Anindya Banerjee

European University Institute - Department of Economics

Villa San Paolo

Via della Piazzuola 43

50133 Florence

Italy

University of Oxford - Department of Economics

Manor Road Building

Manor Road

Oxford, OX1 3BJ

United Kingdom

  • European University Institute - Department of Economics

    • Email
    • Tel: +39 055 4685 356
    • Fax: +39 055 4685 202

  • University of Oxford - Department of Economics

    • Email
    • Tel: +44 1865 279 700
    • Fax: +44 1865 279 687
SCHOLARLY PAPERS

16

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3,115

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Top 5,457

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172

Scholarly Papers (16)

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1.

Are There Any Reliable Leading Indicators for U.S. Inflation and GDP Growth?

IGIER Working Paper No. 236
Number of pages: 46 Posted: 13 Jun 2003
Massimiliano Giuseppe Marcellino, Anindya Banerjee and Igor Masten
Bocconi University - Department of Economics, European University Institute - Department of Economics and University of Ljubljana - Faculty of Economics
Downloads 782 (69,406)
Citation 19

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Leading indicator, factor model, model selection, GDP growth, inflation

2.

Cointegration in Panel Data with Breaks and Cross-Section Dependence

ECB Working Paper No. 591
Number of pages: 56 Posted: 23 Mar 2006
Anindya Banerjee and Josep Lluís Carrion-i-Silvestre
European University Institute - Department of Economics and University of Barcelona - Department of Econometrics
Downloads 456 (137,013)
Citation 46

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Panel cointegration, structural break, common factors, cross-section dependence

3.

Testing for PPP: Should We Use Panel Methods?

IGIER Working Paper No. 186
Number of pages: 33 Posted: 06 Apr 2001
Anindya Banerjee, Massimiliano Giuseppe Marcellino and Chiara Osbat
European University Institute - Department of Economics, Bocconi University - Department of Economics and European Central Bank (ECB)
Downloads 347 (187,885)
Citation 16

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PPP, unit root, panel, cointegration, cross-unit dependence

4.

Leading Indicators for Euro-Area Inflation and GDP Growth

Downloads 312 (209,375)
Citation 6

Leading Indicators for Euro-Area Inflation and GDP Growth

IGIER Working Paper No. 235
Number of pages: 42 Posted: 26 May 2003
Massimiliano Giuseppe Marcellino, Anindya Banerjee and Igor Masten
Bocconi University - Department of Economics, European University Institute - Department of Economics and University of Ljubljana - Faculty of Economics
Downloads 272 (240,273)
Citation 5

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Leading indicator, factor model, model selection, GDP growth, inflation

Leading Indicators for Euro Area Inflation and GDP Growth

Number of pages: 44 Posted: 24 Jun 2003
Massimiliano Giuseppe Marcellino, Anindya Banerjee and Igor Masten
Bocconi University - Department of Economics, European University Institute - Department of Economics and University of Ljubljana - Faculty of Economics
Downloads 40 (953,761)
Citation 1
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Leading indicator, factor model, model selection, GDP growth, inflation

5.

Forecasting Macroeconomic Variables for the New Member States of the European Union

Number of pages: 48 Posted: 01 Jun 2005
Anindya Banerjee, Massimiliano Giuseppe Marcellino and Igor Masten
European University Institute - Department of Economics, Bocconi University - Department of Economics and University of Ljubljana - Faculty of Economics
Downloads 238 (276,457)
Citation 1

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Factor models, forecasts, time series models, new Member States

6.

Measuring Long-Run Exchange Rate Pass-Through

Downloads 235 (279,951)
Citation 10

Measuring Long-Run Exchange Rate Pass-Through

Banque de France Working Paper No. 173
Number of pages: 52 Posted: 20 Oct 2010
Olivier de Bandt, Anindya Banerjee and Tomasz Kozluk
Banque de France - Economic Study and Research Division, European University Institute - Department of Economics and European University Institute
Downloads 107 (552,271)
Citation 5

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exchange rates, pass-through, import prices, panel cointegration, structural breaks

Measuring Long-Run Exchange Rate Pass-Through

Economics: The Open-Access, Open-Assessment E-Journal, Vol. 2, 2008-6
Number of pages: 37 Posted: 18 Dec 2010
Olivier de Bandt, Anindya Banerjee and Tomasz J. Kozluk
Banque de France - Economic Study and Research Division, European University Institute - Department of Economics and Organization for Economic Co-Operation and Development (OECD)
Downloads 83 (655,305)

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Exchange rates, pass-through, import prices, panel cointegration, structural breaks

Measuring Long-Run Exchange Rate Pass-Through

Economics Discussion Paper No. 2007-32
Number of pages: 40 Posted: 29 Nov 2010
Olivier de Bandt, Anindya Banerjee and Tomasz J. Kozluk
Banque de France - Economic Study and Research Division, European University Institute - Department of Economics and Organization for Economic Co-Operation and Development (OECD)
Downloads 45 (906,130)
Citation 5

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exchange rates, pass-through, import prices, panel cointegration, structural break

7.

