Matteo Luciani

Federal Reserve Board

Economist

20th and C Streets, NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

16

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Top 17,004

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2,757

CITATIONS

1

Scholarly Papers (16)

1.

Googling SIFIs

Systemic Risk: Liquidity Risk, Governance and Financial Stability, Forthcoming
Number of pages: 31 Posted: 25 Oct 2012 Last Revised: 24 Apr 2014
Mardi Dungey, Matteo Luciani and David Veredas
University of Cambridge - Cambridge Endowment for Research in Finance (CERF), Federal Reserve Board and Vlerick Business School
Downloads 721 (33,605)

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Systemic risk, ranking, financial institutions

2.

Estimating and Forecasting Large Panels of Volatilities with Approximate Dynamic Factor Models

Number of pages: 19 Posted: 14 Sep 2011 Last Revised: 01 Aug 2013
David Veredas and Matteo Luciani
Vlerick Business School and Federal Reserve Board
Downloads 397 (72,001)

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Realized volatilities, vast dimensions, factor models, long memory, forecasting

Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?

Number of pages: 32 Posted: 14 Jun 2010 Last Revised: 29 Oct 2012
London School of Economics and Political Science, Banca d'Italia and Federal Reserve Board
Downloads 221 (135,253)

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Monetary Policy Transmission, Asymmetric Effects, European Monetary Union, Structural Dynamic Factor Model

Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?

Bank of Italy Temi di Discussione (Working Paper) No. 923
Number of pages: 36 Posted: 16 Jul 2013
London School of Economics and Political Science, Banca d'Italia and Federal Reserve Board
Downloads 34 (451,154)

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monetary policy transmission, asymmetric effects, European Monetary Union, Structural Dynamic Factor model

Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?

Oxford Bulletin of Economics and Statistics, Vol. 76, Issue 5, pp. 693-714, 2014
Number of pages: 22 Posted: 27 Aug 2014
London School of Economics and Political Science, Banca d'Italia and Federal Reserve Board
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4.

The Emergence of Systemically Important Insurers

CIFR Paper No. WP038, FIRN Research Paper No. 2494030
Number of pages: 29 Posted: 11 Sep 2014
Mardi H. Dungey, Matteo Luciani and David Veredas
University of Tasmania, Federal Reserve Board and Vlerick Business School
Downloads 230 (130,486)

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banking, insurance, systemic risk

5.

Large-Dimensional Dynamic Factor Models in Real-Time: A Survey

Number of pages: 31 Posted: 20 Oct 2014
Matteo Luciani
Federal Reserve Board
Downloads 190 (156,311)

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Large Dimensional Dynamic Factor models, Real-time forecasting, business cycle indicators

Dynamic Factor Models, Cointegration, and Error Correction Mechanisms

Number of pages: 28 Posted: 01 Mar 2014 Last Revised: 29 Feb 2016
Matteo Barigozzi, Marco Lippi and Matteo Luciani
London School of Economics and Political Science, Dipartimento di Scienze Economiche (DiSSE) and Federal Reserve Board
Downloads 126 (221,459)

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Dynamic Factor Models for I(1) variables, Cointegration, Granger Representation Theorem

Dynamic Factor Models, Cointegration, and Error Correction Mechanisms

FEDS Working Paper No. 2016-018
Number of pages: 29 Posted: 22 Mar 2016
Matteo Barigozzi, Marco Lippi and Matteo Luciani
London School of Economics and Political Science, Dipartimento di Scienze Economiche (DiSSE) and Federal Reserve Board
Downloads 52 (380,764)

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Cointegration for singular vectors, Dynamic Factor Models for I(1) variables, Granger Representation Theorem for singular vectors

Non-Stationary Dynamic Factor Models for Large Datasets

Number of pages: 59 Posted: 04 Mar 2016
Matteo Barigozzi, Marco Lippi and Matteo Luciani
London School of Economics and Political Science, Dipartimento di Scienze Economiche (DiSSE) and Federal Reserve Board
Downloads 82 (297,921)

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Dynamic Factor models, unit root processes, common trends, impulse response functions

Non-Stationary Dynamic Factor Models for Large Datasets

FEDS Working Paper No. 2016-024
Number of pages: 67 Posted: 31 Mar 2016 Last Revised: 01 Sep 2017
Matteo Barigozzi, Marco Lippi and Matteo Luciani
London School of Economics and Political Science, Dipartimento di Scienze Economiche (DiSSE) and Federal Reserve Board
Downloads 60 (355,019)

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Dynamic Factor models, Cointegration, Common trends, Impulse response functions, Unit root processes

Monetary Policy and the Housing Market: A Structural Factor Analysis

Number of pages: 23 Posted: 22 Jun 2010 Last Revised: 29 Oct 2012
Matteo Luciani
Federal Reserve Board
Downloads 86 (289,240)

