Michele Lenza

European Central Bank (ECB)

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

SCHOLARLY PAPERS

27

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Top 15,961

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3,961

SSRN CITATIONS
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Top 804

in Total Papers Citations

617

CROSSREF CITATIONS

773

Scholarly Papers (27)

How Does Monetary Policy Affect Income and Wealth Inequality? Evidence from Quantitative Easing in the Euro Area

ECB Working Paper No. 2190
Number of pages: 50 Posted: 31 Oct 2018
Michele Lenza and Jiri Slacalek
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 701 (45,907)
Citation 8

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monetary policy, household heterogeneity, inequality, income, wealth, quantitative easing, Great Recession

How Does Monetary Policy Affect Income and Wealth Inequality? Evidence from Quantitative Easing in the Euro Area

CEPR Discussion Paper No. DP16079
Number of pages: 37 Posted: 14 May 2021
Michele Lenza and Jiri Slacalek
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 0
Citation 1
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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
Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and Northwestern University - Department of Economics
Downloads 264 (146,529)
Citation 40

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model selection, shrinkage, high dimensional data

Economic Predictions with Big Data: The Illusion of Sparsity

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

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Economic Predictions with Big Data: The Illusion of Sparsity

CEPR Discussion Paper No. DP12256
Number of pages: 28 Posted: 11 Sep 2017
Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and Northwestern University - Department of Economics
Downloads 1 (830,200)
Citation 1
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Non-Standard Monetary Policy Measures and Monetary Developments

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

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

Non-Standard Monetary Policy Measures and Monetary Developments

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

4.

The Financial and Macroeconomic Effects of OMT Announcements

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

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

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
Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and London Business School
Downloads 160 (232,579)
Citation 1

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

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

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

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

6.
Downloads 186 (204,063)
Citation 41

Market Freedom and the Global Recession

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

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Market freedom, Recession, Financial Crisis

Market Freedom and the Global Recession

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

7.
Downloads 162 (229,731)
Citation 73

Monetary Policy in Exceptional Times

ECB Working Paper No. 1253
Number of pages: 40 Posted: 05 Oct 2010
Michele Lenza, Huw Pill and Lucrezia Reichlin
European Central Bank (ECB), European Central Bank (ECB) and London Business School
Downloads 147 (249,674)

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Non-standard monetary policy, financial crisis

Monetary Policy in Exceptional Times

CEPR Discussion Paper No. DP7669
Number of pages: 42 Posted: 08 Feb 2010
Michele Lenza, Huw R. Pill and Lucrezia Reichlin
European Central Bank (ECB), Harvard University - Business, Government and the International Economy Unit and London Business School
Downloads 15 (703,729)
Citation 31
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monetary policy, quantitative easing

8.
Downloads 140 (258,856)
Citation 27

Business Cycles in the Euro Area

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

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

Business Cycles in the Euro Area

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

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Business Cycles in the Euro Area

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

9.
Downloads 136 (264,874)
Citation 44

Explaining the Great Moderation: It is Not the Shocks

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

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Shocks, Information, Great Moderation

Explaining the Great Moderation: It is Not the Shocks

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

10.
Downloads 129 (275,647)
Citation 7

How to Estimate a VAR after March 2020

ECB Working Paper No. 20202461
Number of pages: 20 Posted: 26 Aug 2020
Michele Lenza and Giorgio E. Primiceri
European Central Bank (ECB) and Northwestern University - Department of Economics
Downloads 123 (286,916)

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COVID-19, density forecasts, outliers, volatility

How to Estimate a VAR after March 2020

NBER Working Paper No. w27771
Number of pages: 18 Posted: 11 Sep 2020 Last Revised: 20 May 2021
Michele Lenza and Giorgio E. Primiceri
European Central Bank (ECB) and Northwestern University - Department of Economics
Downloads 6 (780,728)
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How to Estimate a VAR after March 2020

CEPR Discussion Paper No. DP15245
Number of pages: 19 Posted: 12 Sep 2020
Michele Lenza and Giorgio E. Primiceri
European Central Bank (ECB) and Northwestern University - Department of Economics
Downloads 0
Citation 7
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COVID-19, Density forecasts, Outliers, volatility

11.
Downloads 128 (277,254)
Citation 10

The Feldstein-Horioka Fact

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

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

The Feldstein-Horioka Fact

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

The Feldstein-Horioka Fact

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

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12.

