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Mario Forni

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Lippi, Marco & Reichlin, Lucrezia & Hallin, Marc & Forni, Mario, 2002. "The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting," CEPR Discussion Papers 3432, C.E.P.R. Discussion Papers.

    Mentioned in:

    1. Guest Contribution: “Nowcasting Global GDP Growth”
      by Menzie Chinn in Econbrowser on 2015-03-12 09:56:18

RePEc Biblio mentions

As found on the RePEc Biblio, the curated bibliography of Economics:
  1. Forni, Mario & Gambetti, Luca, 2010. "Macroeconomic Shocks and the Business Cycle: Evidence from a Structural Factor Model," CEPR Discussion Papers 7692, C.E.P.R. Discussion Papers.

    Mentioned in:

    1. > Econometrics > Time Series Models > Dynamic Factor Models > Structural Factor Models
  2. Mario Forni & Marc Hallin & Marco Lippi & Lucrezia Reichlin, 2000. "The Generalized Dynamic-Factor Model: Identification And Estimation," The Review of Economics and Statistics, MIT Press, vol. 82(4), pages 540-554, November.

    Mentioned in:

    1. > Econometrics > Time Series Models > Dynamic Factor Models
    2. > Econometrics > Big Data
  3. Forni, Mario & Giannone, Domenico & Lippi, Marco & Reichlin, Lucrezia, 2009. "Opening The Black Box: Structural Factor Models With Large Cross Sections," Econometric Theory, Cambridge University Press, vol. 25(5), pages 1319-1347, October.

    Mentioned in:

    1. > Econometrics > Time Series Models > Dynamic Factor Models > Structural Factor Models
  4. Forni, Mario & Gambetti, Luca, 2010. "The dynamic effects of monetary policy: A structural factor model approach," Journal of Monetary Economics, Elsevier, vol. 57(2), pages 203-216, March.

    Mentioned in:

    1. > Econometrics > Time Series Models > Dynamic Factor Models > Structural Factor Models

Working papers

  1. Forni, Mario & Gambetti, Luca & Ricco, Giovanni, 2023. "External Instrument SVAR Analysis for Noninvertible Shocks," CEPR Discussion Papers 17886, C.E.P.R. Discussion Papers.

    Cited by:

    1. Leonardo Nogueira Ferreira & Silvia Miranda-Agrippino & Giovanni Ricco, 2023. "Bayesian Local Projections," Working Papers Series 581, Central Bank of Brazil, Research Department.
    2. Davide Brignone & Alessandro Franconi & Marco Mazzali, 2023. "Robust Impulse Responses using External Instruments: the Role of Information," Papers 2307.06145, arXiv.org.
    3. Luca Eduardo Fierro & Mario Martinoli, 2024. "An Empirical Inquiry into the Distributional Consequences of Energy Price Shocks," LEM Papers Series 2024/30, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    4. Forni, Mario & Gambetti, Luca & Maffei-Faccioli, Nicolò & Sala, Luca, 2024. "The effects of monetary policy on macroeconomic risk," European Economic Review, Elsevier, vol. 167(C).

  2. Davide Debortoli & Mario Forni & Luca Gambetti & Luca Sala, 2023. "Asymmetric Monetary Policy Tradeoffs," Working Papers 1404, Barcelona School of Economics.

    Cited by:

    1. Knut Are Aastveit & Jamie L. Cross & Francesco Furlanetto & Herman K. Van Dijk, 2024. "Taylor Rules with Endogenous Regimes," Working Papers No 04/2024, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    2. Joscha Beckmann & Klaus-Jürgen Gern & Nils Jannsen, 2022. "Should they stay or should they go? Negative interest rate policies under review," International Economics and Economic Policy, Springer, vol. 19(4), pages 885-912, October.
    3. Martin Bruns & Michele Piffer, 2021. "Monetary policy shocks over the business cycle: Extending the Smooth Transition framework," University of East Anglia School of Economics Working Paper Series 2021-07, School of Economics, University of East Anglia, Norwich, UK..
    4. Leonardo Nogueira Ferreira, 2023. "Monetary Policy Surprises, Financial Conditions, and the String Theory Revisited," Working Papers Series 573, Central Bank of Brazil, Research Department.
    5. Yoosoon Chang & Steven N. Durlauf & Bo Hu & Joon Y. Park, 2024. "Accounting for Individual-Specific Heterogeneity in Intergenerational Income Mobility," Working Papers No 03/2024, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    6. Knut Are Aastveit & Jamie Cross & Francesco Furlanetto & Herman K van Dijk, 2024. "Asymmetric Gradualism in US Monetary Policy," Tinbergen Institute Discussion Papers 24-074/III, Tinbergen Institute.
    7. Emter, Lorenz & Setzer, Ralph & Zorell, Nico & Moura, Afonso S., 2024. "Monetary policy and growth-at-risk: the role of institutional quality," Working Paper Series 2989, European Central Bank.
    8. Ryan Niladri Banerjee & Valerie Boctor & Aaron Mehrotra & Fabrizio Zampolli, 2022. "Fiscal deficits and inflation risks: the role of fiscal and monetary policy regimes," BIS Working Papers 1028, Bank for International Settlements.

  3. Mario Forni & Luca Gambetti & Nicolò Maffei-Faccioli & Luca Sala, 2022. "Nonlinear transmission of financial shocks: Some new evidence," Working Paper 2022/3, Norges Bank.

    Cited by:

    1. Davidson, Sharada Nia & Moccero, Diego Nicolas, 2024. "The nonlinear effects of banks’ vulnerability to capital depletion in euro area countries," Working Paper Series 2912, European Central Bank.
    2. Silvia Goncalves & Ana María Herrera & Lutz Kilian & Elena Pesavento, 2024. "Nonparametric Local Projections," Working Papers 2414, Federal Reserve Bank of Dallas.
    3. Cordoni, Francesco & Dorémus, Nicolas & Moneta, Alessio, 2024. "Identification of vector autoregressive models with nonlinear contemporaneous structure," Journal of Economic Dynamics and Control, Elsevier, vol. 162(C).
    4. Niko Hauzenberger & Florian Huber & Karin Klieber & Massimiliano Marcellino, 2024. "Machine Learning the Macroeconomic Effects of Financial Shocks," Papers 2412.07649, arXiv.org.
    5. Florian Huber & Karin Klieber & Massimiliano Marcellino & Luca Onorante & Michael Pfarrhofer, 2024. "Asymmetries in Financial Spillovers," Papers 2410.16214, arXiv.org.
    6. Miescu, Mirela & Mumtaz, Haroon & Theodoridis, Konstantinos, 2024. "Non-linear Dynamics of Oil Supply News Shocks," Cardiff Economics Working Papers E2024/18, Cardiff University, Cardiff Business School, Economics Section.
    7. Giovanni Ballarin, 2023. "Impulse Response Analysis of Structural Nonlinear Time Series Models," Papers 2305.19089, arXiv.org, revised Jun 2024.

  4. Forni, Mario & Gambetti, Luca & Sala, Luca, 2021. "Downside and Upside Uncertainty Shocks," CEPR Discussion Papers 15881, C.E.P.R. Discussion Papers.

    Cited by:

    1. Dimitris Korobilis & Maximilian Schröder, 2023. "Monitoring multicountry macroeconomic risk," Working Papers No 06/2023, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    2. Iseringhausen, Martin & Petrella, Ivan & Theodoridis, Konstantinos, 2022. "Aggregate Skewness and the Business Cycle," CEPR Discussion Papers 17162, C.E.P.R. Discussion Papers.
    3. Mario Forni & Luca Gambetti & Nicolò Maffei-Faccioli & Luca Sala, 2023. "The impact of financial shocks on the forecast distribution of output and inflation," Working Paper 2023/3, Norges Bank.
    4. Oscar Claveria & Petar Sorić, 2023. "Labour market uncertainty after the irruption of COVID-19," Empirical Economics, Springer, vol. 64(4), pages 1897-1945, April.
    5. Dimitris Korobilis & Maximilian Schröder, 2023. "Probabilistic Quantile Factor Analysis," Working Papers No 05/2023, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    6. Forni, Mario & Gambetti, Luca & Maffei-Faccioli, Nicolò & Sala, Luca, 2024. "The effects of monetary policy on macroeconomic risk," European Economic Review, Elsevier, vol. 167(C).

  5. Forni, Mario & Gambetti, Luca & Sala, Luca, 2021. "Macroeconomic Uncertainty and Vector Autoregressions," CEPR Discussion Papers 15692, C.E.P.R. Discussion Papers.

    Cited by:

    1. Ambrocio, Gene, 2020. "Inflationary household uncertainty shocks," Bank of Finland Research Discussion Papers 5/2020, Bank of Finland.

  6. Forni, Mario & Gambetti, Luca & Lippi, Marco & Sala, Luca, 2020. "Common Component Structural VARs," CEPR Discussion Papers 15529, C.E.P.R. Discussion Papers.

    Cited by:

    1. Pagan, Adrian & Robinson, Tim, 2022. "Excess shocks can limit the economic interpretation," European Economic Review, Elsevier, vol. 145(C).
    2. Gianluca Cubadda & Marco Mazzali, 2023. "The Vector Error Correction Index Model: Representation, Estimation and Identification," CEIS Research Paper 556, Tor Vergata University, CEIS, revised 04 Apr 2023.
    3. Lippi, Marco & Deistler, Manfred & Anderson, Brian, 2023. "High-Dimensional Dynamic Factor Models: A Selective Survey and Lines of Future Research," Econometrics and Statistics, Elsevier, vol. 26(C), pages 3-16.
    4. Matteo Barigozzi & Claudio Lissona & Lorenzo Tonni, 2024. "Large datasets for the Euro Area and its member countries and the dynamic effects of the common monetary policy," Papers 2410.05082, arXiv.org.

