Matteo Luciani

Board of Governors of the Federal Reserve System

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

  • Board of Governors of the Federal Reserve System

SCHOLARLY PAPERS

22

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136

CROSSREF CITATIONS

163

Scholarly Papers (22)

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1.

Googling SIFIs

Systemic Risk: Liquidity Risk, Governance and Financial Stability, Forthcoming
Number of pages: 31 Posted: 25 Oct 2012 Last Revised: 24 Apr 2014
Mardi Dungey, Matteo Luciani and David Veredas
University of Cambridge - Cambridge Endowment for Research in Finance (CERF), Board of Governors of the Federal Reserve System and Vlerick Business School
Downloads 840 (46,918)
Citation 17

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Systemic risk, ranking, financial institutions

2.

Measuring the Output Gap Using Large Datasets

Number of pages: 62 Posted: 08 Aug 2018 Last Revised: 03 Dec 2020
Matteo Barigozzi, Matteo Barigozzi, Matteo Barigozzi and Matteo Luciani
London School of Economics and Political ScienceUniversité Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)University of Bologna and Board of Governors of the Federal Reserve System
Downloads 456 (102,321)
Citation 1

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Output Gap; Non-stationary Approximate Dynamic Factor Model; Trend-Cycle Decomposition

3.

Estimating and Forecasting Large Panels of Volatilities with Approximate Dynamic Factor Models

Number of pages: 19 Posted: 14 Sep 2011 Last Revised: 01 Aug 2013
David Veredas and Matteo Luciani
Vlerick Business School and Board of Governors of the Federal Reserve System
Downloads 433 (108,841)
Citation 4

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Realized volatilities, vast dimensions, factor models, long memory, forecasting

4.

Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?

Downloads 308 (158,808)
Citation 55

Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?

Number of pages: 32 Posted: 14 Jun 2010 Last Revised: 29 Oct 2012
Matteo Barigozzi, Matteo Barigozzi, Matteo Barigozzi, Antonio Maria Conti and Matteo Luciani
London School of Economics and Political ScienceUniversité Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)University of Bologna, Banca d'Italia and Board of Governors of the Federal Reserve System
Downloads 244 (200,438)
Citation 2

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Monetary Policy Transmission, Asymmetric Effects, European Monetary Union, Structural Dynamic Factor Model

Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?

Bank of Italy Temi di Discussione (Working Paper) No. 923
Number of pages: 36 Posted: 16 Jul 2013
Matteo Barigozzi, Matteo Barigozzi, Matteo Barigozzi, Antonio Maria Conti and Matteo Luciani
London School of Economics and Political ScienceUniversité Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)University of Bologna, Banca d'Italia and Board of Governors of the Federal Reserve System
Downloads 64 (554,378)
Citation 54

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monetary policy transmission, asymmetric effects, European Monetary Union, Structural Dynamic Factor model

5.

Large-Dimensional Dynamic Factor Models in Real-Time: A Survey

Number of pages: 31 Posted: 20 Oct 2014
Matteo Luciani
Board of Governors of the Federal Reserve System
Downloads 295 (166,116)
Citation 8

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Large Dimensional Dynamic Factor models, Real-time forecasting, business cycle indicators

6.

Non-Stationary Dynamic Factor Models for Large Datasets

Downloads 283 (173,489)
Citation 4

Non-Stationary Dynamic Factor Models for Large Datasets

Number of pages: 59 Posted: 04 Mar 2016
Matteo Barigozzi, Matteo Barigozzi, Matteo Barigozzi, Marco Lippi and Matteo Luciani
London School of Economics and Political ScienceUniversité Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)University of Bologna, Dipartimento di Scienze Economiche (DiSSE) and Board of Governors of the Federal Reserve System
Downloads 178 (269,104)
Citation 4

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Dynamic Factor models, unit root processes, common trends, impulse response functions

Non-Stationary Dynamic Factor Models for Large Datasets

FEDS Working Paper No. 2016-024
Number of pages: 67 Posted: 31 Mar 2016 Last Revised: 01 Sep 2017
Matteo Barigozzi, Matteo Barigozzi, Matteo Barigozzi, Marco Lippi and Matteo Luciani
London School of Economics and Political ScienceUniversité Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)University of Bologna, Dipartimento di Scienze Economiche (DiSSE) and Board of Governors of the Federal Reserve System
Downloads 105 (408,846)
Citation 2

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Dynamic Factor models, Cointegration, Common trends, Impulse response functions, Unit root processes

7.

The Emergence of Systemically Important Insurers

CIFR Paper No. WP038, FIRN Research Paper No. 2494030
Number of pages: 29 Posted: 11 Sep 2014
Mardi H. Dungey, Matteo Luciani and David Veredas
University of Tasmania (deceased), Board of Governors of the Federal Reserve System and Vlerick Business School
Downloads 279 (176,063)
Citation 7

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banking, insurance, systemic risk

8.

