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

49

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5,480

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513

Scholarly Papers (49)

1.
Downloads 500 ( 51,190)
Citation 3

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 494 (51,368)
Citation 3

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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 (590,806)
Citation 3
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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 428 (61,433)
Citation 8

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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 (610,396)
Citation 8
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Credit, Great Recession, Monetary Policy Shocks, Money, Non-Standard Monetary Policy

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 367 (73,804)
Citation 26

Abstract:

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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 (535,934)
Citation 26
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Forecasting, monetary policy, factor model, real time data, large datasets, news

4.
Downloads 286 ( 98,585)
Citation 4

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 281 (99,997)
Citation 4

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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 (596,894)
Citation 4
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Factor Model, Forecasting, News, Nowcasting

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 214 (132,170)
Citation 37

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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 (481,310)
Citation 37
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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 12 (554,699)
Citation 36

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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 216 (130,984)
Citation 45

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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 (487,121)
Citation 45
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Factor model, large cross-sections, Quasi Maximum Likelihood

7.
Downloads 232 (122,472)
Citation 8

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 227 (124,717)
Citation 8

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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 (596,894)
Citation 8
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Penalized Regression, Portfolio Choice, Sparse Portfolio

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 231 (123,012)
Citation 26

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

9.

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 229 (124,068)

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

(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 178 (157,218)

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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 (620,049)
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Fed Greenbook, forecasting models, predictability, Survey of Professional Forecasts

11.
Downloads 169 (164,552)
Citation 17

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 164 (169,106)
Citation 17

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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 (603,245)
Citation 17
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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 (632,909)
Citation 17
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Factor model, Forecasting, Large data sets, Monetary policy, News, Real-time data

12.
Downloads 165 (168,028)
Citation 14

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 162 (170,920)
Citation 14

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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 (610,396)
Citation 14
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Financial Crisis, Market freedom, Recession

13.
Downloads 151 (181,146)

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 83 (281,236)

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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 67 (318,782)

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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 (632,909)
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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 140 (192,635)
Citation 41

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Dynamic factor models, structural VARs, identification, fundamentalness

15.
Downloads 132 (201,936)
Citation 25

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 131 (203,868)
Citation 25

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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 (632,909)
Citation 25
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Great Moderation, Information, Shocks

16.
Downloads 130 (204,451)
Citation 55

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 99 (251,028)
Citation 55

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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 (443,678)
Citation 55
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Taylor rules, real time analysis, monetary policy, forecasting, large datasets

17.

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 122 (214,684)
Citation 38

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

18.
Downloads 120 (217,439)
Citation 8

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 81 (285,473)
Citation 8

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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 35 (425,977)
Citation 8

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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 (603,245)
Citation 8
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euro area, European integration, European monetary union, international business cycles

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 112 (229,839)

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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 (620,049)
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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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20.
Downloads 113 (227,259)
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 72 (306,180)
Citation 8

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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 (464,096)
Citation 8
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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 14 (542,155)
Citation 8

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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 87 (273,088)
Citation 18

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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 (511,561)
Citation 18
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Dynamic factor models, structural VARs, identification, equilibrium business cycle models

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 77 (294,375)

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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 (590,806)
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Forecasting, Inflation, Stochastic Volatility, Time Varying Vector Autoregression

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 65 (324,072)
Citation 11

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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 (548,416)
Citation 11
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Identification, information, invertibility, structural VAR

24.

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 71 (305,294)

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Yield curve, government bonds, factor models, forecasting

25.
Downloads 69 (310,099)
Citation 7

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 50 (369,183)
Citation 7

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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
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 13 (548,416)
Citation 7

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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 (590,806)
Citation 7
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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 66 (321,401)

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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 (610,396)
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Factor Models, Forecasting, Large Cross-Section

27.

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 64 (322,704)

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

28.

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 64 (322,704)

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Macroeconomic announcements, treasury bond yields

29.
Downloads 61 (330,652)
Citation 5

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 47 (379,339)
Citation 5

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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
Downloads 13 (548,416)
Citation 5
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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
Downloads 1 (632,909)
Citation 5
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30.

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
Downloads 60 (333,406)

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Business Cycles, Current Economic Conditions, Dynamic Factor Models, Dynamic Heterogeneity, Nowcasting, Real Time

31.
Downloads 59 (336,134)

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 59 (340,850)

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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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32.
Downloads 55 (347,688)
Citation 2

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 51 (365,928)
Citation 2

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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 (603,245)
Citation 2
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database, euro area, real-time, revisions

33.

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 48 (369,485)

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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 28 (458,795)

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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 12 (554,699)

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

35.
Downloads 38 (404,436)

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 33 (434,581)

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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
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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 35 (425,977)

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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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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 30 (448,573)

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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

38.

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 (441,926)
Citation 34
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Monetary policy, Taylor rules, monetary shocks, signal extraction, dynamic factor models

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 27 (464,096)

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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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Bayesian Shrinkage, Conditional Forecast, Dynamic Factor Model, Large Cross-Sections, Vector Autoregression

40.
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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 11 (560,820)

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

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 9 (572,842)

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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.

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 19 (494,337)

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

42.

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 (549,265)
Citation 25
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Bayesian VAR, forecasting, large cross-sections, monetary VAR

43.

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 (549,265)
Citation 34
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Factor Models, Kalman filter, large cross-sections, principal components

44.

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 (554,734)
Citation 4
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Bayesian VAR, Forecast, Inflation

45.

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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forecast combination, forecast evaluation, high-dimensional data, real-time data, shrinkage, Survey of Professional Forecasters

46.

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 (582,779)
Citation 6
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euro area, loans, monetary policy, Money, non-financial corporations

47.

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 (582,779)
Citation 4
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Core inflation, Monetary policy

48.

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 (591,169)
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49.

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