Andrea Carriero

Queen Mary, University of London

Mile End Road

London, London E1 4NS

United Kingdom

University of Bologna

Piazza Scaravilli 2

Bologna, 40100

Italy

SCHOLARLY PAPERS

12

DOWNLOADS

296

SSRN CITATIONS
Rank 15,837

SSRN RANKINGS

Top 15,837

in Total Papers Citations

47

CROSSREF CITATIONS

23

Scholarly Papers (12)

1.

Endogenous Uncertainty

FRB of Cleveland Working Paper No. 18-05
Number of pages: 57 Posted: 30 Mar 2018
Queen Mary, University of London, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
Downloads 164 (251,287)
Citation 2

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Uncertainty, Endogeneity, Identification, Stochastic Volatility, Bayesian Methods

2.
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Citation 22

The Global Component of Inflation Volatility

Bank of Italy Temi di Discussione (Working Paper) No. 1170
Number of pages: 72 Posted: 14 May 2018
Queen Mary, University of London, Bank of Italy and Bocconi University - Department of Economics
Downloads 63 (479,046)
Citation 23

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inflation, volatility, global factors, large datasets, multivariate autoregressive index models, reduced rank regressions, forecasting

The Global Component of Inflation Volatility

CEPR Discussion Paper No. DP13470
Number of pages: 71 Posted: 28 Jan 2019
Queen Mary, University of London, Bank of Italy and Bocconi University - Department of Economics
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Forecasting, Global factors, inflation, large datasets, Multivariate Autoregressive Index models, Reduced Rank Regressions, volatility

Have Standard VARs Remained Stable Since the Crisis?

CEPR Discussion Paper No. DP11558
Number of pages: 70 Posted: 10 Oct 2016
Norges Bank, Queen Mary, University of London, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
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Citation 7
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4.

Macroeconomic Forecasting in a Multi-country Context

FRB of Cleveland Working Paper No. 22-02
Number of pages: 60 Posted: 11 Feb 2022 Last Revised: 18 Mar 2022
Federal Reserve Banks - Federal Reserve Bank of Cleveland, Queen Mary, University of London, Bocconi University - Department of Economics and Bocconi University
Downloads 32 (618,090)

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Multi-country VARs; Macroeconomic forecasting; Hierarchical shrinkage; Scale mixtures of Normals priors

Addressing COVID-19 Outliers in BVARs with Stochastic Volatility

Deutsche Bundesbank Discussion Paper No. 13/2022
Number of pages: 39 Posted: 10 May 2022
Queen Mary, University of London, Federal Reserve Banks - Federal Reserve Bank of Cleveland, Bocconi University - Department of Economics and Deutsche Bundesbank
Downloads 20 (725,596)

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Bayesian VARs, stochastic volatility, outliers, pandemics, forecasts

Addressing COVID-19 Outliers in BVARs with Stochastic Volatility

CEPR Discussion Paper No. DP15964
Number of pages: 130 Posted: 31 Mar 2021
Queen Mary, University of London, Federal Reserve Bank of Cleveland, Bocconi University - Department of Economics and Deutsche Bundesbank
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6.

Expectations and term premia in EFSF bond yields

European Stability Mechanism Working Paper No. 54
Number of pages: 37 Posted: 11 Aug 2022
Andrea Carriero, Lorenzo Ricci and Elisabetta Vangelista
Queen Mary, University of London, European Stability Mechanism and Government of the United Kingdom - UK Debt Management Office (DMO)
Downloads 17 (727,383)

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Term structure, volatility, density forecasting, no arbitrage

7.

Macroeconomic Forecasting in a Multi-Country Context

CEPR Discussion Paper No. DP16994
Number of pages: 62 Posted: 04 Feb 2022
Bocconi University - Baffi Carefin Centre, Queen Mary, University of London, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
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Hierarchical shrinkage, Macroeconomic forecasting, Multi-country VARs, Scale mixtures of Normals priors

8.

Nowcasting Tail Risk to Economic Activity at a Weekly Frequency

CEPR Discussion Paper No. DP16496
Number of pages: 58 Posted: 22 Sep 2021
Queen Mary, University of London, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
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Big Data, Downside risk, Forecasting, Mixed frequency, Pandemics, Quantile regression

9.

Using Time-Varying Volatility for Identification in Vector Autoregressions: An Application to Endogenous Uncertainty

CEPR Discussion Paper No. DP16346
Number of pages: 76 Posted: 14 Jul 2021
Queen Mary, University of London, Federal Reserve Banks - Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
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10.

Measuring Uncertainty and its Effects in the COVID-19 Era

CEPR Discussion Paper No. DP15965
Number of pages: 40 Posted: 31 Mar 2021
Queen Mary, University of London, Federal Reserve Bank of Cleveland, Bocconi University - Department of Economics and Deutsche Bundesbank
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11.

Assessing International Commonality in Macroeconomic Uncertainty and its Effects

CEPR Discussion Paper No. DP13970
Number of pages: 67 Posted: 07 Oct 2019
Queen Mary, University of London, Federal Reserve Bank of Cleveland and Bocconi University - Department of Economics
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Citation 1
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Business cycle uncertainty, large datasets, stochastic volatility

12.

Structural Analysis with Multivariate Autoregressive Index Models

CEPR Discussion Paper No. DP10801
Number of pages: 53 Posted: 08 Sep 2015
Queen Mary, University of London, King's College, London and Bocconi University - Department of Economics
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Bayesian VARs, factor models, forecasting, large datasets, Multivariate Autoregressive Index models, Reduced Rank Regressions, structural analysis