Domenico Giannone

Centre for Economic Policy Research (CEPR)

London

United Kingdom

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Seattle, WA 98144

United States

SCHOLARLY PAPERS

59

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2,282

Scholarly Papers (59)

1.
Downloads 1,119 ( 24,685)
Citation 19

Nowcasting

ECB Working Paper No. 1275
Number of pages: 40 Posted: 11 Dec 2010
Marta Banbura, Domenico Giannone and Lucrezia Reichlin
European Central Bank, Centre for Economic Policy Research (CEPR) and London Business School
Downloads 1,114 (24,460)
Citation 3

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Nowcasting, News, Factor Model, Forecasting

Nowcasting

Number of pages: 38 Posted: 19 Jul 2010
Marta Banbura, Domenico Giannone and Lucrezia Reichlin
European Central Bank, Centre for Economic Policy Research (CEPR) and London Business School
Downloads 5 (798,062)
Citation 10
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Factor Model, Forecasting, News, Nowcasting

2.
Downloads 617 ( 55,933)
Citation 49

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 611 (55,949)
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

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 (789,687)
Citation 24
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Dynamic factor model, High-Dimensional Data, Macroeconomic forecasting, Macroeconomic News, Mixed-Frequency, Real-Time Data, State-Space Models

Economic Predictions with Big Data: The Illusion of Sparsity

ECB Working Paper No. 2021/2542
Number of pages: 50 Posted: 28 Apr 2021
Domenico Giannone, Michele Lenza and Giorgio E. Primiceri
Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and Northwestern University - Department of Economics
Downloads 272 (143,668)

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Economic Predictions with Big Data: The Illusion of Sparsity

Number of pages: 29 Posted: 07 May 2018
Domenico Giannone, Michele Lenza and Giorgio E. Primiceri
Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and Northwestern University - Department of Economics
Downloads 265 (147,576)
Citation 40

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model selection, shrinkage, high dimensional data

Economic Predictions with Big Data: The Illusion of Sparsity

Number of pages: 28 Posted: 11 Sep 2017
Domenico Giannone, Michele Lenza and Giorgio E. Primiceri
Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and Northwestern University - Department of Economics
Downloads 1 (839,511)
Citation 1
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Nowcasting GDP and Inflation: The Real-Time Informational Content of Macroeconomic Data Releases

Posted: 06 Jul 2021 Last Revised: 03 Jul 2021
Domenico Giannone, Lucrezia Reichlin and David H. Small
Centre for Economic Policy Research (CEPR), affiliation not provided to SSRN and affiliation not provided to SSRN

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Nowcasting GDP and Inflation: The Real-Time Informational Content of Macroeconomic Data Releases

ECB Working Paper No. 633, FEDs Working Paper No. 2005-42
Number of pages: 50 Posted: 05 Jan 2006
Domenico Giannone, Lucrezia Reichlin and David H. Small
Centre for Economic Policy Research (CEPR), London Business School and Board of Governors of the Federal Reserve System
Downloads 489 (74,024)
Citation 40

Abstract:

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Forecasting, monetary policy, factor model, real time data, large data sets, news

Nowcasting GDP and Inflation: The Real Time Informational Content of Macroeconomic Data Releases

Number of pages: 47 Posted: 25 Aug 2005
Domenico Giannone, Lucrezia Reichlin and David H. Small
Centre for Economic Policy Research (CEPR), London Business School and Board of Governors of the Federal Reserve System
Downloads 15 (712,524)
Citation 57
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Forecasting, monetary policy, factor model, real time data, large datasets, news

Non-Standard Monetary Policy Measures and Monetary Developments

ECB Working Paper No. 1290
Number of pages: 33 Posted: 16 Jan 2011
Domenico Giannone, Michele Lenza, Huw Pill and Lucrezia Reichlin
Centre for Economic Policy Research (CEPR), European Central Bank (ECB), European Central Bank (ECB) and London Business School
Downloads 445 (82,982)
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

Number of pages: 29 Posted: 29 Nov 2010
Domenico Giannone, Michele Lenza, Huw Pill and Lucrezia Reichlin
Centre for Economic Policy Research (CEPR), European Central Bank (ECB), affiliation not provided to SSRN and London Business School
Downloads 3 (815,429)
Citation 1
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Credit, Great Recession, Monetary Policy Shocks, Money, Non-Standard Monetary Policy

6.
Downloads 419 ( 89,807)
Citation 15

Common Factors of Commodity Prices

ECB Working Paper No. 2112
Number of pages: 43 Posted: 20 Nov 2017
Simona Delle Chiaie, Laurent Ferrara and Domenico Giannone
European Central Bank, SKEMA Business School and Centre for Economic Policy Research (CEPR)
Downloads 263 (148,756)