Corporate Finance and Economic Activity in the Euro Area: Structural Issues Report 2013

ECB Occasional Paper No. 151
Number of pages: 153 Posted: 09 Sep 2013
European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), National Bank of Belgium, Deutsche Bundesbank, Deutsche BundesbankMünster University of Applied Sciences, Bank of Estonia, Central Bank of Ireland, Bank of Greece, Banco de España, Banque de France, Banque de France, Bank of Italy, Central Bank of Cyprus, Banque Centrale du Luxembourg, Central Bank of Malta, De Nederlandsche Bank, De Nederlandsche Bank, Oesterreichische Nationalbank (OeNB), Bank of Portugal, Goethe University Frankfurt, House of Finance (HoF), Graduate School of Economics, Finance and Management (GSEFM), Students, National Bank of Slovakia, Bank of Finland, Banque de France, Bank of Italy, Bank for International Settlements (BIS) - Monetary and Economic Department, European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB) and National Bank of Slovakia
Downloads 115 (299,668)
Citation 2

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Corporate finance

13.
Downloads 103 (323,383)

Monetary Policy and Core Inflation

ECB Working Paper No. 837
Number of pages: 42 Posted: 17 Dec 2007
Michele Lenza
European Central Bank (ECB)
Downloads 94 (345,636)

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Core inflation, elasticity of intertemporal substitution, heterogeneity, nominal rigidity

Monetary Policy and Core Inflation

Bundesbank Series 1 Discussion Paper No. 2007,35
Number of pages: 56 Posted: 08 Jun 2016
Michele Lenza
European Central Bank (ECB)
Downloads 9 (754,988)

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core inflation, elasticity of intertemporal substitution, heterogeneity, nominal rigidity

Nowcasting with Large Bayesian Vector Autoregressions

ECB Working Paper No. 20202453
Number of pages: 30 Posted: 13 Aug 2020
European Central Bank, Centre for Economic Policy Research (CEPR), European Central Bank (ECB), Bank of England and European Central Bank
Downloads 94 (345,636)

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Nowcasting with Large Bayesian Vector Autoregressions

CEPR Discussion Paper No. DP15854
Number of pages: 37 Posted: 02 Mar 2021
European Central Bank, Centre for Economic Policy Research (CEPR), European Central Bank (ECB), King's College London - King's Business School and Bank of England
Downloads 0
Citation 1
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15.
Downloads 87 (359,985)
Citation 136

Prior Selection for Vector Autoregressions

ECB Working Paper No. 1494
Number of pages: 41 Posted: 22 Nov 2012
Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and Northwestern University - Department of Economics
Downloads 59 (451,849)

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forecasting, Bayesian methods, marginal likelihood, hierarchical modeling, impulse responses

Prior Selection for Vector Autoregressions

NBER Working Paper No. w18467
Number of pages: 37 Posted: 20 Oct 2012 Last Revised: 18 Jun 2021
Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and Northwestern University - Department of Economics
Downloads 21 (656,261)
Citation 60

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Prior Selection for Vector Autoregressions

CEPR Discussion Paper No. DP8755
Number of pages: 34 Posted: 20 Jan 2012
Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and Northwestern University - Department of Economics
Downloads 7 (772,070)
Citation 9
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Bayesian Methods, Forecasting, Hierarchical Modeling, Impulse Responses, Marginal Likelihood

16.

Interbank Rate Uncertainty and Bank Lending

ECB Working Paper No. 2311
Number of pages: 33 Posted: 23 Aug 2019
European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB) and University of Chicago - Department of Economics
Downloads 84 (367,829)

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bank lending, interbank market, uncertainty

17.

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, Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and Board of Governors of the Federal Reserve System
Downloads 79 (381,341)

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

18.
Downloads 75 (392,889)
Citation 41

The ECB and the Interbank Market

ECB Working Paper No. 1496
Number of pages: 32 Posted: 04 Dec 2012
Centre for Economic Policy Research (CEPR), European Central Bank (ECB), Goldman Sachs, Australia and London Business School
Downloads 62 (440,639)

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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
Centre for Economic Policy Research (CEPR), European Central Bank (ECB), affiliation not provided to SSRN and London Business School
Downloads 13 (720,755)
Citation 3
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interbank market, Non-standard monetary policy measures

19.

