Domenico GIANNONE’s research
Work in progress
“800,000 Years of Climate Risk,” (with Tobias Adrian, Nina Boyarchenko, Ananthakrishnan Prasad, Dulani Seneviratne, and Yanzhe Xiao).
“Scarce, Abundant, or Ample? A Time-Varying Model of the Reserve Demand Curve,” (with Gara Afonso, Gabriele La Spada, and John Williams).
“Bank Capital and Real GDP Growth,” (with Nina Boyarchenko and Anna Kovner).
“Flighty Liquidity,” (with Nina Boyarchenko and Or Shachar).
Articles in journals
“The Asymptotic Equivalence of Ridge and Principal Component Regression with Many Predictors,” (with Christine De Mol and Lucrezia Reichlin), Econometrics and Statistics, forthcoming.
“A Large Bayesian VAR of the United States Economy,” (with Richard Crump, Stefano Eusepi, Eric Qian, and Argia Sbordone), to appear in the International Journal of Central Banking. (Replication files).
“Back to the Present: Learning about the Euro Area through a Now-casting Model,” 2024 (with Danilo Cascaldi-Garcia, Thiago Ferreira, and Michele Modugno), International Journal of Forecasting, vol. 40(2), pages 661-686. (Weekly updates and replication files).
“Nowcasting with large Bayesian vector autoregressions,” 2022 (with Jacopo Cimadomo, Michele Lenza, Francesca Monti, and Andrej Sokol), Journal of Econometrics, vol. 231(2), pages 500-519. (Replication files)
“Common Factors of Commodity Prices,” 2022 (with Simona Delle Chiaie and Laurent Ferrara), Journal of Applied Econometrics, vol. 37(3), pages 461-476.
“Economic Predictions with Big Data: The Illusion of Sparsity,” 2021 (with Michele Lenza and Giorgio Primiceri), Econometrica, vol. 89(5), pages 2409-2437. (Supplement and replication files)
“Multimodality in Macrofinancial Dynamics,” 2021 (with Tobias Adrian and Nina Boyarchenko), International Economic Review, vol. 62(2), pages 861-886.
“Forecasting Macroeconomic Risk,” 2021 (with Patrick Adams, Tobias Adrian, and Nina Boyarchenko), International Journal of Forecasting, vol. 62(2), pages 1173-1191.
“Vulnerable Growth,” 2019 (with Tobias Adrian and Nina Boyarchenko), American Economic Review, vol. 109(4), pages 1263-1289. (Replication files)
“Priors for the Long Run,” 2019 (with Michele Lenza and Giorgio Primiceri), Journal of the American Statistical Association, vol. 114(52), pages 656-580. (Replication files)
“Global trends in interest rates,” 2019 (with Marco Del Negro, Marc Giannoni, and Andrea Tambalotti), Journal of International Economics, vol. 118(C), pages 248-262. (Replication files)
“Money, Credit, Monetary Policy, and the Business Cycle in the Euro Area: What Has Changed Since the Crisis?,” 2019 (with Michele Lenza and Lucrezia Reichlin), International Journal of Central Banking, vol. 15(5), pages 137-173.
“Macroeconomic Nowcasting and Forecasting with Big Data,” 2018 (with Brandyn Bok, Daniele Caratelli, Argia Sbordone, and Andrea Tambalotti), Annual Review of Economics, vol. 10(1), pages 615-643.
“The Low-Frequency Effects of Macroeconomic News on Government Bond Yields,” 2017 (with Carlo Altavilla and Michele Modugno), Journal of Monetary Economics, vol. 92(C), pages 31-46.
“Safety, Liquidity, and the Natural Rate of Interest,” 2017 (with Marco Del Negro, Marc Giannoni, and Andrea Tambalotti), Brooking Papers on Economic Activity, vol. 48(1), pages 235-316. (Replication files)
“The national segmentation of euro area bank balance sheets during the financial crisis,” 2017 (with Antonio Colangelo, Michele Lenza, Huw Pill and Lucrezia Reichlin), Empirical Economics, vol. 53(1), pages 247-265.
“The Effectiveness of Non-Standard Monetary Policy Measures: Evidence from Survey Data,” 2017 (with Carlo Altavilla), Journal of Applied Econometrics, vol. 32(5), pages 952-964
“Exploiting the Monthly Data Flow in Structural Forecasting,” 2016 (with F. Monti and L. Reichlin), Journal of Monetary Economics, vol. 84, pages 201-215.
“The Financial and Macroeconomic Effects of the OMT Announcements,” 2016 (with Carlo Altavilla and Michele Lenza), International Journal of Central Banking, vol. 12(3), pages 29-57.
“Unspanned Macroeconomic Factors in the Yields Curve,” 2016 (with Laura Coroneo and Michele Modugno), Journal of Business and Economic Statistics, vol. 34(3), pages 472-485.
