Domenico Giannone

Centre for Economic Policy Research (CEPR)

London

United Kingdom

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Seattle, WA 98144

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SCHOLARLY PAPERS

59

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Scholarly Papers (59)

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1.

Nowcasting

Downloads 1,078 ( 25,625)
Citation 19

Nowcasting

ECB Working Paper No. 1275
Number of pages: 40 Posted: 11 Dec 2010
Marta Banbura, Domenico Giannone and Lucrezia Reichlin
European Central Bank, Centre for Economic Policy Research (CEPR) and London Business School
Downloads 1,073 (25,390)
Citation 3

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Nowcasting, News, Factor Model, Forecasting

Nowcasting

CEPR Discussion Paper No. DP7883
Number of pages: 38 Posted: 19 Jul 2010
Marta Banbura, Domenico Giannone and Lucrezia Reichlin
European Central Bank, Centre for Economic Policy Research (CEPR) and London Business School
Downloads 5 (789,129)
Citation 10
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Factor Model, Forecasting, News, Nowcasting

2.

Now-Casting and the Real-time Data Flow

Downloads 612 ( 55,639)
Citation 49

Now-Casting and the Real-time Data Flow

ECB Working Paper No. 1564
Number of pages: 55 Posted: 12 Aug 2013
Marta Banbura, Domenico Giannone, Michele Modugno and Lucrezia Reichlin
European Central Bank, Centre for Economic Policy Research (CEPR), Board of Governors of the Federal Reserve System and London Business School
Downloads 606 (55,622)
Citation 4

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Macroeconomic News, Macroeconomic Forecasting, Real-Time Data, Mixed Frequency, State Space Models

Now-Casting and the Real-Time Data Flow

CEPR Discussion Paper No. DP9112
Number of pages: 54 Posted: 28 Sep 2012
Marta Banbura, Domenico Giannone, Michele Modugno and Lucrezia Reichlin
European Central Bank, Centre for Economic Policy Research (CEPR), Board of Governors of the Federal Reserve System and London Business School
Downloads 6 (780,728)
Citation 24
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Dynamic factor model, High-Dimensional Data, Macroeconomic forecasting, Macroeconomic News, Mixed-Frequency, Real-Time Data, State-Space Models

3.

Nowcasting GDP and Inflation: The Real-Time Informational Content of Macroeconomic Data Releases

Downloads 502 ( 71,284)
Citation 273

Nowcasting GDP and Inflation: The Real-Time Informational Content of Macroeconomic Data Releases

FEDS Working Paper No. 2005-42
Posted: 06 Jul 2021 Last Revised: 03 Jul 2021
Domenico Giannone, Lucrezia Reichlin and David H. Small
Centre for Economic Policy Research (CEPR), affiliation not provided to SSRN and affiliation not provided to SSRN

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Nowcasting GDP and Inflation: The Real-Time Informational Content of Macroeconomic Data Releases

ECB Working Paper No. 633, FEDs Working Paper No. 2005-42
Number of pages: 50 Posted: 05 Jan 2006
Domenico Giannone, Lucrezia Reichlin and David H. Small
Centre for Economic Policy Research (CEPR), London Business School and Board of Governors of the Federal Reserve System
Downloads 487 (73,176)
Citation 40

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Forecasting, monetary policy, factor model, real time data, large data sets, news

Nowcasting GDP and Inflation: The Real Time Informational Content of Macroeconomic Data Releases

CEPR Discussion Paper No. 5178
Number of pages: 47 Posted: 25 Aug 2005
Domenico Giannone, Lucrezia Reichlin and David H. Small
Centre for Economic Policy Research (CEPR), London Business School and Board of Governors of the Federal Reserve System
Downloads 15 (703,729)
Citation 57
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Forecasting, monetary policy, factor model, real time data, large datasets, news

4.

Economic Predictions with Big Data: The Illusion of Sparsity

Downloads 476 ( 76,437)
Citation 41

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
Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and Northwestern University - Department of Economics
Downloads 264 (146,529)
Citation 40

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model selection, shrinkage, high dimensional data

Economic Predictions with Big Data: The Illusion of Sparsity

ECB Working Paper No. 2021/2542
Number of pages: 50 Posted: 28 Apr 2021
Domenico Giannone, Michele Lenza and Giorgio E. Primiceri
Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and Northwestern University - Department of Economics
Downloads 211 (182,556)

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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
Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and Northwestern University - Department of Economics
Downloads 1 (830,200)
Citation 1
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5.

Non-Standard Monetary Policy Measures and Monetary Developments

Downloads 447 ( 81,944)
Citation 18

Non-Standard Monetary Policy Measures and Monetary Developments

ECB Working Paper No. 1290
Number of pages: 33 Posted: 16 Jan 2011
Domenico Giannone, Michele Lenza, Huw Pill and Lucrezia Reichlin
Centre for Economic Policy Research (CEPR), European Central Bank (ECB), European Central Bank (ECB) and London Business School
Downloads 444 (81,858)
Citation 1

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Non-standard monetary policy, monetary policy shocks, Great Recession, money and credit

Non-Standard Monetary Policy Measures and Monetary Developments

CEPR Discussion Paper No. DP8125
Number of pages: 29 Posted: 29 Nov 2010
Domenico Giannone, Michele Lenza, Huw Pill and Lucrezia Reichlin
Centre for Economic Policy Research (CEPR), European Central Bank (ECB), affiliation not provided to SSRN and London Business School
Downloads 3 (806,371)
Citation 1
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Credit, Great Recession, Monetary Policy Shocks, Money, Non-Standard Monetary Policy

6.

