Domenico Giannone

Federal Reserve Banks - Federal Reserve Bank of New York

33 Liberty Street

New York, NY 10045

United States

Centre for Economic Policy Research (CEPR)

London

United Kingdom

  • Federal Reserve Banks - Federal Reserve Bank of New York

SCHOLARLY PAPERS

51

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Scholarly Papers (51)

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1.

Now-Casting and the Real-time Data Flow

Downloads 534 ( 50,630)
Citation 31

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, Federal Reserve Banks - Federal Reserve Bank of New York, Board of Governors of the Federal Reserve System and London Business School
Downloads 528 (50,785)
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, Federal Reserve Banks - Federal Reserve Bank of New York, Board of Governors of the Federal Reserve System and London Business School
Downloads 6 (631,969)
Citation 4
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Dynamic factor model, High-Dimensional Data, Macroeconomic forecasting, Macroeconomic News, Mixed-Frequency, Real-Time Data, State-Space Models

2.

Non-Standard Monetary Policy Measures and Monetary Developments

Downloads 437 ( 65,032)
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
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB), European Central Bank (ECB) and London Business School
Downloads 434 (64,974)
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
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB), affiliation not provided to SSRN and London Business School
Downloads 3 (655,884)
Citation 1
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Credit, Great Recession, Monetary Policy Shocks, Money, Non-Standard Monetary Policy

3.

Nowcasting

Downloads 435 ( 65,413)
Citation 10

Nowcasting

ECB Working Paper No. 1275
Number of pages: 40 Posted: 11 Dec 2010
Marta Banbura, Domenico Giannone and Lucrezia Reichlin
European Central Bank, Federal Reserve Banks - Federal Reserve Bank of New York and London Business School
Downloads 430 (65,703)
Citation 2

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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, Federal Reserve Banks - Federal Reserve Bank of New York and London Business School
Downloads 5 (639,282)
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Factor Model, Forecasting, News, Nowcasting

4.

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

Downloads 412 ( 69,866)
Citation 222

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
Federal Reserve Banks - Federal Reserve Bank of New York, London Business School and Federal Reserve Board - Monetary Studies Section
Downloads 397 (72,330)
Citation 23

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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
Federal Reserve Banks - Federal Reserve Bank of New York, London Business School and Federal Reserve Board - Monetary Studies Section
Downloads 15 (569,761)
Citation 7
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Forecasting, monetary policy, factor model, real time data, large datasets, news

5.

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), Federal Reserve Banks - Federal Reserve Bank of New York and European Central Bank (ECB)
Downloads 288 (104,806)
Citation 4

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

6.

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

Downloads 257 (118,129)
Citation 97

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), Federal Reserve Banks - Federal Reserve Bank of New York and London Business School
Downloads 217 (139,550)
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?

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), Federal Reserve Banks - Federal Reserve Bank of New York and London Business School
Downloads 24 (511,950)
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Bayesian VAR, ridge regressions, 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), Federal Reserve Banks - Federal Reserve Bank of New York and London Business School
Downloads 16 (563,205)
Citation 4

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

7.

A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models

Downloads 243 (125,119)
Citation 74

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, Federal Reserve Banks - Federal Reserve Bank of New York and London Business School
Downloads 220 (137,632)
Citation 4

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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 Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 23 (518,058)
Citation 2
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Factor model, large cross-sections, Quasi Maximum Likelihood

8.

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, Federal Reserve Banks - Federal Reserve Bank of New York and London Business School
Downloads 239 (127,230)
Citation 1

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

9.

Sparse and Stable Markowitz Portfolios

Downloads 236 (128,835)
Citation 38

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), Federal Reserve Banks - Federal Reserve Bank of New York and Vrije Universiteit Brussel (VUB)
Downloads 231 (131,112)

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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 Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 5 (639,282)
Citation 2
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Penalized Regression, Portfolio Choice, Sparse Portfolio

10.

