Marco Del Negro

Federal Reserve Bank of New York

33 Liberty Street

New York, NY 10045

United States

SCHOLARLY PAPERS

38

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CITATIONS
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851

Scholarly Papers (38)

1.

The Forward Guidance Puzzle

FRB of New York Staff Report No. 574
Number of pages: 32 Posted: 19 Oct 2012
Marco Del Negro, Marc P. Giannoni and Christina Patterson
Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 638 (40,146)
Citation 34

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forward guidance, DSGE models

2.

International Diversification Strategies

EFA 2003 Annual Conference Paper No. 496; Federal Reserve Bank of Atlanta Working Paper No. 2002-23
Number of pages: 36 Posted: 03 Mar 2003
Robin Brooks and Marco Del Negro
International Monetary Fund (IMF) - Financial Studies Division and Federal Reserve Bank of New York
Downloads 614 (42,251)
Citation 4

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diversification, risk, international financial markets, industrial structure

3.

Dynamic Factor Models with Time-Varying Parameters: Measuring Changes in International Business Cycles

FRB of New York Staff Report No. 326
Number of pages: 46 Posted: 22 May 2008
Marco Del Negro and Chris Otrok
Federal Reserve Bank of New York and University of Missouri
Downloads 581 (45,561)
Citation 44

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Bayesian factor models, time-varying parameters, Great Moderation, international business cycles

4.

DSGE Model-Based Forecasting

FRB of New York Staff Report No. 554
Number of pages: 95 Posted: 09 Mar 2012
Marco Del Negro and Frank Schorfheide
Federal Reserve Bank of New York and University of Pennsylvania - Department of Economics
Downloads 407 (71,083)
Citation 11

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DSGE models, forecasting

5.

Monetary Policy and the House Price Boom Across U.S. States

FRB of Atlanta Working Paper No. 2005-24
Number of pages: 31 Posted: 03 Nov 2005
Marco Del Negro and Chris Otrok
Federal Reserve Bank of New York and University of Missouri
Downloads 401 (72,275)
Citation 6

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housing, monetary policy, Bayesian analysis

6.

The Rise in Comovement Across National Stock Markets: Market Integration or it Bubble?

FRB of Atlanta Working Paper No. 2002-17
Number of pages: 36 Posted: 14 Sep 2002
Robin Brooks and Marco Del Negro
International Monetary Fund (IMF) - Financial Studies Division and Federal Reserve Bank of New York
Downloads 330 (90,254)
Citation 14

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diversification, risk, international financial markets, industrial structure

On the Fit and Forecasting Performance of New Keynesian Models

ECB Working Paper No. 491, FRB of Atlanta Working Paper No. 2004-37
Number of pages: 58 Posted: 11 Feb 2005
Federal Reserve Bank of New York, University of Pennsylvania - Department of Economics, European Central Bank (ECB) and National Bank of Belgium
Downloads 290 (103,379)
Citation 4

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Bayesian analysis, DSGE models, model evaluation, vector autoregressions

On the Fit and Forecasting Performance of New Keynesian Models

CEPR Discussion Paper No. 4848
Number of pages: 51 Posted: 05 May 2005
Federal Reserve Bank of New York, University of Pennsylvania - Department of Economics, European Central Bank (ECB) and National Bank of Belgium
Downloads 26 (499,197)
Citation 8
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Bayesian analysis, DSGE models, model evaluation, vector autoregression

8.
Downloads 293 (102,755)
Citation 117

Priors from General Equilibrium Models for Vars

PIER Working Paper No. 02-024
Number of pages: 45 Posted: 12 Aug 2002
Marco Del Negro and Frank Schorfheide
Federal Reserve Bank of New York and University of Pennsylvania - Department of Economics
Downloads 187 (160,452)
Citation 1

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Bayesian Analysis, DSGE Models,Forecasting, Vector Autoregressions