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Structural Factor Model, Business Cycle, Monetary Policy, Housing

Monetary Policy and the Housing Market: A Structural Factor Analysis

Government of the Italian Republic (Italy), Ministry of Economy and Finance, Department of the Treasury Working Paper No. 7
Number of pages: 39 Posted: 21 Oct 2010
Matteo Luciani
Federal Reserve Board
Downloads 53 (377,412)

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Structural Factor Model, Business Cycle, Monetary Policy, Housing

Surfing Through the GFC: Systemic Risk in Australia

CIFR Paper No. WP061/2015, FIRN Research Paper No. 2617117
Number of pages: 25 Posted: 11 Jun 2015
University of Tasmania, Federal Reserve Board, University of Tasmania and Vlerick Business School
Downloads 129 (217,491)

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banking, insurance, systemic risk

Surfing Through the GFC: Systemic Risk in Australia

Economic Record, Vol. 93, Issue 300, pp. 1-19, 2017
Number of pages: 19 Posted: 09 Mar 2017
Mardi H. Dungey, Matteo Luciani and David Veredas
University of Tasmania, Federal Reserve Board and Vlerick Business School
Downloads 1 (669,456)
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10.

Nowcasting Norway

Number of pages: 26 Posted: 05 Feb 2013 Last Revised: 23 Nov 2013
Matteo Luciani and Lorenzo Ricci
Federal Reserve Board and European Stability Mechanism
Downloads 78 (304,040)

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Real-Time Forecasting, Bayesian Factor model, Nowcasting

11.

Forecasting with Approximate Dynamic Factor Models: The Role of Non-Pervasive Shocks

Number of pages: 24 Posted: 14 Sep 2011
Matteo Luciani
Federal Reserve Board
Downloads 78 (304,040)
Citation 1

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Dynamic Factor Models, Penalized Regressions, Local Factors, Bayesian Shrinkage, Forecasting

12.
Downloads 60 (350,179)

Nowcasting Indonesia

Asian Development Bank Economics Working Paper Series No. 471
Number of pages: 28 Posted: 30 Dec 2015
Federal Reserve Board, Asian Development Bank, Asian Development Bank - Economic Research and Bank of Italy
Downloads 36 (442,333)

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Dynamic Factor Models, emerging market economies, nowcasting

Nowcasting Indonesia

FEDS Working Paper No. 2015-100
Number of pages: 22 Posted: 10 Nov 2015
Federal Reserve Board, Asian Development Bank, Asian Development Bank - Economic Research and Bank of Italy
Downloads 24 (504,304)

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Dynamic Factor Models, Emerging Market Economies, Nowcasting

13.

Measuring US Aggregate Output and Output Gap Using Large Datasets

Number of pages: 45 Posted: 08 Aug 2018
Matteo Barigozzi and Matteo Luciani
London School of Economics and Political Science and Federal Reserve Board
Downloads 58 (356,057)

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Gross Domestic Output, Output Gap, Non-stationary Approximate Dynamic Factor Model, Trend-Cycle Decomposition

Uncertainty and Heterogeneity in Factor Models Forecasting

Bank of Italy Temi di Discussione (Working Paper) No. 930
Number of pages: 36 Posted: 22 Nov 2013
Matteo Luciani and Libero Monteforte
Federal Reserve Board and Bank of Italy
Downloads 36 (442,333)

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factor models, model uncertainty, forecast combination, density forecast

Uncertainty and Heterogeneity in Factor Models Forecasting

Government of the Italian Republic (Italy), Ministry of Economy and Finance, Department of the Treasury Working Paper No. 5
Number of pages: 28 Posted: 01 Jun 2012 Last Revised: 31 Jul 2012
Matteo Luciani and Libero Monteforte
Federal Reserve Board and Bank of Italy
Downloads 15 (561,190)

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Factor Models, Model Uncertainty, Forecast Combination, Density Forecast

15.

Common Factors, Trends, and Cycles in Large Datasets

FEDS Working Paper No. 2017-111
Number of pages: 53 Posted: 16 Nov 2017
Matteo Barigozzi and Matteo Luciani
London School of Economics and Political Science and Federal Reserve Board
Downloads 36 (432,545)

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EM Algorithm, Gross Domestic Output, Kalman Smoother, Non-stationary Approximate Dynamic Factor Model, Output Gap, Quasi Maximum Likelihood, Trend-Cycle Decomposition

16.

Oil Price Pass-Through into Core Inflation

FEDS Working Paper No. 2017-085
Number of pages: 28 Posted: 07 Sep 2017
Cristina Conflitti and Matteo Luciani
affiliation not provided to SSRN and Federal Reserve Board
Downloads 14 (546,403)

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Core inflation, Disaggregate consumer prices, Dynamic factor model, Oil price, Pass-through