  7. Davide Debortoli & Mario Forni & Luca Gambetti & Luca Sala, 2020. "Asymmetric Effects of Monetary Policy Easing and Tightening," Working Papers 1205, Barcelona School of Economics.

    Cited by:

    1. Mr. Pragyan Deb & Julia Estefania-Flores & Melih Firat & Davide Furceri & Siddharth Kothari, 2023. "Monetary Policy Transmission Heterogeneity: Cross-Country Evidence," IMF Working Papers 2023/204, International Monetary Fund.
    2. Brignone, Davide & Gambetti, Luca & Ricci, Martino, 2024. "Geopolitical risk shocks: when the size matters," Working Paper Series 2972, European Central Bank.
    3. Josef Baumgartner & Serguei Kaniovski & Franz Sinabell, 2024. "Policy Brief: Robuste Versorgungsketten in der Agrar- und Nahrungsmittelwirtschaft. Eine kurzfristige Prognose der Preisänderungen von Nahrungsmitteln und Getränken für Österreich," WIFO Studies, WIFO, number 71405, January.
    4. Joscha Beckmann & Klaus-Jürgen Gern & Nils Jannsen, 2022. "Should they stay or should they go? Negative interest rate policies under review," International Economics and Economic Policy, Springer, vol. 19(4), pages 885-912, October.
    5. Velasco, Sofia, 2024. "Asymmetries in the transmission of monetary policy shocks over the business cycle: a Bayesian Quantile Factor Augmented VAR," Working Paper Series 2983, European Central Bank.
    6. Martin Bruns & Michele Piffer, 2021. "Monetary policy shocks over the business cycle: Extending the Smooth Transition framework," University of East Anglia School of Economics Working Paper Series 2021-07, School of Economics, University of East Anglia, Norwich, UK..
    7. Tobias Adrian & Gaston Gelos & Nora Lamersdorf & Emanuel Moench, 2024. "The asymmetric and persistent effects of Fed policy on global bond yields," BIS Working Papers 1195, Bank for International Settlements.
    8. Leonardo Nogueira Ferreira, 2023. "Monetary Policy Surprises, Financial Conditions, and the String Theory Revisited," Working Papers Series 573, Central Bank of Brazil, Research Department.
    9. Luca Eduardo Fierro & Mario Martinoli, 2024. "An Empirical Inquiry into the Distributional Consequences of Energy Price Shocks," LEM Papers Series 2024/30, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    10. Miescu, Mirela & Mumtaz, Haroon & Theodoridis, Konstantinos, 2024. "Non-linear Dynamics of Oil Supply News Shocks," Cardiff Economics Working Papers E2024/18, Cardiff University, Cardiff Business School, Economics Section.
    11. Ryan Niladri Banerjee & Valerie Boctor & Aaron Mehrotra & Fabrizio Zampolli, 2022. "Fiscal deficits and inflation risks: the role of fiscal and monetary policy regimes," BIS Working Papers 1028, Bank for International Settlements.

  8. Mario Forni & Luca Gambetti & Luca Sala, 2018. "Fundamentalness, Granger Causality and Aggregation," Center for Economic Research (RECent) 139, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".

    Cited by:

    1. Ben Tippet & Özlem Onaran & Rafael Wildauer, 2024. "The Effect of Labor's Bargaining Power on Wealth Inequality in the UK, USA, And France," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 70(1), pages 102-128, March.

  9. Forni, Mario & Di Bonaventura, Luca & Pattarin, Francesco, 2018. "The Forcasting Performance of Dynamic Factor Models with Vintage Data," CEPR Discussion Papers 13034, C.E.P.R. Discussion Papers.

    Cited by:

    1. Carlos Cesar Trucios-Maza & João H. G Mazzeu & Luis K. Hotta & Pedro L. Valls Pereira & Marc Hallin, 2019. "On the robustness of the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting," Working Papers ECARES 2019-32, ULB -- Universite Libre de Bruxelles.
    2. Beatrice Bertelli & Gianna Boero & Costanza Torricelli, 2021. "The market price of greenness A factor pricing approach for Green Bonds," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0083, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
    3. Costanza Torricelli & Eleonora Pellati, 2022. "Social Bonds and the “Social Premiumâ€," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0085, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
    4. Barigozzi, Matteo & Hallin, Marc & Soccorsi, Stefano & von Sachs, Rainer, 2020. "Time-varying general dynamic factor models and the measurement of financial connectedness," LIDAM Reprints ISBA 2020015, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    5. Matteo Barigozzi & Marc Hallin & Matteo Luciani & Paolo Zaffaroni, 2021. "Inferential Theory for Generalized Dynamic Factor Models," Working Papers ECARES 2021-20, ULB -- Universite Libre de Bruxelles.
    6. Lucchetti, Riccardo & Venetis, Ioannis A., 2020. "A replication of "A quasi-maximum likelihood approach for large, approximate dynamic factor models" (Review of Economics and Statistics, 2012)," Economics Discussion Papers 2020-5, Kiel Institute for the World Economy (IfW Kiel).
    7. Trucíos Maza, Carlos César & Mazzeu, João H. G. & Hotta, Luiz Koodi & Pereira, Pedro L. Valls & Hallin, Marc, 2020. "Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting," Textos para discussão 521, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    8. Chiara Pederzoli & Costanza Torricelli, 2019. "The impact of the Fundamental Review of the Trading Book: A preliminary assessment on a stylized portfolio," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0075, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
    9. Catherine Doz & Peter Fuleky, 2019. "Dynamic Factor Models," Working Papers 2019-4, University of Hawaii Economic Research Organization, University of Hawaii at Manoa.
    10. Marc Hallin, 2022. "Manfred Deistler and the General Dynamic Factor Model Approach to the Analysis of High-Dimensional Time Series," Working Papers ECARES 2022-30, ULB -- Universite Libre de Bruxelles.
    11. Marianna Brunetti & Roberta de Luca, 2022. "Pre-selection in cointegration-based pairs trading," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0089, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
    12. Francesca Arnaboldi, Francesca Gioia, 2019. "Portfolio choice: Evidence from new-borns," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0078, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
    13. Barbara Rossi, 2019. "Forecasting in the presence of instabilities: How do we know whether models predict well and how to improve them," Economics Working Papers 1711, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2021.
    14. Fan Yang & Robert C. Qiu & Zenan Ling & Xing He & Haosen Yang, 2019. "Detection and Analysis of Multiple Events Based on High-Dimensional Factor Models in Power Grid," Energies, MDPI, vol. 12(7), pages 1-16, April.
    15. Siegfried Hörmann & Gilles Nisol, 2021. "Prediction of Singular VARs and an Application to Generalized Dynamic Factor Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(3), pages 295-313, May.
    16. Costanza Torricelli & Fabio Ferrari, 2022. "Climate Stress Test: bad (or good) news for the market? An Event Study Analysis on Euro Zone Banks," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0086, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
    17. Costanza Torricelli & Beatrice Bertelli, 2022. "ESG compliant optimal portfolios: The impact of ESG constraints on portfolio optimization in a sample of European stocks," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0088, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".

  10. Mario Forni & Luca Gambetti & Luca Sala, 2017. "News, Uncertainty and Economic Fluctuations (No News is Good News)," Center for Economic Research (RECent) 132, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".

    Cited by:

    1. Danilo Cascaldi-Garcia & Ana Beatriz Galvao, 2018. "News and Uncertainty Shocks," International Finance Discussion Papers 1240, Board of Governors of the Federal Reserve System (U.S.).
    2. Danielsson, Jon & Valenzuela, Marcela & Zer, Ilknur, 2023. "The impact of risk cycles on business cycles: a historical view," LSE Research Online Documents on Economics 117384, London School of Economics and Political Science, LSE Library.
    3. Canh Phuc NGUYEN & Christophe SCHINCKUS, 2020. "The Spending Behavior of Government through the Lenses of Global Uncertainty and Economic Integration," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 35-57, July.
    4. Danilo Cascaldi-Garcia, 2017. "Amplification effects of news shocks through uncertainty," 2017 Papers pca1251, Job Market Papers.
    5. Nguyen Phuc Canh & Udomsak Wongchoti & Su Dinh Thanh, 2021. "Does economic policy uncertainty matter for insurance development? Evidence from 16 OECD countries," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 46(4), pages 614-648, October.
    6. Edgar Silgado-Gómez, 2024. "Sovereign uncertainty," Working Papers 2423, Banco de España.
    7. Canh P. Nguyen & Christophe Schinckus & Dinh Su Thanh, 2020. "Economic Fluctuations And The Shadow Economy: A Global Study," Global Economy Journal (GEJ), World Scientific Publishing Co. Pte. Ltd., vol. 20(03), pages 1-24, September.
    8. Canh Phuc Nguyen & Thanh Dinh Su, 2022. "When ‘uncertainty’ becomes ‘unknown’: Influences of economic uncertainty on the shadow economy," Annals of Public and Cooperative Economics, Wiley Blackwell, vol. 93(3), pages 677-716, September.
    9. Brianti, Marco, 2021. "Financial Shocks, Uncertainty Shocks, and Monetary Policy Trade-Offs," Working Papers 2021-5, University of Alberta, Department of Economics.

  11. Forni, Mario & Gambetti, Luca & Sala, Luca, 2017. "News, Uncertainty and Economic Fluctuations," CEPR Discussion Papers 12139, C.E.P.R. Discussion Papers.