Common Factors of Commodity Prices

Downloads 392 ( 95,485)
Citation 15

Common Factors of Commodity Prices

ECB Working Paper No. 2112
Number of pages: 43 Posted: 20 Nov 2017
Simona Delle Chiaie, Laurent Ferrara and Domenico Giannone
European Central Bank, SKEMA Business School and Centre for Economic Policy Research (CEPR)
Downloads 244 (157,900)

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Commodity Prices, Dynamic Factor Models, Forecasting

Common Factors of Commodity Prices

Banque de France Working Paper No. 645
Number of pages: 37 Posted: 03 Oct 2017
Simona Delle Chiaie, Laurent Ferrara and Domenico Giannone
European Central Bank, SKEMA Business School and Centre for Economic Policy Research (CEPR)
Downloads 147 (249,674)
Citation 32

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Commodity prices, Dynamic factor models, Forecasting

Common Factors of Commodity Prices

CEPR Discussion Paper No. DP12767
Number of pages: 43 Posted: 06 Mar 2018
Simona Delle Chiaie, Laurent Ferrara and Domenico Giannone
European Central Bank, SKEMA Business School and Centre for Economic Policy Research (CEPR)
Downloads 1 (830,200)
Citation 1
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7.

The Financial and Macroeconomic Effects of OMT Announcements

ECB Working Paper No. 1707
Number of pages: 25 Posted: 06 Aug 2014
Carlo Altavilla, Domenico Giannone and Michele Lenza
European Central Bank (ECB), Centre for Economic Policy Research (CEPR) and European Central Bank (ECB)
Downloads 376 (100,201)
Citation 6

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Outright Monetary Transactions, event study, news, multi-country vector autoregressive model

8.

Macroeconomic Nowcasting and Forecasting with Big Data

Downloads 339 (112,503)
Citation 17

Macroeconomic Nowcasting and Forecasting with Big Data

FRB of NY Staff Report No. 830
Number of pages: 38 Posted: 22 Nov 2017
Brandyn Bok, Daniele Caratelli, Domenico Giannone, Argia M. Sbordone and Andrea Tambalotti
Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Centre for Economic Policy Research (CEPR), Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 337 (112,510)
Citation 4

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monitoring economic conditions, business cycle, macroeconomic data, large data sets, high-dimensional data, real-time data flow, factor model, state space models, Kalman filter

Macroeconomic Nowcasting and Forecasting with Big Data

CEPR Discussion Paper No. DP12589
Number of pages: 39 Posted: 16 Jan 2018
Brandyn Bok, Daniele Caratelli, Domenico Giannone, Argia M. Sbordone and Andrea Tambalotti
Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Centre for Economic Policy Research (CEPR), Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 2 (817,008)
Citation 15
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business cycle analysis, high-dimensional data, monitoring economic conditions, real-time data flow

Macroeconomic Nowcasting and Forecasting with Big Data

Annual Review of Economics, Vol. 10, pp. 615-643, 2018
Posted: 07 Sep 2018
Brandyn Bok, Domenico Giannone, Daniele Caratelli, Argia M. Sbordone and Andrea Tambalotti
Federal Reserve Banks - Federal Reserve Bank of New York, Centre for Economic Policy Research (CEPR), Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Bank of New York and Federal Reserve Bank of New York

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9.

Forecasting Using a Large Number of Predictors: Is Bayesian Regression a Valid Alternative to Principal Components?

Downloads 285 (135,472)
Citation 120

Forecasting Using a Large Number of Predictors: Is Bayesian Regression a Valid Alternative to Principal Components?

ECB Working Paper No. 700
Number of pages: 35 Posted: 28 Dec 2006
Christine De Mol, Domenico Giannone and Lucrezia Reichlin
Free University of Brussels (VUB/ULB) - European Center for Advanced Research in Economics and Statistics (ECARES), Centre for Economic Policy Research (CEPR) and London Business School
Downloads 235 (163,818)
Citation 3

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Bayesian VAR, ridge regression, Lasso regression, principal components, large cross-sections

Forecasting Using a Large Number of Predictors: Is Bayesian Regression a Valid Alternative to Principal Components?

Bundesbank Series 1 Discussion Paper No. 2006,32
Number of pages: 48 Posted: 08 Jun 2016
Christine De Mol, Domenico Giannone and Lucrezia Reichlin
Free University of Brussels (VUB/ULB) - European Center for Advanced Research in Economics and Statistics (ECARES), Centre for Economic Policy Research (CEPR) and London Business School
Downloads 26 (618,911)
Citation 4

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Bayesian VAR, ridge regression, Lasso regression, principal components, large cross-sections

Forecasting Using a Large Number of Predictors: Is Bayesian Regression a Valid Alternative to Principal Components?

CEPR Discussion Paper No. 5829
Number of pages: 29 Posted: 10 Nov 2006
Christine De Mol, Domenico Giannone and Lucrezia Reichlin
Free University of Brussels (VUB/ULB) - European Center for Advanced Research in Economics and Statistics (ECARES), Centre for Economic Policy Research (CEPR) and London Business School
Downloads 24 (633,596)
Citation 20
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Bayesian VAR, ridge regressions, Lasso regression, principal components, large cross-sections

10.