“Optimal Combination of Survey Forecasts,” 2015 (with Cristina Conflitti and Christine De Mol). International Journal of Forecasting, vol. 31(4), pages 1096-1103.
“Prior Selection for Vector Autoregressions,” 2015 (with Michele Lenza and Giorgio Primiceri). Review of Economics and Statistics, vol. 97(2), pages 436-451. (Replication files)
“Conditional Forecasts and Scenario Analysis with Vector Autoregressions for Large Cross-Sections,” 2015 (with Marta Banbura and Michele Lenza), International Journal of Forecasting, vol. 31(3), pages 739-756.
“Short-Term Inflation Projections: a Bayesian Vector Autoregressive Approach,” 2014 (with Michele Lenza, Daphne Momferatou, and Luca Onorante), International Journal of Forecasting, vol. 30(3), pages 635-644.
“The ECB and the Interbank Market,” 2012 (with Michele Lenza, Huw Pill, and Lucrezia Reichlin), Economic Journal, vol. 122(564), pages F467-F486.
“An area-wide real-time database for the euro area,” 2012 (with Jerome Henry, Magdalena Lalik, and Michele Modugno), Review of Economics and Statistics, vol. 94(4), pages 1000-1013. (Data)
“Macroeconomic Forecasting and Structural Change,” 2013 (with Antonello D’Agostino and Luca Gambetti), Journal of Applied Econometrics, vol. 28(1), pages 81-101.
“A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models,” 2012 (with Catherine Doz and Lucrezia Reichlin), Review of Economics and Statistics, vol. 94(4), 1014-1024. (Replication files)
“Comparing alternative predictors based on large-panel dynamic factor models,” 2012 (with Antonello D’Agostino), Oxford Bulletin of Economics and Statistics, vol. 74(2), pages 306-326.
“Market freedom and the global recession,” 2011 (with Michele Lenza and Lucrezia Reichlin), IMF Economic Review, vol. 59(1), pages 111-135.
“A two-step estimator for large approximate dynamic factor models based on Kalman filtering,” 2011 (with Catherine Doz and Lucrezia Reichlin), Journal of Econometrics, vol. 164(1), pages 188-205. (Replication files)
“Short-term forecasts of euro area GDP growth,” 2011 (with Elena Angelini, Gonzalo Camba-Mendez, Lucrezia Reichlin, and Gerhard Runstler), The Econometrics Journal, vol. 14(1), pages C25-C44.
“Large Bayesian VARs,” 2010 (with Marta Banbura and Lucrezia Reichlin), Journal of Applied Econometrics, vol. 25(1), pages 71-92. (Replication files)
“Sparse and Stable Markowitz Portfolios,” 2009 (with Joshua Brodie, Christine De Mol, Ingrid Daubechies, and Ignace Loris), Proceedings of the National Academy of Science, Vol. 106, No. 30, pages 12267-12272. (WP version)
“Opening the black box: structural factor models versus structural VARs,” 2009 (with Mario Forni, Marco Lippi, and Lucrezia Reichlin), Econometric Theory, Vol. 25, No. 05, pages 1319-1347.
“Explaining the great moderation: it is not the shocks,” 2008 (with Michele Lenza and Lucrezia Reichlin), Journal of the European Economic Association, P&P, Vol. 6, No. 2-3, April-May 2008, pages 621-633.
“Forecasting using a large number of predictors: is Bayesian shrinkage a valid alternative to principal components?,” 2008 (with Christine De Mol and Lucrezia Reichlin), Journal of Econometrics, Vol. 146, No. 2, October 2008, pages 318-328. (Appendix, replication files)
“Nowcasting: The Real Time Informational Content of Macroeconomic Data Releases,” 2008 (with Lucrezia Reichlin and David Small), Journal of Monetary Economics, Vol. 55, No. 4, May 2008, Pages 665-676. (Technical appendix, replication files)
“Nowcasting Euro Area Economic Activity in Real Time: The Role of Confidence Indicators,” 2009, (with Lucrezia Reichlin and Saverio Simonelli). National Institute Economic Review; Vol. 210, pages 90-97.
“A new core inflation indicator for New Zealand,” 2007 (with Troy Matheson), International Journal of Central Banking, vol. 3, No. 4, December 2007, Pages 145-180.
“VARs, Factor Models and the Empirical Validation of Equilibrium Business Cycle Models,” 2006, (with Lucrezia Reichlin and Luca Sala), Journal of Econometrics, Volume 132, No. 1, May 2006, pages 257-279.
“Does information help recovering structural shocks from past observations?,” 2006 (with Lucrezia Reichlin), Journal of the European Economic Association, P&P, Vol. 4, No. 2-3, April-May 2006, pages 455-465.
Articles in books
“Nowcasting Recession Risk,” (with Francesco Furno), to appear in the Handbook of Macroeconomic Forecasting, eds., A. Galvao and M. Clemens.