Priors from General Equilibrium Models for Vars

FRB of Atlanta Working Paper No. 2002-14
Number of pages: 44 Posted: 31 Aug 2002
Marco Del Negro and Frank Schorfheide
Federal Reserve Bank of New York and University of Pennsylvania - Department of Economics
Downloads 94 (276,428)
Citation 10

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Bayesian analysis, DSGE models, forecasting, vector autoregressions

Priors from General Equilibrium Models for Vars

International Economic Review, Vol. 45, No. 2, pp. 643-673, May 2004
Number of pages: 31 Posted: 26 May 2004
Marco Del Negro and Frank Schorfheide
Federal Reserve Bank of New York and University of Pennsylvania - Department of Economics
Downloads 12 (589,420)
Citation 5
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Firm-Level Evidence on International Stock Market Comovement

FRB of Atlanta Working Paper No. 2003-8
Number of pages: 40 Posted: 30 May 2003
Robin Brooks and Marco Del Negro
International Monetary Fund (IMF) - Financial Studies Division and Federal Reserve Bank of New York
Downloads 164 (180,399)
Citation 4

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diversification, risk, international financial markets, industrial structure

Firm-Level Evidence on International Stock Market Comovement

IMF Working Paper No. 03/55
Number of pages: 31 Posted: 28 Jan 2006
Robin Brooks and Marco Del Negro
International Monetary Fund (IMF) - Financial Studies Division and Federal Reserve Bank of New York
Downloads 102 (261,686)
Citation 1

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Diversification, risk, international financial markets, industrial structure

Firm-Level Evidence on International Stock Market Comovement

Bundesbank Series 1 Discussion Paper No. 2005,11
Number of pages: 48 Posted: 08 Jun 2016
Robin Brooks and Marco Del Negro
International Monetary Fund (IMF) - Financial Studies Division and Federal Reserve Bank of New York
Downloads 12 (589,420)

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Diversification, risk, international financial markets, industrial structure

10.

International Stock Returns and Market Integration: A Regional Perspective

FRB of Atlanta Working Paper No. 2002-20
Number of pages: 39 Posted: 02 Mar 2003
Robin Brooks and Marco Del Negro
International Monetary Fund (IMF) - Financial Studies Division and Federal Reserve Bank of New York
Downloads 234 (129,818)

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diversification, risk, international financial markets, industrial structure

11.

A Latent Factor Model with Global, Country, and Industry Shocks for International Stock Returns

IMF Working Paper No. 05/52
Number of pages: 35 Posted: 12 Jan 2006
Robin Brooks and Marco Del Negro
International Monetary Fund (IMF) - Financial Studies Division and Federal Reserve Bank of New York
Downloads 218 (139,085)

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Diversification, risk, international financial markets, industrial structure

12.

The Rise in Comovement Across National Stock Markets Market Integration or Global Bubble?

IMF Working Paper No. 02/147
Number of pages: 24 Posted: 31 Jan 2006
Robin Brooks and Marco Del Negro
International Monetary Fund (IMF) - Financial Studies Division and Federal Reserve Bank of New York
Downloads 194 (155,244)
Citation 2

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Diversification, risk, international financial markets, industrial structure

Has Monetary Policy Been so Bad that it is Better to Get Rid of it? The Case of Mexico

FRB of Atlanta Working Paper No. 2000-26
Number of pages: 40 Posted: 31 Jan 2001
Marco Del Negro and Francesc Obiols-Homs
Federal Reserve Bank of New York and Instituto Tecnológico Autónomo de México (ITAM) - Centro de Investigacion Economica
Downloads 182 (164,504)
Citation 1

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monetary policy, VAR, Mexico, financial crisis

Has Monetary Policy Been so Bad that it is Better to Get Rid of it? The Case of Mexico

Journal of Money, Credit, and Banking
Posted: 01 Feb 2001
Marco Del Negro and Francesc Obiols-Homs
Federal Reserve Bank of New York and Instituto Tecnológico Autónomo de México (ITAM) - Centro de Investigacion Economica

