Michele Modugno

Board of Governors of the Federal Reserve System

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

18

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1,574

SSRN CITATIONS
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Top 5,820

in Total Papers Citations

102

CROSSREF CITATIONS

100

Scholarly Papers (18)

1.
Downloads 564 ( 52,099)
Citation 40

Now-Casting and the Real-time Data Flow

ECB Working Paper No. 1564
Number of pages: 55 Posted: 12 Aug 2013
European Central Bank, Centre for Economic Policy Research (CEPR), Board of Governors of the Federal Reserve System and London Business School
Downloads 558 (52,168)
Citation 4

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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
European Central Bank, Centre for Economic Policy Research (CEPR), Board of Governors of the Federal Reserve System and London Business School
Downloads 6 (685,675)
Citation 13
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Dynamic factor model, High-Dimensional Data, Macroeconomic forecasting, Macroeconomic News, Mixed-Frequency, Real-Time Data, State-Space Models

The Forecasting Power of International Yield Curve Linkages

ECB Working Paper No. 1044
Number of pages: 32 Posted: 04 May 2009
Michele Modugno and Kleopatra Nikolaou
Board of Governors of the Federal Reserve System and Federal Reserve Board of Governors
Downloads 109 (271,875)

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Yield curve forecast, Dynamic factor model, EM algorithm, International linkages

The Forecasting Power of International Yield Curve Linkages

ECORE Discussion Paper No. 2007/98
Number of pages: 22 Posted: 05 Mar 2008
Michele Modugno and Kleopatra Nikolaou
Board of Governors of the Federal Reserve System and Federal Reserve Board of Governors
Downloads 88 (313,837)
Citation 2

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Yield curve forecast, Dynamic factor model, EM algorithm, International linkages

3.

Financial Vulnerabilities, Macroeconomic Dynamics, and Monetary Policy

FEDS Working Paper No. 2016-055
Number of pages: 54 Posted: 15 Jul 2016
David Aikman, Andreas Lehnert, Nellie Liang and Michele Modugno
Bank of England - Monetary Assessment and Strategy Division, Board of Governors of the Federal Reserve, Brookings Institution and Board of Governors of the Federal Reserve System
Downloads 110 (268,649)
Citation 2

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Financial stability and risk, Monetary policy, Credit

4.

The Importance of Updating: Evidence from a Brazilian Nowcasting Model

FEDS Working Paper No. 2014-94
Number of pages: 24 Posted: 25 Nov 2014
Daniela Bragoli, Luca Metelli and Michele Modugno
Università Cattolica del Sacro Cuore, Bank of Italy and Board of Governors of the Federal Reserve System
Downloads 97 (292,620)
Citation 10

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Nowcasting, updating, dynamic factor model

5.

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, Centre for Economic Policy Research (CEPR) and Board of Governors of the Federal Reserve System
Downloads 81 (327,417)
Citation 19

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Yield curve, government bonds, factor models, forecasting

A Global Trade Model for the Euro Area

ECB Working Paper No. 1986
Number of pages: 39 Posted: 07 Feb 2017
Antonello D'Agostino, Michele Modugno and Chiara Osbat
European Stability Mechanism, Board of Governors of the Federal Reserve System and European Central Bank (ECB)
Downloads 35 (491,322)

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euro area, trade, factor models, news, now-cast, conditional forecast

A Global Trade Model for the Euro Area

FEDS Working Paper No. 2015-013
Number of pages: 35 Posted: 19 Apr 2015
Michele Modugno and Chiara Osbat
Board of Governors of the Federal Reserve System and European Central Bank (ECB)
Downloads 24 (554,967)
Citation 1

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euro area trade, forecast, scenario analysis

A Global Trade Model for the Euro Area

FEDS Working Paper No. 2015-013
Number of pages: 35 Posted: 07 Apr 2015
Antonello D'Agostino, Chiara Osbat and Michele Modugno
European Stability Mechanism, European Central Bank (ECB) and Board of Governors of the Federal Reserve System
Downloads 20 (582,110)

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euro area trade, forecast, scenario analysis

7.

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), Centre for Economic Policy Research (CEPR) and Board of Governors of the Federal Reserve System
Downloads 75 (342,466)
Citation 9

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Macroeconomic announcements, treasury bond yields

8.

