Laurent Ferrara

SKEMA Business School

Paris la Défense, 92916

France

Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)

ANU College of Business and Economics

Canberra, Australian Capital Territory 0200

Australia

Université Paris Ouest - Nanterre, La Défense - EconomiX

200 Avenue de la République

92000

  • SKEMA Business School

  • Australian National University (ANU) - Centre for Applied Macroeconomic Analysis (CAMA)

  • Université Paris Ouest - Nanterre, La Défense - EconomiX

SCHOLARLY PAPERS

25

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68

CROSSREF CITATIONS

144

Scholarly Papers (25)

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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 SKEMA Business School
Downloads 570 (59,088)
Citation 6

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

2.

Common Factors of Commodity Prices

Downloads 365 (100,928)
Citation 15

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, SKEMA Business School and Centre for Economic Policy Research (CEPR)
Downloads 228 (164,491)

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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, SKEMA Business School and Centre for Economic Policy Research (CEPR)
Downloads 136 (259,628)
Citation 21

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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, SKEMA Business School and Centre for Economic Policy Research (CEPR)
Downloads 1 (813,624)
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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, SKEMA Business School, 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, Banco de España, National Bank of Poland, National Bank of Poland - Department of Economics, European Union - European Commission, 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 153 (235,204)

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

4.

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

Downloads 129 (269,225)
Citation 25

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
SKEMA Business School and Banque de France
Downloads 127 (273,470)
Citation 25

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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
SKEMA Business School and Banque de France
Downloads 2 (800,319)
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factor‐augmented MIDAS, global growth, IMF, Nowcasting

5.

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
SKEMA Business School and National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)
Downloads 122 (280,732)
Citation 10

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Nowcasting, Big data, Sure Independence Screening, Ridge Regularization

6.

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 SKEMA Business School
Downloads 116 (290,985)

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

7.

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

Downloads 97 (328,475)
Citation 11

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
SKEMA Business School, Bocconi University - Department of Economics and Banque de France
Downloads 92 (342,376)

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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
SKEMA Business School, Bocconi University - Department of Economics and Banque de France
Downloads 5 (772,130)
Citation 4
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Great Recession, Macroeconomic forecasting, Non-linear models

8.

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
SKEMA Business School, Banque de France and Nanyang Technological University
Downloads 89 (346,810)
Citation 3

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

9.

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, SKEMA Business School and Université Paris X Nanterre
Downloads 77 (378,060)
Citation 3

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

10.

Questioning the Puzzle: Fiscal Policy, Exchange Rate and Inflation

Banque de France Working Paper, January 2020, WP #752
Number of pages: 31 Posted: 28 Jan 2020
Laurent Ferrara, Luca Metelli, Filippo Natoli and Daniele Siena
SKEMA Business School, Bank of Italy, Bank of Italy and Banque de France
Downloads 61 (427,979)

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Fiscal Shocks, Real Exchange Rate, Inflation, Proxy SVAR, Narrative Shocks

11.

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 SKEMA Business School
Downloads 51 (464,908)
Citation 1

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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

12.

Measuring Exchange Rate Risks During Periods of Uncertainty

CAMA Working Paper No. 60/2020
Number of pages: 25 Posted: 17 Jun 2020
Laurent Ferrara and Joseph Yapi
SKEMA Business School and EconomiX - University Paris Nanterre
Downloads 49 (472,893)

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Exchange rate, Risk measures, Fama regression, Uncertainty, Covid-19 crisis, Brexit

13.

High-Frequency Monitoring of Growth-at-Risk

CAMA Working Paper No. 97/2020
Number of pages: 24 Posted: 11 Nov 2020
Laurent Ferrara, Matteo Mogliani and Jean-Guillaume Sahuc
SKEMA Business School, Banque de France and Banque de France
Downloads 48 (476,907)
Citation 5

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Growth-at-Risk, mixed-data sampling, Bayesian quantile regressions, financial conditions, euro area.

14.

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 SKEMA Business School
Downloads 41 (507,573)
Citation 25

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

15.

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, SKEMA Business School, Banque de France and Banque de France
Downloads 41 (507,573)

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

16.

Questioning the Puzzle: Fiscal Policy, Real Exchange Rate and Inflation

CAMA Working Paper No. 38/2021
Number of pages: 40 Posted: 14 Apr 2021
Laurent Ferrara, Luca Metelli, Filippo Natoli and Daniele Siena
SKEMA Business School, Bank of Italy, Bank of Italy and Banque de France
Downloads 38 (521,758)

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Fiscal shocks, real exchange rate, inflation, proxy-SVAR, narrative shocks

17.

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, SKEMA Business School, Banque de France - Economic Study and Research Division and Banque de France
Downloads 32 (552,562)
Citation 3

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

18.

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 SKEMA Business School
Downloads 31 (558,017)
Citation 19

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Threshold autoregression, bounce-back effects, asymmetric business cycles

19.

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 SKEMA Business School
Downloads 25 (594,404)
Citation 26

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

20.

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
SKEMA Business School and Université Paris I Panthéon-Sorbonne
Downloads 24 (600,992)
Citation 6

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Euro area, business surveys, seasonal, long memory

21.

The New Fama Puzzle

NBER Working Paper No. w24342
Number of pages: 36 Posted: 21 Feb 2018 Last Revised: 04 Jan 2021
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, SKEMA Business School and Paris School of Economics (PSE)
Downloads 17 (649,335)

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22.

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, SKEMA Business School and EconomiX-CNRS, University of Paris Ouest
Downloads 12 (686,494)

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23.

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 SKEMA Business School
Downloads 3 (756,651)
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C22, C52, E32

24.

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 SKEMA Business School
Downloads 1 (777,662)
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25.

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 SKEMA Business School
Downloads 0 (794,698)
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