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monetary policy, VAR, Mexico, financial crisis

Monetary Policy Analysis with Potentially Misspecified Models

ECB Working Paper No. 475, FRB of Atlanta Working Paper No. 2005-26
Number of pages: 50 Posted: 01 Jun 2005
Marco Del Negro and Frank Schorfheide
Federal Reserve Bank of New York and University of Pennsylvania - Department of Economics
Downloads 68 (336,541)

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Bayesian Analysis, DSGE Models, Model Misspecification

Monetary Policy Analysis with Potentially Misspecified Models

FRB Philadelphia Working Paper No. 06-4, FRB of New York Staff Report, No. 321
Number of pages: 56 Posted: 07 Feb 2006
Marco Del Negro and Frank Schorfheide
Federal Reserve Bank of New York and University of Pennsylvania - Department of Economics
Downloads 49 (396,143)

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Bayesian Analysis, DSGE Models, Model Misspecification

Monetary Policy Analysis with Potentially Misspecified Models

NBER Working Paper No. w13099
Number of pages: 56 Posted: 27 Jun 2007 Last Revised: 16 Jul 2007
Marco Del Negro and Frank Schorfheide
Federal Reserve Bank of New York and University of Pennsylvania - Department of Economics
Downloads 29 (482,197)
Citation 1

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15.

Inflation Dynamics in a Small Open-Economy Model under Inflation Targeting: Some Evidence from Chile

FRB of New York Staff Report No. 329
Number of pages: 49 Posted: 03 Jun 2008
Marco Del Negro and Frank Schorfheide
Federal Reserve Bank of New York and University of Pennsylvania - Department of Economics
Downloads 143 (201,982)
Citation 4

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Bayesian analysis, small open-economy DSGE models, model misspecification

16.

The Great Escape? A Quantitative Evaluation of the Fed’s Liquidity Facilities

FRB of New York Staff Report No. 520
Number of pages: 64 Posted: 07 Oct 2011
Federal Reserve Bank of New York, Federal Reserve Bank of New York, University of Oxford - Department of Economics and Princeton University - Department of Economics
Downloads 142 (203,144)
Citation 7

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financial crisis, liquidity shocks, financing constraints, liquidity facilities, zero lower bound

17.

Time-Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum

FRB of New York Staff Report No. 619
Number of pages: 6 Posted: 18 May 2013
Marco Del Negro and Giorgio E. Primiceri
Federal Reserve Bank of New York and Northwestern University - Department of Economics
Downloads 137 (210,379)
Citation 28

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Bayesian methods, time varying volatility

18.

The FRBNY DSGE Model

FRB of New York Staff Report No. 647
Number of pages: 56 Posted: 24 Oct 2013
Federal Reserve Bank of New York, University of Texas at Austin, Federal Reserve Banks - Federal Reserve Bank of Dallas, Federal Reserve Bank of New York, Federal Reserve Bank of New York, Federal Reserve Bank of New York, Federal Reserve Bank of New York and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 129 (219,356)
Citation 5

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DSGE models, Bayesian estimation

19.
Downloads 128 (220,680)
Citation 4

Global Trends in Interest Rates

FRB of New York Staff Report No. 866
Number of pages: 67 Posted: 21 Sep 2018
Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Bank of New York
Downloads 95 (274,507)

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world interest rate, convenience yield, interest rate parity, VAR with common trends

Global Trends in Interest Rates

FRB of Dallas Working Paper No. 1812
Number of pages: 68 Posted: 25 Oct 2018 Last Revised: 21 Feb 2019
Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Bank of New York
Downloads 25 (505,211)
Citation 2

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World Interest Rate, Convenience Yield, Interest Rate Parity, VAR with Common Trends

Global Trends in Interest Rates

NBER Working Paper No. w25039
Number of pages: 42 Posted: 17 Sep 2018
Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Bank of New York
Downloads 8 (616,939)
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Forming Priors for DSGE Models (and How it Affects the Assessment of Nominal Rigidities)