Dynamic Factor Models, Cointegration, and Error Correction Mechanisms

Downloads 264 (186,148)
Citation 4

Dynamic Factor Models, Cointegration, and Error Correction Mechanisms

Number of pages: 28 Posted: 01 Mar 2014 Last Revised: 29 Feb 2016
Matteo Barigozzi, Matteo Barigozzi, Matteo Barigozzi, Marco Lippi and Matteo Luciani
London School of Economics and Political ScienceUniversité Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)University of Bologna, Dipartimento di Scienze Economiche (DiSSE) and Board of Governors of the Federal Reserve System
Downloads 155 (303,167)
Citation 4

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Dynamic Factor Models for I(1) variables, Cointegration, Granger Representation Theorem

Dynamic Factor Models, Cointegration, and Error Correction Mechanisms

FEDS Working Paper No. 2016-018
Number of pages: 29 Posted: 22 Mar 2016
Matteo Barigozzi, Matteo Barigozzi, Matteo Barigozzi, Marco Lippi and Matteo Luciani
London School of Economics and Political ScienceUniversité Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)University of Bologna, Dipartimento di Scienze Economiche (DiSSE) and Board of Governors of the Federal Reserve System
Downloads 109 (398,033)

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Cointegration for singular vectors, Dynamic Factor Models for I(1) variables, Granger Representation Theorem for singular vectors

9.

Monetary Policy and the Housing Market: A Structural Factor Analysis

Downloads 201 (241,547)
Citation 30

Monetary Policy and the Housing Market: A Structural Factor Analysis

Number of pages: 23 Posted: 22 Jun 2010 Last Revised: 29 Oct 2012
Matteo Luciani
Board of Governors of the Federal Reserve System
Downloads 130 (349,273)
Citation 2

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Structural Factor Model, Business Cycle, Monetary Policy, Housing

Monetary Policy and the Housing Market: A Structural Factor Analysis

Government of the Italian Republic (Italy), Ministry of Economy and Finance, Department of the Treasury Working Paper No. 7
Number of pages: 39 Posted: 21 Oct 2010
Matteo Luciani
Board of Governors of the Federal Reserve System
Downloads 71 (523,725)
Citation 8

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Structural Factor Model, Business Cycle, Monetary Policy, Housing

10.

Surfing Through the GFC: Systemic Risk in Australia

CIFR Paper No. WP061/2015, FIRN Research Paper No. 2617117
Number of pages: 25 Posted: 11 Jun 2015
Mardi H. Dungey, Matteo Luciani, Marius Matei and David Veredas
University of Tasmania (deceased), Board of Governors of the Federal Reserve System, University of Tasmania and Vlerick Business School
Downloads 149 (312,950)
Citation 1

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banking, insurance, systemic risk

11.

Nowcasting Norway

Number of pages: 26 Posted: 05 Feb 2013 Last Revised: 01 Aug 2022
Matteo Luciani and Lorenzo Ricci
Board of Governors of the Federal Reserve System and European Stability Mechanism
Downloads 149 (312,950)
Citation 12

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Real-Time Forecasting, Bayesian Factor model, Nowcasting

12.

Relative Prices and Pure Inflation Since the Mid-1990s

FEDS Working Paper No. 2021-69
Number of pages: 18 Posted: 16 Nov 2021
Hie Joo Ahn and Matteo Luciani
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 131 (346,210)
Citation 1

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Pure inflation, Relative price inflation, Phillips correlations, Dynamic factor model, Disaggregated consumer prices, Monetary policy

13.

Nowcasting Indonesia

Downloads 117 (376,247)
Citation 4

Nowcasting Indonesia

Asian Development Bank Economics Working Paper Series No. 471
Number of pages: 28 Posted: 30 Dec 2015
Matteo Luciani, Madhavi Pundit, Arief Ramayandi and Giovanni Veronese
Board of Governors of the Federal Reserve System, Asian Development Bank, Asian Development Bank - Economic Research and Bank of Italy
Downloads 67 (540,831)
Citation 8

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Dynamic Factor Models, emerging market economies, nowcasting

Nowcasting Indonesia

FEDS Working Paper No. 2015-100
Number of pages: 22 Posted: 10 Nov 2015
Matteo Luciani, Madhavi Pundit, Arief Ramayandi and Giovanni Veronese
Board of Governors of the Federal Reserve System, Asian Development Bank, Asian Development Bank - Economic Research and Bank of Italy
Downloads 50 (625,557)

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Dynamic Factor Models, Emerging Market Economies, Nowcasting

14.

