Giorgio E. Primiceri

Northwestern University - Department of Economics

2003 Sheridan Road

Evanston, IL 60208

United States

http://faculty.econ.northwestern.edu/faculty/primiceri

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

Centre for Economic Policy Research (CEPR)

London

United Kingdom

  • Northwestern University - Department of Economics

  • National Bureau of Economic Research (NBER)

  • Centre for Economic Policy Research (CEPR)

SCHOLARLY PAPERS

25

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2,007

SSRN CITATIONS
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490

CROSSREF CITATIONS

1,549

Scholarly Papers (25)

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1.

Time Varying Structural Vector Autoregressions and Monetary Policy

Number of pages: 46 Posted: 08 Jan 2003
Giorgio E. Primiceri
Northwestern University - Department of Economics
Downloads 202 (156,388)
Citation 46

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Time varying coefficients, multivariate stochastic volatility, Gibbs sampling, Taylor rule, monetary policy shocks, identification

2.

Investment Shocks and Business Cycles

Downloads 196 (160,903)
Citation 147

Investment Shocks and Business Cycles

FRB of New York Staff Report No. 322, FRB of Chicago Working Paper No. 2008-12
Number of pages: 53 Posted: 27 Mar 2008
Alejandro Justiniano, Giorgio E. Primiceri and Andrea Tambalotti
Federal Reserve Bank of Chicago, Northwestern University - Department of Economics and Federal Reserve Bank of New York
Downloads 177 (176,382)
Citation 34

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DSGE model, imperfect competition, endogenous markups, Bayesian methods, Business Cycles, Bayesian Estimation

Investment Shocks and Business Cycles

NBER Working Paper No. w15570
Number of pages: 38 Posted: 08 Dec 2009 Last Revised: 19 Jul 2010
Giorgio E. Primiceri and Andrea Tambalotti
Northwestern University - Department of Economics and Federal Reserve Bank of New York
Downloads 16 (587,471)

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Investment Shocks and Business Cycles

CEPR Discussion Paper No. DP6739
Number of pages: 48 Posted: 11 Jun 2008
Giorgio E. Primiceri, Andrea Tambalotti and Alejandro Justiniano
Northwestern University - Department of Economics, Federal Reserve Bank of New York and Federal Reserve Bank of Chicago
Downloads 3 (683,929)
Citation 10
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Bayesian, DSGE model, endogenous markups, imperfect competition

3.

Measuring the Equilibrium Real Interest Rate

Economic Perspectives, Vol. XXXIV, No. 1, 2010
Number of pages: 14 Posted: 11 Mar 2010
Alejandro Justiniano and Giorgio E. Primiceri
Federal Reserve Bank of Chicago and Northwestern University - Department of Economics
Downloads 176 (177,291)

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real interest rate, potential output, structural models, state-space representation, Model Construction and Estimation, Macroeconomics and Monetary Economics, Monetary Policy

4.

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 152 (200,972)
Citation 133

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Bayesian methods, time varying volatility

5.

Inequality Over the Business Cycle: Estimating Income Risk Using Micro-Data on Consumption

Number of pages: 50 Posted: 11 Sep 2002
Giorgio E. Primiceri and Thijs van Rens
Northwestern University - Department of Economics and University of Warwick - Department of Economics
Downloads 136 (220,015)

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consumption, inequality, risk, incomplete markets, business cycle

6.

Inflation-Gap Persistence in the U.S

NBER Working Paper No. w13749
Number of pages: 42 Posted: 24 Jan 2008 Last Revised: 28 Jul 2010
Timothy Cogley, Giorgio E. Primiceri and Thomas J. Sargent
Leonard N. Stern School of Business - Department of Economics, Northwestern University - Department of Economics and New York University (NYU) - Department of Economics, Leonard N. Stern School of Business
Downloads 120 (242,109)
Citation 5

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7.

Economic Predictions with Big Data: The Illusion of Sparsity

Downloads 117 (248,309)
Citation 24

Economic Predictions with Big Data: The Illusion of Sparsity

FRB of New York Staff Report No. 847
Number of pages: 29 Posted: 07 May 2018
Domenico Giannone, Michele Lenza and Giorgio E. Primiceri
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB) and Northwestern University - Department of Economics
Downloads 117 (249,469)
Citation 25

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model selection, shrinkage, high dimensional data

Economic Predictions with Big Data: The Illusion of Sparsity

CEPR Discussion Paper No. DP12256
Number of pages: 28 Posted: 11 Sep 2017
Domenico Giannone, Michele Lenza and Giorgio E. Primiceri
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB) and Northwestern University - Department of Economics
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Citation 1
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8.