FRB of Atlanta Working Paper No. 2006-16, FRB of New York Staff Report, No. 320
Number of pages: 39 Posted: 06 Dec 2006
Marco Del Negro and Frank Schorfheide
Federal Reserve Bank of New York and University of Pennsylvania - Department of Economics
Downloads 62 (353,542)
Citation 1

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Bayesian analysis, DSGE models, model comparisons, prior elicitation, nominal rigidities

Forming Priors for DSGE Models (and How it Affects the Assessment of Nominal Rigidities)

NBER Working Paper No. w13741
Number of pages: 39 Posted: 24 Jan 2008 Last Revised: 20 Jul 2010
Marco Del Negro and Frank Schorfheide
Federal Reserve Bank of New York and University of Pennsylvania - Department of Economics
Downloads 21 (530,394)

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Forming Priors for DSGE Models (and How it Affects the Assessment of Nominal Rigidities)

CEPR Discussion Paper No. DP6119
Number of pages: 49 Posted: 16 May 2008
Marco Del Negro and Frank Schorfheide
Federal Reserve Bank of New York and University of Pennsylvania - Department of Economics
Downloads 6 (631,129)
Citation 4
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Bayesian analysis, DSGE models, model comparisons, nominal rigidities, prior elicitation

21.

Asymmetric Shocks Among U.S. States

FRB of Atlanta Working Paper No. 2000-27
Number of pages: 46 Posted: 15 Jan 2001
Marco Del Negro
Federal Reserve Bank of New York
Downloads 88 (286,096)
Citation 1

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Intranational Business Cycles, Risk Sharing, Factor Models

22.

Country versus Region Effects in International Stock Returns

FRB Atlanta Working Paper No. 2002-20b
Number of pages: 12 Posted: 18 Feb 2015
Robin Brooks and Marco Del Negro
International Monetary Fund (IMF) - Financial Studies Division and Federal Reserve Bank of New York
Downloads 83 (296,680)
Citation 1

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diversification, risk, international financial markets, industrial structure

Inflation in the Great Recession and New Keynesian Models

FRB of New York Staff Report No. 618, Columbia Business School Research Paper No. 13-37
Number of pages: 32 Posted: 18 May 2013
Marco Del Negro, Marc P. Giannoni and Frank Schorfheide
Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Pennsylvania - Department of Economics
Downloads 67 (339,301)
Citation 2

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Great recession, fundamental inflation

Inflation in the Great Recession and New Keynesian Models

NBER Working Paper No. w20055
Number of pages: 52 Posted: 21 Apr 2014
Marco Del Negro, Marc P. Giannoni and Frank Schorfheide
Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of Dallas and University of Pennsylvania - Department of Economics
Downloads 16 (562,599)
Citation 10

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Fiscal Implications of the Federal Reserve's Balance Sheet Normalization

FEDS Working Paper No. 2018-002
Number of pages: 47 Posted: 11 Jan 2018
Board of Governors of the Federal Reserve System - Division of Monetary Affairs, Federal Reserve Bank of New York, Federal Reserve Bank of Dallas, University of Maryland, Federal Reserve Bank of Minneapolis and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 54 (378,977)

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Central bank balance sheets, Monetary policy, Remittances

Fiscal Implications of the Federal Reserve's Balance Sheet Normalization

FRB Atlanta Working Paper No. 2018-7
Number of pages: 46 Posted: 22 Aug 2018 Last Revised: 21 Feb 2019
Board of Governors of the Federal Reserve System - Division of Monetary Affairs, Federal Reserve Bank of New York, Federal Reserve Bank of Dallas, University of Maryland, Federal Reserve Bank of Minneapolis and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 22 (523,932)

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central bank balance sheets, monetary policy, remittances

Fiscal Implications of the Federal Reserve's Balance Sheet Normalization

FRB of NY Staff Report No. 833
Number of pages: 47 Posted: 09 Jan 2018
Board of Governors of the Federal Reserve System - Division of Monetary Affairs, Federal Reserve Bank of New York, Federal Reserve Bank of Dallas, University of Maryland, Federal Reserve Bank of Minneapolis and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 5 (638,453)

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central bank balance sheets, monetary policy, remittances

25.