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Commodity Prices, Dynamic Factor Models, Forecasting

Common Factors of Commodity Prices

Banque de France Working Paper No. 645
Number of pages: 37 Posted: 03 Oct 2017
Simona Delle Chiaie, Laurent Ferrara and Domenico Giannone
European Central Bank, SKEMA Business School and Centre for Economic Policy Research (CEPR)
Downloads 155 (242,421)
Citation 32

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Commodity prices, Dynamic factor models, Forecasting

Common Factors of Commodity Prices

Number of pages: 43 Posted: 06 Mar 2018
Simona Delle Chiaie, Laurent Ferrara and Domenico Giannone
European Central Bank, SKEMA Business School and Centre for Economic Policy Research (CEPR)
Downloads 1 (839,511)
Citation 1
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7.

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), Centre for Economic Policy Research (CEPR) and European Central Bank (ECB)
Downloads 377 (101,484)
Citation 7

Abstract:

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

8.
Downloads 343 (113,170)
Citation 17

Macroeconomic Nowcasting and Forecasting with Big Data

Number of pages: 38 Posted: 22 Nov 2017
Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Centre for Economic Policy Research (CEPR), Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 341 (113,181)
Citation 4

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monitoring economic conditions, business cycle, macroeconomic data, large data sets, high-dimensional data, real-time data flow, factor model, state space models, Kalman filter

Macroeconomic Nowcasting and Forecasting with Big Data

Number of pages: 39 Posted: 16 Jan 2018
Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Centre for Economic Policy Research (CEPR), Federal Reserve Bank of New York and Federal Reserve Bank of New York
Downloads 2 (826,118)
Citation 15
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business cycle analysis, high-dimensional data, monitoring economic conditions, real-time data flow

Macroeconomic Nowcasting and Forecasting with Big Data

Posted: 07 Sep 2018
Federal Reserve Banks - Federal Reserve Bank of New York, Centre for Economic Policy Research (CEPR), Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Bank of New York and Federal Reserve Bank of New York

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Forecasting Using a Large Number of Predictors: Is Bayesian Regression a Valid Alternative to Principal Components?

ECB Working Paper No. 700
Number of pages: 35 Posted: 28 Dec 2006
Christine De Mol, Domenico Giannone and Lucrezia Reichlin
Free University of Brussels (VUB/ULB) - European Center for Advanced Research in Economics and Statistics (ECARES), Centre for Economic Policy Research (CEPR) and London Business School
Downloads 235 (166,338)
Citation 3

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Bayesian VAR, ridge regression, Lasso regression, principal components, large cross-sections

Forecasting Using a Large Number of Predictors: Is Bayesian Regression a Valid Alternative to Principal Components?

Number of pages: 48 Posted: 08 Jun 2016
Christine De Mol, Domenico Giannone and Lucrezia Reichlin
Free University of Brussels (VUB/ULB) - European Center for Advanced Research in Economics and Statistics (ECARES), Centre for Economic Policy Research (CEPR) and London Business School
Downloads 28 (613,159)
Citation 4

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Bayesian VAR, ridge regression, Lasso regression, principal components, large cross-sections

Forecasting Using a Large Number of Predictors: Is Bayesian Regression a Valid Alternative to Principal Components?

Number of pages: 29 Posted: 10 Nov 2006
Christine De Mol, Domenico Giannone and Lucrezia Reichlin
Free University of Brussels (VUB/ULB) - European Center for Advanced Research in Economics and Statistics (ECARES), Centre for Economic Policy Research (CEPR) and London Business School
Downloads 24 (641,773)
Citation 20
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Bayesian VAR, ridge regressions, Lasso regression, principal components, large cross-sections

10.

Large Bayesian VARs

ECB Working Paper No. 966
Number of pages: 44 Posted: 21 Nov 2008
Marta Banbura, Domenico Giannone and Lucrezia Reichlin
European Central Bank, Centre for Economic Policy Research (CEPR) and London Business School
Downloads 262 (149,939)
Citation 10

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Bayesian VAR, Forecasting, Monetary VAR, large cross-sections

A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models

ECB Working Paper No. 674
Number of pages: 37 Posted: 12 Sep 2006
Catherine Doz, Domenico Giannone and Lucrezia Reichlin
University of Cergy-Pontoise - Department of Economics, Centre for Economic Policy Research (CEPR) and London Business School
Downloads 234 (167,008)
Citation 7

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Factor Model, large cross-sections, Quasi Maximum Likelihood

