Laurent Ferrara

Banque de France

Researcher-Economist

Paris

France

Université Paris Ouest - Nanterre, La Défense - EconomiX

200 Avenue de la République

92000

  • Banque de France

  • Université Paris Ouest - Nanterre, La Défense - EconomiX

SCHOLARLY PAPERS

21

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19

CROSSREF CITATIONS

135

Scholarly Papers (21)

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1.

Dynamic Factor Models: A Review of the Literature

Number of pages: 54 Posted: 11 Jul 2013
Karim Barhoumi, Olivier Darné and Laurent Ferrara
International Monetary Fund (IMF), University of Nantes - Faculty of Business and Economics and Banque de France
Downloads 502 (57,303)
Citation 4

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dynamic factor models, estimation, tests for the number of factors, macroeconomic applications

2.

Common Factors of Commodity Prices

Downloads 214 (146,828)
Citation 6

Common Factors of Commodity Prices

ECB Working Paper No. 2112
Number of pages: 43 Posted: 20 Nov 2017
Simona Delle Chiaie, Laurent Ferrara and Domenico Giannone
European Central Bank, Banque de France and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 118 (244,212)

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Commodity Prices, Dynamic Factor Models, Forecasting

Common Factors of Commodity Prices

Banque de France Working Paper No. 645
Number of pages: 37 Posted: 03 Oct 2017
Simona Delle Chiaie, Laurent Ferrara and Domenico Giannone
European Central Bank, Banque de France and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 95 (284,422)
Citation 7

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Commodity prices, Dynamic factor models, Forecasting

Common Factors of Commodity Prices

CEPR Discussion Paper No. DP12767
Number of pages: 43 Posted: 06 Mar 2018
Simona Delle Chiaie, Laurent Ferrara and Domenico Giannone
European Central Bank, Banque de France and Federal Reserve Banks - Federal Reserve Bank of New York
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3.

Understanding the Weakness in Global Trade - What is the New Normal?

ECB Occasional Paper No. 178
Number of pages: 48 Posted: 26 Sep 2016
Bruno Cabrillac, Alexander Al-Haschimi, Oxana Babecká Kucharčuková, Alessandro Borin, Matthieu Bussière, Rafael Cezar, Alexis Derviz, Dimitra Dimitropoulou, Laurent Ferrara, Martin Gächter, Guillaume Gaulier, Juhana Hukkinen, Mary Keeney, David Lodge, Michele Mancini, Clément Marsilli, Jaime Martinez-Martin, Wojciech Mroczek, Jakub Muck, Elena Pavlova, Judit Rariga, Juozas Šalaševičius, Daniel Santabárbara, Frauke Skudelny, Ulf D. Slopek, Walter Steingress, Alex Tuckett, Neeltje van Horen, Duncan Van Limbergen, Laurent Walravens and Julia Wörz
Banque de France, European Central Bank (ECB), Czech National Bank (CNB), Bank of Italy, Banque de France, Banque de France, Czech National Bank (CNB) - Monetary Department, Bank of Greece, Banque de France, European Central Bank (ECB), Banque de France, Bank of Finland - Financial Markets, Central Bank and Financial Services Authority of Ireland, European Central Bank (ECB), Bank of Italy, Banque de France, European Central Bank (ECB), National Bank of Poland, National Bank of Poland - Department of Economics, European Central Bank (ECB), Magyar Nemzeti Bank, Bank of Lithuania, Banco de España, European Central Bank (ECB), Deutsche Bundesbank, Banque de France, Bank of England, Bank of England, De Nederlandsche Bank, National Bank of Belgium and Oesterreichische Nationalbank (OeNB)
Downloads 108 (258,915)

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global trade slowdown, trade elasticity, global value chains, frictions in global trade, protectionism

4.

UNE REVUE DE LA LITTÉRATURE DES MODÈLES À FACTEURS DYNAMIQUES (Dynamic Factor Models: A Review of the Literature)

Banque de France Working Paper No. 430
Number of pages: 61 Posted: 04 Apr 2013
Karim Barhoumi, Olivier Darné and Laurent Ferrara
International Monetary Fund (IMF), University of Nantes - Faculty of Business and Economics and Banque de France
Downloads 105 (264,043)

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Dynamic factor models, estimation, tests for the number of factors, macroeconomic applications

5.