International Stock Returns and Market Integration: A Regional Perspective

IMF Working Paper No. 02/202
Number of pages: 29 Posted: 14 Feb 2006
Ray Brooks and Marco Del Negro
International Monetary Fund (IMF) - Asia and Pacific Department and Federal Reserve Bank of New York
Downloads 79 (305,598)

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Diversification, risk, international financial markets, industrial structure

26.

Aggregate Unemployment in Krusell and Smith's Economy: A Note

FRB of Atlanta Working Paper No. 2005-6
Number of pages: 19 Posted: 07 Jun 2005
Marco Del Negro
Federal Reserve Bank of New York
Downloads 70 (327,381)

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Calibration, labor market flows

27.

Safety, Liquidity, and the Natural Rate of Interest

FRB of NY Staff Report No. 812
Number of pages: 82 Posted: 12 May 2017
Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Bank of New York
Downloads 67 (335,235)
Citation 7

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natural rate of interest, r*, DSGE models, liquidity, safety, convenience yield

28.

Fitting Observed Inflation Expectations

FRB of New York Staff Report No. 476
Number of pages: 68 Posted: 03 Dec 2010
Marco Del Negro and Stefano Eusepi
Federal Reserve Bank of New York and University of Texas at Austin
Downloads 65 (340,566)
Citation 7

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Inflation Expectations, Imperfect Information, Bayesian Analysis, DSGE Models

29.

Policy Predictions If the Model Doesn't Fit

FRB of Atlanta Working Paper No. 2004-38
Number of pages: 18 Posted: 11 Feb 2005
Marco Del Negro and Frank Schorfheide
Federal Reserve Bank of New York and University of Pennsylvania - Department of Economics
Downloads 59 (357,515)
Citation 1

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Bayesian analysis, DSGE models, model misspecification

Dynamic Prediction Pools: An Investigation of Financial Frictions and Forecasting Performance

FRB of New York Staff Report No. 695
Number of pages: 59 Posted: 11 Nov 2014
Marco Del Negro, Raiden Hasegawa and Frank Schorfheide
Federal Reserve Bank of New York, Federal Reserve Bank of New York and University of Pennsylvania - Department of Economics
Downloads 24 (511,382)
Citation 3

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Bayesian estimation, DSGE models, financial frictions, forecasting, Great Recession

Dynamic Prediction Pools: An Investigation of Financial Frictions and Forecasting Performance

PIER Working Paper No. 14-034
Number of pages: 59 Posted: 07 Oct 2014
Marco Del Negro, Raiden Hasegawa and Frank Schorfheide
Federal Reserve Bank of New York, Federal Reserve Bank of New York and University of Pennsylvania - Department of Economics
Downloads 19 (543,265)

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Bayesian estimation, DSGE Models, Financial Frictions, Forecasting, Great Recession, Linear Prediction Pools

Dynamic Prediction Pools: An Investigation of Financial Frictions and Forecasting Performance

NBER Working Paper No. w20575
Number of pages: 59 Posted: 14 Oct 2014
Marco Del Negro, Raiden Hasegawa and Frank Schorfheide
Federal Reserve Bank of New York, Federal Reserve Bank of New York and University of Pennsylvania - Department of Economics
Downloads 6 (631,129)
Citation 1

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31.

The Advantages of Probabilistic Survey Questions

Review of Economic Analysis 9 (1), 1-32
Number of pages: 32 Posted: 12 Jan 2018
Federal Reserve Bank of New York, Federal Reserve Bank of New York, Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 48 (392,918)

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subjective uncertainty, probabilistic survey questions, expectation formation and updating, belief heterogeneity

32.

When Does a Central Bank's Balance Sheet Require Fiscal Support?

