Marco J. Lombardi

Bank for International Settlements (BIS) - Monetary and Economic Department

Economist

Centralbahnplatz 2

CH-4002 Basel

Switzerland

SCHOLARLY PAPERS

34

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176

Scholarly Papers (34)

The Impact of Monetary Policy Shocks on Commodity Prices

Bank of Italy Temi di Discussione Working Paper No. 851
Number of pages: 35 Posted: 29 Mar 2012
Alessio Anzuini, Marco J. Lombardi and Patrizio Pagano
Bank of Italy, Bank for International Settlements (BIS) - Monetary and Economic Department and Bank of Italy
Downloads 823 (28,008)
Citation 1

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monetary policy shock, oil prices, VAR

The Impact of Monetary Policy Shocks on Commodity Prices

ECB Working Paper No. 1232
Number of pages: 29 Posted: 08 Aug 2010
Alessio Anzuini, Marco J. Lombardi and Patrizio Pagano
Bank of Italy, Bank for International Settlements (BIS) - Monetary and Economic Department and Bank of Italy
Downloads 125 (225,711)

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Monetary policy Shock, Oil Price, VAR

The Impact of Monetary Policy Shocks on Commodity Prices

International Journal of Central Banking, Forthcoming
Number of pages: 35 Posted: 20 Jun 2013
Alessio Anzuini, Marco J. Lombardi and Patrizio Pagano
Bank of Italy, Bank for International Settlements (BIS) - Monetary and Economic Department and Bank of Italy
Downloads 45 (411,233)
Citation 1

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monetary policy shock, commodity prices, VAR

2.

The Real Effects of Household Debt in the Short and Long Run

BIS Working Paper No. 607
Number of pages: 42 Posted: 27 Jan 2017
Marco J. Lombardi, Madhusudan S. Mohanty and Ilhyock Shim
Bank for International Settlements (BIS) - Monetary and Economic Department, Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS)
Downloads 469 (59,649)
Citation 1

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household debt, consumption, cross-sectional autoregressive distributed lag model, output growth, threshold effect

3.

External Shocks and International Inflation Linkages: A Global VAR Analysis

ECB Working Paper No. 1062
Number of pages: 45 Posted: 12 Jun 2009
Alessandro Galesi and Marco J. Lombardi
Banco de España and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 314 (95,367)

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oil shock, commodity prices, inflation, second-round effects, Global VAR

4.

Do Financial Investors Destabilize the Oil Price?

ECB Working Paper No. 1346
Number of pages: 40 Posted: 02 Jun 2011
Marco J. Lombardi and Ine Van Robays
Bank for International Settlements (BIS) - Monetary and Economic Department and European Central Bank
Downloads 305 (98,760)

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oil price, speculation, structural VAR, sign restrictions

5.

Oil and Debt

BIS Quarterly Review March 2015
Number of pages: 11 Posted: 01 Apr 2015
Bank for International Settlements (BIS), Bank for International Settlements (BIS) - Monetary and Economic Department, Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS)
Downloads 273 (111,318)
Citation 2

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6.

A Shadow Policy Rate to Calibrate US Monetary Policy at the Zero Lower Bound

BIS Working Paper No. 452
Number of pages: 28 Posted: 24 Jun 2014
Marco J. Lombardi and Feng Zhu
Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS)
Downloads 267 (113,513)
Citation 1

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unconventional monetary policy, zero lower bound, shadow policy rate, federal funds rate, dynamic factor model, monetary VAR

7.

Fiscal Sustainability and the Financial Cycle

BIS Working Paper No. 552
Number of pages: 30 Posted: 08 Apr 2016
Claudio E. V. Borio, Marco J. Lombardi and Fabrizio Zampolli
Bank for International Settlements (BIS) - Research and Policy Analysis, Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 240 (126,711)

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financial cycle, financial crisis, cyclically adjusted fiscal balance

8.

Global Impact of US and Euro Area Unconventional Monetary Policies: A Comparison

BIS Working Paper No. 610
Number of pages: 44 Posted: 08 Feb 2017
Qianying Chen, Marco J. Lombardi, Alex Ross and Feng Zhu
International Monetary Fund (IMF) - Monetary and Capital Markets Department, Bank for International Settlements (BIS) - Monetary and Economic Department, University of Cambridge and Bank for International Settlements (BIS)
Downloads 224 (135,603)

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unconventional monetary policy; quantitative easing; shadow interest rate; spillover; global vector error correction model (GVECM)

9.