Credit Supply and the Housing Boom

Downloads 92 (290,608)
Citation 20

Credit Supply and the Housing Boom

NBER Working Paper No. w20874
Number of pages: 45 Posted: 27 Jan 2015 Last Revised: 07 May 2015
Alejandro Justiniano, Giorgio E. Primiceri and Andrea Tambalotti
Federal Reserve Bank of Chicago, Northwestern University - Department of Economics and Federal Reserve Bank of New York
Downloads 37 (463,389)

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Credit Supply and the Housing Boom

FRB of New York Staff Report No. 709
Number of pages: 44 Posted: 11 Feb 2015
Alejandro Justiniano, Giorgio E. Primiceri and Andrea Tambalotti
Federal Reserve Bank of Chicago, Northwestern University - Department of Economics and Federal Reserve Bank of New York
Downloads 34 (477,493)
Citation 1

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housing and credit boom, house prices, collateral constraints, leverage restrictions

Credit Supply and the Housing Boom

FRB of New York Staff Report No. 709
Number of pages: 44 Posted: 18 Aug 2015
Alejandro Justiniano, Giorgio E. Primiceri and Andrea Tambalotti
Federal Reserve Bank of Chicago, Northwestern University - Department of Economics and Federal Reserve Bank of New York
Downloads 21 (553,671)
Citation 1

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housing and credit boom, house prices, collateral constraints, leverage restrictions

Credit Supply and the Housing Boom

CEPR Discussion Paper No. DP10358
Number of pages: 46 Posted: 02 Feb 2015
Alejandro Justiniano, Giorgio E. Primiceri and Andrea Tambalotti
Federal Reserve Bank of Chicago, Northwestern University - Department of Economics and Federal Reserve Bank of New York
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Citation 11
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collateral constraints, house prices, housing and credit boom, leverage restrictions

9.

Credit Supply and the Housing Boom

FRB of Chicago Working Paper No. 2014-21
Number of pages: 49 Posted: 19 Dec 2014
Alejandro Justiniano, Giorgio E. Primiceri and Andrea Tambalotti
Federal Reserve Bank of Chicago, Northwestern University - Department of Economics and Federal Reserve Bank of New York
Downloads 86 (303,237)
Citation 4

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Credit Supply, Housing Boom, Borrowing Constraints, Lending Constraints, Household Debt

10.

Predictable Life-Cycle Shocks, Income Risk and Consumption Inequality

Number of pages: 37 Posted: 02 Apr 2006
Giorgio E. Primiceri and Thijs van Rens
Northwestern University - Department of Economics and University of Warwick - Department of Economics
Downloads 81 (314,489)
Citation 4

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consumption, inequality, risk, heterogeneous income profiles

11.

Prior Selection for Vector Autoregressions

Downloads 79 (319,149)
Citation 88

Prior Selection for Vector Autoregressions

ECB Working Paper No. 1494
Number of pages: 41 Posted: 22 Nov 2012
Domenico Giannone, Michele Lenza and Giorgio E. Primiceri
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB) and Northwestern University - Department of Economics
Downloads 55 (392,153)

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forecasting, Bayesian methods, marginal likelihood, hierarchical modeling, impulse responses

Prior Selection for Vector Autoregressions

NBER Working Paper No. w18467
Number of pages: 37 Posted: 20 Oct 2012 Last Revised: 05 Nov 2012
Domenico Giannone, Michele Lenza and Giorgio E. Primiceri
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB) and Northwestern University - Department of Economics
Downloads 18 (574,038)
Citation 16

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Prior Selection for Vector Autoregressions

CEPR Discussion Paper No. DP8755
Number of pages: 34 Posted: 20 Jan 2012
Domenico Giannone, Michele Lenza and Giorgio E. Primiceri
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB) and Northwestern University - Department of Economics
Downloads 6 (659,707)
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Bayesian Methods, Forecasting, Hierarchical Modeling, Impulse Responses, Marginal Likelihood

12.