Maximum Likelihood Estimation of Factor Models on Data Sets with Arbitrary Pattern of Missing Data

ECB Working Paper No. 1189
Number of pages: 47 Posted: 25 May 2010
Marta Banbura and Michele Modugno
European Central Bank and Board of Governors of the Federal Reserve System
Downloads 74 (345,074)
Citation 9

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Factor Models, Forecasting, Large Cross-Sections, Missing data, EM algorithm

9.

Nowcasting Business Cycles: A Bayesian Approach to Dynamic Heterogeneous Factor Models

FEDS Working Paper No. 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 72 (350,344)

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

10.
Downloads 62 (379,028)
Citation 18

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

ECB Working Paper No. 1145
Number of pages: 122 Posted: 26 Jan 2010
Centre for Economic Policy Research (CEPR), European Central Bank (ECB), European Central Bank and Board of Governors of the Federal Reserve System
Downloads 58 (397,409)
Citation 15

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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
Centre for Economic Policy Research (CEPR), European Central Bank (ECB), European Central Bank and Board of Governors of the Federal Reserve System
Downloads 4 (701,745)
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database, euro area, real-time, revisions

11.

Nowcasting Inflation Using High Frequency Data

ECB Working Paper No. 1324
Number of pages: 24 Posted: 15 Apr 2011
Michele Modugno
Board of Governors of the Federal Reserve System
Downloads 60 (385,235)

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Factor Models, Forecasting, Inflation, Mixed Frequencies

12.

Nowcasting Turkish GDP and News Decomposition

FEDS Working Paper No. 2016-044
Number of pages: 39 Posted: 25 May 2016
Michele Modugno, Baris Soybilgen and Ege Yazgan
Board of Governors of the Federal Reserve System, Istanbul Bilgi University - Department of Economics and Istanbul Bilgi University
Downloads 34 (484,709)

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Developing economy, dynamic factor model, emerging market, gross domestic product, news, nowcasting

13.

A Nowcasting Model for Canada: Do U.S. Variables Matter?

FEDS Working Paper No. 2016-036
Number of pages: 34 Posted: 02 May 2016
Daniela Bragoli and Michele Modugno
Università Cattolica del Sacro Cuore and Board of Governors of the Federal Reserve System
Downloads 25 (532,221)

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Nowcasting, Updating, Dynamic Factor Model

14.

Monetary Policy Uncertainty and Monetary Policy Surprises

FEDS Working Paper No. 2020-032 https://doi.org/10.17016/FEDS.2020.032
Number of pages: 34 Posted: 18 May 2020
Board of Governors of the Federal Reserve System, Federal Reserve Board, Board of Governors of the Federal Reserve System and Hong Kong Monetary Authority
Downloads 22 (550,601)

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Monetary policy surprises; Monetary policy uncertainty; Interest rates; Primary dealers

Sowing the Seeds of Financial Imbalances: The Role of Macroeconomic Performance

FEDS Working Paper No. 2020-028 https://doi.org/10.17016/FEDS.2020.028
Number of pages: 29 Posted: 18 May 2020
Elena Afanasyeva, Sam Jerow, Seung Jung Lee and Michele Modugno
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 15 (617,647)

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Economic performance; Nonfinancial leverage; Financial imbalances; Financial stability; VARs; Sign restrictions; Narrative; Forecasting

Sowing the Seeds of Financial Imbalances: The Role of Macroeconomic Performance

FEDS Working Paper No. 2020-028
Number of pages: 29 Posted: 16 May 2020
Elena Afanasyeva, Sam Jerow, Seung Jung Lee and Michele Modugno
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 7 (677,938)

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Non-financial Leverage, Financial Imbalances, Financial Stability, Forecasting, VAR, Sign Restrictions, Narrative

16.

The Relationship between Macroeconomic Overheating and Financial Vulnerability: A Narrative Investigation

FEDS Notes No. 2018-10-12
Posted: 17 Oct 2018 Last Revised: 25 Jun 2020
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

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17.

The Relationship between Macroeconomic Overheating and Financial Vulnerability: A Quantitative Exploration

FEDS Notes No. 2018-10-12
Posted: 17 Oct 2018 Last Revised: 25 Jun 2020
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

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18.

Monetary Policy Surprises and Monetary Policy Uncertainty

FEDS Notes No. 2018-05-18
Posted: 06 Jun 2018 Last Revised: 25 Jun 2020
Board of Governors of the Federal Reserve System, Federal Reserve Board, Board of Governors of the Federal Reserve System and Hong Kong Monetary Authority

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