Large Bayesian VARs

ECB Working Paper No. 966
Number of pages: 44 Posted: 21 Nov 2008
Marta Banbura, Domenico Giannone and Lucrezia Reichlin
European Central Bank, Centre for Economic Policy Research (CEPR) and London Business School
Downloads 259 (149,353)
Citation 10

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Bayesian VAR, Forecasting, Monetary VAR, large cross-sections

11.

A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models

Downloads 256 (151,047)
Citation 100

A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models

ECB Working Paper No. 674
Number of pages: 37 Posted: 12 Sep 2006
Catherine Doz, Domenico Giannone and Lucrezia Reichlin
University of Cergy-Pontoise - Department of Economics, Centre for Economic Policy Research (CEPR) and London Business School
Downloads 233 (165,136)
Citation 7

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Factor Model, large cross-sections, Quasi Maximum Likelihood

A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models

CEPR Discussion Paper No. 5724
Number of pages: 31 Posted: 17 Aug 2006
Lucrezia Reichlin, Catherine Doz and Domenico Giannone
London Business School, University of Cergy-Pontoise - Department of Economics and Centre for Economic Policy Research (CEPR)
Downloads 23 (641,032)
Citation 26
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Factor model, large cross-sections, Quasi Maximum Likelihood

12.

Sparse and Stable Markowitz Portfolios

Downloads 253 (152,870)
Citation 51

Sparse and Stable Markowitz Portfolios

ECB Working Paper No. 936
Number of pages: 23 Posted: 30 Oct 2008
Joshua Brodie, Ingrid Daubechies, Christine De Mol, Domenico Giannone and Ignace Loris
Princeton University, Princeton University - Department of Mathematics, Free University of Brussels (VUB/ULB) - European Center for Advanced Research in Economics and Statistics (ECARES), Centre for Economic Policy Research (CEPR) and Vrije Universiteit Brussel (VUB)
Downloads 248 (155,446)
Citation 1

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Portfolio Choice, Sparse Portfolio, Penalized Regression

Sparse and Stable Markowitz Portfolios

CEPR Discussion Paper No. DP6474
Number of pages: 20 Posted: 30 May 2008
Joshua Brodie, Ingrid Daubechies, Christine De Mol and Domenico Giannone
Princeton University, Princeton University - Department of Mathematics, Free University of Brussels (VUB/ULB) - European Center for Advanced Research in Economics and Statistics (ECARES) and Centre for Economic Policy Research (CEPR)
Downloads 5 (789,129)
Citation 16
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Penalized Regression, Portfolio Choice, Sparse Portfolio

13.

(Un)Predictability and Macroeconomic Stability

Downloads 211 (182,023)
Citation 1

(Un)Predictability and Macroeconomic Stability

ECB Working Paper No. 605
Number of pages: 43 Posted: 24 Apr 2006
Antonello D'Agostino, Domenico Giannone and Paolo Surico
European Stability Mechanism, Centre for Economic Policy Research (CEPR) and London Business School - Department of Economics
Downloads 209 (183,412)

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predictive accuracy, macroeconomic stability, forecasting models, sub-sample analysis, Fed Greenbook

(Un)Predictability and Macroeconomic Stability

CEPR Discussion Paper No. DP6594
Number of pages: 33 Posted: 06 Jun 2008
Antonello D'Agostino, Domenico Giannone and Paolo Surico
European Stability Mechanism, Centre for Economic Policy Research (CEPR) and London Business School - Department of Economics
Downloads 2 (817,008)
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Fed Greenbook, forecasting models, predictability, Survey of Professional Forecasts

14.

Global Trends in Interest Rates

Downloads 201 (190,333)
Citation 40

Global Trends in Interest Rates

FRB of New York Staff Report No. 866
Number of pages: 67 Posted: 21 Sep 2018
Marco Del Negro, Domenico Giannone, Marc P. Giannoni and Andrea Tambalotti
Federal Reserve Bank of New York, Centre for Economic Policy Research (CEPR), Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Bank of New York
Downloads 150 (245,598)

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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: 29 Apr 2020
Marco Del Negro, Domenico Giannone, Marc P. Giannoni and Andrea Tambalotti
Federal Reserve Bank of New York, Centre for Economic Policy Research (CEPR), Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Bank of New York
Downloads 41 (530,257)
Citation 24

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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 Last Revised: 02 Jun 2021
Marco Del Negro, Domenico Giannone, Marc P. Giannoni and Andrea Tambalotti
Federal Reserve Bank of New York, Centre for Economic Policy Research (CEPR), Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Bank of New York
Downloads 10 (746,343)
Citation 6

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15.

Money, Credit, Monetary Policy and the Business Cycle in the Euro Area: What Has Changed since the Crisis?

Downloads 186 (204,063)
Citation 21

Money, Credit, Monetary Policy and the Business Cycle in the Euro Area: What Has Changed since the Crisis?

ECB Working Paper No. 2226 (2019); ISBN 978-92-899-3488-6
Number of pages: 42 Posted: 01 Feb 2019
Domenico Giannone, Michele Lenza and Lucrezia Reichlin
Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and London Business School
Downloads 160 (232,579)
Citation 1

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money, loans, non-financial corporations, monetary policy, euro area

Money, Credit, Monetary Policy, and the Business Cycle in the Euro Area: What Has Changed Since the Crisis?

FRB of New York Staff Report No. 885 (2019)
Number of pages: 31
Domenico Giannone, Michele Lenza and Lucrezia Reichlin
Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and London Business School
Downloads 26 (618,911)
Citation 14

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money, loans, nonfinancial corporations, monetary policy, euro area

16.