FRB of New York Staff Report No. 701
Number of pages: 59 Posted: 26 Nov 2014
Marco Del Negro and Christopher A. Sims
Federal Reserve Bank of New York and Princeton University - Department of Economics
Downloads 45 (403,388)
Citation 5

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central bank’s balance sheet, solvency, monetary policy

33.

DSGE Forecasts of the Lost Recovery

FRB of New York Staff Report No. 844
Number of pages: 52 Posted: 15 Mar 2018 Last Revised: 17 Sep 2018
Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of Dallas, University of California, Berkeley, Stanford University and Harvard Business School
Downloads 41 (418,097)
Citation 3

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DSGE models, real-time forecasts, Great Recession, financial frictions

34.

Rare Shocks, Great Recessions

FRB of New York Staff Report No. 585
Number of pages: 52 Posted: 18 Dec 2012
Vasco Cúrdia, Marco Del Negro and Daniel Greenwald
Federal Reserve Bank of San Francisco, Federal Reserve Bank of New York and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 34 (446,507)
Citation 11

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Bayesian Analysis of DSGE Models, Fat tails, stochastic volatility, Great Recession

35.
Downloads 31 (459,948)

Tax Buyouts

FRB of New York Staff Report No. 467
Number of pages: 43 Posted: 21 Aug 2010
Marco Del Negro, Fabrizio Perri and Fabiano Schivardi
Federal Reserve Bank of New York, Leonard N. Stern School of Business - Department of Economics and Einaudi Institute for Economics and Finance (EIEF)
Downloads 18 (549,697)

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taxes, private information, distortions

Tax Buyouts

NBER Working Paper No. w15847
Number of pages: 43 Posted: 29 Mar 2010
Marco Del Negro, Fabrizio Perri and Fabiano Schivardi
Federal Reserve Bank of New York, Leonard N. Stern School of Business - Department of Economics and Einaudi Institute for Economics and Finance (EIEF)
Downloads 13 (582,468)

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Tax Buyouts

Federal Reserve Bank of Minneapolis Staff Report 441
Posted: 19 Apr 2010
Marco Del Negro, Fabrizio Perri and Fabiano Schivardi
Federal Reserve Bank of New York, Leonard N. Stern School of Business - Department of Economics and Einaudi Institute for Economics and Finance (EIEF)

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taxes, private information, distortions

36.
Downloads 15 (548,013)
Citation 2

Online Estimation of DSGE Models

PIER Working Paper No. 19-014, July 2019
Number of pages: 70 Posted: 25 Jul 2019
Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Bank of New York, Board of Governors of the Federal Reserve System, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York and University of Pennsylvania - Department of Economics
Downloads 12 (589,420)

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adaptive algorithms, Bayesian inference, density forecasts, online estimation, sequential Monte Carlo methods

Online Estimation of DSGE Models

FRB of New York Staff Report No. 893, August 2019
Number of pages: 70 Posted: 06 Aug 2019
Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Bank of New York, Board of Governors of the Federal Reserve System, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York and University of Pennsylvania - Department of Economics
Downloads 3 (654,934)

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adaptive algorithms, Bayesian inference, density forecasts, online estimation, sequential Monte Carlo methods

37.

The Great Escape? A Quantitative Evaluation of the Fed's Liquidity Facilities

NBER Working Paper No. w22259
Number of pages: 76 Posted: 24 May 2016
Federal Reserve Bank of New York, Federal Reserve Bank of New York, University of Oxford - Department of Economics and Princeton University - Department of Economics
Downloads 13 (559,995)
Citation 3

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38.

Discussion of Cogley and Sargent's 'Drifts and Volatilities: Monetary Policy and Outcomes in the Post WWII U.S.'

FRB Atlanta Working Paper No. 2003-26
Number of pages: 14 Posted: 23 Feb 2015
Marco Del Negro
Federal Reserve Bank of New York
Downloads 9 (584,965)
Citation 8

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