(Un)Predictability and Macroeconomic Stability

Downloads 195 (154,642)
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, Federal Reserve Banks - Federal Reserve Bank of New York and London Business School - Department of Economics
Downloads 193 (156,041)

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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, Federal Reserve Banks - Federal Reserve Bank of New York and London Business School - Department of Economics
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Fed Greenbook, forecasting models, predictability, Survey of Professional Forecasts

11.

Common Factors of Commodity Prices

Downloads 192 (156,867)
Citation 1

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, Banque de France and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 106 (254,917)

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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, Banque de France and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 85 (295,291)
Citation 1

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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, Banque de France and Federal Reserve Banks - Federal Reserve Bank of New York
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12.

Market Freedom and the Global Recession

Downloads 176 (169,673)
Citation 40

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
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB) and London Business School
Downloads 173 (172,352)
Citation 28

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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
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB) and London Business School
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Citation 7
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Financial Crisis, Market freedom, Recession

13.

Short-term Forecasts of Euro Area GDP Growth

Downloads 174 (171,418)
Citation 49

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), Federal Reserve Banks - Federal Reserve Bank of New York, London Business School and European Central Bank
Downloads 169 (175,960)
Citation 1

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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), Federal Reserve Banks - Federal Reserve Bank of New York, London Business School and European Central Bank
Downloads 4 (646,980)
Citation 1
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Factor Model, Forecasting, Large data-sets, Monetary Policy, News, Real Time Data

Short-Term Forecasts of Euro Area GDP Growth

The Econometrics Journal, Vol. 14, Issue 1, pp. C25-C44, 2011
Number of pages: 20 Posted: 28 Feb 2011
Elena Angelini, Gonzalo Camba-Mendez, Domenico Giannone, Lucrezia Reichlin and Gerhard Rnstler
European Central Bank (ECB), European Central Bank (ECB), Federal Reserve Banks - Federal Reserve Bank of New York, London Business School and affiliation not provided to SSRN
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Factor model, Forecasting, Large data sets, Monetary policy, News, Real-time data

14.

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, Federal Reserve Banks - Federal Reserve Bank of New York, Dipartimento di Scienze Economiche (DiSSE) and London Business School
Downloads 145 (199,936)
Citation 5

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Dynamic factor models, structural VARs, identification, fundamentalness

15.

Macroeconomic Nowcasting and Forecasting with Big Data

Downloads 136 (210,580)
Citation 2

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, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 134 (213,744)

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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, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 2 (667,077)
Citation 1
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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, Federal Reserve Banks - Federal Reserve Bank of New York, 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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16.

Monetary Policy in Real Time

Downloads 135 (211,858)
Citation 94

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
Federal Reserve Banks - Federal Reserve Bank of New York, London Business School and University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
Downloads 104 (258,387)
Citation 12

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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
Federal Reserve Banks - Federal Reserve Bank of New York, London Business School and University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
Downloads 31 (472,266)
Citation 3
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Taylor rules, real time analysis, monetary policy, forecasting, large datasets

17.

Explaining the Great Moderation: It is Not the Shocks

Downloads 134 (213,090)
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
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB) and London Business School
Downloads 133 (215,085)

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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
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB) and London Business School
Downloads 1 (681,517)
Citation 1
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Great Moderation, Information, Shocks

18.

Global Trends in Interest Rates

Downloads 130 (218,238)
Citation 4

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, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Bank of New York
Downloads 96 (272,814)

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

Global Trends in Interest Rates

FRB of Dallas Working Paper No. 1812
Number of pages: 68 Posted: 25 Oct 2018 Last Revised: 21 Feb 2019
Marco Del Negro, Domenico Giannone, Marc P. Giannoni and Andrea Tambalotti
Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Bank of New York
Downloads 26 (499,731)
Citation 2

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

Global Trends in Interest Rates

NBER Working Paper No. w25039
Number of pages: 42 Posted: 17 Sep 2018
Marco Del Negro, Domenico Giannone, Marc Giannoni and Andrea Tambalotti
Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Bank of New York
Downloads 8 (617,724)
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19.