Forecasting Macroeconomic Variables for the Acceding Countries

IGIER Working Paper No. 260
Number of pages: 46 Posted: 15 May 2004
Anindya Banerjee, Massimiliano Giuseppe Marcellino and Igor Masten
European University Institute - Department of Economics, Bocconi University - Department of Economics and University of Ljubljana - Faculty of Economics
Downloads 221 (298,383)
Citation 8

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Factor models, Forecasts, Time Series Models, Acceding Countries

8.

Some Cautions on the Use of Panel Methods for Integrated Series of Macro-Economic Data

IGIER Working Paper No. 170
Number of pages: 43 Posted: 01 Mar 2001
Anindya Banerjee, Massimiliano Giuseppe Marcellino and Chiara Osbat
European University Institute - Department of Economics, Bocconi University - Department of Economics and European Central Bank (ECB)
Downloads 200 (326,525)
Citation 24

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9.

The Changing Role of Expectations in US Monetary Policy: A New Look Using the Livingston Survey

Banque de France Working Paper No. 376
Number of pages: 35 Posted: 12 Apr 2012
Sheheryar Malik and Anindya Banerjee
Banque de France and European University Institute - Department of Economics
Downloads 99 (579,601)

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monetary policy, expectations, inflation, time variation, VARs, impulse responses

10.

How Do Anticipated Changes to Short-Term Market Rates Influence Banks' Retail Interest Rates? Evidence from the Four Major Euro Area Economies

Banque de France Working Paper No. 361
Number of pages: 44 Posted: 21 Feb 2012
Anindya Banerjee, Victor Bystrov and Paul Mizen
European University Institute - Department of Economics, University of Lodz - Institute of Economics and University of Nottingham
Downloads 97 (587,311)
Citation 19

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forecasting, factor models, interest rates, pass-through

11.

Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis: Theory and International Evidence

NBER Working Paper No. w3510
Number of pages: 53 Posted: 13 Nov 2007 Last Revised: 06 Aug 2022
Anindya Banerjee, Robin L. Lumsdaine and James H. Stock
European University Institute - Department of Economics, American University - Department of Finance and Real Estate and Harvard University - Department of Economics
Downloads 88 (624,390)
Citation 8

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12.

Factor Forecasts for the Us

Number of pages: 42 Posted: 22 Jan 2002
Michael J. Artis, Anindya Banerjee and Massimiliano Giuseppe Marcellino
The University of Manchester - Institute for Political & Economic Governance (IPEG), European University Institute - Department of Economics and Bocconi University - Department of Economics
Downloads 13 (1,238,335)
Citation 6
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Factor models, forecasts, time series models

13.

Forecasting with Factor-Augmented Error Correction Models

CEPR Discussion Paper No. DP7677
Number of pages: 46 Posted: 10 Feb 2010
Anindya Banerjee, Massimiliano Giuseppe Marcellino and Igor Masten
European University Institute - Department of Economics, Bocconi University - Department of Economics and University of Ljubljana - Faculty of Economics
Downloads 11 (1,259,813)
Citation 4
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Cointegration, Dynamic Factor Models, Error Correction Models, Factor-augmented Error Correction Models, FAVAR, Forecasting

14.

Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change

CEPR Discussion Paper No. DP6706
Number of pages: 60 Posted: 10 Jun 2008
Anindya Banerjee, Massimiliano Giuseppe Marcellino and Igor Masten
European University Institute - Department of Economics, Bocconi University - Department of Economics and University of Ljubljana - Faculty of Economics
Downloads 11 (1,259,813)
Citation 5
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Factor models, forecasts, parameter uncertainty, short samples, structural change, time series models

15.

Factor-Augmented Error Correction Models

CEPR Discussion Paper No. DP6707
Number of pages: 28 Posted: 10 Jun 2008
Anindya Banerjee and Massimiliano Giuseppe Marcellino
European University Institute - Department of Economics and Bocconi University - Department of Economics
Downloads 5 (1,307,488)
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Cointegration, Dynamic Factor Models, Error Correction Models, Factor-augmented Error Correction Models, FAVAR, VAR

16.

A New Look at the Feldstein-Horioka Puzzle Using an Integrated Panel

Posted: 29 Aug 2005
Paolo Zanghieri and Anindya Banerjee
Generali Investments Europe and European University Institute - Department of Economics

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Saving; investment; capital mobility; panel cointegration