    Cited by:

    1. Danilo Cascaldi-Garcia & Ana Beatriz Galvao, 2018. "News and Uncertainty Shocks," International Finance Discussion Papers 1240, Board of Governors of the Federal Reserve System (U.S.).
    2. Berner, Julian & Buchholz, Manuel & Tonzer, Lena, 2020. "Asymmetric investment responses to firm-specific forecast errors," IWH Discussion Papers 5/2020, Halle Institute for Economic Research (IWH).
    3. Danielsson, Jon & Valenzuela, Marcela & Zer, Ilknur, 2023. "The impact of risk cycles on business cycles: a historical view," LSE Research Online Documents on Economics 117384, London School of Economics and Political Science, LSE Library.
    4. Canh Phuc NGUYEN & Christophe SCHINCKUS, 2020. "The Spending Behavior of Government through the Lenses of Global Uncertainty and Economic Integration," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 35-57, July.
    5. Danilo Cascaldi-Garcia, 2017. "Amplification effects of news shocks through uncertainty," 2017 Papers pca1251, Job Market Papers.
    6. Nguyen Phuc Canh & Udomsak Wongchoti & Su Dinh Thanh, 2021. "Does economic policy uncertainty matter for insurance development? Evidence from 16 OECD countries," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 46(4), pages 614-648, October.
    7. Edgar Silgado-Gómez, 2024. "Sovereign uncertainty," Working Papers 2423, Banco de España.
    8. Canh P. Nguyen & Christophe Schinckus & Dinh Su Thanh, 2020. "Economic Fluctuations And The Shadow Economy: A Global Study," Global Economy Journal (GEJ), World Scientific Publishing Co. Pte. Ltd., vol. 20(03), pages 1-24, September.
    9. Canh Phuc Nguyen & Thanh Dinh Su, 2022. "When ‘uncertainty’ becomes ‘unknown’: Influences of economic uncertainty on the shadow economy," Annals of Public and Cooperative Economics, Wiley Blackwell, vol. 93(3), pages 677-716, September.
    10. Manuel Buchholz & Lena Tonzer & Julian Berner, 2022. "Firm‐specific forecast errors and asymmetric investment propensity," Economic Inquiry, Western Economic Association International, vol. 60(2), pages 764-793, April.
    11. Brianti, Marco, 2021. "Financial Shocks, Uncertainty Shocks, and Monetary Policy Trade-Offs," Working Papers 2021-5, University of Alberta, Department of Economics.

  12. Forni, Mario & Giovannelli, Alessandro & Lippi, Marco & Soccorsi, Stefano, 2016. "Dynamic Factor model with infinite dimensional factor space: forecasting," CEPR Discussion Papers 11161, C.E.P.R. Discussion Papers.

    Cited by:

    1. Jean-Armand Gnagne & Kevin Moran, 2020. "Forecasting Bank Failures in a Data-Rich Environment," Working Papers 20-13, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management.
    2. Massacci, Daniele & Kapetanios, George, 2024. "Forecasting in factor augmented regressions under structural change," International Journal of Forecasting, Elsevier, vol. 40(1), pages 62-76.
    3. Carlos Cesar Trucios-Maza & João H. G Mazzeu & Luis K. Hotta & Pedro L. Valls Pereira & Marc Hallin, 2019. "On the robustness of the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting," Working Papers ECARES 2019-32, ULB -- Universite Libre de Bruxelles.
    4. Matteo Barigozzi & Marc Hallin, 2024. "The Dynamic, the Static, and the Weak factor models and the analysis of high-dimensional time series," Papers 2407.10653, arXiv.org, revised Jan 2025.
    5. Giovannelli, Alessandro & Massacci, Daniele & Soccorsi, Stefano, 2021. "Forecasting stock returns with large dimensional factor models," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 252-269.
    6. Pietro Dallari & Antonio Ribba, 2015. "Dynamic Factor Models with In nite-Dimensional Factor Space: Asymptotic Analysis," Center for Economic Research (RECent) 115, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    7. Paolo Andreini & Cosimo Izzo & Giovanni Ricco, 2020. "Deep Dynamic Factor Models," Papers 2007.11887, arXiv.org, revised May 2023.
    8. Carlos Trucíos & João H. G. Mazzeu & Marc Hallin & Luiz K. Hotta & Pedro L. Valls Pereira & Mauricio Zevallos, 2022. "Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(1), pages 40-52, December.
    9. Philipp Gersing, 2024. "A Distributed Lag Approach to the Generalised Dynamic Factor Model (GDFM)," Papers 2410.20885, arXiv.org.
    10. Marine Carrasco & Barbara Rossi, 2016. "In-Sample Inference and Forecasting in Misspecified Factor Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(3), pages 313-338, July.
    11. Barigozzi, Matteo & Hallin, Marc & Soccorsi, Stefano & von Sachs, Rainer, 2020. "Time-varying general dynamic factor models and the measurement of financial connectedness," LIDAM Reprints ISBA 2020015, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    12. Matteo Barigozzi & Marc Hallin & Matteo Luciani & Paolo Zaffaroni, 2021. "Inferential Theory for Generalized Dynamic Factor Models," Working Papers ECARES 2021-20, ULB -- Universite Libre de Bruxelles.
    13. Tommaso Proietti & Alessandro Giovannelli, 2020. "Nowcasting Monthly GDP with Big Data: a Model Averaging Approach," CEIS Research Paper 482, Tor Vergata University, CEIS, revised 12 May 2020.
    14. Lucchetti, Riccardo & Venetis, Ioannis A., 2020. "A replication of "A quasi-maximum likelihood approach for large, approximate dynamic factor models" (Review of Economics and Statistics, 2012)," Economics Discussion Papers 2020-5, Kiel Institute for the World Economy (IfW Kiel).
    15. F. Della Marra, 2017. "A forecasting performance comparison of dynamic factor models based on static and dynamic methods," Economics Department Working Papers 2017-ME01, Department of Economics, Parma University (Italy).
    16. Trucíos Maza, Carlos César & Mazzeu, João H. G. & Hotta, Luiz Koodi & Pereira, Pedro L. Valls & Hallin, Marc, 2020. "Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting," Textos para discussão 521, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    17. Matteo Barigozzi & Marc Hallin, 2023. "Dynamic Factor Models: a Genealogy," Working Papers ECARES 2023-15, ULB -- Universite Libre de Bruxelles.
    18. Catherine Doz & Peter Fuleky, 2019. "Dynamic Factor Models," Working Papers 2019-4, University of Hawaii Economic Research Organization, University of Hawaii at Manoa.
    19. Mario Forni & Alessandro Giovannelli & Marco Lippi & Stefano Soccorsi, 2016. "Dynamic Factor Model with Infinite Dimensional Factor Space: Forecasting," Working Papers ECARES ECARES 2016-16, ULB -- Universite Libre de Bruxelles.
    20. Smeekes, Stephan & Wijler, Etiënne, 2016. "Macroeconomic Forecasting Using Penalized Regression Methods," Research Memorandum 039, Maastricht University, Graduate School of Business and Economics (GSBE).
    21. Proietti, Tommaso & Giovannelli, Alessandro & Ricchi, Ottavio & Citton, Ambra & Tegami, Christían & Tinti, Cristina, 2021. "Nowcasting GDP and its components in a data-rich environment: The merits of the indirect approach," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1376-1398.
    22. Matteo Barigozzi & Marc Hallin, 2018. "Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals," Papers 1811.10045, arXiv.org, revised Jul 2019.
    23. Paolo Andreini & Donato Ceci, 2019. "A Horse Race in High Dimensional Space," CEIS Research Paper 452, Tor Vergata University, CEIS, revised 14 Feb 2019.
    24. Luca Di Bonaventura & Mario Forni & Francesco Pattarin, 2018. "The Forecasting Performance of Dynamic Factor Models with Vintage Data," Center for Economic Research (RECent) 138, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    25. Barbara Rossi, 2019. "Forecasting in the presence of instabilities: How do we know whether models predict well and how to improve them," Economics Working Papers 1711, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2021.
    26. Fan Yang & Robert C. Qiu & Zenan Ling & Xing He & Haosen Yang, 2019. "Detection and Analysis of Multiple Events Based on High-Dimensional Factor Models in Power Grid," Energies, MDPI, vol. 12(7), pages 1-16, April.
    27. Barigozzi, Matteo & Lippi, Marco & Luciani, Matteo, 2021. "Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with I(1) cointegrated factors," Journal of Econometrics, Elsevier, vol. 221(2), pages 455-482.
    28. Lippi, Marco & Deistler, Manfred & Anderson, Brian, 2023. "High-Dimensional Dynamic Factor Models: A Selective Survey and Lines of Future Research," Econometrics and Statistics, Elsevier, vol. 26(C), pages 3-16.
    29. Jean Armand Gnagne & Kevin Moran, 2018. "Monitoring Bank Failures in a Data-Rich Environment," Cahiers de recherche 1815, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
    30. Liang Zeng & Lei Wang & Hui Niu & Ruchen Zhang & Ling Wang & Jian Li, 2021. "Trade When Opportunity Comes: Price Movement Forecasting via Locality-Aware Attention and Iterative Refinement Labeling," Papers 2107.11972, arXiv.org, revised Jul 2024.
    31. Siegfried Hörmann & Gilles Nisol, 2021. "Prediction of Singular VARs and an Application to Generalized Dynamic Factor Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(3), pages 295-313, May.
    32. Duván Humberto Cataño & Carlos Vladimir Rodríguez-Caballero & Daniel Peña, 2019. "Wavelet Estimation for Dynamic Factor Models with Time-Varying Loadings," CREATES Research Papers 2019-23, Department of Economics and Business Economics, Aarhus University.
    33. Matteo Barigozzi & Marc Hallin & Stefano Soccorsi, 2017. "Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models," Working Papers ECARES ECARES 2017-10, ULB -- Universite Libre de Bruxelles.
    34. Simone Tonini & Francesca Chiaromonte & Alessandro Giovannelli, 2022. "On the impact of serial dependence on penalized regression methods," LEM Papers Series 2022/21, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.

  13. Forni, Mario & Gambetti, Luca & Sala, Luca, 2016. "VAR Information and the Empirical Validation of DSGE Models," CEPR Discussion Papers 11178, C.E.P.R. Discussion Papers.