Nowcasting Global Economic Growth: A Factor-Augmented Mixed-Frequency Approach

Downloads 102 (269,394)
Citation 18

Nowcasting Global Economic Growth: A Factor-Augmented Mixed-Frequency Approach

Banque de France Working Paper No. 515
Number of pages: 18 Posted: 25 Oct 2014
Laurent Ferrara and Clément Marsilli
Banque de France and Banque de France
Downloads 101 (272,950)
Citation 18

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Global growth, Nowcasting, Factor-Augmented MIDAS

Nowcasting Global Economic Growth: A Factor‐Augmented Mixed‐Frequency Approach

The World Economy, Vol. 42, Issue 3, pp. 846-875, 2019
Number of pages: 30 Posted: 07 Mar 2019
Laurent Ferrara and Clément Marsilli
Banque de France and Banque de France
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factor‐augmented MIDAS, global growth, IMF, Nowcasting

6.

Macroeconomic Forecasting During the Great Recession: The Return of Non-Linearity?

Downloads 91 (290,227)
Citation 6

Macroeconomic Forecasting During the Great Recession: The Return of Non-Linearity?

Document de Travail No. 383
Number of pages: 36 Posted: 01 Jun 2012
Laurent Ferrara, Massimiliano Giuseppe Marcellino and Matteo Mogliani
Banque de France, European University Institute and Banque de France
Downloads 86 (303,258)

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Forecasting, Non-linear models, Great Recession

Macroeconomic Forecasting During the Great Recession: The Return of Non-Linearity?

CEPR Discussion Paper No. DP9313
Number of pages: 45 Posted: 01 Feb 2013
Laurent Ferrara, Massimiliano Giuseppe Marcellino and Matteo Mogliani
Banque de France, European University Institute and Banque de France
Downloads 5 (661,751)
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Great Recession, Macroeconomic forecasting, Non-linear models

7.

Forecasting Growth During the Great Recession: Is Financial Volatility the Missing Ingredient?

Economic Modelling, Vol. 36, 44-50, 2014, Banque de France Working Paper No. 454
Number of pages: 11 Posted: 10 Nov 2012 Last Revised: 13 May 2014
Laurent Ferrara, Clément Marsilli and Juan-Pablo Ortega
Banque de France, Banque de France and Universität Sankt Gallen
Downloads 85 (302,899)
Citation 3

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Great Recession, Forecasting, Financial variables, MIDAS approach, Volatility

8.

Global Financial Interconnectedness: A Non-Linear Assessment of the Uncertainty Channel

Banque de France Working Paper No. 661
Number of pages: 47 Posted: 14 Feb 2018
Bertrand Candelon, Laurent Ferrara and Marc Joets
University of Maastricht - Department of Economics, Banque de France and Université Paris X Nanterre
Downloads 54 (386,378)
Citation 3

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financial markets, network interconnectedness, uncertainty, non-linear model

9.

A World Trade Leading Index (WTLI)

IMF Working Paper No. 15/20
Number of pages: 15 Posted: 23 Feb 2015
Karim Barhoumi and Laurent Ferrara
International Monetary Fund (IMF) and Banque de France
Downloads 49 (403,145)

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International trade, Cyclical indicators, Indicators of economic activity, Data analysis, World trade, leading indicators, factor models., growth rate, variables, trough, business climate, price, gdp, commodities, volatility, future, value, benchmark, exchange, economic statistics, data availability, protectionism, commodity, exchange rate, macroeconomic forecasting, static analysis, goods, expectations, theory, macroeconomics, diffusion indexes, measurement, output, prices

10.

Monthly Forecasting of French GDP: A Revised Version of the Optim Model

Banque de France Working Paper No. 222
Number of pages: 49 Posted: 17 Sep 2010
Barhoumi Karim, Véronique Brunhes-Lesage, Olivier Darné, Laurent Ferrara, Bertrand Pluyaud and Béatrice Rouvreau
Banque de France - Economic Study and Research Division, Banque de France, University of Nantes - Faculty of Business and Economics, Banque de France, Banque de France and Banque de France
Downloads 41 (432,851)

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GDP forecasting, Bridge models, General-to-specific approach

11.

The Possible Shapes of Recoveries in Markov-Switching Models

Banque de France Working Paper No. 321
Number of pages: 37 Posted: 14 Mar 2011
Frédérique Bec, Othman Bouabdallah and Laurent Ferrara
University of Cergy-Pontoise, Banque de France and Banque de France
Downloads 31 (476,424)
Citation 25

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Markov-Switching models, bounce-back effects, asymmetric business cycles

12.