A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models

Number of pages: 31 Posted: 17 Aug 2006
Lucrezia Reichlin, Catherine Doz and Domenico Giannone
London Business School, University of Cergy-Pontoise - Department of Economics and Centre for Economic Policy Research (CEPR)
Downloads 23 (649,292)
Citation 26
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Factor model, large cross-sections, Quasi Maximum Likelihood

12.
Downloads 256 (153,418)
Citation 51

Sparse and Stable Markowitz Portfolios

ECB Working Paper No. 936
Number of pages: 23 Posted: 30 Oct 2008
Princeton University, Princeton University - Department of Mathematics, Free University of Brussels (VUB/ULB) - European Center for Advanced Research in Economics and Statistics (ECARES), Centre for Economic Policy Research (CEPR) and Vrije Universiteit Brussel (VUB)
Downloads 251 (155,931)
Citation 1

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Portfolio Choice, Sparse Portfolio, Penalized Regression

Sparse and Stable Markowitz Portfolios

Number of pages: 20 Posted: 30 May 2008
Princeton University, Princeton University - Department of Mathematics, Free University of Brussels (VUB/ULB) - European Center for Advanced Research in Economics and Statistics (ECARES) and Centre for Economic Policy Research (CEPR)
Downloads 5 (798,062)
Citation 16
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Penalized Regression, Portfolio Choice, Sparse Portfolio

13.
Downloads 213 (183,083)
Citation 1

(Un)Predictability and Macroeconomic Stability

ECB Working Paper No. 605
Number of pages: 43 Posted: 24 Apr 2006
Antonello D'Agostino, Domenico Giannone and Paolo Surico
European Stability Mechanism, Centre for Economic Policy Research (CEPR) and London Business School - Department of Economics
Downloads 211 (184,474)

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predictive accuracy, macroeconomic stability, forecasting models, sub-sample analysis, Fed Greenbook

(Un)Predictability and Macroeconomic Stability

Number of pages: 33 Posted: 06 Jun 2008
Antonello D'Agostino, Domenico Giannone and Paolo Surico
European Stability Mechanism, Centre for Economic Policy Research (CEPR) and London Business School - Department of Economics
Downloads 2 (826,118)
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Fed Greenbook, forecasting models, predictability, Survey of Professional Forecasts

14.
Downloads 204 (190,576)
Citation 40

Global Trends in Interest Rates

Number of pages: 67 Posted: 21 Sep 2018
Federal Reserve Bank of New York, Centre for Economic Policy Research (CEPR), Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Bank of New York
Downloads 153 (245,059)

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world interest rate, convenience yield, interest rate parity, VAR with common trends

Global Trends in Interest Rates

Number of pages: 68 Posted: 25 Oct 2018 Last Revised: 29 Apr 2020
Federal Reserve Bank of New York, Centre for Economic Policy Research (CEPR), Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Bank of New York
Downloads 41 (537,358)
Citation 24

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World Interest Rate, Convenience Yield, Interest Rate Parity, VAR with Common Trends

Global Trends in Interest Rates

Number of pages: 42 Posted: 17 Sep 2018 Last Revised: 02 Dec 2021
Federal Reserve Bank of New York, Centre for Economic Policy Research (CEPR), Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Bank of New York
Downloads 10 (755,224)
Citation 6

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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
Domenico Giannone, Michele Lenza and Lucrezia Reichlin
Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and London Business School
Downloads 166 (228,707)
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?

Number of pages: 31
Domenico Giannone, Michele Lenza and Lucrezia Reichlin
Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and London Business School
Downloads 27 (619,926)
Citation 14

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

16.
Downloads 187 (206,156)
Citation 41

Market Freedom and the Global Recession

ECGI - Finance Working Paper No. 288/2010
Number of pages: 29 Posted: 18 Jun 2010
Domenico Giannone, Michele Lenza and Lucrezia Reichlin
Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and London Business School
Downloads 184 (209,118)
Citation 32

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Market freedom, Recession, Financial Crisis

Market Freedom and the Global Recession

Number of pages: 26 Posted: 19 Jul 2010
Domenico Giannone, Michele Lenza and Lucrezia Reichlin
Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and London Business School
Downloads 3 (815,429)
Citation 9
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Financial Crisis, Market freedom, Recession

17.
Downloads 184 (209,186)
Citation 52

Short-term Forecasts of Euro Area GDP Growth

ECB Working Paper No. 949
Number of pages: 31 Posted: 16 Nov 2008
European Central Bank (ECB), European Central Bank (ECB), Centre for Economic Policy Research (CEPR), London Business School and European Central Bank
Downloads 180 (213,191)
Citation 2

Abstract:

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Forecasting, Monetary Policy, Factor Model, Real Time Data, Large datasets, News

Short-Term Forecasts of Euro Area GDP Growth

Number of pages: 25 Posted: 10 Jun 2008
European Central Bank (ECB), European Central Bank (ECB), Centre for Economic Policy Research (CEPR), London Business School and European Central Bank
Downloads 4 (806,499)
Citation 4
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Factor Model, Forecasting, Large data-sets, Monetary Policy, News, Real Time Data

18.