    Cited by:

    1. Soccorsi, Stefano, 2016. "Measuring nonfundamentalness for structural VARs," Journal of Economic Dynamics and Control, Elsevier, vol. 71(C), pages 86-101.
    2. Nikolay Iskrev, 2018. "Are asset price data informative about news shocks? A DSGE perspective," Working Papers REM 2018/33, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    3. Mario Forni & Luca Gambetti & Luca Sala, 2017. "News, Uncertainty and Economic Fluctuations (No News is Good News)," Center for Economic Research (RECent) 132, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    4. Bhattarai, Keshab & Mallick, Sushanta K. & Yang, Bo, 2021. "Are global spillovers complementary or competitive? Need for international policy coordination," Journal of International Money and Finance, Elsevier, vol. 110(C).
    5. Beaudry, Paul & Fève, Patrick & Guay, Alain & Portier, Franck, 2016. "When is Nonfundamentalness in SVARs A Real Problem?," TSE Working Papers 16-738, Toulouse School of Economics (TSE).
    6. G. Rigatos, 2021. "Statistical Validation of Multi-Agent Financial Models Using the H-Infinity Kalman Filter," Computational Economics, Springer;Society for Computational Economics, vol. 58(3), pages 777-798, October.
    7. Iskrev, Nikolay, 2019. "On the sources of information about latent variables in DSGE models," European Economic Review, Elsevier, vol. 119(C), pages 318-332.
    8. Paul Levine & Joseph Pearlman & Alessio Volpicella & Bo Yang, 2022. "The Use and Mis-Use of SVARs for Validating DSGE Models," School of Economics Discussion Papers 0522, School of Economics, University of Surrey.
    9. Daniele Siena, 2017. "What's News in International Business Cycles," 2017 Meeting Papers 1206, Society for Economic Dynamics.

  14. Maddalena Cavicchioli & Mario Forni & Marco Lippi & Paolo zaffaroni, 2016. "Eigenvalue Ratio Estimators for the Number of Dynamic Factors," Center for Economic Research (RECent) 123, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".

    Cited by:

    1. Christian Brownlees & Geert Mesters, 2017. "Detecting Granular Time Series in Large Panels," Working Papers 991, Barcelona School of Economics.

  15. Lippi, Marco & Hallin, Marc & Forni, Mario & Zaffaroni, Paolo, 2015. "Dynamic Factor Models with Infinite-Dimensional Factor Space: Asymptotic Analysis," CEPR Discussion Papers 10618, C.E.P.R. Discussion Papers.

    Cited by:

    1. Chiara Casoli & Riccardo (Jack) Lucchetti, 2022. "Permanent-Transitory decomposition of cointegrated time series via dynamic factor models, with an application to commodity prices [Commodity-price comovement and global economic activity]," The Econometrics Journal, Royal Economic Society, vol. 25(2), pages 494-514.
    2. Forni, Mario & Hallin, Marc & Lippi, Marco & Zaffaroni, Paolo, 2015. "Dynamic factor models with infinite-dimensional factor spaces: One-sided representations," Journal of Econometrics, Elsevier, vol. 185(2), pages 359-371.
    3. Marc Hallin & Siegfried Hörmann & Marco Lippi, 2017. "Optimal Dimension Reduction for High-dimensional and Functional Time Series," Working Papers ECARES ECARES 2017-39, ULB -- Universite Libre de Bruxelles.
    4. Carlos Cesar Trucios-Maza & João H. G Mazzeu & Luis K. Hotta & Pedro L. Valls Pereira & Marc Hallin, 2019. "On the robustness of the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting," Working Papers ECARES 2019-32, ULB -- Universite Libre de Bruxelles.
    5. Matteo Barigozzi & Marc Hallin, 2024. "The Dynamic, the Static, and the Weak factor models and the analysis of high-dimensional time series," Papers 2407.10653, arXiv.org, revised Jan 2025.
    6. Giovannelli, Alessandro & Massacci, Daniele & Soccorsi, Stefano, 2021. "Forecasting stock returns with large dimensional factor models," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 252-269.
    7. Matteo Barigozzi & Daniele Massacci, 2022. "Modelling Large Dimensional Datasets with Markov Switching Factor Models," Papers 2210.09828, arXiv.org, revised Dec 2024.
    8. Pietro Dallari & Antonio Ribba, 2015. "Dynamic Factor Models with In nite-Dimensional Factor Space: Asymptotic Analysis," Center for Economic Research (RECent) 115, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    9. Miaomiao Niu & Guohao Li, 2022. "The Impact of Climate Change Risks on Residential Consumption in China: Evidence from ARMAX Modeling and Granger Causality Analysis," IJERPH, MDPI, vol. 19(19), pages 1-15, September.
    10. Carlos Trucíos & João H. G. Mazzeu & Marc Hallin & Luiz K. Hotta & Pedro L. Valls Pereira & Mauricio Zevallos, 2022. "Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(1), pages 40-52, December.
    11. Artūras Juodis & Simas Kučinskas, 2023. "Quantifying noise in survey expectations," Quantitative Economics, Econometric Society, vol. 14(2), pages 609-650, May.
    12. Matteo Barigozzi & Matteo Luciani, 2024. "Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm," Finance and Economics Discussion Series 2024-086, Board of Governors of the Federal Reserve System (U.S.).
    13. Matteo Barigozzi & Matteo Luciani, 2019. "Quasi Maximum Likelihood Estimation of Non-Stationary Large Approximate Dynamic Factor Models," Papers 1910.09841, arXiv.org.
    14. Philipp Gersing, 2024. "A Distributed Lag Approach to the Generalised Dynamic Factor Model (GDFM)," Papers 2410.20885, arXiv.org.
    15. Poncela, Pilar & Ruiz, Esther & Miranda, Karen, 2021. "Factor extraction using Kalman filter and smoothing: This is not just another survey," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1399-1425.
    16. Mario Forni & Luca Gambetti & marco Lippi & Luca Sala, 2020. "Common Components Structural VARs," Center for Economic Research (RECent) 147, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    17. Matteo Barigozzi & Lorenzo Trapani, 2018. "Sequential testing for structural stability in approximate factor models," Discussion Papers 18/04, University of Nottingham, Granger Centre for Time Series Econometrics.
    18. Barigozzi, Matteo & Hallin, Marc & Soccorsi, Stefano & von Sachs, Rainer, 2020. "Time-varying general dynamic factor models and the measurement of financial connectedness," LIDAM Reprints ISBA 2020015, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    19. Matteo Barigozzi & Marc Hallin & Matteo Luciani & Paolo Zaffaroni, 2021. "Inferential Theory for Generalized Dynamic Factor Models," Working Papers ECARES 2021-20, ULB -- Universite Libre de Bruxelles.
    20. Tommaso Proietti & Alessandro Giovannelli, 2020. "Nowcasting Monthly GDP with Big Data: a Model Averaging Approach," CEIS Research Paper 482, Tor Vergata University, CEIS, revised 12 May 2020.
    21. Lucchetti, Riccardo & Venetis, Ioannis A., 2020. "A replication of "A quasi-maximum likelihood approach for large, approximate dynamic factor models" (Review of Economics and Statistics, 2012)," Economics Discussion Papers 2020-5, Kiel Institute for the World Economy (IfW Kiel).
    22. Barigozzi, Matteo & Hallin, Marc, 2017. "Generalized dynamic factor models and volatilities: estimation and forecasting," Journal of Econometrics, Elsevier, vol. 201(2), pages 307-321.
    23. Philipp Gersing & Christoph Rust & Manfred Deistler, 2023. "Weak Factors are Everywhere," Papers 2307.10067, arXiv.org, revised Jan 2024.
    24. F. Della Marra, 2017. "A forecasting performance comparison of dynamic factor models based on static and dynamic methods," Economics Department Working Papers 2017-ME01, Department of Economics, Parma University (Italy).
    25. Matteo Barigozzi & Marc Hallin, 2017. "A network analysis of the volatility of high dimensional financial series," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 66(3), pages 581-605, April.
    26. Trucíos Maza, Carlos César & Mazzeu, João H. G. & Hotta, Luiz Koodi & Pereira, Pedro L. Valls & Hallin, Marc, 2020. "Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting," Textos para discussão 521, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    27. Matteo Barigozzi & Marc Hallin, 2023. "Dynamic Factor Models: a Genealogy," Working Papers ECARES 2023-15, ULB -- Universite Libre de Bruxelles.