Common and Idiosyncratic Inflation

Downloads 108 (398,335)

Common and Idiosyncratic Inflation

FEDS Working Paper No. 2020-024 https://doi.org/10.17016/FEDS.2020.024
Number of pages: 52 Posted: 18 May 2020
Matteo Luciani
Board of Governors of the Federal Reserve System
Downloads 108 (400,668)

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Core inflation; Dynamic factor model; Disaggregated consumer prices; Monetary policy

Common and Idiosyncratic Inflation

FEDS Notes No. 2020-03-05 https://doi.org/10.17016/2380-7172.2508
Posted: 13 Aug 2020
Matteo Luciani
Board of Governors of the Federal Reserve System

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15.

Forecasting with Approximate Dynamic Factor Models: The Role of Non-Pervasive Shocks

Number of pages: 24 Posted: 14 Sep 2011
Matteo Luciani
Board of Governors of the Federal Reserve System
Downloads 97 (429,095)
Citation 8

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Dynamic Factor Models, Penalized Regressions, Local Factors, Bayesian Shrinkage, Forecasting

16.

Uncertainty and Heterogeneity in Factor Models Forecasting

Downloads 93 (440,822)
Citation 20

Uncertainty and Heterogeneity in Factor Models Forecasting

Bank of Italy Temi di Discussione (Working Paper) No. 930
Number of pages: 36 Posted: 22 Nov 2013
Matteo Luciani and Libero Monteforte
Board of Governors of the Federal Reserve System and Bank of Italy
Downloads 61 (568,373)
Citation 20

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factor models, model uncertainty, forecast combination, density forecast

Uncertainty and Heterogeneity in Factor Models Forecasting

Government of the Italian Republic (Italy), Ministry of Economy and Finance, Department of the Treasury Working Paper No. 5
Number of pages: 28 Posted: 01 Jun 2012 Last Revised: 31 Jul 2012
Matteo Luciani and Libero Monteforte
Board of Governors of the Federal Reserve System and Bank of Italy
Downloads 32 (743,010)

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Factor Models, Model Uncertainty, Forecast Combination, Density Forecast

17.

Oil Price Pass-Through into Core Inflation

Downloads 87 (459,583)
Citation 7

Oil Price Pass-Through into Core Inflation

Bank of Italy Occasional Paper No. 405
Number of pages: 43 Posted: 05 Dec 2017
Cristina Conflitti and Matteo Luciani
Bank of Italy and Board of Governors of the Federal Reserve System
Downloads 87 (463,816)
Citation 7

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Core inflation, oil price, dynamic factor model, pass-through, disaggregate consumer prices

Oil Price Pass-Through into Core Inflation

FEDS Notes No. 2017-10-19-1 https://doi.org/10.17016/2380-7172.2066
Posted: 16 Oct 2017
Cristina Conflitti and Matteo Luciani
Bank of Italy and Board of Governors of the Federal Reserve System

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Oil Price Pass-Through into Core Inflation

FEDS Notes No. 2019-04-30
Posted: 04 May 2019
Cristina Conflitti and Matteo Luciani
Bank of Italy and Board of Governors of the Federal Reserve System

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18.

Common Factors, Trends, and Cycles in Large Datasets

FEDS Working Paper No. 2017-111
Number of pages: 53 Posted: 16 Nov 2017
Matteo Barigozzi, Matteo Barigozzi, Matteo Barigozzi and Matteo Luciani
London School of Economics and Political ScienceUniversité Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)University of Bologna and Board of Governors of the Federal Reserve System
Downloads 55 (587,574)

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EM Algorithm, Gross Domestic Output, Kalman Smoother, Non-stationary Approximate Dynamic Factor Model, Output Gap, Quasi Maximum Likelihood, Trend-Cycle Decomposition

19.

Oil Price Pass-Through into Core Inflation

FEDS Working Paper No. 2017-085
Number of pages: 28 Posted: 07 Sep 2017
Cristina Conflitti and Matteo Luciani
affiliation not provided to SSRN and Board of Governors of the Federal Reserve System
Downloads 41 (663,617)

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Core inflation, Disaggregate consumer prices, Dynamic factor model, Oil price, Pass-through

20.

Quantifying the COVID-19 Effects on Core PCE Price Inflation

FEDS Notes No. 2021-02-25
https://doi.org/10.17016/2380-7172.2875
Posted: 01 Mar 2021
Matteo Luciani
Board of Governors of the Federal Reserve System

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21.

Comparing Two Measures of Core Inflation: PCE Excluding Food & Energy vs. The Trimmed Mean PCE Index

FEDS Notes No. 2019-08-02-1
Posted: 13 Aug 2019
Matteo Luciani and Riccardo Trezzi
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

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22.

Do National Account Statistics Underestimate US Real Output Growth?

FEDS Notes No. 2018-01-09-1 https://doi.org/10.17016/2380-7172.2116
Posted: 06 Jun 2018
Matteo Barigozzi and Matteo Luciani
London School of Economics & Political Science (LSE) - London School of Economics and Board of Governors of the Federal Reserve System

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