“Changing risk-return profiles,” (with Richard Crump, Miro Everaert, Sean Hundtofte), to appear in A Festschrift for Marc Hallin, eds. M. Barigozzi and D. Paindaveine.
“Big Data in Economics: Evolution or Revolution?,” 2016 (with Christine De Mol, Eric Gautier, Sendhil Mullainathan, Lucrezia Reichlin, Herman van Dijk, and Jeffrey Wooldridge), Economics without Borders Economic Research for European Policy Challenges, eds. R. Blundel, E. Cantillon et al., Cambridge University Press.
“Nowcasting Business Cycles: a Bayesian Approach to Dynamic Heterogenous Factor Models,” 2016 (with Antonello D’Agostino, Michele Lenza and Michele Modugno), Advances in Econometrics, vol. 35, Dynamic Factor Models, eds. S.J. Koopman and E. Hillebrand, Emerald, pages 569-594.
“Now-Casting and the Real-Time Data-Flow,” 2013 (with Marta Banbura, Michele Modugno, and Lucrezia Reichlin), in G. Elliott and A. Timmermann, eds., Handbook of Economic Forecasting, Volume 2, Elsevier-North Holland.
“Nowcasting,” 2011 (with Marta Banbura and Lucrezia Reichlin), in Michael P. Clements and David F. Hendry, editors, Oxford Handbook on Economic Forecasting, pages 193-224. (Corrected Appendix, replication files)
“Non-standard monetary policy measures and monetary developments,” 2011 (with Michele Lenza, Huw Pill, and Lucrezia Reichlin), in Lessons for Monetary Policy from the Financial Crisis, eds. J. Chadha and S.Holly, pages 195-221, Cambridge University Press.
“The Feldstein – Horioka Fact,” 2010 (with Michele Lenza), in Lucrezia Reichlin and Kenneth West, editors, NBER International Seminar on Macroeconomics 2009, pages 103-117, University of Chicago Press.
“Business Cycles in the euro area,” 2009 (with Michele Lenza and Lucrezia Reichlin), In Alberto Alesina and Francesco Giavazzi, editors, Europe and the Euro, pages 141-167, University of Chicago Press.
“Incorporating Conjunctural Analysis in Structural Models,” 2009 (joint with Francesca Monti and Lucrezia Reichlin), in Volker Wieland, editor, The Science and Practice of Monetary Policy Today, pages 41-57, Springer.
“Monetary Policy in Real Time,” 2005 (with Lucrezia Reichlin and Luca Sala), In Mark Gertler and Kenneth Rogoff, editors, NBER Macroeconomics Annual 2004, pages 161-200. MIT Press.
“Euro area and US recessions: 1970-2003,” 2004 (with Lucrezia Reichlin), in Lucrezia Reichlin, editor, The Euro Area Business Cycle: Stylized Facts and Measurement Issues, pages 83-93, CEPR.
Discussions and comments
Comments on “In-Sample Inference and Forecasting in Miss-Specified Factor Model,” 2016, Journal of Business and Economic Statistics, vol. 34(3), pages 342-344.
Comments on “Financial crises: lessons from history for today,” 2014, Economic Policy, vol. 29.
Comments on “Bank Lending and Monetary Transmission in the Euro Area,” 2013, Economic Policy, vol. 28.
“Comments on “Forecasting economic and financial variables with global VARs,” 2009, (with Lucrezia Reichlin) International Journal of Forecasting, vol. 25(4), pages 684-686.
Comments on “Can Parameter Instability Explain the Meese-Rogoff Puzzle?” 2010, in Lucrezia Reichlin and Kenneth West, editors, NBER International Seminar on Macroeconomics 2009, pages 180-190, University of Chicago Press.
“Business cycles in the euro area” (with Michele Lenza). Research Bulletin No. 5, DG Research, European Central Bank, March 2009.
Discussion of the paper “The ECB and the bond market,” 2009 (with Michele Lenza and Lucrezia Reichlin), in Marco Buti, Servaas Deroose and Vito Gaspar, editors, The Euro, Cambridge University Press, forthcoming.
Panel discussion on “Convergence or Divergence in Europe?” 2006 (with Anton Brender, Jean Pisani-Ferry, and Riccardo Faini), In Convergence or Divergence in Europe?, Olivier De Bandt, Heinz Hermann, Giuseppe Parigi, editors, Springer, pages 47-60.
Permanent working papers
“Trends and cycles in the Euro area: how much heterogeneity and should we worry about it?,” 2006 (with Lucrezia Reichlin), Working Paper Series 595, European Central Bank.
“Tracking Greenspan: Systematic and Nonsystematic Monetary Policy Revisited,” 2002 (with Lucrezia Reichlin and Luca Sala), CEPR Discussion Papers 3550.
“(Un)Predictability and Macroeconomic Stability“, 2006 (with Antonello D’Agostino and Paolo Surico).