    28. Catherine Doz & Peter Fuleky, 2019. "Dynamic Factor Models," Working Papers 2019-4, University of Hawaii Economic Research Organization, University of Hawaii at Manoa.
    29. John Nkwoma Inekwe, 2022. "Economic performance in Africa: The role of fragile financial system," The World Economy, Wiley Blackwell, vol. 45(6), pages 1910-1936, June.
    30. Christian Gross & Pierre L. Siklos, 2019. "Analyzing credit risk transmission to the non-financial sector in Europe: A network approach," CAMA Working Papers 2019-43, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    31. Mario Forni & Alessandro Giovannelli & Marco Lippi & Stefano Soccorsi, 2016. "Dynamic Factor Model with Infinite Dimensional Factor Space: Forecasting," Working Papers ECARES ECARES 2016-16, ULB -- Universite Libre de Bruxelles.
    32. Jiahe Lin & George Michailidis, 2019. "Approximate Factor Models with Strongly Correlated Idiosyncratic Errors," Papers 1912.04123, arXiv.org.
    33. Smeekes, Stephan & Wijler, Etiënne, 2016. "Macroeconomic Forecasting Using Penalized Regression Methods," Research Memorandum 039, Maastricht University, Graduate School of Business and Economics (GSBE).
    34. Marc Hallin & Carlos Trucíos, 2020. "Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Approach," Working Papers ECARES 2020-50, ULB -- Universite Libre de Bruxelles.
    35. Yang, Lu, 2022. "Idiosyncratic information spillover and connectedness network between the electricity and carbon markets in Europe," Journal of Commodity Markets, Elsevier, vol. 25(C).
    36. Marc Hallin, 2022. "Manfred Deistler and the General Dynamic Factor Model Approach to the Analysis of High-Dimensional Time Series," Working Papers ECARES 2022-30, ULB -- Universite Libre de Bruxelles.
    37. Matteo Barigozzi & Marc Hallin, 2018. "Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals," Papers 1811.10045, arXiv.org, revised Jul 2019.
    38. Kim, Donggyu & Fan, Jianqing, 2019. "Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction," Journal of Econometrics, Elsevier, vol. 208(2), pages 395-417.
    39. Philipp Gersing, 2024. "On the Existence of One-Sided Representations in the Generalised Dynamic Factor Model," Papers 2410.18159, arXiv.org.
    40. Jari Miettinen & Katrin Illner & Klaus Nordhausen & Hannu Oja & Sara Taskinen & Fabian J. Theis, 2016. "Separation of Uncorrelated Stationary time series using Autocovariance Matrices," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(3), pages 337-354, May.
    41. Matteo Barigozzi & Marco Lippi & Matteo Luciani, 2014. "Dynamic Factor Models, Cointegration and Error Correction Mechanisms," Working Papers ECARES ECARES 2014-14, ULB -- Universite Libre de Bruxelles.
    42. Assaf, A. George & Tsionas, Mike G., 2019. "Forecasting occupancy rate with Bayesian compression methods," Annals of Tourism Research, Elsevier, vol. 75(C), pages 439-449.
    43. Matteo Barigozzi & Marc Hallin, 2015. "Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series," Papers 1510.05118, arXiv.org, revised Jul 2016.
    44. Luca Di Bonaventura & Mario Forni & Francesco Pattarin, 2018. "The Forecasting Performance of Dynamic Factor Models with Vintage Data," Center for Economic Research (RECent) 138, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    45. Hallin, Marc & Trucíos, Carlos, 2023. "Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach," Econometrics and Statistics, Elsevier, vol. 27(C), pages 1-15.
    46. Valadkhani, Abbas, 2023. "Asymmetric downside risk across different sectors of the US equity market," Global Finance Journal, Elsevier, vol. 57(C).
    47. Jonas Krampe & Luca Margaritella, 2021. "Factor Models with Sparse VAR Idiosyncratic Components," Papers 2112.07149, arXiv.org, revised May 2022.
    48. Daniel Peña & Victor J. Yohai, 2016. "Generalized Dynamic Principal Components," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 111(515), pages 1121-1131, July.
    49. Shahin Tavakoli & Gilles Nisol & Marc Hallin, 2023. "Factor models for high‐dimensional functional time series II: Estimation and forecasting," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(5-6), pages 601-621, September.
    50. Matteo Barigozzi, 2022. "On Estimation and Inference of Large Approximate Dynamic Factor Models via the Principal Component Analysis," Papers 2211.01921, arXiv.org, revised Jul 2023.
    51. Barigozzi, Matteo & Lippi, Marco & Luciani, Matteo, 2021. "Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with I(1) cointegrated factors," Journal of Econometrics, Elsevier, vol. 221(2), pages 455-482.
    52. Matteo Barigozzi & Marco Lippi & Matteo Luciani, 2016. "Non-Stationary Dynamic Factor Models for Large Datasets," Finance and Economics Discussion Series 2016-024, Board of Governors of the Federal Reserve System (U.S.).
    53. Lippi, Marco & Deistler, Manfred & Anderson, Brian, 2023. "High-Dimensional Dynamic Factor Models: A Selective Survey and Lines of Future Research," Econometrics and Statistics, Elsevier, vol. 26(C), pages 3-16.
    54. Juho Koistinen & Bernd Funovits, 2022. "Estimation of Impulse-Response Functions with Dynamic Factor Models: A New Parametrization," Papers 2202.00310, arXiv.org, revised Feb 2022.
    55. Siegfried Hörmann & Gilles Nisol, 2021. "Prediction of Singular VARs and an Application to Generalized Dynamic Factor Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(3), pages 295-313, May.
    56. Duc Thi Luu, 2022. "Portfolio Correlations in the Bank-Firm Credit Market of Japan," Computational Economics, Springer;Society for Computational Economics, vol. 60(2), pages 529-569, August.
    57. Alessandro Giovannelli & Marco Lippi & Tommaso Proietti, 2023. "Band-Pass Filtering with High-Dimensional Time Series," CEIS Research Paper 559, Tor Vergata University, CEIS, revised 15 Jun 2023.
    58. Alonso, Andrés M. & Galeano, Pedro & Peña, Daniel, 2020. "A robust procedure to build dynamic factor models with cluster structure," Journal of Econometrics, Elsevier, vol. 216(1), pages 35-52.
    59. James E. Payne & Xiaojin Sun, 2023. "Time‐varying connectedness of metropolitan housing markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 51(2), pages 470-502, March.
    60. Junfan Mao & Zhigen Gao & Bing-Yi Jing & Jianhua Guo, 2024. "On the statistical analysis of high-dimensional factor models," Statistical Papers, Springer, vol. 65(8), pages 4991-5019, October.
    61. Matteo Barigozzi & Marco Lippi & Matteo Luciani, 2020. "Cointegration and Error Correction Mechanisms for Singular Stochastic Vectors," Econometrics, MDPI, vol. 8(1), pages 1-23, February.
    62. Yu, Zhen & Liu, Wei & Yang, Fuyu, 2023. "A central bankers’ sentiment index of global financial cycle," Finance Research Letters, Elsevier, vol. 57(C).
    63. Xu Zhang & Xian Yang & Jianping Li & Jun Hao, 2023. "Contemporaneous and noncontemporaneous idiosyncratic risk spillovers in commodity futures markets: A novel network topology approach," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(6), pages 705-733, June.
    64. Matteo Barigozzi & Marc Hallin & Stefano Soccorsi, 2017. "Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models," Working Papers ECARES ECARES 2017-10, ULB -- Universite Libre de Bruxelles.
    65. Krupskii, Pavel & Joe, Harry, 2020. "Flexible copula models with dynamic dependence and application to financial data," Econometrics and Statistics, Elsevier, vol. 16(C), pages 148-167.
    66. Simone Tonini & Francesca Chiaromonte & Alessandro Giovannelli, 2022. "On the impact of serial dependence on penalized regression methods," LEM Papers Series 2022/21, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    67. Marc Hallin & Gilles Nisol & Shahin Tavakoli, 2023. "Factor models for high‐dimensional functional time series I: Representation results," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(5-6), pages 578-600, September.