Business Cycles in the Euro Area

Downloads 128 (220,863)
Citation 20

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
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB) and London Business School
Downloads 85 (295,291)

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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: 14 Sep 2010
Domenico Giannone, Michele Lenza and Lucrezia Reichlin
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB) and London Business School
Downloads 39 (435,514)

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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
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB) and London Business School
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euro area, European integration, European monetary union, international business cycles

20.

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
Federal Reserve Banks - Federal Reserve Bank of New York and London Business School
Downloads 126 (223,508)

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

21.

The Feldstein-Horioka Fact

Downloads 119 (233,318)
Citation 8

The Feldstein-Horioka Fact

ECB Working Paper No. 873
Number of pages: 30 Posted: 26 Feb 2008
Domenico Giannone and Michele Lenza
Federal Reserve Banks - Federal Reserve Bank of New York and European Central Bank (ECB)
Downloads 76 (316,126)

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

The Feldstein-Horioka Fact

CEPR Discussion Paper No. 4610
Number of pages: 24 Posted: 28 Oct 2004
Domenico Giannone and Michele Lenza
Federal Reserve Banks - Federal Reserve Bank of New York and European Central Bank (ECB)
Downloads 27 (493,841)
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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: 05 Aug 2010
Domenico Giannone and Michele Lenza
Federal Reserve Banks - Federal Reserve Bank of New York and European Central Bank (ECB)
Downloads 16 (563,205)

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22.

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

Downloads 111 (245,294)
Citation 28

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), Federal Reserve Banks - Federal Reserve Bank of New York and London Business School
Downloads 92 (280,589)
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

CEPR Discussion Paper No. 3701
Number of pages: 28 Posted: 05 Feb 2003
Domenico Giannone, Lucrezia Reichlin and Luca Sala
Federal Reserve Banks - Federal Reserve Bank of New York, London Business School and University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
Downloads 19 (543,844)
Citation 1
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Dynamic factor models, structural VARs, identification, equilibrium business cycle models

23.

Vulnerable Growth

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Citation 18

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 Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 96 (272,814)
Citation 1

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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 Federal Reserve Banks - Federal Reserve Bank of New York
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Citation 3
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24.

Macroeconomic Forecasting and Structural Change

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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 Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 84 (297,469)

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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 Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 6 (631,969)
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Forecasting, Inflation, Stochastic Volatility, Time Varying Vector Autoregression

25.

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

Downloads 85 (294,803)
Citation 10

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
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB) and London Business School
Downloads 75 (318,609)
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
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB) and London Business School
Downloads 10 (603,860)
Citation 1

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

26.

Does Information Help Recovering Structural Shocks from Past Observations?

Downloads 80 (303,617)
Citation 44

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
Federal Reserve Banks - Federal Reserve Bank of New York and London Business School
Downloads 67 (339,646)
Citation 2

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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 Federal Reserve Banks - Federal Reserve Bank of New York
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Identification, information, invertibility, structural VAR

27.

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, Federal Reserve Banks - Federal Reserve Bank of New York and Board of Governors of the Federal Reserve System
Downloads 78 (308,156)
Citation 11

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Yield curve, government bonds, factor models, forecasting

28.

Prior Selection for Vector Autoregressions

Downloads 78 (308,156)
Citation 79

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 (375,965)

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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
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Citation 2

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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
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Bayesian Methods, Forecasting, Hierarchical Modeling, Impulse Responses, Marginal Likelihood

29.

Comparing Alternative Predictors Based on Large-Panel Factor Models

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Citation 2

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 Federal Reserve Banks - Federal Reserve Bank of New York
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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 Federal Reserve Banks - Federal Reserve Bank of New York
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Factor Models, Forecasting, Large Cross-Section

30.

Economic Predictions with Big Data: The Illusion of Sparsity

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Citation 15

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
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Citation 13

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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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31.

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), Federal Reserve Banks - Federal Reserve Bank of New York and Board of Governors of the Federal Reserve System
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Citation 4

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Macroeconomic announcements, treasury bond yields

32.

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, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Bank of New York
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Citation 7

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

33.