Market Freedom and the Global Recession

Downloads 186 (204,063)
Citation 41

Market Freedom and the Global Recession

ECGI - Finance Working Paper No. 288/2010
Number of pages: 29 Posted: 18 Jun 2010
Domenico Giannone, Michele Lenza and Lucrezia Reichlin
Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and London Business School
Downloads 183 (206,994)
Citation 32

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Market freedom, Recession, Financial Crisis

Market Freedom and the Global Recession

CEPR Discussion Paper No. DP7884
Number of pages: 26 Posted: 19 Jul 2010
Domenico Giannone, Michele Lenza and Lucrezia Reichlin
Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and London Business School
Downloads 3 (806,371)
Citation 9
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Financial Crisis, Market freedom, Recession

17.

Short-term Forecasts of Euro Area GDP Growth

Downloads 183 (207,040)
Citation 52

Short-term Forecasts of Euro Area GDP Growth

ECB Working Paper No. 949
Number of pages: 31 Posted: 16 Nov 2008
Elena Angelini, Gonzalo Camba-Mendez, Domenico Giannone, Lucrezia Reichlin and Gerhard Rünstler
European Central Bank (ECB), European Central Bank (ECB), Centre for Economic Policy Research (CEPR), London Business School and European Central Bank
Downloads 179 (211,083)
Citation 2

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Forecasting, Monetary Policy, Factor Model, Real Time Data, Large datasets, News

Short-Term Forecasts of Euro Area GDP Growth

CEPR Discussion Paper No. DP6746
Number of pages: 25 Posted: 10 Jun 2008
Elena Angelini, Gonzalo Camba-Mendez, Domenico Giannone, Lucrezia Reichlin and Gerhard Rünstler
European Central Bank (ECB), European Central Bank (ECB), Centre for Economic Policy Research (CEPR), London Business School and European Central Bank
Downloads 4 (797,615)
Citation 4
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Factor Model, Forecasting, Large data-sets, Monetary Policy, News, Real Time Data

18.

Opening the Black Box: Structural Factor Models with Large Cross-Sections

ECB Working Paper No. 712
Number of pages: 41 Posted: 19 Jan 2007
Mario Forni, Domenico Giannone, Marco Lippi and Lucrezia Reichlin
Università degli studi di Modena e Reggio Emilia (UNIMORE) - Faculty of Business and Economics, Centre for Economic Policy Research (CEPR), Dipartimento di Scienze Economiche (DiSSE) and London Business School
Downloads 150 (244,988)
Citation 16

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Dynamic factor models, structural VARs, identification, fundamentalness

19.

Monetary Policy in Real Time

Downloads 141 (257,429)
Citation 103

Monetary Policy in Real Time

IGIER Working Paper No. 284
Number of pages: 33 Posted: 04 Apr 2005
Domenico Giannone, Lucrezia Reichlin and Luca Sala
Centre for Economic Policy Research (CEPR), London Business School and University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
Downloads 110 (310,929)
Citation 16

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Taylor rules, real time analysis, monetary policy, forecasting, large datasets

Monetary Policy in Real Time

CEPR Discussion Paper No. 4981
Number of pages: 35 Posted: 01 Aug 2005
Domenico Giannone, Lucrezia Reichlin and Luca Sala
Centre for Economic Policy Research (CEPR), London Business School and University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
Downloads 31 (585,799)
Citation 10
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Taylor rules, real time analysis, monetary policy, forecasting, large datasets

20.

Business Cycles in the Euro Area

Downloads 140 (258,856)
Citation 27

Business Cycles in the Euro Area

ECB Working Paper No. 1010
Number of pages: 41 Posted: 05 Mar 2009
Domenico Giannone, Michele Lenza and Lucrezia Reichlin
Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and London Business School
Downloads 92 (350,436)

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Euro area, International Business Cycle, European monetary union, European integration

Business Cycles in the Euro Area

NBER Working Paper No. w14529
Number of pages: 33 Posted: 09 Dec 2008 Last Revised: 13 Sep 2021
Domenico Giannone, Michele Lenza and Lucrezia Reichlin
Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and London Business School
Downloads 44 (515,623)

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Business Cycles in the Euro Area

CEPR Discussion Paper No. DP7124
Number of pages: 35 Posted: 18 Feb 2009
Domenico Giannone, Michele Lenza and Lucrezia Reichlin
Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and London Business School
Downloads 4 (797,615)
Citation 7
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euro area, European integration, European monetary union, international business cycles

21.

Trends and Cycles in the Euro Area: How Much Heterogeneity and Should We Worry About it?

ECB Working Paper No. 595
Number of pages: 48 Posted: 25 Apr 2006
Domenico Giannone and Lucrezia Reichlin
Centre for Economic Policy Research (CEPR) and London Business School
Downloads 137 (263,335)
Citation 1

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International Business Cycles, Euro Area, Risk Sharing, European Integration, Income Insurance

22.

Explaining the Great Moderation: It is Not the Shocks

Downloads 136 (264,874)
Citation 44

Explaining the Great Moderation: It is Not the Shocks

ECB Working Paper No. 865
Number of pages: 20 Posted: 26 Feb 2008
Domenico Giannone, Michele Lenza and Lucrezia Reichlin
Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and London Business School
Downloads 135 (267,308)

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Shocks, Information, Great Moderation

Explaining the Great Moderation: It is Not the Shocks

CEPR Discussion Paper No. DP6600
Number of pages: 15 Posted: 06 Jun 2008
Domenico Giannone, Michele Lenza and Lucrezia Reichlin
Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and London Business School
Downloads 1 (830,200)
Citation 1
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Great Moderation, Information, Shocks

23.