The European Way Out of Recession

Banque de France Working Paper No. 360
Number of pages: 27 Posted: 27 Jan 2012
Frederique Bec, Othman Bouabdallah and Laurent Ferrara
Banque de France, Banque de France and Banque de France
Downloads 29 (486,343)
Citation 19

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Threshold autoregression, bounce-back effects, asymmetric business cycles

13.

Can Fiscal Budget-Neutral Reforms Stimulate Growth? Model-Based Results

Number of pages: 35 Posted: 19 Apr 2017
Matthieu Bussière, Laurent Ferrara, Michel Juillard and Daniele Siena
Banque de France, Banque de France, Banque de France - Economic Study and Research Division and Banque de France
Downloads 24 (513,685)
Citation 2

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Fiscal composition, budget-neutral reforms, taxes, government spending, multi-country DSGE model, international spillovers

14.

Two Probabilistic Cyclical Turning Point Indicators for the French Economy (Deux Indicateurs Probabilistes de Retournement Cyclique Pour L’Économie Française) (French)

Banque de France Working Paper No. NER - E 187
Number of pages: 36 Posted: 08 Oct 2010
Marie Adanero-Donderis, Olivier Darné and Laurent Ferrara
Banque de France, University of Nantes - Faculty of Business and Economics and Banque de France
Downloads 24 (513,685)
Citation 26

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Business Cycle, Acceleration Cycle, Probabilistic Indicator, Markov-Switching Models, Surveys

15.

When Are Google Data Useful to Nowcast GDP? An Approach via Pre-Selection and Shrinkage

Banque de France Working Paper April 2019, WP #717
Number of pages: 30 Posted: 12 Apr 2019
Laurent Ferrara and Anna Simoni
Banque de France and National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)
Downloads 23 (519,422)
Citation 1

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Nowcasting, Big data, Sure Independence Screening, Ridge Regularization

16.

Business Surveys Modelling with Seasonal-Cyclical Long Memory Models

Banque de France Working Paper No. 224
Number of pages: 19 Posted: 17 Sep 2010
Laurent Ferrara and Dominique Guegan
Banque de France and Université Paris I Panthéon-Sorbonne
Downloads 23 (519,422)
Citation 6

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Euro area, business surveys, seasonal, long memory

17.

The New Fama Puzzle

NBER Working Paper No. w24342
Number of pages: 36 Posted: 21 Feb 2018
Matthieu Bussière, Menzie David Chinn, Laurent Ferrara and Jonas Heipertz
Banque de France, University of Wisconsin, Madison - Robert M. La Follette School of Public Affairs and Department of Economics, Banque de France and Paris School of Economics (PSE)
Downloads 9 (606,523)

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18.

Post-Recession Us Employment Through the Lens of a Non-Linear Okun's Law

NBER Working Paper No. w19047
Number of pages: 20 Posted: 18 May 2013 Last Revised: 22 May 2013
Menzie David Chinn, Laurent Ferrara and Valérie Mignon
University of Wisconsin, Madison - Robert M. La Follette School of Public Affairs and Department of Economics, Banque de France and EconomiX-CNRS, University of Paris Ouest
Downloads 9 (606,523)

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19.

Identification of Slowdowns and Accelerations for the Euro Area Economy

Oxford Bulletin of Economics and Statistics, Vol. 73, Issue 3, pp. 335-364, 2011
Number of pages: 30 Posted: 05 Apr 2011
Olivier Darn and Laurent Ferrara
affiliation not provided to SSRN and Banque de France
Downloads 3 (648,319)
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C22, C52, E32

20.

Testing the Number of Factors: An Empirical Assessment for a Forecasting Purpose

Oxford Bulletin of Economics and Statistics, Vol. 75, Issue 1, pp. 64-79, 2013
Number of pages: 16 Posted: 23 Dec 2012
Karim Barhoumi, Olivier Darné and Laurent Ferrara
International Monetary Fund (IMF), University of Nantes - Faculty of Business and Economics and Banque de France
Downloads 1 (669,877)
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21.

Does the Great Recession Imply the End of the Great Moderation? International Evidence

Economic Inquiry, Vol. 56, Issue 2, pp. 745-760, 2018
Number of pages: 16 Posted: 22 Feb 2018
Amélie Charles, Olivier Darné and Laurent Ferrara
Audencia Nantes School of Management, University of Nantes - Faculty of Business and Economics and Banque de France
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