Opening the Black Box: Structural Factor Models with Large Cross-Sections

ECB Working Paper No. 712
Number of pages: 41 Posted: 19 Jan 2007
Mario Forni, Domenico Giannone, Marco Lippi and Lucrezia Reichlin
Università degli studi di Modena e Reggio Emilia (UNIMORE) - Faculty of Business and Economics, Centre for Economic Policy Research (CEPR), Dipartimento di Scienze Economiche (DiSSE) and London Business School
Downloads 151 (247,269)
Citation 16

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Dynamic factor models, structural VARs, identification, fundamentalness

19.
Downloads 141 (261,195)
Citation 103

Monetary Policy in Real Time

IGIER Working Paper No. 284
Number of pages: 33 Posted: 04 Apr 2005
Domenico Giannone, Lucrezia Reichlin and Luca Sala
Centre for Economic Policy Research (CEPR), London Business School and University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
Downloads 110 (315,523)
Citation 16

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Taylor rules, real time analysis, monetary policy, forecasting, large datasets

Monetary Policy in Real Time

Number of pages: 35 Posted: 01 Aug 2005
Domenico Giannone, Lucrezia Reichlin and Luca Sala
Centre for Economic Policy Research (CEPR), London Business School and University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
Downloads 31 (593,494)
Citation 10
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Taylor rules, real time analysis, monetary policy, forecasting, large datasets

20.
Downloads 140 (262,727)
Citation 27

Business Cycles in the Euro Area

ECB Working Paper No. 1010
Number of pages: 41 Posted: 05 Mar 2009
Domenico Giannone, Michele Lenza and Lucrezia Reichlin
Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and London Business School
Downloads 92 (355,570)

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Euro area, International Business Cycle, European monetary union, European integration

Business Cycles in the Euro Area

Number of pages: 33 Posted: 09 Dec 2008 Last Revised: 13 Sep 2021
Domenico Giannone, Michele Lenza and Lucrezia Reichlin
Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and London Business School
Downloads 44 (522,548)

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Business Cycles in the Euro Area

Number of pages: 35 Posted: 18 Feb 2009
Domenico Giannone, Michele Lenza and Lucrezia Reichlin
Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and London Business School
Downloads 4 (806,499)
Citation 7
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euro area, European integration, European monetary union, international business cycles

21.

Trends and Cycles in the Euro Area: How Much Heterogeneity and Should We Worry About it?

ECB Working Paper No. 595
Number of pages: 48 Posted: 25 Apr 2006
Domenico Giannone and Lucrezia Reichlin
Centre for Economic Policy Research (CEPR) and London Business School
Downloads 138 (265,771)
Citation 1

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International Business Cycles, Euro Area, Risk Sharing, European Integration, Income Insurance

22.
Downloads 136 (268,893)
Citation 44

Explaining the Great Moderation: It is Not the Shocks

ECB Working Paper No. 865
Number of pages: 20 Posted: 26 Feb 2008
Domenico Giannone, Michele Lenza and Lucrezia Reichlin
Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and London Business School
Downloads 135 (271,381)

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Shocks, Information, Great Moderation

Explaining the Great Moderation: It is Not the Shocks

Number of pages: 15 Posted: 06 Jun 2008
Domenico Giannone, Michele Lenza and Lucrezia Reichlin
Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and London Business School
Downloads 1 (839,511)
Citation 1
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Great Moderation, Information, Shocks

23.
Downloads 130 (278,065)
Citation 131

Vulnerable Growth

Number of pages: 56 Posted: 30 Sep 2016 Last Revised: 15 Nov 2017
Tobias Adrian, Nina Boyarchenko and Domenico Giannone
International Monetary Fund, Federal Reserve Bank of New York and Centre for Economic Policy Research (CEPR)
Downloads 130 (279,148)
Citation 3

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Downside risk, entropy, quantile regressions

Vulnerable Growth

Number of pages: 46 Posted: 24 Oct 2016
Tobias Adrian, Nina Boyarchenko and Domenico Giannone
International Monetary Fund, Federal Reserve Bank of New York and Centre for Economic Policy Research (CEPR)
Downloads 0
Citation 105
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24.
Downloads 128 (281,294)
Citation 10

The Feldstein-Horioka Fact

ECB Working Paper No. 873
Number of pages: 30 Posted: 26 Feb 2008
Domenico Giannone and Michele Lenza
Centre for Economic Policy Research (CEPR) and European Central Bank (ECB)
Downloads 81 (385,023)