Vulnerable Growth

Downloads 128 (277,254)
Citation 131

Vulnerable Growth

FRB of NY Staff Report No. 794
Number of pages: 56 Posted: 30 Sep 2016 Last Revised: 15 Nov 2017
Tobias Adrian, Nina Boyarchenko and Domenico Giannone
International Monetary Fund, Federal Reserve Bank of New York and Centre for Economic Policy Research (CEPR)
Downloads 128 (278,354)
Citation 3

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Downside risk, entropy, quantile regressions

Vulnerable Growth

CEPR Discussion Paper No. DP11583
Number of pages: 46 Posted: 24 Oct 2016
Tobias Adrian, Nina Boyarchenko and Domenico Giannone
International Monetary Fund, Federal Reserve Bank of New York and Centre for Economic Policy Research (CEPR)
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Citation 105
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24.

The Feldstein-Horioka Fact

Downloads 128 (277,254)
Citation 10

The Feldstein-Horioka Fact

ECB Working Paper No. 873
Number of pages: 30 Posted: 26 Feb 2008
Domenico Giannone and Michele Lenza
Centre for Economic Policy Research (CEPR) and European Central Bank (ECB)
Downloads 81 (379,633)

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Saving-Investment Correlation, Capital Mobility, International Comovement, Dynamic Factor Model

The Feldstein-Horioka Fact

Number of pages: 24 Posted: 28 Oct 2004
Domenico Giannone and Michele Lenza
Centre for Economic Policy Research (CEPR) and European Central Bank (ECB)
Downloads 27 (611,907)
Citation 2
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Saving-correlation, capital mobility, international co-movement, dynamic factor model

The Feldstein-Horioka Fact

NBER Working Paper No. w15519
Number of pages: 21 Posted: 18 Nov 2009 Last Revised: 29 May 2021
Domenico Giannone and Michele Lenza
Centre for Economic Policy Research (CEPR) and European Central Bank (ECB)
Downloads 20 (664,024)

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25.

Vars, Common Factors and the Empirical Validation of Equilibrium Business Cycle Models

Downloads 114 (301,527)
Citation 30

Vars, Common Factors and the Empirical Validation of Equilibrium Business Cycle Models

IGIER Working Paper No. 258
Number of pages: 24 Posted: 05 May 2004
Luca Sala, Domenico Giannone and Lucrezia Reichlin
University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER), Centre for Economic Policy Research (CEPR) and London Business School
Downloads 95 (343,317)
Citation 1

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Dynamic factor models, structural VARs, identification, equilibrium business cycle models

Vars, Common Factors and the Empirical Validation of Equilibrium Business Cycle Models

Number of pages: 28 Posted: 05 Feb 2003
Domenico Giannone, Lucrezia Reichlin and Luca Sala
Centre for Economic Policy Research (CEPR), London Business School and University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
Downloads 19 (671,915)
Citation 3
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Dynamic factor models, structural VARs, identification, equilibrium business cycle models

26.

Low Frequency Effects of Macroeconomic News on Government Bond Yields

FEDS Working Paper No. 2014-52
Number of pages: 37 Posted: 10 Aug 2014
Carlo Altavilla, Domenico Giannone and Michele Modugno
European Central Bank (ECB), Centre for Economic Policy Research (CEPR) and Board of Governors of the Federal Reserve System
Downloads 101 (327,527)
Citation 8

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Macroeconomic announcements, treasury bond yields

27.

Macroeconomic Forecasting and Structural Change

Downloads 97 (336,267)

Macroeconomic Forecasting and Structural Change

ECB Working Paper No. 1167
Number of pages: 35 Posted: 19 Apr 2010
Antonello D'Agostino, Luca Gambetti and Domenico Giannone
European Stability Mechanism, Universitat Pompeu Fabra - Department of Economics and Business (DEB) and Centre for Economic Policy Research (CEPR)
Downloads 91 (353,004)

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Forecasting, Inflation, Stochastic Volatility, Time Varying Vector Autoregression

Macroeconomic Forecasting and Structural Change

CEPR Discussion Paper No. DP7542
Number of pages: 31 Posted: 17 Nov 2009
Antonello D'Agostino, Luca Gambetti and Domenico Giannone
European Stability Mechanism, Universitat Pompeu Fabra - Department of Economics and Business (DEB) and Centre for Economic Policy Research (CEPR)
Downloads 6 (780,728)
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Forecasting, Inflation, Stochastic Volatility, Time Varying Vector Autoregression

28.

Nowcasting with Large Bayesian Vector Autoregressions

Downloads 94 (342,954)
Citation 1

Nowcasting with Large Bayesian Vector Autoregressions

ECB Working Paper No. 20202453
Number of pages: 30 Posted: 13 Aug 2020
Jacopo Cimadomo, Domenico Giannone, Michele Lenza, Andrej Sokol and Francesca V. Monti
European Central Bank, Centre for Economic Policy Research (CEPR), European Central Bank (ECB), Bank of England and European Central Bank
Downloads 94 (345,636)

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Nowcasting with Large Bayesian Vector Autoregressions

CEPR Discussion Paper No. DP15854
Number of pages: 37 Posted: 02 Mar 2021
Jacopo Cimadomo, Domenico Giannone, Michele Lenza, Francesca Monti and Andrej Sokol
European Central Bank, Centre for Economic Policy Research (CEPR), European Central Bank (ECB), King's College London - King's Business School and Bank of England
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29.

