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

SCHOLARLY PAPERS

51

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CITATIONS
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1,372

Scholarly Papers (51)

1.
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
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
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

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.
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)
Citation 2
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Factor Model, Forecasting, News, Nowcasting

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

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)
Citation 3
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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

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.
Downloads 236 (128,835)
Citation 38

Sparse and Stable Markowitz Portfolios

ECB Working Paper No. 936
Number of pages: 23 Posted: 30 Oct 2008
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
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.
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
Downloads 2 (666,990)
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Fed Greenbook, forecasting models, predictability, Survey of Professional Forecasts

11.
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
Downloads 1 (681,444)
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12.
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
Downloads 3 (655,884)
Citation 7
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Financial Crisis, Market freedom, Recession

13.
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
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
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
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
Downloads 1 (681,444)
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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.
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
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
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
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.
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.
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.
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
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
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
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.
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
Downloads 4 (646,862)
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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.
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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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.
Downloads 96 (270,823)
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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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

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

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
Downloads 13 (583,096)
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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.
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
Downloads 17 (556,785)
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
Downloads 6 (631,969)
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Bayesian Methods, Forecasting, Hierarchical Modeling, Impulse Responses, Marginal Likelihood

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
Downloads 70 (331,491)

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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
Downloads 3 (655,777)
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Factor Models, Forecasting, Large Cross-Section

Economic Predictions with Big Data: The Illusion of Sparsity

FRB of New York Staff Report No. 847
Number of pages: 29 Posted: 07 May 2018
Domenico Giannone, Michele Lenza and Giorgio E. Primiceri
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB) and Northwestern University - Department of Economics
Downloads 68 (336,877)
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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Citation 1
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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
Downloads 68 (332,884)
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
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 67 (335,535)
Citation 7

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

33.
Downloads 66 (338,201)
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
Downloads 52 (386,088)

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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
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.
Downloads 60 (354,838)
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
Downloads 56 (372,661)
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
Downloads 4 (646,862)
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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)
Downloads 51 (383,028)

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

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
Downloads 32 (467,164)

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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
Downloads 15 (569,761)

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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
Downloads 38 (430,425)

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corporate bond liquidity, liquidity uncertainty, quantile regressions

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
Downloads 36 (448,672)

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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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Citation 1
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Forward Guidance, Large Scale Asset Purchases, Operation Twist, Quantitative Easing, Survey of Professional Forecasters, Tapering

40.
Downloads 35 (442,705)
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
Downloads 20 (537,327)

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

Priors for the Long Run

FRB of NY Staff Report No. 832
Number of pages: 55 Posted: 26 Nov 2017
Domenico Giannone, Michele Lenza and Giorgio E. Primiceri
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB) and Northwestern University - Department of Economics
Downloads 15 (569,761)

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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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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)
Downloads 32 (467,164)

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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)
Downloads 29 (469,893)
Citation 1
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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
Downloads 28 (474,906)

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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
Downloads 9 (585,642)
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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
Downloads 9 (585,642)
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
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 8 (591,974)
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
Downloads 5 (611,681)
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
Downloads 3 (626,678)
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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
Downloads 3 (626,678)
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
Downloads 2 (636,577)
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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)
Downloads 0 (667,153)
Citation 3
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event study, multi-country vector autoregressive model, news, Outright Monetary Transactions