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Saving-Investment Correlation, Capital Mobility, International Comovement, Dynamic Factor Model

The Feldstein-Horioka Fact

Number of pages: 24 Posted: 28 Oct 2004
Domenico Giannone and Michele Lenza
Centre for Economic Policy Research (CEPR) and European Central Bank (ECB)
Downloads 27 (619,926)
Citation 2
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Saving-correlation, capital mobility, international co-movement, dynamic factor model

The Feldstein-Horioka Fact

Number of pages: 21 Posted: 18 Nov 2009 Last Revised: 28 Nov 2021
Domenico Giannone and Michele Lenza
Centre for Economic Policy Research (CEPR) and European Central Bank (ECB)
Downloads 20 (672,405)

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Vars, Common Factors and the Empirical Validation of Equilibrium Business Cycle Models

IGIER Working Paper No. 258
Number of pages: 24 Posted: 05 May 2004
Luca Sala, Domenico Giannone and Lucrezia Reichlin
University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER), Centre for Economic Policy Research (CEPR) and London Business School
Downloads 95 (348,276)
Citation 1

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Dynamic factor models, structural VARs, identification, equilibrium business cycle models

Vars, Common Factors and the Empirical Validation of Equilibrium Business Cycle Models

Number of pages: 28 Posted: 05 Feb 2003
Domenico Giannone, Lucrezia Reichlin and Luca Sala
Centre for Economic Policy Research (CEPR), London Business School and University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
Downloads 19 (680,424)
Citation 3
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Dynamic factor models, structural VARs, identification, equilibrium business cycle models

26.

Low Frequency Effects of Macroeconomic News on Government Bond Yields

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 102 (330,121)
Citation 8

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Macroeconomic announcements, treasury bond yields

Macroeconomic Forecasting and Structural Change

ECB Working Paper No. 1167
Number of pages: 35 Posted: 19 Apr 2010
Antonello D'Agostino, Luca Gambetti and Domenico Giannone
European Stability Mechanism, Universitat Pompeu Fabra - Department of Economics and Business (DEB) and Centre for Economic Policy Research (CEPR)
Downloads 91 (358,079)
Citation 2

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Forecasting, Inflation, Stochastic Volatility, Time Varying Vector Autoregression

Macroeconomic Forecasting and Structural Change

Number of pages: 31 Posted: 17 Nov 2009
Antonello D'Agostino, Luca Gambetti and Domenico Giannone
European Stability Mechanism, Universitat Pompeu Fabra - Department of Economics and Business (DEB) and Centre for Economic Policy Research (CEPR)
Downloads 6 (789,687)
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Forecasting, Inflation, Stochastic Volatility, Time Varying Vector Autoregression

Nowcasting with Large Bayesian Vector Autoregressions

ECB Working Paper No. 20202453
Number of pages: 30 Posted: 13 Aug 2020 Last Revised: 18 Nov 2021
European Central Bank, Centre for Economic Policy Research (CEPR), European Central Bank (ECB), Bank of England and European Central Bank
Downloads 96 (345,919)

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Nowcasting with Large Bayesian Vector Autoregressions

Number of pages: 37 Posted: 02 Mar 2021
European Central Bank, Centre for Economic Policy Research (CEPR), European Central Bank (ECB), King's College London - King's Business School and Bank of England
Downloads 0
Citation 1
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29.

Safety, Liquidity, and the Natural Rate of Interest

Number of pages: 82 Posted: 12 May 2017
Federal Reserve Bank of New York, Centre for Economic Policy Research (CEPR), Federal Reserve Banks - Federal Reserve Bank of Dallas and Federal Reserve Bank of New York
Downloads 92 (352,741)
Citation 45

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natural rate of interest, r*, DSGE models, liquidity, safety, convenience yield

30.
Downloads 89 (360,104)
Citation 136

Prior Selection for Vector Autoregressions

ECB Working Paper No. 1494
Number of pages: 41 Posted: 22 Nov 2012
Domenico Giannone, Michele Lenza and Giorgio E. Primiceri
Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and Northwestern University - Department of Economics
Downloads 60 (454,244)

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

Prior Selection for Vector Autoregressions

Number of pages: 37 Posted: 20 Oct 2012 Last Revised: 18 Jun 2021
Domenico Giannone, Michele Lenza and Giorgio E. Primiceri
Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and Northwestern University - Department of Economics
Downloads 22 (656,966)
Citation 60

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Prior Selection for Vector Autoregressions

Number of pages: 34 Posted: 20 Jan 2012
Domenico Giannone, Michele Lenza and Giorgio E. Primiceri
Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and Northwestern University - Department of Economics
Downloads 7 (781,137)
Citation 9
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Bayesian Methods, Forecasting, Hierarchical Modeling, Impulse Responses, Marginal Likelihood

Does Information Help Recovering Structural Shocks from Past Observations?