The ECB and the Interbank Market

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Citation 37

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
Federal Reserve Banks - Federal Reserve Bank of New York, 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
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB), affiliation not provided to SSRN and London Business School
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interbank market, Non-standard monetary policy measures

The ECB and the Interbank Market

The Economic Journal, Vol. 122, Issue 564, pp. F467-F486, 2012
Number of pages: 20 Posted: 30 Oct 2012
Domenico Giannone, Michele Lenza, Huw Pill and Lucrezia Reichlin
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB), European Central Bank (ECB) and London Business School
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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, Federal Reserve Banks - Federal Reserve Bank of New York, 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.

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

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Citation 15

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
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB), European Central Bank and Board of Governors of the Federal Reserve System
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Citation 12

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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
Federal Reserve Banks - Federal Reserve Bank of New York, 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

36.

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
Federal Reserve Banks - Federal Reserve Bank of New York and European Central Bank (ECB)
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Survey of Professional Forecasters, large-scale asset purchases, quantitative easing, Operation Twist, forward guidance, tapering

37.

Exploiting the Monthly Data Flow in Structural Forecasting

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Citation 4

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
Federal Reserve Banks - Federal Reserve Bank of New York, 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
Federal Reserve Banks - Federal Reserve Bank of New York
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DSGE models, forecasting, temporal aggregation, mixed-frequency data, large data sets

38.

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, Federal Reserve Banks - Federal Reserve Bank of New York and Federal Reserve Bank of New York
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corporate bond liquidity, liquidity uncertainty, quantile regressions

39.

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

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Citation 7

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 Federal Reserve Banks - Federal Reserve Bank of New York
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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 Federal Reserve Banks - Federal Reserve Bank of New York
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Forward Guidance, Large Scale Asset Purchases, Operation Twist, Quantitative Easing, Survey of Professional Forecasters, Tapering

40.

Priors for the Long Run

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Citation 3

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
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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
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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
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41.

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

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Citation 23

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, Federal Reserve Banks - Federal Reserve Bank of New York 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, Federal Reserve Banks - Federal Reserve Bank of New York and European Central Bank (ECB)
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Citation 2
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Bayesian Shrinkage, Conditional Forecast, Dynamic Factor Model, Large Cross-Sections, Vector Autoregression

42.

Tracking Greenspan: Systematic and Unsystematic Monetary Policy Revisited

CEPR Discussion Paper No. 3550
Number of pages: 47 Posted: 25 Oct 2002
Domenico Giannone, Lucrezia Reichlin and Luca Sala
Federal Reserve Banks - Federal Reserve Bank of New York, London Business School and University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
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Monetary policy, Taylor rules, monetary shocks, signal extraction, dynamic factor models

43.

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, Federal Reserve Banks - Federal Reserve Bank of New York and Federal Reserve Banks - Federal Reserve Bank of New York
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stock returns, realized volatility, density forecasts, optimal pools, Dodd-Frank, financial intermediation, financial conditions

44.

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, Federal Reserve Banks - Federal Reserve Bank of New York and London Business School
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Bayesian VAR, forecasting, large cross-sections, monetary VAR

45.

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, Federal Reserve Banks - Federal Reserve Bank of New York and London Business School
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Citation 63
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Factor Models, Kalman filter, large cross-sections, principal components

46.

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
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
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Citation 2
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Bayesian VAR, Forecast, Inflation

47.

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 Federal Reserve Banks - Federal Reserve Bank of New York
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Citation 2
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forecast combination, forecast evaluation, high-dimensional data, real-time data, shrinkage, Survey of Professional Forecasters

48.

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
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB) and London Business School
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euro area, loans, monetary policy, Money, non-financial corporations

49.

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
Federal Reserve Banks - Federal Reserve Bank of New York and Government of New Zealand - Department of Economics
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Citation 1
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Core inflation, Monetary policy

50.

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 Federal Reserve Banks - Federal Reserve Bank of New York
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51.

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), Federal Reserve Banks - Federal Reserve Bank of New York and European Central Bank (ECB)
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Citation 3
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event study, multi-country vector autoregressive model, news, Outright Monetary Transactions