Safety, Liquidity, and the Natural Rate of Interest

FRB of NY Staff Report No. 812
Number of pages: 82 Posted: 12 May 2017
Marco Del Negro, Domenico Giannone, Marc P. Giannoni and Andrea Tambalotti
Federal Reserve Bank of New York, Centre for Economic Policy Research (CEPR), Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Bank of New York
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Citation 45

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

30.

Prior Selection for Vector Autoregressions

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Citation 136

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
Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and Northwestern University - Department of Economics
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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: 18 Jun 2021
Domenico Giannone, Michele Lenza and Giorgio E. Primiceri
Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and Northwestern University - Department of Economics
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Citation 60

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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
Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and Northwestern University - Department of Economics
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Citation 9
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Bayesian Methods, Forecasting, Hierarchical Modeling, Impulse Responses, Marginal Likelihood

31.

Does Information Help Recovering Structural Shocks from Past Observations?

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Citation 49

Does Information Help Recovering Structural Shocks from Past Observations?

ECB Working Paper No. 632
Number of pages: 20 Posted: 09 Jun 2006
Domenico Giannone and Lucrezia Reichlin
Centre for Economic Policy Research (CEPR) and London Business School
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Identification, Information, Invertibility, Structural VAR

Does Information Help Recovering Structural Shocks from Past Observations?

CEPR Discussion Paper No. 5725
Number of pages: 15 Posted: 17 Aug 2006
Lucrezia Reichlin and Domenico Giannone
London Business School and Centre for Economic Policy Research (CEPR)
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Identification, information, invertibility, structural VAR

32.

Unspanned Macroeconomic Factors in the Yield Curve

FEDS Working Paper No. 2014-57
Number of pages: 49 Posted: 23 Aug 2014
Laura Coroneo, Domenico Giannone and Michele Modugno
University of York - Department of Economics and Related Studies, Centre for Economic Policy Research (CEPR) and Board of Governors of the Federal Reserve System
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Citation 21

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Yield curve, government bonds, factor models, forecasting

33.

Multimodality in Macro-Financial Dynamics

FRB of New York Staff Report No. 903
Number of pages: 52 Posted: 20 Nov 2019 Last Revised: 05 Dec 2020
Tobias Adrian, Nina Boyarchenko and Domenico Giannone
International Monetary Fund, Federal Reserve Bank of New York and Centre for Economic Policy Research (CEPR)
Downloads 83 (370,428)
Citation 13

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density impulse response, multimodality, nonparametric density estimator

34.

Nowcasting Business Cycles: A Bayesian Approach to Dynamic Heterogeneous Factor Models

FEDS Working Paper No. 2015-066, http://dx.doi.org/10.17016/FEDS.2015.066
Number of pages: 25 Posted: 26 Aug 2015
Antonello D'Agostino, Domenico Giannone, Michele Lenza and Michele Modugno
European Stability Mechanism, Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and Board of Governors of the Federal Reserve System
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Business Cycles, Current Economic Conditions, Dynamic Factor Models, Dynamic Heterogeneity, Nowcasting, Real Time

35.

Comparing Alternative Predictors Based on Large-Panel Factor Models

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Citation 3

Comparing Alternative Predictors Based on Large-Panel Factor Models

ECB Working Paper No. 680
Number of pages: 49 Posted: 26 Oct 2006
Antonello D'Agostino and Domenico Giannone
European Stability Mechanism and Centre for Economic Policy Research (CEPR)
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Factor models, forecasting, large cross-section

Comparing Alternative Predictors Based on Large-Panel Factor Models

CEPR Discussion Paper No. DP6564
Number of pages: 38 Posted: 06 Jun 2008
Antonello D'Agostino and Domenico Giannone
European Stability Mechanism and Centre for Economic Policy Research (CEPR)
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Factor Models, Forecasting, Large Cross-Section

36.

The ECB and the Interbank Market

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Citation 41

The ECB and the Interbank Market

ECB Working Paper No. 1496
Number of pages: 32 Posted: 04 Dec 2012
Domenico Giannone, Michele Lenza, Huw Pill and Lucrezia Reichlin
Centre for Economic Policy Research (CEPR), European Central Bank (ECB), Goldman Sachs, Australia and London Business School
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non-standard monetary policy measures, interbank market

The ECB and the Interbank Market

CEPR Discussion Paper No. DP8844
Number of pages: 25 Posted: 01 Mar 2012
Domenico Giannone, Michele Lenza, Huw Pill and Lucrezia Reichlin
Centre for Economic Policy Research (CEPR), European Central Bank (ECB), affiliation not provided to SSRN and London Business School
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interbank market, Non-standard monetary policy measures

37.

The Effectiveness of Nonstandard Monetary Policy Measures: Evidence from Survey Data

FRB of NY Staff Report No. 752
Number of pages: 23 Posted: 10 Dec 2015 Last Revised: 30 Aug 2017
Domenico Giannone and Carlo Altavilla
Centre for Economic Policy Research (CEPR) and European Central Bank (ECB)
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Citation 6

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Survey of Professional Forecasters, large-scale asset purchases, quantitative easing, Operation Twist, forward guidance, tapering

38.

