Domenico GIANNONE’ s Homepage (CV)
Professor of Economics, Université libre de Bruxelles – Solvay Brussels School of Economic and Management – ECARES
Coordinates
Université Libre de Bruxelles - ECARES
50, Avenue Roosevelt CP 114
1050 Bruxelles
BELGIUM
E-mail: dgiannon at ulb.ac.be
Working Papers and Work in Progress
“Prior Selection for Vector Autoregressions”, 2010, (with Michele Lenza and Giorgio Primiceri), New Version!
“The ECB and the Interbank Market”, 2012, (with M. Lenza, H. Pill and L. Reichlin).
“Short-Term Inflation Projections: a Bayesian Vector Autoregressive Approach.” 2010. (with Michele Lenza, Daphne Momferatou and Luca Onorante), CEPR Discussion Papers 7746.
"(Un)Predictability and Macroeconomic Stability", 2006, (with Antonello D’Agostino and Paolo Surico), Working Paper Series 605, European Central Bank.
Articles in Journals
"An area-wide real-time database for the euro area," 2010 (with Jerome Henry, Magdalena Lalik and Michele Modugno), Review of Economics and Statistics, forthcoming.. (Data)
“Macroeconomic Forecasting and Structural Change”, (with Antonello D’Agostino and Luca Gambetti), Journal of Applied Econometrics, forthcoming.
“A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models”, (with Catherine Doz and Lucrezia Reichlin), Review of Economics and Statistics, forthcoming. (replication files)
“Comparing alternative predictors based on large-panel dynamic factor models”, (with Antonello D’Agostino), Oxford Bulletin of Economics and Statistics, forthcoming.
“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”, (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 E. Angelini, G. Camba-Mendez,. L. Reichlin and G.. 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. (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 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. (Preprint version, technical appendix)
“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. (WP version).
“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”, 2010, (with Marta Banbura and Lucrezia Reichlin), in Michael P. Clements and David F. Hendry, editors, Oxford Handbook on Economic Forecasting, forthcoming.
“Non-standard monetary policy measures and monetary developments”, (with M. Lenza, H. Pill and L. Reichlin), to appear in Lessons for Monetary Policy from the Financial Crisis, eds. J. Chadha and S.Holly, 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”, (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. (Preprint version)
“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, C.E.P.R. (Preprint version)
Discussions and Comments
"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, (Preprint version).
“Is the UK still in recession?” (with Lucrezia Reichlin and Saverio Simonelli), Vox, 23 November 2009.
“The euro hasn’t changed European business cycles.” (with Michele Lenza and Lucrezia Reichlin), Vox, 15 January 2009
“Business cycles in the euro area.” (with M. 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. (Preprint version)
Panel discussion on "Convergence or Divergence in Europe?" (with Anton Brender, Jean Pisani-Ferry and Riccardo Faini), In Convergence or Divergence in Europe?, 2006, Olivier De Bandt, Heinz Hermann, Giuseppe Parigi, editors, Springer, pages 47--60.
Older 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.
Short Bio (CV)
Domenico Giannone holds a PhD from the Universite' Libre de Bruxells (ULB). He is Professor of Economics at the ULB where he teaches Econometrics. His general fields of research are forecasting, monetary policy, business cycles and growth. He has worked as Economist at the Monetary Policy Research Division of the European Central Bank and been Scientific Coordinator of the Euro Area Business Cycle Network. He has designed econometric models that are routinely used to inform policy decisions in many institutions including the Federal Reserve Board of Governors, the European Central Bank, the Reserve Bank of New Zealand, the Norges Bank. He is associate editor for the Journal of applied Econometrics and the International Journal of Forecasting and panel member for Economic Policy. He is co-founder of Now-Casting.com, a web-based forecasting company.
