Michele Lenza

European Central Bank (ECB)

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

SCHOLARLY PAPERS

23

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2,295

SSRN CITATIONS
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in Total Papers Citations

177

CROSSREF CITATIONS

828

Scholarly Papers (23)

Non-Standard Monetary Policy Measures and Monetary Developments

ECB Working Paper No. 1290
Number of pages: 33 Posted: 16 Jan 2011
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB), European Central Bank (ECB) and London Business School
Downloads 434 (65,280)
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
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB), affiliation not provided to SSRN and London Business School
Downloads 3 (659,021)
Citation 1
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Credit, Great Recession, Monetary Policy Shocks, Money, Non-Standard Monetary Policy

2.

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 289 (104,962)
Citation 4

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

3.
Downloads 176 (170,484)
Citation 40

Market Freedom and the Global Recession

ECGI - Finance Working Paper No. 288/2010
Number of pages: 29 Posted: 18 Jun 2010
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB) and London Business School
Downloads 173 (173,139)
Citation 28

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Market freedom, Recession, Financial Crisis

Market Freedom and the Global Recession

CEPR Discussion Paper No. DP7884
Number of pages: 26 Posted: 19 Jul 2010
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB) and London Business School
Downloads 3 (659,021)
Citation 7
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Financial Crisis, Market freedom, Recession

4.
Downloads 157 (188,094)
Citation 70

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 139 (208,381)

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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 (572,484)
Citation 29
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monetary policy, quantitative easing

Monetary Policy in Exceptional Times

Economic Policy, Vol. 25, Issue 62, pp. 295-339, April 2010
Number of pages: 45 Posted: 05 Apr 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 3 (659,021)
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5.
Downloads 134 (214,101)
Citation 44

Explaining the Great Moderation: It is Not the Shocks

ECB Working Paper No. 865
Number of pages: 20 Posted: 26 Feb 2008
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB) and London Business School
Downloads 133 (216,041)

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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
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB) and London Business School
Downloads 1 (684,351)
Citation 1
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Great Moderation, Information, Shocks

6.
Downloads 129 (220,548)
Citation 20

Business Cycles in the Euro Area

ECB Working Paper No. 1010
Number of pages: 41 Posted: 05 Mar 2009
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB) and London Business School
Downloads 85 (296,625)

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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
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB) and London Business School
Downloads 40 (433,215)

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Business Cycles in the Euro Area

CEPR Discussion Paper No. DP7124
Number of pages: 35 Posted: 18 Feb 2009
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB) and London Business School
Downloads 4 (650,273)
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euro area, European integration, European monetary union, international business cycles

7.
Downloads 119 (234,425)
Citation 8

The Feldstein-Horioka Fact

ECB Working Paper No. 873
Number of pages: 30 Posted: 26 Feb 2008
Domenico Giannone and Michele Lenza
Federal Reserve Banks - Federal Reserve Bank of New York and European Central Bank (ECB)
Downloads 76 (317,583)

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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 (496,196)
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Saving-correlation, capital mobility, international co-movement, dynamic factor model

The Feldstein-Horioka Fact

NBER Working Paper No. w15519
Number of pages: 21 Posted: 18 Nov 2009 Last Revised: 05 Aug 2010
Domenico Giannone and Michele Lenza
Federal Reserve Banks - Federal Reserve Bank of New York and European Central Bank (ECB)
Downloads 16 (565,939)

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8.

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 114 (241,857)

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

9.

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, Münster 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 105 (256,336)

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Corporate finance

10.
Downloads 102 (261,483)

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 (277,961)

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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 8 (620,831)

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

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
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB) and London Business School
Downloads 80 (307,820)
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
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB) and London Business School
Downloads 11 (599,902)
Citation 1

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

12.
Downloads 78 (309,513)
Citation 79

Prior Selection for Vector Autoregressions

ECB Working Paper No. 1494
Number of pages: 41 Posted: 22 Nov 2012
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB) and Northwestern University - Department of Economics
Downloads 55 (377,644)

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

Prior Selection for Vector Autoregressions

NBER Working Paper No. w18467
Number of pages: 37 Posted: 20 Oct 2012 Last Revised: 05 Nov 2012
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB) and Northwestern University - Department of Economics
Downloads 17 (559,395)
Citation 8

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Prior Selection for Vector Autoregressions

CEPR Discussion Paper No. DP8755
Number of pages: 34 Posted: 20 Jan 2012
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB) and Northwestern University - Department of Economics
Downloads 6 (635,197)
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Bayesian Methods, Forecasting, Hierarchical Modeling, Impulse Responses, Marginal Likelihood

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
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB) and Northwestern University - Department of Economics
Downloads 72 (332,944)
Citation 15

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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
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB) and Northwestern University - Department of Economics
Downloads 0
Citation 1
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14.
Downloads 67 (337,009)
Citation 37

The ECB and the Interbank Market

ECB Working Paper No. 1496
Number of pages: 32 Posted: 04 Dec 2012
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB), Goldman Sachs, Australia and London Business School
Downloads 53 (384,396)

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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
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB), affiliation not provided to SSRN and London Business School
Downloads 13 (585,998)
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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
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB), European Central Bank (ECB) and London Business School
Downloads 1 (684,351)
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15.

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 65 (342,369)

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

16.

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 58 (362,486)

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Phillips curve, factor model, unobserved components, Bayesian estimation

17.
Downloads 35 (444,706)
Citation 3

Priors for the Long Run

ECB Working Paper No. 2132; ISBN: 978-92-899-3237-0
Number of pages: 51 Posted: 01 Mar 2018
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB) and Northwestern University - Department of Economics
Downloads 20 (539,863)

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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
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB) and Northwestern University - Department of Economics
Downloads 15 (572,484)

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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
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB) and Northwestern University - Department of Economics
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Conditional Forecasts and Scenario Analysis with Vector Autoregressions for Large Cross-Sections

ECB Working Paper No. 1733
Number of pages: 48 Posted: 20 Sep 2014
Marta Banbura, Domenico Giannone and Michele Lenza
European Central Bank, Federal Reserve Banks - Federal Reserve Bank of New York and European Central Bank (ECB)
Downloads 32 (469,344)

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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)
Downloads 0
Citation 2
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Bayesian Shrinkage, Conditional Forecast, Dynamic Factor Model, Large Cross-Sections, Vector Autoregression

19.

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 16 (545,372)

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

20.

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 8 (595,080)

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bank lending, interbank market, uncertainty

21.

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 (595,080)
Citation 2
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Bayesian VAR, Forecast, Inflation

22.

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
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB) and London Business School
Downloads 3 (629,833)
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euro area, loans, monetary policy, Money, non-financial corporations

23.

The Financial and Macroeconomic Effects of OMT Announcements

CEPR Discussion Paper No. DP10025
Number of pages: 26 Posted: 25 Sep 2014
Carlo Altavilla, Domenico Giannone and Michele Lenza
European Central Bank (ECB), Federal Reserve Banks - Federal Reserve Bank of New York and European Central Bank (ECB)
Downloads 0 (669,706)
Citation 3
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event study, multi-country vector autoregressive model, news, Outright Monetary Transactions