ECB Working Paper No. 632
Number of pages: 20 Posted: 09 Jun 2006
Domenico Giannone and Lucrezia Reichlin
Centre for Economic Policy Research (CEPR) and London Business School
Downloads 75 (402,735)
Citation 5

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Identification, Information, Invertibility, Structural VAR

Does Information Help Recovering Structural Shocks from Past Observations?

Number of pages: 15 Posted: 17 Aug 2006
Lucrezia Reichlin and Domenico Giannone
London Business School and Centre for Economic Policy Research (CEPR)
Downloads 13 (729,553)
Citation 2
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Identification, information, invertibility, structural VAR

32.

Unspanned Macroeconomic Factors in the Yield Curve

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 87 (365,175)
Citation 21

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Yield curve, government bonds, factor models, forecasting

33.

Multimodality in Macro-Financial Dynamics

Number of pages: 52 Posted: 20 Nov 2019 Last Revised: 05 Dec 2020
Tobias Adrian, Nina Boyarchenko and Domenico Giannone
International Monetary Fund, Federal Reserve Bank of New York and Centre for Economic Policy Research (CEPR)
Downloads 83 (375,793)
Citation 13

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density impulse response, multimodality, nonparametric density estimator

34.

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, Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and Board of Governors of the Federal Reserve System
Downloads 80 (384,077)

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

Comparing Alternative Predictors Based on Large-Panel Factor Models

ECB Working Paper No. 680
Number of pages: 49 Posted: 26 Oct 2006
Antonello D'Agostino and Domenico Giannone
European Stability Mechanism and Centre for Economic Policy Research (CEPR)
Downloads 76 (399,668)

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Factor models, forecasting, large cross-section

Comparing Alternative Predictors Based on Large-Panel Factor Models

Number of pages: 38 Posted: 06 Jun 2008
Antonello D'Agostino and Domenico Giannone
European Stability Mechanism and Centre for Economic Policy Research (CEPR)
Downloads 3 (815,429)
Citation 1
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Factor Models, Forecasting, Large Cross-Section

36.
Downloads 76 (395,446)
Citation 41

The ECB and the Interbank Market

ECB Working Paper No. 1496
Number of pages: 32 Posted: 04 Dec 2012
Domenico Giannone, Michele Lenza, Huw Pill and Lucrezia Reichlin
Centre for Economic Policy Research (CEPR), European Central Bank (ECB), Goldman Sachs, Australia and London Business School
Downloads 63 (443,120)

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non-standard monetary policy measures, interbank market

The ECB and the Interbank Market

Number of pages: 25 Posted: 01 Mar 2012
Domenico Giannone, Michele Lenza, Huw Pill and Lucrezia Reichlin
Centre for Economic Policy Research (CEPR), European Central Bank (ECB), affiliation not provided to SSRN and London Business School
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Citation 3
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interbank market, Non-standard monetary policy measures

37.

The Effectiveness of Nonstandard Monetary Policy Measures: Evidence from Survey Data

Number of pages: 23 Posted: 10 Dec 2015 Last Revised: 30 Aug 2017
Domenico Giannone and Carlo Altavilla
Centre for Economic Policy Research (CEPR) and European Central Bank (ECB)
Downloads 69 (417,011)
Citation 6

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Survey of Professional Forecasters, large-scale asset purchases, quantitative easing, Operation Twist, forward guidance, tapering

Exploiting the Monthly Data Flow in Structural Forecasting

Bank of England Working Paper No. 509
Number of pages: 27 Posted: 13 Sep 2014
Domenico Giannone, Francesca Monti and Lucrezia Reichlin
Centre for Economic Policy Research (CEPR), Bank of England and London Business School
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Forecasting, temporal aggregation, mixed frequency data, large data sets

Exploiting the Monthly Data Flow in Structural Forecasting

Number of pages: 45 Posted: 10 Dec 2015 Last Revised: 30 Aug 2017
Domenico Giannone
Centre for Economic Policy Research (CEPR)
Downloads 30 (599,821)
Citation 3

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DSGE models, forecasting, temporal aggregation, mixed-frequency data, large data sets

39.
Downloads 64 (433,732)
Citation 21

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

ECB Working Paper No. 1145
Number of pages: 122 Posted: 26 Jan 2010
Domenico Giannone, Jerome Henry, Magdalena Lalik and Michele Modugno
Centre for Economic Policy Research (CEPR), European Central Bank (ECB), European Central Bank and Board of Governors of the Federal Reserve System
Downloads 60 (454,244)
Citation 21

