Domenico GIANNONE’ s Homepage (CV)
Professor of Economics, Universite Libre de Bruxelles - ECARES
Centre for Economic Policy Research (CEPR):
Research Affiliate
Ph. D. in Economics and Statistics, Universite
Libre de Bruxelles, 2004
I teach econometrics and my research focuses on Time Series Econometrics, Macroeconomics and Monetary Economics, Business Cycles and Forecasting.
Before joining the University in
Publications in Refereed Journals
“Large Bayesian VARs”, (with M. Banbura and L.
Reichlin), Journal of Applied
Econometrics, forthcoming. (WP version).
“Sparse
and Stable Markowitz Portfolios”, 2009, (with J. Brodie, C. De Mol and I.
Daubechies and I. 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
M. Forni, M., M. Lippi, M. and L. Reichlin), Econometric Theory, Vol. 25, No. 05, Pages 1319-1347.
“Nowcasting Euro Area Economic Activity in Real
Time: The Role of Confidence Indicators”, 2009, (with L. Reichlin and
“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 C. De Mol and L. 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. (Preprint
version, technical appendix)
“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 L. Reichlin and L. Sala), Journal
of Econometrics, Volume 132, No. 1 , May 2006, Pages 257-279.
‘’Does
information help recovering structural shocks from past observations?’’,
2006, (with L. Reichlin), Journal of the
European Economic Association, P&P, Vol. 4, No. 2-3, April-May 2006,
Pages 455-465.
Articles in Books
"The Feldstein - Horioka Fact", (with
M. Lenza), in Lucrezia Reichlin and Kenneth West, editors, NBER International
Seminar on Macroeconomics,
“Business Cycles in the euro area”, (with M.
Lenza and L. Reichlin), In Alberto Alesina and Francesco Giavazzi, editors, Europe and the Euro, forthcoming. (WP version).
Comment on "Can Parameter Instability
Explain the Meese-Rogoff Puzzle?", (with M. Lenza), in Lucrezia Reichlin
and Kenneth West, editors, NBER International Seminar on Macroeconomics,
“Incorporating
Conjunctural Analysis in Structural Models”, 2010, (with F. Monti and L.
Reichlin), in Volker Wieland, editor, The Science and Practice of Monetary
Policy Today, Springer Berlin Heidelberg, Pages 41-57. (Preprint
version).
“Monetary Policy in Real
Time”, 2005, (with L. Reichlin and L. 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 L. Reichlin), in Lucrezia
Reichlin, editor, The Euro Area Business
Cycle: Stylized Facts and Measurement Issues, Pages 83-
Working Papers
“Macroeconomic
Forecasting and Structural Change”, 2009. (with A. D’Agostino and L.
Gambetti), CEPR Discussion Papers 7542.
“Short-term forecasts of
euro area GDP growth”, 2008, (with E. Angelini, G. Camba-Mendez,. L.
Reichlin and G.. Runstler), Working Paper Series 872, European Central Bank.
“A Quasi Maximum
Likelihood Approach for Large Approximate Dynamic Factor Models”, 2006,
(with C. Doz and L. Reichlin), CEPR Discussion Papers 5724 and Working Paper
Series 674, European
‘’Trends and cycles in
the Euro area: how much heterogeneity and should we worry about it?’’,
2006, (with L. Reichlin), Working Paper Series 595, European Central Bank.
"(Un)Predictability and
Macroeconomic Stability", 2006, (with A. D’Agostino and P. Surico),
Working Paper Series 605, European Central Bank.
“Comparing alternative
predictors based on large-panel dynamic factor models”, 2005, (with A.
D’Agostino), Paper Series 680, European Central Bank.
“A two-step estimator for
large approximate dynamic factor models based on Kalman filtering”, 2006,
(with C. Doz and L. Reichlin), CEPR Discussion Papers 6043. (replication files)
“Tracking Greenspan: Systematic and Nonsystematic Monetary Policy Revisited”, 2002 (with L. Reichlin and L. Sala), CEPR Discussion Papers 3550.
Coordinates
Universite Libre de Bruxelles
- ECARES
50, Avenue
Roosevelt CP 114
1050 Bruxelles
E-mail: dgiannon at ulb.ac.be