Interest Rate Pass-Through Since the Financial Crisis

BIS Quarterly Review, September 2013
Number of pages: 10 Posted: 28 Apr 2014
Annamaria Illes and Marco J. Lombardi
Bank for International Settlements (BIS) and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 223 (136,182)

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10.

On the Correlation between Commodity and Equity Returns: Implications for Portfolio Allocation

BIS Working Paper No. 420
Number of pages: 34 Posted: 27 Feb 2014
Marco J. Lombardi and Francesco Ravazzolo
Bank for International Settlements (BIS) - Monetary and Economic Department and Free University of Bolzano
Downloads 220 (138,001)

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Commodity prices, equity prices, density forecasting, correlation, Bayesian DCC

11.

(Why) is Investment Weak?

BIS Quarterly Review March 2015
Number of pages: 16 Posted: 01 Apr 2015
Ryan Banerjee, Jonathan Kearns and Marco J. Lombardi
Bank for International Settlements (BIS), Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 204 (148,227)
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12.

Why Did Bank Lending Rates Diverge from Policy Rates after the Financial Crisis?

BIS Working Paper No. 486
Number of pages: 33 Posted: 13 Feb 2015
Annamaria Illes, Marco J. Lombardi and Paul Mizen
Bank for International Settlements (BIS), Bank for International Settlements (BIS) - Monetary and Economic Department and University of Nottingham
Downloads 168 (176,710)
Citation 1

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lending rates, policy rates, panel cointegration, financial crisis

13.

Energy Markets and the Euro Area Macroeconomy

ECB Occasional Paper No. 113
Number of pages: 132 Posted: 20 Jun 2010
European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), Bocconi University, affiliation not provided to SSRN, European Central Bank (ECB), European Union - European Investment Bank, European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), Bank for International Settlements (BIS) - Monetary and Economic Department, European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB) - Directorate General Economics, European Central Bank (ECB), European Central Bank (ECB), National Bank of Belgium, Deutsche Bundesbank, affiliation not provided to SSRN, Bank of Greece, European Central Bank (ECB), Banque de France - Centre de Recherche, Banque de France, Bank of Italy, affiliation not provided to SSRN, Bank of Italy, Dutch Central Bank (DNB), Oesterreichische Nationalbank (OeNB), affiliation not provided to SSRN, affiliation not provided to SSRN and Banco de España
Downloads 145 (199,909)

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14.

Indirect Estimation of Elliptical Stable Distributions

CORE Discussion Paper No. 2007/18
Number of pages: 28 Posted: 16 Aug 2007
Marco J. Lombardi and David Veredas
Bank for International Settlements (BIS) - Monetary and Economic Department and Vlerick Business School
Downloads 102 (260,264)
Citation 1

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Stable, elliptical, high dimension, multivariate, Indirect Inference

15.

Has the Transmission of Policy Rates to Lending Rates Been Impaired by the Global Financial Crisis?

BIS Working Paper No. 477
Number of pages: 18 Posted: 07 Jan 2015
Leonardo Gambacorta, Annamaria Illes and Marco J. Lombardi
Bank for International Settlements (BIS), Bank for International Settlements (BIS) and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 98 (267,256)

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monetary policy, lending rates, cointegration, global financial crisis

16.

The Role of Financial Variables in Predicting Economic Activity in the Euro Area

IMF Working Paper No. 09/241
Number of pages: 36 Posted: 10 Nov 2009
Raphael A. Espinoza, Fabio Fornari and Marco J. Lombardi
International Monetary Fund (IMF), European Central Bank (ECB) and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 88 (286,332)

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Asset prices, Business cycles, Cross country analysis, Economic forecasting, Economic growth, Economic models, Euro Area, Financial crisis, Financial sector, Global Financial Crisis 2008-2009, Stock markets

17.

Output Gaps and Policy Stabilisation in Latin America: The Effect of Commodity and Capital Flow Cycles

BIS Working Paper No. 568
Number of pages: 24 Posted: 14 Jun 2016
Enrique Alberola, Rocio Gondo, Marco J. Lombardi and Diego Urbina
Bank for International Settlements (BIS), Independent, Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS)
Downloads 86 (290,533)

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output gap, commodity prices, capital flows, procyclicality, fiscal policy, Latin America

18.