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real-time, euro area, revisions, database

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

Number of pages: 119 Posted: 08 Feb 2010
Domenico Giannone, Jerome Henry, Magdalena Lalik and Michele Modugno
Centre for Economic Policy Research (CEPR), European Central Bank (ECB), European Central Bank and Board of Governors of the Federal Reserve System
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database, euro area, real-time, revisions

40.
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Citation 19

Priors for the Long Run

ECB Working Paper No. 2132; ISBN: 978-92-899-3237-0
Number of pages: 51 Posted: 01 Mar 2018
Domenico Giannone, Michele Lenza and Giorgio E. Primiceri
Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and Northwestern University - Department of Economics
Downloads 36 (564,218)

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Bayesian vector autoregression, forecasting, overfitting, initial conditions, hierarchical model

Priors for the Long Run

Number of pages: 55 Posted: 26 Nov 2017
Domenico Giannone, Michele Lenza and Giorgio E. Primiceri
Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and Northwestern University - Department of Economics
Downloads 26 (627,024)

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Bayesian vector autoregression, forecasting, overfitting, initial conditions, hierarchical model

Priors for the Long Run

Number of pages: 47 Posted: 09 May 2016
Domenico Giannone, Michele Lenza and Giorgio E. Primiceri
Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and Northwestern University - Department of Economics
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Citation 15
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41.

Bank Capital and Real GDP Growth

Number of pages: 50 Posted: 08 Dec 2020
Nina Boyarchenko, Domenico Giannone and Anna Kovner
Federal Reserve Bank of New York, Centre for Economic Policy Research (CEPR) and Federal Reserve Bank of New York
Downloads 58 (455,172)

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capital ratios, growth-at-risk, quantile regressions, threshold regressions

42.

Forecasting Macroeconomic Risks

Number of pages: 33 Posted: 21 Feb 2020
Massachusetts Institute of Technology (MIT) - Sloan School of Management, International Monetary Fund, Federal Reserve Bank of New York and Centre for Economic Policy Research (CEPR)
Downloads 56 (462,652)
Citation 3

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macroeconomic uncertainty, quantile regressions, financial conditions

43.

Flighty Liquidity

Number of pages: 57 Posted: 23 Oct 2018 Last Revised: 17 Mar 2019
Nina Boyarchenko, Domenico Giannone and Or Shachar
Federal Reserve Bank of New York, Centre for Economic Policy Research (CEPR) and Federal Reserve Bank of New York
Downloads 56 (462,652)

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corporate bond liquidity, liquidity uncertainty, quantile regressions

The Effectiveness of Non-Standard Monetary Policy Measures: Evidence from Survey Data

ECB Working Paper No. 1951
Number of pages: 25 Posted: 30 Aug 2016
Carlo Altavilla and Domenico Giannone
European Central Bank (ECB) and Centre for Economic Policy Research (CEPR)
Downloads 55 (473,853)

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survey of professional forecasters, large scale asset purchases, quantitative easing, operation twist, forward guidance, tapering

The Effectiveness of Non-Standard Monetary Policy Measures: Evidence from Survey Data

Number of pages: 28 Posted: 25 Sep 2014
Carlo Altavilla and Domenico Giannone
European Central Bank (ECB) and Centre for Economic Policy Research (CEPR)
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Citation 9
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Forward Guidance, Large Scale Asset Purchases, Operation Twist, Quantitative Easing, Survey of Professional Forecasters, Tapering

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, Centre for Economic Policy Research (CEPR) and European Central Bank (ECB)
Downloads 53 (481,982)

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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

Number of pages: 39 Posted: 02 Jun 2014
Marta Banbura, Domenico Giannone and Michele Lenza
European Central Bank, Centre for Economic Policy Research (CEPR) and European Central Bank (ECB)
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Citation 12
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Bayesian Shrinkage, Conditional Forecast, Dynamic Factor Model, Large Cross-Sections, Vector Autoregression

46.

Changing Risk-Return Profiles

Number of pages: 67 Posted: 15 Jun 2018
Richard K. Crump, Domenico Giannone and Sean Hundtofte
Federal Reserve Banks - Federal Reserve Bank of New York, Centre for Economic Policy Research (CEPR) and NYU Stern
Downloads 38 (541,279)
Citation 2

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stock returns, realized volatility, density forecasts, optimal pools, Dodd-Frank, financial intermediation, financial conditions

47.

A Large Bayesian VAR of the United States Economy

Number of pages: 65 Posted: 21 Aug 2021
Federal Reserve Banks - Federal Reserve Bank of New York, University of Texas at Austin, Centre for Economic Policy Research (CEPR), Princeton University and Federal Reserve Bank of New York
Downloads 36 (551,535)

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bayesian vector autoregressions, conditional forecasts, scenario analyses, financial conditions index

48.