  16. Forni, Mario & Gambetti, Luca, 2014. "Government Spending Shocks in Open Economy VARs," CEPR Discussion Papers 10115, C.E.P.R. Discussion Papers.

    Cited by:

    1. Laurent Ferrara & Luca Metelli & Filippo Natoli & Daniele Siena, 2020. "Questioning the puzzle: Fiscal policy, exchange rate and inflation," Working papers 752, Banque de France.
    2. Georgios Karras, 2020. "Are "Twin Deficits" an Illusion? International Evidence on Fiscal Policy and the Current Account," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, vol. 18(2), pages 139-157.
    3. Miyamoto, Wataru & Nguyen, Thuy Lan & Sheremirov, Viacheslav, 2019. "The effects of government spending on real exchange rates: Evidence from military spending panel data," Journal of International Economics, Elsevier, vol. 116(C), pages 144-157.
    4. Guido Ascari & Peder Beck-Friis & Anna Florio & Alessandro Gobbi, 2021. "Fiscal foresight and the effects of government spending: It’s all in the monetary-fiscal mix," Discussion Papers 2112, Centre for Macroeconomics (CFM).
    5. Cantore, Cristiano & Freund, Lukas, 2020. "Workers, capitalists, and the government: fiscal policy and income (re)distribution," Bank of England working papers 858, Bank of England.
    6. Efrem Castelnuovo & Guay Lim, 2019. "What Do We Know About the Macroeconomic Effects of Fiscal Policy? A Brief Survey of the Literature on Fiscal Multipliers," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 52(1), pages 78-93, March.
    7. Patrick Blagrave & Giang Ho & Ksenia Koloskova & Mr. Esteban Vesperoni, 2017. "Fiscal Spillovers: The Importance of Macroeconomic and Policy Conditions in Transmission," IMF Spillover Notes 2017/002, International Monetary Fund.
    8. Hamed Ghiaie, 2017. "Credit Crunch On Financial Intermediary," THEMA Working Papers 2017-09, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    9. Luca Metelli & Filippo Natoli, 2019. "The international transmission of US tax shocks: a proxy-SVAR approach," Temi di discussione (Economic working papers) 1223, Bank of Italy, Economic Research and International Relations Area.
    10. Hale, Galina & Leer, John & Nechio, Fernanda, 2025. "Fiscal policy design and inflation: The COVID-19 pandemic experience," Santa Cruz Department of Economics, Working Paper Series qt9cc4c34z, Department of Economics, UC Santa Cruz.
    11. Sangyup Choi & Davide Furceri & Chansik Yoon, 2020. "International Fiscal-financial Spillovers: The Effect of Fiscal Shocks on Cross-border Bank Lending," GRU Working Paper Series GRU_2020_025, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
    12. Latifi, Albina & Naboka-Krell, Viktoriia & Tillmann, Peter & Winker, Peter, 2024. "Fiscal policy in the Bundestag: Textual analysis and macroeconomic effects," European Economic Review, Elsevier, vol. 168(C).
    13. Christofzik, Désirée I. & Fuest, Angela & Jessen, Robin, 2020. "Macroeconomic effects of the anticipation and implementation of tax changes in Germany: Evidence from a narrative account," Ruhr Economic Papers 852, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    14. Forni, Mario & Debortoli, Davide & Gambetti, Luca & Sala, Luca, 2020. "Asymmetric Effects of Monetary Policy Easing and Tightening," CEPR Discussion Papers 15005, C.E.P.R. Discussion Papers.
    15. Kim, Hyeongwoo & Shao, Peng & Zhang, Shuwei, 2023. "Policy coordination and the effectiveness of fiscal stimulus," Journal of Macroeconomics, Elsevier, vol. 75(C).
    16. Jia Bijie & Kim Hyeongwoo & Zhang Shuwei, 2022. "Assessing the Role of Sentiment in the Propagation of Fiscal Stimulus," The B.E. Journal of Macroeconomics, De Gruyter, vol. 22(2), pages 699-728, June.
    17. Andrea Boitani & Salvatore Perdichizzi & Chiara Punzo, 2020. "Nonlinearities and expenditure multipliers in the Eurozone," DISCE - Working Papers del Dipartimento di Economia e Finanza def089, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
    18. Ricco, Giovanni & Callegari, Giovanni & Cimadomo, Jacopo, 2016. "Signals from the government: Policy disagreement and the transmission of fiscal shocks," Journal of Monetary Economics, Elsevier, vol. 82(C), pages 107-118.
    19. Kevin Lee & James Morley & Kian Ong & Kalvinder Shields, 2019. "Measuring the fiscal multiplier when plans take time to implement," CAMA Working Papers 2019-13, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    20. Hory, Marie-Pierre & Levieuge, Grégory & Onori, Daria, 2021. "Public spending, currency mismatch and financial frictions," Journal of International Money and Finance, Elsevier, vol. 116(C).
    21. Matthew Canzoneri & Fabrice Collard & Harris Dellas & Behzad Diba, 2012. "Fiscal Multipliers in Recessions," Diskussionsschriften dp1204, Universitaet Bern, Departement Volkswirtschaft.
    22. Laurent Ferrara & Luca Metelli & Filippo Natoli & Daniele Siena, 2021. "Questioning the puzzle: fiscal policy, real exchange rate and inflation," CAMA Working Papers 2021-38, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    23. Jonathan J Adams & Philip Barrett, 2023. "Identifying News Shocks from Forecasts," Working Papers 001010, University of Florida, Department of Economics.
    24. Bijie Jia & Hyeongwoo Kim, 2016. "Government Spending Shocks and Private Activity: The Role of Sentiments," Auburn Economics Working Paper Series auwp2016-04, Department of Economics, Auburn University.
    25. Ayobami E. Ilori & Juan Paez-Farrell & Christoph Thoenissen, 2020. "Fiscal policy shocks and international spillovers," CAMA Working Papers 2020-95, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    26. Ellahie, Atif & Ricco, Giovanni, 2017. "Government Purchases Reloaded : Informational Insufficiency and Heterogeneity in Fiscal VARs," Economic Research Papers 269308, University of Warwick - Department of Economics.
    27. End, Nicolas, 2023. "Big Brother is also being watched: Measuring fiscal credibility," Journal of Macroeconomics, Elsevier, vol. 77(C).
    28. Kenza Benhima & Céline Poilly, 2017. "Do Misperceptions about Demand Matter? Theory and Evidence," Cahiers de Recherches Economiques du Département d'économie 17.08, Université de Lausanne, Faculté des HEC, Département d’économie.
    29. Zhang, Wen, 2022. "China’s government spending and global inflation dynamics: The role of the oil price channel," Energy Economics, Elsevier, vol. 110(C).
    30. Ong, Kian, 2018. "Do fiscal spending news shocks generate financial spillovers?," Economics Letters, Elsevier, vol. 164(C), pages 46-49.
    31. Andrea Boitani & Salvatore Perdichizzi, 2018. "Public Expenditure Multipliers in recessions. Evidence from the Eurozone," DISCE - Working Papers del Dipartimento di Economia e Finanza def068, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
    32. Mathias Klein & Ludger Linnemann, 2019. "Tax and Spending Shocks in the Open Economy: Are the Deficits Twins?," Discussion Papers of DIW Berlin 1821, DIW Berlin, German Institute for Economic Research.
    33. Alvaro Fernandez-Gallardo & Ivan Paya, 2020. "Macroprudential Policy in the Euro Area," Working Papers 307121127, Lancaster University Management School, Economics Department.
    34. Ali Alichi & Mr. Ippei Shibata & Kadir Tanyeri, 2019. "Fiscal Policy Multipliers in Small States," IMF Working Papers 2019/072, International Monetary Fund.
    35. van der Wielen, Wouter, 2020. "The macroeconomic effects of tax changes: Evidence using real-time data for the European Union," Economic Modelling, Elsevier, vol. 90(C), pages 302-321.
    36. Max Breitenlechner & Martin Geiger & Mathias Klein, 2024. "The Fiscal Channel of Monetary Policy," Working Papers 2024-07, Faculty of Economics and Statistics, Universität Innsbruck.
    37. Hyeongwoo Kim & Shuwei Zhang, 2019. "Understanding Why Fiscal Stimulus Can Fail through the Lens of the Survey of Professional Forecasters," Auburn Economics Working Paper Series auwp2019-06, Department of Economics, Auburn University.
    38. Klein, Mathias & Linnemann, Ludger, 2019. "Tax and spending shocks in the open economy: Are the deficits twins?," European Economic Review, Elsevier, vol. 120(C).
    39. Agata Szymańska, 2018. "Wpływ polityki fiskalnej na PKB w krajach Unii Europejskiej spoza strefy euro," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 3, pages 49-74.
    40. Yifei Lyu, 2021. "The Macroeconomic Effects of Government Spending Shocks in New Zealand," Treasury Working Paper Series 21/02, New Zealand Treasury.
    41. Dirks, Maximilian & Schmidt, Torsten, 2023. "The relationship between political instability and economic growth in advanced economies: Empirical evidence from a panel VAR and a dynamic panel FE-IV analysis," Ruhr Economic Papers 1000, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    42. Georgios Karras, 2019. "Are “twin deficits” asymmetric? Evidence on government budget and current account balances, 1870–2013," International Economics, CEPII research center, issue 158, pages 12-24.
    43. Henri Keränen & Sakari Lähdemäki, 2020. "Identification of fiscal SVARs in small open economies using trading partner forecast errors as instruments," Working Papers 330, Työn ja talouden tutkimus LABORE, The Labour Institute for Economic Research LABORE.
    44. Simona Lorena Comi & Elena Cottini & Claudio Lucifora, 2020. "The effect of retirement on social relationships: new evidence from SHARE," DISCE - Working Papers del Dipartimento di Economia e Finanza def088, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
    45. Deokwoo Nam & Jian Wang, 2019. "Mood Swings and Business Cycles: Evidence from Sign Restrictions," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(6), pages 1623-1649, September.
    46. Mr. Tidiane Kinda & Andras Lengyel & Kaustubh Chahande, 2022. "Fiscal Multipliers During Pandemics," IMF Working Papers 2022/149, International Monetary Fund.
    47. Natoli, Filippo, 2022. "Temperature surprise shocks," MPRA Paper 112568, University Library of Munich, Germany.
    48. Bonam, Dennis & Ciccarelli, Matteo & Gomes, Sandra & Aldama, Pierre & Bańkowski, Krzysztof & Buss, Ginters & da Costa, José Cardoso & Christoffel, Kai & Elfsbacka Schmöller, Michaela & Jacquinot, Pasc, 2024. "Challenges for monetary and fiscal policy interactions in the post-pandemic era," Occasional Paper Series 337, European Central Bank.
    49. Daniela Fantozzi & Alessio Muscarnera, 2021. "A News-based Policy Index for Italy: Expectations and Fiscal Policy," CEIS Research Paper 509, Tor Vergata University, CEIS, revised 11 Mar 2021.
    50. Cavallari, Lilia & Romano, Simone, 2017. "Fiscal policy in Europe: The importance of making it predictable," Economic Modelling, Elsevier, vol. 60(C), pages 81-97.
    51. Chen, Yong & Liu, Dingming, 2018. "Government spending shocks and the real exchange rate in China: Evidence from a sign-restricted VAR model," Economic Modelling, Elsevier, vol. 68(C), pages 543-554.
    52. Georgios KARRAS, 2019. "“Twins” Or Just “Siblings”?Budget And Current Account Deficits In Europe, 1870-2013," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 19(1), pages 33-42.
    53. Goemans, Pascal, 2023. "The impact of public consumption and investment in the euro area during periods of high and normal uncertainty," Economic Modelling, Elsevier, vol. 126(C).
    54. Hale, Galina & Leer, John & Nechio, Fernanda, 2022. "Inflationary Effects of Fiscal Support to Households and Firms," Santa Cruz Department of Economics, Working Paper Series qt8qt1t3t4, Department of Economics, UC Santa Cruz.
    55. Salvatore Perdichizzi, 2017. "Estimating Fiscal multipliers in the Eurozone. A Nonlinear Panel Data Approach," DISCE - Working Papers del Dipartimento di Economia e Finanza def058, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
    56. Rüth, Sebastian K. & Simon, Camilla, 2022. "How do income and the debt position of households propagate fiscal stimulus into consumption?," Journal of Economic Dynamics and Control, Elsevier, vol. 143(C).
    57. Kang, Jihye & Kim, Soyoung, 2022. "Government spending news and surprise shocks: It’s the timing and persistence," Journal of Macroeconomics, Elsevier, vol. 73(C).
    58. Mamondi Victor Daniel & Oviedo Jorge & De la Rosa Adolfo, 2023. "El-Déficit-Fiscal-Deteriora-el-Tipo-de-Cambio-Real.-Evidencias-por-medio-de-un-modelo-de-EGDE-para-Argentina," Asociación Argentina de Economía Política: Working Papers 4666, Asociación Argentina de Economía Política.
    59. Madeline Hanson & Daniela Hauser & Romanos Priftis, 2021. "Fiscal Spillovers: The Case of US Corporate and Personal Income Taxes," Staff Working Papers 21-41, Bank of Canada.
    60. Romano, Simone, 2018. "Fiscal foresight: Do expectations have cross-border effects?," Journal of Macroeconomics, Elsevier, vol. 57(C), pages 71-82.
    61. Klein, Mathias & Linnemann, Ludger, 2019. "Tax and spending shocks in the open economy: are the deficits twins?," Working Paper Series 377, Sveriges Riksbank (Central Bank of Sweden).
    62. Ramona Tiganasu & Gabriela Carmen Pascariu & Dan Lupu, 2022. "Competitiveness, fiscal policy and corruption: evidence from Central and Eastern European countries," Oeconomia Copernicana, Institute of Economic Research, vol. 13(3), pages 667-698, September.
    63. Yong, Chen & Dingming, Liu, 2019. "How does government spending news affect interest rates? Evidence from the United States," Journal of Economic Dynamics and Control, Elsevier, vol. 108(C).
    64. NAM, Deokwoo & LI, Xiaole, 2024. "The Stimulative Effects of Anticipated Government Spending Expansions : Evidence from Survey Forecasts," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 65(1), pages 1-31, June.
    65. Rüth, Sebastian K. & Simon, Camilla, 2020. "How Do Income and the Debt Position of Households Propagate Public into Private Spending?," Working Papers 0676, University of Heidelberg, Department of Economics.
    66. Filippo Natoli, 2023. "The macroeconomic effects of temperature surprise shocks," Temi di discussione (Economic working papers) 1407, Bank of Italy, Economic Research and International Relations Area.

