixed frequency data sampling

Central Bank Macroeconomic Forecasting during the Global Financial Crisis: The European Central Bank and Federal Reserve Bank of New York Experiences

FRB of New York Staff Report No. 680
Number of pages: 41 Posted: 22 Jul 2014
European Central Bank (ECB), University of North Carolina Kenan-Flagler Business School, European Central Bank (ECB), Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 38 (432,122)

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macro forecasting, financial crisis

8.

The Distribution of Household Consumption-Expenditure Budget Shares

ECB Working Paper No. 1061
Number of pages: 54 Posted: 12 Jun 2009
European Central Bank (ECB), London School of Economics and Political Science, Utrecht University and Scuola Superiore Sant'Anna di Pisa - Laboratory of Economics and Management (LEM)
Downloads 90 (277,677)

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household consumption expenditure, budget shares, sum of log-normal distributions

9.

Estimation and Forecasting in Large Datasets with Conditionally Heteroskedastic Dynamic Common factors

ECB Working Paper No. 1115
Number of pages: 45 Posted: 16 Nov 2009
Lucia Alessi, Matteo Barigozzi and Marco Capasso
European Central Bank (ECB), London School of Economics and Political Science and Utrecht University
Downloads 66 (332,516)
Citation 2

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Dynamic Factor Models, Multivariate GARCH, Conditional Covariance, Inflation Forecasting, Volatility Forecasting.

10.

On Approximating the Distributions of Goodness-of-Fit Test Statistics Based on the Empirical Distribution Function: The Case of Unknown Parameters

Advances in Complex Systems, Vol. 12, No. 2, pp. 157-167, 2009
Posted: 11 Nov 2009
Utrecht University, European Central Bank (ECB), London School of Economics and Political Science and Scuola Superiore Sant'Anna di Pisa - Laboratory of Economics and Management (LEM)

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Goodness-of-fit tests, critical values, Anderson–Darling statistic, Kolmogorov–Smirnov statistic, Kuiper statistic, Cramér–Von Mises statistic, empirical distribution function, Monte-Carlo simulations