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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)

77 Bastwick Street

London, EC1V 3PZ

United Kingdom

  • Federal Reserve Banks - Federal Reserve Bank of New York

SCHOLARLY PAPERS

48

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513

Scholarly Papers (48)

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1.

Now-Casting and the Real-time Data Flow

Downloads 491 ( 50,851)
Citation 3

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 485 (51,045)
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
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 (577,512)
Citation 3
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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 430 ( 59,973)
Citation 8

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 427 (59,894)
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 (595,905)
Citation 8
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Credit, Great Recession, Monetary Policy Shocks, Money, Non-Standard Monetary Policy

3.

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

Downloads 375 ( 70,620)
Citation 26

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 360 (73,428)
Citation 26

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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 (524,407)
Citation 26
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Forecasting, monetary policy, factor model, real time data, large datasets, news

4.

Nowcasting

Downloads 267 (103,270)
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 262 (104,841)
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 (583,341)
Citation 4
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Factor Model, Forecasting, News, Nowcasting

5.

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

Downloads 248 (111,502)
Citation 37

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 (128,834)
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 (470,842)
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 10 (554,600)
Citation 36

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

6.

A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models

Downloads 237 (116,820)
Citation 45

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 214 (128,834)
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 (476,642)
Citation 45
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Factor model, large cross-sections, Quasi Maximum Likelihood

7.

Sparse and Stable Markowitz Portfolios

Downloads 230 (120,316)
Citation 8

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 225 (122,555)
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
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 (583,341)
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 201 (119,824)
Citation 26

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

9.

(Un)Predictability and Macroeconomic Stability

Downloads 177 (154,085)

(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 175 (155,606)

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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 (604,891)
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Fed Greenbook, forecasting models, predictability, Survey of Professional Forecasts

10.

Short-term Forecasts of Euro Area GDP Growth

Downloads 169 (160,476)
Citation 17

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 164 (164,838)
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
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 (589,138)
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
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
Downloads 1 (616,948)
Citation 17
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Factor model, Forecasting, Large data sets, Monetary policy, News, Real-time data

11.

Market Freedom and the Global Recession

Downloads 163 (165,595)
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 160 (168,445)
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 (595,905)
Citation 14
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Financial Crisis, Market freedom, Recession

12.

Common Factors of Commodity Prices

Downloads 135 (193,647)

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 76 (289,833)

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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 58 (336,003)

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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 (616,948)
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13.

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 133 (189,166)
Citation 41

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Dynamic factor models, structural VARs, identification, fundamentalness

14.

Explaining the Great Moderation: It is Not the Shocks

Downloads 132 (197,143)
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 (198,989)
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 (616,948)
Citation 25
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Great Moderation, Information, Shocks

15.

Monetary Policy in Real Time

Downloads 128 (202,038)
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 97 (248,525)
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 (434,032)
Citation 55
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Taylor rules, real time analysis, monetary policy, forecasting, large datasets

16.

Business Cycles in the Euro Area

Downloads 119 (213,580)
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 (278,877)
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 34 (420,876)
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 (589,138)
Citation 8
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euro area, European integration, European monetary union, international business cycles

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 115 (209,600)
Citation 38

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

18.

The Feldstein-Horioka Fact

Downloads 113 (221,798)
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 (299,173)
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 (453,965)
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 (530,471)
Citation 8

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19.

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

Downloads 105 (233,716)
Citation 18

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 86 (268,707)
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 (500,594)
Citation 18
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Dynamic factor models, structural VARs, identification, equilibrium business cycle models

20.

Macroeconomic Nowcasting and Forecasting with Big Data

Downloads 101 (240,057)

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 99 (245,073)

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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 (604,891)
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business cycle analysis, high-dimensional data, monitoring economic conditions, real-time data flow

21.

Macroeconomic Forecasting and Structural Change

Downloads 83 (272,376)

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 (287,556)

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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 (577,512)
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Forecasting, Inflation, Stochastic Volatility, Time Varying Vector Autoregression

22.

Does Information Help Recovering Structural Shocks from Past Observations?

Downloads 78 (282,614)
Citation 11

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 (316,698)
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 (536,610)
Citation 11
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Identification, information, invertibility, structural VAR

23.

Prior Selection for Vector Autoregressions

Downloads 69 (303,002)
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 (360,848)
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 (536,610)
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 (577,512)
Citation 7
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Bayesian Methods, Forecasting, Hierarchical Modeling, Impulse Responses, Marginal Likelihood

24.

Comparing Alternative Predictors Based on Large-Panel Factor Models

Downloads 69 (303,002)

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 (314,115)

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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 (595,905)
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Factor Models, Forecasting, Large Cross-Section

25.

The ECB and the Interbank Market

Downloads 61 (323,235)
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 (370,810)
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 (536,610)
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 (616,948)
Citation 5
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26.

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
Downloads 57 (334,081)

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

27.

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

Downloads 55 (339,827)
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 (357,680)
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 (589,138)
Citation 2
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database, euro area, real-time, revisions

28.

Vulnerable Growth

Downloads 51 (351,909)

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
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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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29.

Exploiting the Monthly Data Flow in Structural Forecasting

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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 (448,780)

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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 (542,743)

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

30.

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 40 (300,628)

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Yield curve, government bonds, factor models, forecasting

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 32 (317,946)

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Macroeconomic announcements, treasury bond yields

32.

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

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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 29 (443,668)

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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

33.

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 (432,274)
Citation 34
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Monetary policy, Taylor rules, monetary shocks, signal extraction, dynamic factor models

34.

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 27 (135,728)

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

35.

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

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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 27 (453,965)

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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

36.

Economic Predictions with Big Data: The Illusion of Sparsity

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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 17 (512,518)

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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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37.

Priors for the Long Run

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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 (548,719)

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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 4 (589,138)

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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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38.

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 (537,229)
Citation 25
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Bayesian VAR, forecasting, large cross-sections, monetary VAR

39.

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 (537,229)
Citation 34
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Factor Models, Kalman filter, large cross-sections, principal components

40.

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)
Downloads 8 (542,448)
Citation 4
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Bayesian VAR, Forecast, Inflation

41.

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

42.

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 4
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Core inflation, Monetary policy

43.

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 2 (568,852)
Citation 6
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euro area, loans, monetary policy, Money, non-financial corporations

44.

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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45.

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

46.

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
Downloads 0 (320,580)

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

47.

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 0 (367,552)

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

48.

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