Matteo Luciani

Board of Governors of the Federal Reserve System

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

23

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4,956

SSRN CITATIONS
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Top 5,700

in Total Papers Citations

151

CROSSREF CITATIONS

164

Scholarly Papers (23)

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 862 (52,920)
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
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 592 (86,241)
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 446 (121,926)
Citation 5

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

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

Number of pages: 32 Posted: 14 Jun 2010 Last Revised: 29 Oct 2012
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 257 (220,070)
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
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 76 (587,225)
Citation 55

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

Non-Stationary Dynamic Factor Models for Large Datasets

Number of pages: 59 Posted: 04 Mar 2016
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 217 (259,529)
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
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 111 (456,864)
Citation 2

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

6.

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 318 (177,674)
Citation 8

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

Dynamic Factor Models, Cointegration, and Error Correction Mechanisms

Number of pages: 28 Posted: 01 Mar 2014 Last Revised: 29 Feb 2016
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 166 (331,001)
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
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 141 (379,372)
Citation 1

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

8.

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 294 (193,026)
Citation 7

Abstract:

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banking, insurance, systemic risk

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 145 (370,959)
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 77 (582,596)
Citation 8

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Structural Factor Model, Business Cycle, Monetary Policy, Housing

10.
Downloads 182 (305,466)
Citation 4

Nowcasting Indonesia

Asian Development Bank Economics Working Paper Series No. 471
Number of pages: 28 Posted: 30 Dec 2015
Board of Governors of the Federal Reserve System, Asian Development Bank, Asian Development Bank - Economic Research and Bank of Italy
Downloads 97 (503,165)
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
Board of Governors of the Federal Reserve System, Asian Development Bank, Asian Development Bank - Economic Research and Bank of Italy
Downloads 85 (548,192)

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Dynamic Factor Models, Emerging Market Economies, Nowcasting

11.

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
University of Tasmania (deceased), Board of Governors of the Federal Reserve System, University of Tasmania and Vlerick Business School
Downloads 163 (336,313)
Citation 1

Abstract:

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banking, insurance, systemic risk

12.

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 160 (341,666)
Citation 13

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Real-Time Forecasting, Bayesian Factor model, Nowcasting

13.

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 148 (364,411)
Citation 1

Abstract:

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

14.
Downloads 136 (389,574)

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 136 (390,392)

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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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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 87 (540,108)
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 35 (841,779)

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Factor Models, Model Uncertainty, Forecast Combination, Density Forecast

16.

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 104 (476,314)
Citation 8

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

17.
Downloads 99 (492,531)
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 99 (496,235)
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
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 63 (640,526)

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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 50 (713,894)

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

20.

Lessons from Nowcasting GDP Across the World

International Finance Discussion Paper No. 1385
Number of pages: 37 Posted: 04 Jan 2024
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 27 (886,935)

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Dynamic factor models, Forecasting, Nowcasting

21.

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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22.

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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23.

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 and Board of Governors of the Federal Reserve System

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