Intertemporal Disturbances

NBER Working Paper No. w12243
Number of pages: 40 Posted: 25 May 2006 Last Revised: 31 Jul 2006
Giorgio E. Primiceri, Ernst Schaumburg and Andrea Tambalotti
Northwestern University - Department of Economics, Federal Reserve Banks - Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 67 (350,011)
Citation 2

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13.

Household Leveraging and Deleveraging

Downloads 63 (361,338)
Citation 54

Household Leveraging and Deleveraging

FRB of New York Staff Report No. 602
Number of pages: 33 Posted: 06 Mar 2013
Alejandro Justiniano, Giorgio E. Primiceri and Andrea Tambalotti
Federal Reserve Bank of Chicago, Northwestern University - Department of Economics and Federal Reserve Bank of New York
Downloads 54 (395,621)

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household debt, mortgages, house prices

Household Leveraging and Deleveraging

NBER Working Paper No. w18941
Number of pages: 34 Posted: 05 Apr 2013
Alejandro Justiniano, Alejandro Justiniano, Giorgio E. Primiceri and Andrea Tambalotti
Federal Reserve Bank of Chicago, Federal Reserve Bank of Chicago, Northwestern University - Department of Economics and Federal Reserve Bank of New York
Downloads 9 (637,696)
Citation 7

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Household Leveraging and Deleveraging

CEPR Discussion Paper No. DP9671
Number of pages: 36 Posted: 07 Oct 2013
Alejandro Justiniano, Giorgio E. Primiceri and Andrea Tambalotti
Federal Reserve Bank of Chicago, Northwestern University - Department of Economics and Federal Reserve Bank of New York
Downloads 0
Citation 7
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Collateral constraints, Financial liberalization, House prices, Household debt

14.

Heterogeneous Life-Cycle Profiles, Income Risk and Consumption Inequality

Downloads 60 (370,324)
Citation 34

Heterogeneous Life-Cycle Profiles, Income Risk and Consumption Inequality

Number of pages: 38 Posted: 24 Jul 2007
Giorgio E. Primiceri and Thijs van Rens
Northwestern University - Department of Economics and University of Warwick - Department of Economics
Downloads 30 (498,191)
Citation 3

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Consumption, inequality, risk, incomplete markets, heterogeneous income profiles

Heterogeneous Life-Cycle Profiles, Income Risk and Consumption Inequality

IZA Working Paper No. 3239
Number of pages: 40 Posted: 23 May 2008
Giorgio E. Primiceri and Thijs van Rens
Northwestern University - Department of Economics and University of Warwick - Department of Economics
Downloads 30 (498,191)
Citation 2

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consumption, inequality, risk, incomplete markets, heterogeneity

15.

The Mortgage Rate Conundrum

Downloads 55 (386,146)

The Mortgage Rate Conundrum

FRB of NY Staff Report No. 829
Number of pages: 30 Posted: 17 Nov 2017
Alejandro Justiniano, Giorgio E. Primiceri and Andrea Tambalotti
Federal Reserve Bank of Chicago, Northwestern University - Department of Economics and Federal Reserve Bank of New York
Downloads 25 (527,634)

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credit boom, housing boom, securitization, private label, subprime

The Mortgage Rate Conundrum

FRB of Chicago Working Paper No. WP-2017-23
Number of pages: 36 Posted: 10 Nov 2017
Alejandro Justiniano, Giorgio E. Primiceri and Andrea Tambalotti
Federal Reserve Bank of Chicago, Northwestern University - Department of Economics and Federal Reserve Bank of New York
Downloads 15 (594,390)

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Credit boom, housing boom, mortgage loans, securitization, private label, subprime

The Mortgage Rate Conundrum

NBER Working Paper No. w23784
Number of pages: 31 Posted: 11 Sep 2017
Alejandro Justiniano, Giorgio E. Primiceri and Andrea Tambalotti
Federal Reserve Bank of Chicago, Northwestern University - Department of Economics and Federal Reserve Bank of New York
Downloads 14 (601,606)

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The Mortgage Rate Conundrum

CEPR Discussion Paper No. DP12265
Number of pages: 32 Posted: 11 Sep 2017
Alejandro Justiniano, Giorgio E. Primiceri and Andrea Tambalotti
Federal Reserve Bank of Chicago, Northwestern University - Department of Economics and Federal Reserve Bank of New York
Downloads 1 (708,521)
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Credit boom, housing boom, private label, Securitization, subprime.