Back to the Present: Learning About the Euro Area Through a Now-Casting Model

Number of pages: 46 Posted: 14 Jun 2021
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Centre for Economic Policy Research (CEPR) and Board of Governors of the Federal Reserve System
Downloads 30 (584,505)

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49.

Tracking Greenspan: Systematic and Unsystematic Monetary Policy Revisited

Number of pages: 47 Posted: 25 Oct 2002
Domenico Giannone, Lucrezia Reichlin and Luca Sala
Centre for Economic Policy Research (CEPR), London Business School and University of Bocconi - Innocenzo Gasparini Institute for Economic Research (IGIER)
Downloads 29 (590,548)
Citation 2
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Monetary policy, Taylor rules, monetary shocks, signal extraction, dynamic factor models

50.

Bayesian VARs with Large Panels

Number of pages: 28 Posted: 23 May 2008
Marta Banbura, Domenico Giannone and Lucrezia Reichlin
European Central Bank, Centre for Economic Policy Research (CEPR) and London Business School
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Citation 2
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Bayesian VAR, forecasting, large cross-sections, monetary VAR

51.

A Two-Step Estimator for Large Approximate Dynamic Factor Models Based on Kalman Filtering

Number of pages: 45 Posted: 28 Jun 2007
Catherine Doz, Domenico Giannone and Lucrezia Reichlin
University of Cergy-Pontoise - Department of Economics, Centre for Economic Policy Research (CEPR) and London Business School
Downloads 9 (734,623)
Citation 75
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Factor Models, Kalman filter, large cross-sections, principal components

52.

Short-Term Inflation Projections: A Bayesian Vector Autoregressive Approach

Number of pages: 30 Posted: 29 Mar 2010
Centre for Economic Policy Research (CEPR), European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
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Citation 9
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Bayesian VAR, Forecast, Inflation

53.

Optimal Combination of Survey Forecasts

Number of pages: 21 Posted: 28 Sep 2012
Cristina Conflitti, Christine De Mol and Domenico Giannone
affiliation not provided to SSRN, Free University of Brussels (VUB/ULB) - European Center for Advanced Research in Economics and Statistics (ECARES) and Centre for Economic Policy Research (CEPR)
Downloads 5 (766,079)
Citation 6
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forecast combination, forecast evaluation, high-dimensional data, real-time data, shrinkage, Survey of Professional Forecasters

54.

Money, Credit, Monetary Policy and the Business Cycle in the Euro Area

Number of pages: 34 Posted: 25 May 2012
Domenico Giannone, Michele Lenza and Lucrezia Reichlin
Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and London Business School
Downloads 3 (781,696)
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euro area, loans, monetary policy, Money, non-financial corporations

55.

A New Core Inflation Indicator for New Zealand

Number of pages: 35 Posted: 30 May 2008
Domenico Giannone and Troy Matheson
Centre for Economic Policy Research (CEPR) and Government of New Zealand - Department of Economics
Downloads 3 (781,696)
Citation 1
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Core inflation, Monetary policy

56.

Comparing Alternative Predictors Based on Large‐Panel Factor Models

Oxford Bulletin of Economics and Statistics, Vol. 74, Issue 2, pp. 306-326, 2012
Number of pages: 21 Posted: 10 Feb 2012
Antonello D’ Agostino and Domenico Giannone
European Stability Mechanism and Centre for Economic Policy Research (CEPR)
Downloads 2 (791,082)
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57.

Forecasting Macroeconomic Risks

Number of pages: 35 Posted: 03 Mar 2020
Patrick Adams, Tobias Adrian, Nina Boyarchenko and Domenico Giannone
Massachusetts Institute of Technology (MIT), International Monetary Fund, Federal Reserve Bank of New York and Centre for Economic Policy Research (CEPR)
Downloads 1 (802,639)
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58.

Multimodality in Macro-Financial Dynamics

Number of pages: 60 Posted: 28 Jul 2020 Last Revised: 21 Aug 2020
Tobias Adrian, Nina Boyarchenko and Domenico Giannone
International Monetary Fund, Federal Reserve Bank of New York and Centre for Economic Policy Research (CEPR)
Downloads 0 (819,890)
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59.

The Financial and Macroeconomic Effects of OMT Announcements

Number of pages: 26 Posted: 25 Sep 2014
Carlo Altavilla, Domenico Giannone and Michele Lenza
European Central Bank (ECB), Centre for Economic Policy Research (CEPR) and European Central Bank (ECB)
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Citation 21
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event study, multi-country vector autoregressive model, news, Outright Monetary Transactions