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 Brussels I worked as economist at the Monetary Policy Research Division of the European Central Bank.

 

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 S. Simonelli). National Institute Economic Review; Vol. 210, Pages 90-97. (WP version).

 

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, University of Chicago Press, forthcoming. (WP version).

 

“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, University of Chicago Press, forthcoming. (Preprint version).

 

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 83-93, C.E.P.R. (Preprint version)

 

 

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 Central Bank.(replication files).

 

’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

BELGIUM

E-mail: dgiannon at ulb.ac.be

 

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