16.

The Time Varying Volatility of Macroeconomic Fluctuations

NBER Working Paper No. w12022
Number of pages: 50 Posted: 27 Apr 2006 Last Revised: 02 Jul 2009
Giorgio E. Primiceri and Alejandro Justiniano
Northwestern University - Department of Economics and Federal Reserve Bank of Chicago
Downloads 54 (389,457)
Citation 12

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17.

Priors for the Long Run

Downloads 40 (440,649)
Citation 8

Priors for the Long Run

ECB Working Paper No. 2132; ISBN: 978-92-899-3237-0
Number of pages: 51 Posted: 01 Mar 2018
Domenico Giannone, Michele Lenza and Giorgio E. Primiceri
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB) and Northwestern University - Department of Economics
Downloads 24 (534,061)

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Bayesian vector autoregression, forecasting, overfitting, initial conditions, hierarchical model

Priors for the Long Run

FRB of NY Staff Report No. 832
Number of pages: 55 Posted: 26 Nov 2017
Domenico Giannone, Michele Lenza and Giorgio E. Primiceri
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB) and Northwestern University - Department of Economics
Downloads 16 (587,471)

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Bayesian vector autoregression, forecasting, overfitting, initial conditions, hierarchical model

Priors for the Long Run

CEPR Discussion Paper No. DP11261
Number of pages: 47 Posted: 09 May 2016
Domenico Giannone, Michele Lenza and Giorgio E. Primiceri
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB) and Northwestern University - Department of Economics
Downloads 0
Citation 3
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18.

Investment Shocks and the Relative Price of Investment

Downloads 39 (444,859)
Citation 114

Investment Shocks and the Relative Price of Investment

FRB of New York Staff Report No. 411
Number of pages: 32 Posted: 15 Dec 2009
Alejandro Justiniano, Giorgio E. Primiceri and Andrea Tambalotti
Federal Reserve Bank of Chicago, Northwestern University - Department of Economics and Federal Reserve Bank of New York
Downloads 36 (467,998)
Citation 11

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business cycles, financial factors, investment specific technology, DSGE model

Investment Shocks and the Relative Price of Investment

CEPR Discussion Paper No. DP7598
Number of pages: 34 Posted: 11 Jan 2010
Alejandro Justiniano, Giorgio E. Primiceri and Andrea Tambalotti
Federal Reserve Bank of Chicago, Northwestern University - Department of Economics and Federal Reserve Bank of New York
Downloads 3 (683,929)
Citation 8
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Business cycles, DSGE model, financial factors, investment-specific technology

19.

Learning the Wealth of Nations

Downloads 39 (444,859)
Citation 38

Learning the Wealth of Nations

NBER Working Paper No. w14595
Number of pages: 49 Posted: 29 Dec 2008 Last Revised: 02 Jun 2009
Francisco J. Buera, Alexander Monge-Naranjo and Giorgio E. Primiceri
Washington University in St. Louis, Federal Reserve Banks - Federal Reserve Bank of St. Louis and Northwestern University - Department of Economics
Downloads 35 (472,646)

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Learning the Wealth of Nations

CEPR Discussion Paper No. DP8030
Number of pages: 50 Posted: 22 Nov 2010
Francisco J. Buera, Alexander Monge-Naranjo and Giorgio E. Primiceri
Washington University in St. Louis, Federal Reserve Banks - Federal Reserve Bank of St. Louis and Northwestern University - Department of Economics
Downloads 4 (675,143)
Citation 7
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beliefs, development, growth, market-oriented policy

20.

Why Inflation Rose and Fell: Policymakers' Beliefs and Us Postwar Stabilization Policy

NBER Working Paper No. w11147
Number of pages: 61 Posted: 16 Mar 2005 Last Revised: 08 Aug 2009
Giorgio E. Primiceri
Northwestern University - Department of Economics
Downloads 35 (461,756)
Citation 10

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21.