An Inflation-Predicting Measure of the Output Gap in the Euro Area

ECB Working Paper No. 1966
Number of pages: 42 Posted: 18 Oct 2016
Marek Jarocinski and Michele Lenza
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 67 (417,688)
Citation 2

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Phillips curve, factor model, unobserved components, Bayesian estimation

20.
Downloads 61 (438,134)
Citation 19

Priors for the Long Run

ECB Working Paper No. 2132; ISBN: 978-92-899-3237-0
Number of pages: 51 Posted: 01 Mar 2018
Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and Northwestern University - Department of Economics
Downloads 35 (562,337)

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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
Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and Northwestern University - Department of Economics
Downloads 26 (618,911)

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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
Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and Northwestern University - Department of Economics
Downloads 0
Citation 15
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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, Centre for Economic Policy Research (CEPR) and European Central Bank (ECB)
Downloads 52 (479,633)

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vector autoregression, Bayesian shrinkage, dynamic factor model, conditional forecast, large cross-sections

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

CEPR Discussion Paper No. DP9931
Number of pages: 39 Posted: 02 Jun 2014
Marta Banbura, Domenico Giannone and Michele Lenza
European Central Bank, Centre for Economic Policy Research (CEPR) and European Central Bank (ECB)
Downloads 0
Citation 12
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Bayesian Shrinkage, Conditional Forecast, Dynamic Factor Model, Large Cross-Sections, Vector Autoregression

22.

What's Up with the Phillips Curve?

ECB Working Paper No. 20202435
Number of pages: 80 Posted: 02 Jul 2020
Del Del Negro, Michele Lenza and E. E. Primiceri
affiliation not provided to SSRN, European Central Bank (ECB) and affiliation not provided to SSRN
Downloads 38 (533,925)
Citation 12

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23.

Mind the Gap: A Multi-Country BVAR Benchmark for the Eurosystem Projections

ECB Working Paper No. 2227 (2019); ISBN 978-92-899-3489-3
Number of pages: 27 Posted: 01 Feb 2019
European Central Bank (ECB), European Central Bank, European Central Bank (ECB) and European Central Bank
Downloads 23 (621,799)
Citation 2

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multi-country model, cross-checking, conditional forecast, euro area

24.

Short-Term Inflation Projections: A Bayesian Vector Autoregressive Approach

CEPR Discussion Paper No. DP7746
Number of pages: 30 Posted: 29 Mar 2010
Centre for Economic Policy Research (CEPR), European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 8 (734,020)
Citation 9
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Bayesian VAR, Forecast, Inflation

25.
Downloads 5 (757,522)
Citation 1

What's Up with the Phillips Curve?

NBER Working Paper No. w27003
Number of pages: 78 Posted: 20 Apr 2020 Last Revised: 14 Oct 2021
Federal Reserve Bank of New York, European Central Bank (ECB), Northwestern University - Department of Economics and Federal Reserve Bank of New York
Downloads 5 (789,129)

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What's Up with the Phillips Curve?

CEPR Discussion Paper No. DP14583
Number of pages: 79 Posted: 08 May 2020
Federal Reserve Bank of New York, European Central Bank (ECB), Northwestern University - Department of Economics and Federal Reserve Bank of New York
Downloads 0
Citation 1
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26.

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
Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and London Business School
Downloads 3 (773,045)
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euro area, loans, monetary policy, Money, non-financial corporations

27.

The Financial and Macroeconomic Effects of OMT Announcements

CEPR Discussion Paper No. DP10025
Number of pages: 26 Posted: 25 Sep 2014
Carlo Altavilla, Domenico Giannone and Michele Lenza
European Central Bank (ECB), Centre for Economic Policy Research (CEPR) and European Central Bank (ECB)
Downloads 0 (810,595)
Citation 21
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event study, multi-country vector autoregressive model, news, Outright Monetary Transactions