Michele Modugno

Board of Governors of the Federal Reserve System

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

16

DOWNLOADS
Rank 31,628

SSRN RANKINGS

Top 31,628

in Total Papers Downloads

1,440

SSRN CITATIONS
Rank 6,265

SSRN RANKINGS

Top 6,265

in Total Papers Citations

62

CROSSREF CITATIONS

98

Scholarly Papers (16)

1.
Downloads 540 ( 50,610)
Citation 31

Now-Casting and the Real-time Data Flow

ECB Working Paper No. 1564
Number of pages: 55 Posted: 12 Aug 2013
European Central Bank, Federal Reserve Banks - Federal Reserve Bank of New York, Board of Governors of the Federal Reserve System and London Business School
Downloads 534 (50,730)
Citation 4

Abstract:

Loading...

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, Federal Reserve Banks - Federal Reserve Bank of New York, Board of Governors of the Federal Reserve System and London Business School
Downloads 6 (639,894)
Citation 6
  • Add to Cart

Abstract:

Loading...

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 106 (257,893)

Abstract:

Loading...

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 87 (294,440)
Citation 1

Abstract:

Loading...

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 99 (268,664)

Abstract:

Loading...

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, Independent and Board of Governors of the Federal Reserve System
Downloads 84 (298,281)
Citation 9

Abstract:

Loading...

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, Federal Reserve Banks - Federal Reserve Bank of New York and Board of Governors of the Federal Reserve System
Downloads 78 (311,867)
Citation 15

Abstract:

Loading...

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 30 (483,042)

Abstract:

Loading...

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

A Global Trade Model for the Euro Area

FEDS Working Paper No. 2015-013, http://dx.doi.org/10.17016/FEDS.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 23 (524,359)
Citation 1

Abstract:

Loading...

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 19 (550,393)

Abstract:

Loading...

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), Federal Reserve Banks - Federal Reserve Bank of New York and Board of Governors of the Federal Reserve System
Downloads 68 (336,794)
Citation 6

Abstract:

Loading...

Macroeconomic announcements, treasury bond yields

8.

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 67 (339,444)

Abstract:

Loading...

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

9.

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 66 (342,119)
Citation 1

Abstract:

Loading...

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

10.
Downloads 61 (356,193)
Citation 15

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

ECB Working Paper No. 1145
Number of pages: 122 Posted: 26 Jan 2010
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB), European Central Bank and Board of Governors of the Federal Reserve System
Downloads 57 (373,732)
Citation 12

Abstract:

Loading...

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
Federal Reserve Banks - Federal Reserve Bank of New York, European Central Bank (ECB), European Central Bank and Board of Governors of the Federal Reserve System
Downloads 4 (655,037)
  • Add to Cart

Abstract:

Loading...

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 58 (365,153)

Abstract:

Loading...

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 32 (461,169)

Abstract:

Loading...

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 22 (514,034)

Abstract:

Loading...

Nowcasting, Updating, Dynamic Factor Model

14.

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

FED Notes No. 2018-10-12
Posted: 17 Oct 2018 Last Revised: 21 Feb 2019
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

Abstract:

Loading...

15.

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

FED Notes No. 2018-10-12
Posted: 17 Oct 2018 Last Revised: 21 Feb 2019
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

Abstract:

Loading...

16.

Monetary Policy Surprises and Monetary Policy Uncertainty

FED Notes No. 2018-05-18
Posted: 06 Jun 2018 Last Revised: 21 Feb 2019
Board of Governors of the Federal Reserve System, Federal Reserve Board, Board of Governors of the Federal Reserve System and Hong Kong Monetary Authority

Abstract:

Loading...