A Simple Model of Subprime Borrowers and Credit Growth

Downloads 32 (475,468)
Citation 5

A Simple Model of Subprime Borrowers and Credit Growth

FRB of NY Staff Report No. 766
Number of pages: 17 Posted: 04 Feb 2016 Last Revised: 30 Aug 2017
Alejandro Justiniano, Giorgio E. Primiceri and Andrea Tambalotti
Federal Reserve Bank of Chicago, Northwestern University - Department of Economics and Federal Reserve Bank of New York
Downloads 23 (540,527)

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home prices, housing boom, household debt, credit supply, collateral constraints

A Simple Model of Subprime Borrowers and Credit Growth

NBER Working Paper No. w21942
Number of pages: 17 Posted: 01 Feb 2016 Last Revised: 18 Jun 2018
Alejandro Justiniano, Giorgio E. Primiceri and Andrea Tambalotti
Federal Reserve Bank of Chicago, Northwestern University - Department of Economics and Federal Reserve Bank of New York
Downloads 9 (637,696)
Citation 1

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A Simple Model of Subprime Borrowers and Credit Growth

CEPR Discussion Paper No. DP11083
Number of pages: 18 Posted: 02 Feb 2016
Alejandro Justiniano, Giorgio E. Primiceri and Andrea Tambalotti
Federal Reserve Bank of Chicago, Northwestern University - Department of Economics and Federal Reserve Bank of New York
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Citation 1
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collateral constraint, credit supply, house price, household debt, housing boom

22.

The Effects of the Saving and Banking Glut on the U.S. Economy

Downloads 28 (495,559)
Citation 10

The Effects of the Saving and Banking Glut on the U.S. Economy

NBER Working Paper No. w19635
Number of pages: 42 Posted: 16 Nov 2013
Alejandro Justiniano, Giorgio E. Primiceri and Andrea Tambalotti
Federal Reserve Bank of Chicago, Northwestern University - Department of Economics and Federal Reserve Bank of New York
Downloads 15 (594,390)
Citation 1

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The Effects of the Saving and Banking Glut on the U.S. Economy

FRB of Chicago Working Paper No. 2013-17
Number of pages: 46 Posted: 14 Dec 2013
Alejandro Justiniano, Giorgio E. Primiceri and Andrea Tambalotti
Federal Reserve Bank of Chicago, Northwestern University - Department of Economics and Federal Reserve Bank of New York
Downloads 13 (608,684)

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Deleveraging, House Prices, Saving Glut, Banking Glut

The Effects of the Saving and Banking Glut on the U.S. Economy

CEPR Discussion Paper No. DP9729
Posted: 14 Nov 2013
Giorgio E. Primiceri and Andrea Tambalotti
Northwestern University - Department of Economics and Federal Reserve Bank of New York
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Capital flows, Collateral constraints, Global imbalances, House prices, Household debt

23.

Is There a Trade-Off between Inflation and Output Stabilization?

Downloads 27 (500,854)
Citation 26

Is There a Trade-Off between Inflation and Output Stabilization?

NBER Working Paper No. w17071
Number of pages: 36 Posted: 23 May 2011 Last Revised: 11 Nov 2013
Thomas Juster, Alejandro Justiniano, Giorgio E. Primiceri and Andrea Tambalotti
University of Oxford, Federal Reserve Bank of Chicago, Northwestern University - Department of Economics and Federal Reserve Bank of New York
Downloads 25 (527,634)

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Is There a Trade-Off between Inflation and Output Stabilization?

CEPR Discussion Paper No. DP8407
Number of pages: 38 Posted: 06 Jun 2011
Alejandro Justiniano, Giorgio E. Primiceri and Andrea Tambalotti
Federal Reserve Bank of Chicago, Northwestern University - Department of Economics and Federal Reserve Bank of New York
Downloads 2 (694,740)
Citation 4
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optimal policy, output gap, potential output

24.

The Effects of the Saving and Banking Glut on the U.S. Economy

FRB of New York Staff Report No. 648
Number of pages: 40 Posted: 24 Oct 2013
Alejandro Justiniano, Giorgio E. Primiceri and Andrea Tambalotti
Federal Reserve Bank of Chicago, Northwestern University - Department of Economics and Federal Reserve Bank of New York
Downloads 18 (554,057)
Citation 1

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U.S. Trade Deficit, household debt

25.

Heterogenous Life-Cycle Profiles, Income Risk and Consumption Inequality

CEPR Discussion Paper No. 5881
Number of pages: 41 Posted: 28 Dec 2006
Giorgio E. Primiceri and Thijs van Rens
Northwestern University - Department of Economics and University of Warwick - Department of Economics
Downloads 13 (585,311)
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Consumption, inequality, risk, incomplete markets, heterogeneity