Exploiting the Monthly Data Flow in Structural Forecasting

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Citation 6

Exploiting the Monthly Data Flow in Structural Forecasting

Bank of England Working Paper No. 509
Number of pages: 27 Posted: 13 Sep 2014
Domenico Giannone, Francesca Monti and Lucrezia Reichlin
Centre for Economic Policy Research (CEPR), Bank of England and London Business School
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Forecasting, temporal aggregation, mixed frequency data, large data sets

Exploiting the Monthly Data Flow in Structural Forecasting

FRB of NY Staff Report No. 751
Number of pages: 45 Posted: 10 Dec 2015 Last Revised: 30 Aug 2017
Domenico Giannone
Centre for Economic Policy Research (CEPR)
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Citation 3

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DSGE models, forecasting, temporal aggregation, mixed-frequency data, large data sets

39.

An Area-Wide Real-Time Database for the Euro Area

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Citation 20

An Area-Wide Real-Time Database for the Euro Area

ECB Working Paper No. 1145
Number of pages: 122 Posted: 26 Jan 2010
Domenico Giannone, Jerome Henry, Magdalena Lalik and Michele Modugno
Centre for Economic Policy Research (CEPR), European Central Bank (ECB), European Central Bank and Board of Governors of the Federal Reserve System
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Citation 17

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real-time, euro area, revisions, database

An Area-Wide Real-Time Database for the Euro Area

CEPR Discussion Paper No. DP7673
Number of pages: 119 Posted: 08 Feb 2010
Domenico Giannone, Jerome Henry, Magdalena Lalik and Michele Modugno
Centre for Economic Policy Research (CEPR), European Central Bank (ECB), European Central Bank and Board of Governors of the Federal Reserve System
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database, euro area, real-time, revisions

40.

Priors for the Long Run

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Citation 19

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
Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and Northwestern University - Department of Economics
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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
Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and Northwestern University - Department of Economics
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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
Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and Northwestern University - Department of Economics
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Citation 15
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41.

Bank Capital and Real GDP Growth

FRB of New York Staff Report No. 950
Number of pages: 50 Posted: 08 Dec 2020
Nina Boyarchenko, Domenico Giannone and Anna Kovner
Federal Reserve Bank of New York, Centre for Economic Policy Research (CEPR) and Federal Reserve Bank of New York
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capital ratios, growth-at-risk, quantile regressions, threshold regressions

42.

Flighty Liquidity

FRB of New York Staff Report No. 870
Number of pages: 57 Posted: 23 Oct 2018 Last Revised: 17 Mar 2019
Nina Boyarchenko, Domenico Giannone and Or Shachar
Federal Reserve Bank of New York, Centre for Economic Policy Research (CEPR) and Federal Reserve Bank of New York
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corporate bond liquidity, liquidity uncertainty, quantile regressions

43.

The Effectiveness of Non-Standard Monetary Policy Measures: Evidence from Survey Data

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Citation 15

The Effectiveness of Non-Standard Monetary Policy Measures: Evidence from Survey Data

ECB Working Paper No. 1951
Number of pages: 25 Posted: 30 Aug 2016
Carlo Altavilla and Domenico Giannone
European Central Bank (ECB) and Centre for Economic Policy Research (CEPR)
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survey of professional forecasters, large scale asset purchases, quantitative easing, operation twist, forward guidance, tapering

The Effectiveness of Non-Standard Monetary Policy Measures: Evidence from Survey Data

CEPR Discussion Paper No. DP10001
Number of pages: 28 Posted: 25 Sep 2014
Carlo Altavilla and Domenico Giannone
European Central Bank (ECB) and Centre for Economic Policy Research (CEPR)
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Citation 9
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Forward Guidance, Large Scale Asset Purchases, Operation Twist, Quantitative Easing, Survey of Professional Forecasters, Tapering

44.

Conditional Forecasts and Scenario Analysis with Vector Autoregressions for Large Cross-Sections

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Citation 33

Conditional Forecasts and Scenario Analysis with Vector Autoregressions for Large Cross-Sections

ECB Working Paper No. 1733
Number of pages: 48 Posted: 20 Sep 2014
Marta Banbura, Domenico Giannone and Michele Lenza
European Central Bank, Centre for Economic Policy Research (CEPR) and European Central Bank (ECB)
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vector autoregression, Bayesian shrinkage, dynamic factor model, conditional forecast, large cross-sections

Conditional Forecasts and Scenario Analysis with Vector Autoregressions for Large Cross-Sections

CEPR Discussion Paper No. DP9931
Number of pages: 39 Posted: 02 Jun 2014
Marta Banbura, Domenico Giannone and Michele Lenza
European Central Bank, Centre for Economic Policy Research (CEPR) and European Central Bank (ECB)
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Citation 12
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Bayesian Shrinkage, Conditional Forecast, Dynamic Factor Model, Large Cross-Sections, Vector Autoregression

45.

Forecasting Macroeconomic Risks

FRB of New York Staff Report No. 914
Number of pages: 33 Posted: 21 Feb 2020
Patrick A. Adams, Tobias Adrian, Nina Boyarchenko and Domenico Giannone
Massachusetts Institute of Technology (MIT) - Sloan School of Management, International Monetary Fund, Federal Reserve Bank of New York and Centre for Economic Policy Research (CEPR)
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Citation 3

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macroeconomic uncertainty, quantile regressions, financial conditions

46.

Changing Risk-Return Profiles

FRB of New York Staff Report No. 850
Number of pages: 67 Posted: 15 Jun 2018
Richard K. Crump, Domenico Giannone and Sean Hundtofte
Federal Reserve Banks - Federal Reserve Bank of New York, Centre for Economic Policy Research (CEPR) and NYU Stern
Downloads 38 (533,925)
Citation 2

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stock returns, realized volatility, density forecasts, optimal pools, Dodd-Frank, financial intermediation, financial conditions

47.

