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

SCHOLARLY PAPERS

26

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2,761

SSRN CITATIONS
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Top 6,151

in Total Papers Citations

68

CROSSREF CITATIONS

146

Scholarly Papers (26)

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 671 (55,659)
Citation 6

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

2.
Downloads 487 ( 82,881)
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 295 (144,588)

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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 191 (220,675)
Citation 32

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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 (933,540)
Citation 1
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3.

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, Anna Simoni and Anna Simoni
SKEMA Business School and National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)University of Angers - French National Center for Scientific Research (CNRS)
Downloads 202 (209,969)
Citation 15

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Nowcasting, Big data, Sure Independence Screening, Ridge Regularization

4.

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

ECB Occasional Paper No. 2016/178
Number of pages: 48 Posted: 26 Sep 2016
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 179 (233,432)
Citation 1

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

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 136 (293,264)
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 6 (865,026)

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factor‐augmented MIDAS, global growth, IMF, Nowcasting

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 124 (313,149)

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

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

Document de Travail No. 383
Number of pages: 36 Posted: 01 Jun 2012
SKEMA Business School, Bocconi University - Department of Economics and Banque de France
Downloads 94 (380,687)

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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
SKEMA Business School, Bocconi University - Department of Economics and Banque de France
Downloads 5 (876,474)
Citation 5
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Great Recession, Macroeconomic forecasting, Non-linear models

Commodity Price Uncertainty Comovement: Does It Matter for Global Economic Growth?

CAMA Working Paper 8/2022
Number of pages: 43 Posted: 16 Mar 2022
SKEMA Business School, University of Piraeus - Department of Economics and University of Essex - Essex Business School
Downloads 72 (446,465)

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Commodity uncertainty, dynamic factor model, investment, trade flows, comovement, uncertainty shocks.

Commodity Price Uncertainty Comovement: Does it Matter for Global Economic Growth?

Number of pages: 41 Posted: 10 Jan 2022
SKEMA Business School, University of Piraeus - Department of Economics and University of Essex - Essex Business School
Downloads 22 (709,008)

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Commodity uncertainty, dynamic factor model, investment, trade flows, comovement, Uncertainty shocks

9.

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
SKEMA Business School, Banque de France and Centre National de la Recherche Scientifique (CNRS)Nanyang Technological University
Downloads 91 (385,254)
Citation 3

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

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 80 (416,071)

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

11.

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 78 (422,170)
Citation 1

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

12.

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 78 (422,170)
Citation 3

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

13.

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 71 (444,483)

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

14.

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 58 (491,840)
Citation 5

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

15.

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 56 (499,752)
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

16.

The Possible Shapes of Recoveries in Markov-Switching Models

Banque de France Working Paper No. 321
Number of pages: 37 Posted: 14 Mar 2011
National Institute of Statistics and Economic Studies (INSEE)University of Cergy-Pontoise, Banque de France and SKEMA Business School
Downloads 44 (553,293)
Citation 26

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

17.

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
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 42 (563,299)

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

18.

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

Number of pages: 35 Posted: 19 Apr 2017
Banque de France, SKEMA Business School, Banque de France - Economic Study and Research Division and Banque de France
Downloads 36 (595,016)
Citation 3

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

19.

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 32 (618,371)
Citation 19

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Threshold autoregression, bounce-back effects, asymmetric business cycles

20.

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 28 (643,938)
Citation 26

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

21.

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 25 (664,977)
Citation 6

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Euro area, business surveys, seasonal, long memory

22.

The New Fama Puzzle

NBER Working Paper No. w24342
Number of pages: 49 Posted: 21 Feb 2018 Last Revised: 07 Jul 2022
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 22 (687,657)

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23.

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: 18 Jul 2022
University of Wisconsin, Madison - Robert M. La Follette School of Public Affairs and Department of Economics, SKEMA Business School and Centre d'Etudes Prospectives et d'Info. Internationales (CEPII)EconomiX-CNRS, University of Paris Ouest
Downloads 13 (762,989)

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24.

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 4 (853,945)

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C22, C52, E32

25.

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 3 (865,816)

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26.

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 2 (878,965)

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