Key Elements of Global Inflation

University of Nottingham, GEP Research Paper 2009/22
Number of pages: 34 Posted: 11 Nov 2009
European Central Bank (ECB), Banco de España, Bank for International Settlements (BIS) - Monetary and Economic Department and European Central Bank (ECB)
Downloads 83 (296,919)
Citation 2

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Phillips Curve, inflation, output gap, import prices, unit labour costs, globalisation, monetary policy.

19.
Downloads 79 (305,836)

Measuring Financial Cycle Time

BIS Working Paper No. 755
Number of pages: 32 Posted: 07 Jan 2019
Andrew J. Filardo, Marco J. Lombardi and Marek Raczko
Bank for International Settlements (BIS) - Monetary and Economic Department, Bank for International Settlements (BIS) - Monetary and Economic Department and Bank of England
Downloads 56 (372,558)

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financial cycles, continuous-time autoregressive models, time deformation, behavioural economics, endogenous risk-taking behaviour, central banking

Measuring Financial Cycle Time

Bank of England Working Paper No. 776
Number of pages: 30 Posted: 25 Jan 2019
Andrew J. Filardo, Marco J. Lombardi and Marek Raczko
Bank for International Settlements (BIS) - Monetary and Economic Department, Bank for International Settlements (BIS) - Monetary and Economic Department and Bank of England
Downloads 23 (517,920)
Citation 1

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Financial cycles, continuous-time autoregressive models, time deformation, behavioural economics, endogenous risk-taking behaviour, central banking.

20.

Global Commodity Cycles and Linkages: A FAVAR Approach

ECB Working Paper No. 1170
Number of pages: 23 Posted: 19 Apr 2010
Marco J. Lombardi, Chiara Osbat and Bernd Schnatz
Bank for International Settlements (BIS) - Monetary and Economic Department, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 76 (312,851)

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Oil Price, Commodity Prices, Exchange Rates, Globalisation, FAVAR

21.

The Role of Financial Variables in Predicting Economic Activity

ECB Working Paper No. 1108
Number of pages: 50 Posted: 25 Nov 2009
Raphael A. Espinoza, Fabio Fornari and Marco J. Lombardi
International Monetary Fund (IMF), European Central Bank (ECB) and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 74 (317,674)

Abstract:

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VAR, Financial Variables, International Linkages, Conditional Forecast

22.

Forecasting Economic Growth in the Euro Area During the Great Moderation and the Great Recession

ECB Working Paper No. 1379
Number of pages: 50 Posted: 13 Sep 2011
Marco J. Lombardi and Philipp Maier
Bank for International Settlements (BIS) - Monetary and Economic Department and Bank of Canada - International Department
Downloads 64 (343,558)

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Forecasting, dynamic factor model, PMI model

23.

(Un)Naturally Low? Sequential Monte Carlo Tracking of the US Natural Interest Rate

ECB Working Paper No. 794
Number of pages: 52 Posted: 17 Aug 2007
Marco J. Lombardi and Silvia Sgherri
Bank for International Settlements (BIS) - Monetary and Economic Department and International Monetary Fund (IMF)
Downloads 64 (343,558)

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Natural Interest Rate, DSGE Models, Bayesian Analysis, Particle Filters

Short-term Forecasting of the Japanese Economy Using Factor Models

ECB Working Paper No. 1428
Number of pages: 35 Posted: 27 Mar 2012
Claudia Godbout and Marco J. Lombardi
Government of Canada - Bank of Canada and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 37 (444,183)

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Japan, forecasting, nowcasting, factor models, mixed frequency

Short-Term Forecasting of the Japanese Economy Using Factor Models

Number of pages: 35 Posted: 20 Jun 2013
Claudia Godbout and Marco J. Lombardi
Government of Canada - Bank of Canada and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 19 (543,687)
Citation 5

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Japan, forecasting, nowcasting, factor models, mixed frequency

25.