Tracking Greenspan: Systematic and Unsystematic Monetary Policy Revisited

Number of pages: 47 Posted: 25 Oct 2002
Domenico Giannone, Lucrezia Reichlin and Luca Sala
Centre for Economic Policy Research (CEPR), London Business School and University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
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Citation 2
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Monetary policy, Taylor rules, monetary shocks, signal extraction, dynamic factor models

48.

Back to the Present: Learning About the Euro Area Through a Now-Casting Model

International Finance Discussion Paper No. 1313
Number of pages: 46 Posted: 14 Jun 2021
Danilo Cascaldi-Garcia, Thiago R.T. Ferreira, Domenico Giannone and Michele Modugno
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Centre for Economic Policy Research (CEPR) and Board of Governors of the Federal Reserve System
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49.

A Large Bayesian VAR of the United States Economy

FRB of New York Staff Report No. 976
Number of pages: 65 Posted: 21 Aug 2021
Richard K. Crump, Stefano Eusepi, Domenico Giannone, Eric Qian and Argia M. Sbordone
Federal Reserve Banks - Federal Reserve Bank of New York, University of Texas at Austin, Centre for Economic Policy Research (CEPR), Princeton University and Federal Reserve Bank of New York
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bayesian vector autoregressions, conditional forecasts, scenario analyses, financial conditions index

50.

Bayesian VARs with Large Panels

CEPR Discussion Paper No. DP6326
Number of pages: 28 Posted: 23 May 2008
Marta Banbura, Domenico Giannone and Lucrezia Reichlin
European Central Bank, Centre for Economic Policy Research (CEPR) and London Business School
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Citation 2
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Bayesian VAR, forecasting, large cross-sections, monetary VAR

51.

A Two-Step Estimator for Large Approximate Dynamic Factor Models Based on Kalman Filtering

CEPR Discussion Paper No. 6043
Number of pages: 45 Posted: 28 Jun 2007
Catherine Doz, Domenico Giannone and Lucrezia Reichlin
University of Cergy-Pontoise - Department of Economics, Centre for Economic Policy Research (CEPR) and London Business School
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Citation 75
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Factor Models, Kalman filter, large cross-sections, principal components

52.

Short-Term Inflation Projections: A Bayesian Vector Autoregressive Approach

CEPR Discussion Paper No. DP7746
Number of pages: 30 Posted: 29 Mar 2010
Domenico Giannone, Michele Lenza, Daphne Momferatou and Luca Onorante
Centre for Economic Policy Research (CEPR), European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
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Citation 9
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Bayesian VAR, Forecast, Inflation

53.

Optimal Combination of Survey Forecasts

CEPR Discussion Paper No. DP9096
Number of pages: 21 Posted: 28 Sep 2012
Cristina Conflitti, Christine De Mol and Domenico Giannone
affiliation not provided to SSRN, Free University of Brussels (VUB/ULB) - European Center for Advanced Research in Economics and Statistics (ECARES) and Centre for Economic Policy Research (CEPR)
Downloads 5 (757,522)
Citation 6
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forecast combination, forecast evaluation, high-dimensional data, real-time data, shrinkage, Survey of Professional Forecasters

54.

Money, Credit, Monetary Policy and the Business Cycle in the Euro Area

CEPR Discussion Paper No. DP8944
Number of pages: 34 Posted: 25 May 2012
Domenico Giannone, Michele Lenza and Lucrezia Reichlin
Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and London Business School
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euro area, loans, monetary policy, Money, non-financial corporations

55.

A New Core Inflation Indicator for New Zealand

CEPR Discussion Paper No. DP6469
Number of pages: 35 Posted: 30 May 2008
Domenico Giannone and Troy Matheson
Centre for Economic Policy Research (CEPR) and Government of New Zealand - Department of Economics
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Citation 1
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Core inflation, Monetary policy

56.

Comparing Alternative Predictors Based on Large‐Panel Factor Models

Oxford Bulletin of Economics and Statistics, Vol. 74, Issue 2, pp. 306-326, 2012
Number of pages: 21 Posted: 10 Feb 2012
Antonello D’ Agostino and Domenico Giannone
European Stability Mechanism and Centre for Economic Policy Research (CEPR)
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57.

Forecasting Macroeconomic Risks

CEPR Discussion Paper No. DP14436
Number of pages: 35 Posted: 03 Mar 2020
Patrick Adams, Tobias Adrian, Nina Boyarchenko and Domenico Giannone
Massachusetts Institute of Technology (MIT), International Monetary Fund, Federal Reserve Bank of New York and Centre for Economic Policy Research (CEPR)
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58.

Multimodality in Macro-Financial Dynamics

CEPR Discussion Paper No. DP15088
Number of pages: 60 Posted: 28 Jul 2020 Last Revised: 21 Aug 2020
Tobias Adrian, Nina Boyarchenko and Domenico Giannone
International Monetary Fund, Federal Reserve Bank of New York and Centre for Economic Policy Research (CEPR)
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59.

The Financial and Macroeconomic Effects of OMT Announcements

CEPR Discussion Paper No. DP10025
Number of pages: 26 Posted: 25 Sep 2014
Carlo Altavilla, Domenico Giannone and Michele Lenza
European Central Bank (ECB), Centre for Economic Policy Research (CEPR) and European Central Bank (ECB)
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Citation 21
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event study, multi-country vector autoregressive model, news, Outright Monetary Transactions