Oil Price Density Forecasts: Exploring the Linkages with Stock Markets

Norges Bank Working Paper 2012-24
Number of pages: 31 Posted: 25 May 2013
Marco J. Lombardi and Francesco Ravazzolo
Bank for International Settlements (BIS) - Monetary and Economic Department and Free University of Bolzano
Downloads 52 (379,726)
Citation 3

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Oil price, stock price, density forecasting, correlation, Bayesian DCC

26.

The Biofuel Connection: Impact of US Regulation on Oil and Food Prices

BIS Working Paper No. 487
Number of pages: 27 Posted: 13 Feb 2015
Fernando H. Avalos and Marco J. Lombardi
Bank for International Settlements (BIS) and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 47 (396,587)

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oil price, corn price, food prices, ethanol, biofuel, VAR

27.

Monetary Policy Spillovers, Global Commodity Prices and Cooperation

BIS Working Paper No. 696
Number of pages: 61 Posted: 31 Jan 2018
Bank for International Settlements (BIS) - Monetary and Economic Department, Bank for International Settlements (BIS) - Monetary and Economic Department, Central Reserve Bank of Peru and Università Cattolica del Sacro Cuore (UCSC)
Downloads 40 (422,276)

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commodity prices, monetary policy, spillovers, global economy

Monetary Policy and the Oil Futures Market

Number of pages: 32 Posted: 20 Jun 2013
Sandra Eickmeier and Marco J. Lombardi
Deutsche Bundesbank and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 29 (482,543)

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oil prices, monetary policy, financial activity, VAR model, sign restrictions

Monetary Policy and the Oil Futures Market

Bundesbank Discussion Paper No. 35/2012
Number of pages: 32 Posted: 21 Jun 2016
Sandra Eickmeier and Marco J. Lombardi
Deutsche Bundesbank and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 11 (596,792)

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oil prices, monetary policy, financial activity, VAR model, sign restrictions

29.

Has Asian Emerging Market Monetary Policy Been Too Procyclical When Responding to Swings in Commodity Prices?

BIS Paper No. 77j
Number of pages: 25 Posted: 06 Oct 2014
Andrew J. Filardo and Marco J. Lombardi
Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 30 (465,037)
Citation 1

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Monetary policy, commodity prices, inflation, demand shocks, policy coordination

30.

Bayesian Prior Elicitation in DSGE Models: Macro- vs. Micro-Priors

ECB Working Paper No. 1289
Number of pages: 49 Posted: 16 Jan 2011
Marco J. Lombardi and Giulio Nicoletti
Bank for International Settlements (BIS) - Monetary and Economic Department and European Central Bank
Downloads 26 (485,326)

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DSGE Models, Bayesian Estimation, Prior Distribution, Impulse Response Function

31.

Forecasting Economic Growth in the Euro Area During the Great Moderation and the Great Recession

Number of pages: 50 Posted: 20 Jun 2013
Marco J. Lombardi and Philipp Maier
Bank for International Settlements (BIS) - Monetary and Economic Department and Bank of Canada - International Department
Downloads 19 (525,157)
Citation 3

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forecasting, dynamic factor model, PMI model

32.

Do Financial Investors Destabilize the Oil Price?

Number of pages: 40 Posted: 20 Jun 2013
Marco J. Lombardi and Ine Van Robays
Bank for International Settlements (BIS) - Monetary and Economic Department and European Central Bank
Downloads 13 (560,450)
Citation 21

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Oil price, Speculation, Structural VAR, Sign restrictions

33.

Indirect Estimation of α-Stable Distributions and Processes

Econometrics Journal, Vol. 11, Issue 1, pp. 193-208, February 2008
Number of pages: 16 Posted: 29 Feb 2008
Marco J. Lombardi and Giorgio Calzolari
Bank for International Settlements (BIS) - Monetary and Economic Department and Universita di Firenze - Dipartimento di Statistica
Downloads 12 (566,781)
Citation 5
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34.

Bayesian Prior Elicitation in DSGE Models: Macro- vs Micro-Priors

Journal of Economic Dynamics and Control, Vol. 36, No. 2, 2012
Number of pages: 49 Posted: 20 Jun 2013
Marco J. Lombardi and Giulio Nicoletti
Bank for International Settlements (BIS) - Monetary and Economic Department and European Central Bank
Downloads 8 (591,872)

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DSGE models, Bayesian estimation, Prior distribution, Impulse response function