  17. Lippi, Marco & Forni, Mario & Sala, Luca & Gambetti, Luca, 2013. "Noise Bubbles," CEPR Discussion Papers 9532, C.E.P.R. Discussion Papers.
    • Mario Forni & Luca Gambetti & Marco Lippi & Luca Sala, 2017. "Noise Bubbles," Economic Journal, Royal Economic Society, vol. 127(604), pages 1940-1976, September.

    Cited by:

    1. Ottaviani, Marco & Di Tillio, Alfredo & Sørensen, Peter Norman, 2016. "Persuasion Bias in Science: Can Economics Help?," CEPR Discussion Papers 11343, C.E.P.R. Discussion Papers.
    2. Abel Brodeur & Mathias Lé & Marc Sangnier & Yanos Zylberberg, 2016. "Star Wars: The Empirics Strike Back," Post-Print hal-01447851, HAL.
    3. Page, Lionel & Noussair, Charles & Slonim, Robert, 2021. "The replication crisis, the rise of new research practices and what it means for experimental economics," OSF Preprints 8abyu, Center for Open Science.
    4. Mario Forni & Luca Gambetti & Luca Sala, 2017. "News, Uncertainty and Economic Fluctuations (No News is Good News)," Center for Economic Research (RECent) 132, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    5. Forni, Mario & Gambetti, Luca, 2014. "Sufficient information in structural VARs," Journal of Monetary Economics, Elsevier, vol. 66(C), pages 124-136.
    6. Paul Beaudry & Franck Portier, 2014. "News Driven Business Cycles: Insights and Challenges," 2014 Meeting Papers 289, Society for Economic Dynamics.

  18. Lippi, Marco & Forni, Mario & Sala, Luca & Gambetti, Luca, 2013. "Noisy News in Business cycles," CEPR Discussion Papers 9601, C.E.P.R. Discussion Papers.

    Cited by:

    1. Paul Hubert & Giovanni Ricco, 2018. "Imperfect information in macroeconomics," Post-Print hal-03458122, HAL.
    2. Mario Forni & Luca Gambetti & Marco Lippi & Luca Sala, 2017. "Noise Bubbles," Economic Journal, Royal Economic Society, vol. 127(604), pages 1940-1976, September.
    3. Moench, Emanuel & Soofi-Siavash, Soroosh, 2022. "What moves treasury yields?," Journal of Financial Economics, Elsevier, vol. 146(3), pages 1016-1043.
    4. Forni, Mario & Gambetti, Luca, 2016. "Government spending shocks in open economy VARs," Journal of International Economics, Elsevier, vol. 99(C), pages 68-84.
    5. Pavon-Prado, David, 2019. "Have we been measuring monetary policy correctly? Analysing the Federal Reserve’s policies over the last century," IFCS - Working Papers in Economic History.WH 28342, Universidad Carlos III de Madrid. Instituto Figuerola.
    6. Marco Flaccadoro, 2022. "Exchange rate pass-through in small, open, commodity-exporting economies: lessons from Canada," Temi di discussione (Economic working papers) 1368, Bank of Italy, Economic Research and International Relations Area.
    7. Ryan Chahrour & Kyle Jurado, 2016. "News or Noise? The Missing Link," Boston College Working Papers in Economics 917, Boston College Department of Economics, revised 02 Nov 2017.
    8. Francesco Zanetti & Christoph Görtz & John D. Tsoukalas, 2016. "News Shocks under Financial Frictions," Economics Series Working Papers 813, University of Oxford, Department of Economics.
    9. Soccorsi, Stefano, 2016. "Measuring nonfundamentalness for structural VARs," Journal of Economic Dynamics and Control, Elsevier, vol. 71(C), pages 86-101.
    10. Cascaldi-Garcia, Danilo & Vukoti, Marija & Zubairy, Sarah, 2023. "Innovation During Challenging Times," The Warwick Economics Research Paper Series (TWERPS) 1475, University of Warwick, Department of Economics.
    11. Andrea Gazzani, 2019. "Online Appendix to "News and noise bubbles in the housing market"," Online Appendices 18-262, Review of Economic Dynamics.
    12. Mr. Philip Barrett & Jonathan J. Adams, 2022. "Shocks to Inflation Expectations," IMF Working Papers 2022/072, International Monetary Fund.
    13. Stéphane Dees, 2017. "The role of confidence shocks in business cycles and their global dimension," International Economics, CEPII research center, issue 151, pages 48-65.
    14. Luca Gambetti, 2023. "Bad News, Good News: Coverage and Response Asymmetries," Finance and Economics Discussion Series 2023-001, Board of Governors of the Federal Reserve System (U.S.).
    15. Gabriel Di Bella & Mr. Francesco Grigoli, 2018. "Optimism, Pessimism, and Short-Term Fluctuations," IMF Working Papers 2018/001, International Monetary Fund.
    16. Canova, Fabio & Hamidi Sahneh, Mehdi, 2016. "Are small scale VARs useful for business cycle analysis? Revisiting Non-Fundamentalness," CEPR Discussion Papers 11041, C.E.P.R. Discussion Papers.
    17. Sabri Boubaker & Duc Khuong Nguyen & Nikos Paltalidis, 2016. "Fiscal Policy Interventions at the Zero Lower Bound," Working Papers 2016-002, Department of Research, Ipag Business School.
    18. Lenard Lieb & Adam Jassem & Rui Jorge Almeida & Nalan Bac{s}turk & Stephan Smeekes, 2021. "Min(d)ing the President: A text analytic approach to measuring tax news," Papers 2104.03261, arXiv.org, revised Dec 2024.
    19. Giovanni Caggiano & Efrem Castelnuovo & Valentina Colombo & Gabriela Nodari, 2014. "Estimating Fiscal Multipliers: News from a Nonlinear World," Melbourne Institute Working Paper Series wp2014n26, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    20. Hyunseung Oh & Nicolas Crouzet, 2013. "Can news shocks account for the business-cycle dynamics of inventories?," 2013 Meeting Papers 504, Society for Economic Dynamics.
    21. Puch, Luis A. & Ruiz, Jesús, 2023. "Energy News Shocks and their Propagation to Renewable and Fossil Fuels Use," UC3M Working papers. Economics 37355, Universidad Carlos III de Madrid. Departamento de Economía.
    22. Antonio M. Conti & Concetta Rondinelli, 2015. "Easier said than done: the divergence between soft and hard data," Questioni di Economia e Finanza (Occasional Papers) 258, Bank of Italy, Economic Research and International Relations Area.
    23. Luca Sala & Luca Gambetti & Mario Forni, 2016. "VAR Information and the Empirical Validation of DSGE Models," 2016 Meeting Papers 260, Society for Economic Dynamics.
    24. Lovcha, Yuliya & Perez-Laborda, Alejandro, 2020. "Dynamic frequency connectedness between oil and natural gas volatilities," Economic Modelling, Elsevier, vol. 84(C), pages 181-189.
    25. Christoph Görtz & Christopher Gunn & Thomas A. Lubik, 2021. "Is There News in Inventories?," Working Paper series 21-26, Rimini Centre for Economic Analysis.
    26. Muñoz-Guillermo, María, 2022. "On the dynamics of the q-deformed Puu’s model with cubic investment map," Chaos, Solitons & Fractals, Elsevier, vol. 157(C).
    27. Danilo Cascaldi-Garcia & Ana Beatriz Galvao, 2018. "News and Uncertainty Shocks," International Finance Discussion Papers 1240, Board of Governors of the Federal Reserve System (U.S.).
    28. Mario Forni & Luca Gambetti & marco Lippi & Luca Sala, 2020. "Common Components Structural VARs," Center for Economic Research (RECent) 147, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    29. Fève, Patrick & Guay, Alain, 2016. "Sentiments in SVARs," TSE Working Papers 16-656, Toulouse School of Economics (TSE).
    30. Joshua Chan & Luca Benati & Eric Eisenstat & Gary Koop, 2018. "Identifying Noise Shocks," Working Paper Series 41, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
    31. Dimitris Korobilis & Davide Pettenuzzo, 2017. "Adaptive Hierarchical Priors for High-Dimensional Vector Autoregessions," Working Papers 115, Brandeis University, Department of Economics and International Business School.
    32. Dées, Stéphane & Zimic, Srečko, 2016. "Animal spirits, fundamental factors and business cycle fluctuations," Working Paper Series 1953, European Central Bank.
    33. Luca Gambetti & Christoph Görtz & Dimitris Korobilis & John D. Tsoukalas & Francesco Zanetti, 2022. "The Effect of News Shocks and Monetary Policy," Advances in Econometrics, in: Essays in Honour of Fabio Canova, volume 44, pages 139-164, Emerald Group Publishing Limited.
    34. Riccardo M. Masolo & Alessia Paccagnini, 2015. "Identifying Noise Shocks: a VAR with Data Revisions," Discussion Papers 1510, Centre for Macroeconomics (CFM).
    35. Brianti, Marco & Cormun, Vito, 2024. "Expectation-driven boom-bust cycles," Journal of Monetary Economics, Elsevier, vol. 146(C).
    36. Stefania D'Amico & Thomas B. King, 2015. "What Does Anticipated Monetary Policy Do?," Working Paper Series WP-2015-10, Federal Reserve Bank of Chicago.
    37. Zhongjun Qu & Denis Tkachenko, 2023. "Using arbitrary precision arithmetic to sharpen identification analysis for DSGE models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(4), pages 644-667, June.
    38. Milani, Fabio & Rajbhandari, Ashish, 2020. "Observed expectations, news shocks, and the business cycle," Research in Economics, Elsevier, vol. 74(2), pages 95-118.
    39. Luca Gambetti & Dimitris Korobilis & John D. Tsoukalas & Francesco Zanetti, 2023. "Agreed and Disagreed Uncertainty," Discussion Papers 2304, Centre for Macroeconomics (CFM).
    40. Sims, Eric, 2016. "What׳s news in News? A cautionary note on using a variance decomposition to assess the quantitative importance of news shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 73(C), pages 41-60.
    41. Laurentiu Guinea & Luis A. Puch & Jesús Ruiz, 2019. "News-driven housing booms: Spain vs. Germany," Documentos de Trabajo del ICAE 2019-32, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    42. Kenza Benhima & Céline Poilly, 2017. "Do Misperceptions about Demand Matter? Theory and Evidence," Cahiers de Recherches Economiques du Département d'économie 17.08, Université de Lausanne, Faculté des HEC, Département d’économie.
    43. Adams, Jonathan J., 2023. "Moderating noise-driven macroeconomic fluctuations under dispersed information," Journal of Economic Dynamics and Control, Elsevier, vol. 156(C).
    44. Danilo Cascaldi-Garcia, 2017. "Amplification effects of news shocks through uncertainty," 2017 Papers pca1251, Job Market Papers.
    45. Nicolas Reigl, 2023. "Noise shocks and business cycle fluctuations in three major European Economies," Empirical Economics, Springer, vol. 64(2), pages 603-657, February.
    46. Forni, Mario & Gambetti, Luca, 2014. "Sufficient information in structural VARs," Journal of Monetary Economics, Elsevier, vol. 66(C), pages 124-136.
    47. Nelimarkka, Jaakko, 2017. "Evidence on News Shocks under Information Deficiency," MPRA Paper 80850, University Library of Munich, Germany.
    48. Danilo Cascaldi-Garcia, 2022. "Forecast Revisions as Instruments for News Shocks," International Finance Discussion Papers 1341, Board of Governors of the Federal Reserve System (U.S.).
    49. Hamidi Sahneh, Mehdi, 2015. "Are the shocks obtained from SVAR fundamental?," MPRA Paper 65126, University Library of Munich, Germany.
    50. Corona, Francisco & Poncela, Pilar, 2017. "Estimating non-stationary common factors : Implications for risk sharing," DES - Working Papers. Statistics and Econometrics. WS 24585, Universidad Carlos III de Madrid. Departamento de Estadística.
    51. Claudio, João C. & von Schweinitz, Gregor, 2020. "On the international dissemination of technology news shocks," IWH Discussion Papers 25/2020, Halle Institute for Economic Research (IWH).
    52. Offick, Sven & Wohltmann, Hans-Werner, 2015. "Volatility effects of news shocks in (B)RE models with optimal monetary policy," Economics Working Papers 2015-07, Christian-Albrechts-University of Kiel, Department of Economics.
    53. Zeno Enders & Michael Kleemann & Gernot Müller, 2013. "Growth Expectations, Undue Optimism, and Short-Run Fluctuations," CESifo Working Paper Series 4548, CESifo.
    54. Yutaka Kurihara & Akio Fukushima, 2019. "AR Model or Machine Learning for Forecasting GDP and Consumer Price for G7 Countries," Applied Economics and Finance, Redfame publishing, vol. 6(3), pages 1-6, May.
    55. Nadav Ben Zeev, 2015. "WHAT CAN WE LEARN ABOUT NEWS SHOCKS FROM THE LATE 1990s AND EARLY 2000s BOOM-BUST PERIOD?," Working Papers 1501, Ben-Gurion University of the Negev, Department of Economics.
    56. Walentin, Karl, 2009. "Expectation Driven Business Cycles with Limited Enforcement," Working Paper Series 229, Sveriges Riksbank (Central Bank of Sweden), revised 01 Oct 2011.
    57. Larsen, Vegard H. & Thorsrud, Leif A., 2019. "The value of news for economic developments," Journal of Econometrics, Elsevier, vol. 210(1), pages 203-218.
    58. Kenza Benhima & Céline Poilly, 2021. "Does demand noise matter? Identification and implications," Post-Print hal-03173423, HAL.
    59. Vegard H ghaug Larsen & Leif Anders Thorsrud, 2018. "Business cycle narratives," Working Papers No 6/2018, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    60. Bolboaca Maria & Fischer Sarah, 2021. "Unraveling News: Reconciling Conflicting Evidence," The B.E. Journal of Macroeconomics, De Gruyter, vol. 21(2), pages 695-743, June.
    61. Ravn, Morten & Pappa, Evi & Lagerborg, Andresa Helena, 2020. "Sentimental Business Cycles," CEPR Discussion Papers 15098, C.E.P.R. Discussion Papers.
    62. Valerie A. Ramey, 2016. "Macroeconomic Shocks and Their Propagation," NBER Working Papers 21978, National Bureau of Economic Research, Inc.
    63. Paul Labonne & Leif Anders Thorsrud, 2023. "Risky news and credit market sentiment," Working Papers No 14/2023, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
    64. Barigozzi, Matteo & Lippi, Marco & Luciani, Matteo, 2021. "Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with I(1) cointegrated factors," Journal of Econometrics, Elsevier, vol. 221(2), pages 455-482.
    65. Daniela Fantozzi & Alessio Muscarnera, 2021. "A News-based Policy Index for Italy: Expectations and Fiscal Policy," CEIS Research Paper 509, Tor Vergata University, CEIS, revised 11 Mar 2021.
    66. Miyamoto, Wataru & Nguyen, Thuy Lan, 2020. "The expectational effects of news in business cycles: Evidence from forecast data," Journal of Monetary Economics, Elsevier, vol. 116(C), pages 184-200.
    67. Nadav Ben Zeev, 2019. "Is There A Single Shock That Drives The Majority Of Business Cycle Fluctuations?," Working Papers 1906, Ben-Gurion University of the Negev, Department of Economics.
    68. Kyle Jurado & Ryan Chahrour, 2018. "Recoverability," 2018 Meeting Papers 320, Society for Economic Dynamics.
    69. Mikhaylov, Dmitry, 2023. "Macroeconomic Forecasting with the Use of News Data," Working Papers w20220250, Russian Presidential Academy of National Economy and Public Administration.
    70. Hamidi Sahneh, Mehdi, 2017. "News, Noise, and Tests of Present Value Models," MPRA Paper 82715, University Library of Munich, Germany.
    71. Yang, Yang & Tang, Yanling & Zhang, Ren & Wu, Li, 2023. "Investigating the impact of technology and noise shocks on capital flows," Finance Research Letters, Elsevier, vol. 56(C).
    72. Langer, Viktoria C.E., 2016. "News shocks, nonseparable preferences, and optimal monetary policy," Journal of Macroeconomics, Elsevier, vol. 49(C), pages 237-246.
    73. Nadav Ben Zeev, 2018. "The Tfp Channel Of Credit Supply Shocks," Working Papers 1802, Ben-Gurion University of the Negev, Department of Economics.
    74. Gambetti, Luca & Moretti, Laura, 2017. "News, Noise and Oil Price Swings," Research Technical Papers 12/RT/17, Central Bank of Ireland.
    75. Bretscher, Lorenzo & Malkhozov, Aytek & Tamoni, Andrea, 2021. "Expectations and aggregate risk," Journal of Monetary Economics, Elsevier, vol. 123(C), pages 91-108.
    76. Han, Xu, 2018. "Estimation and inference of dynamic structural factor models with over-identifying restrictions," Journal of Econometrics, Elsevier, vol. 202(2), pages 125-147.
    77. Schnattinger, Philip, 2023. "Beliefs- and fundamentals-driven job creation," Bank of England working papers 1040, Bank of England.
    78. Mario Forni & Luca Gambetti & Luca Sala, 2018. "Fundamentalness, Granger Causality and Aggregation," Center for Economic Research (RECent) 139, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    79. Le, Vo Phuong Mai & Meenagh, David & Minford, Patrick, 2020. "News and why it is not shocking: The role of micro-foundations," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 66(C).
    80. Yong, Chen & Dingming, Liu, 2019. "How does government spending news affect interest rates? Evidence from the United States," Journal of Economic Dynamics and Control, Elsevier, vol. 108(C).

  19. Mario Forni & Marc Hallin & Marco Lippi & Paolo Zaffaroni, 2012. "Dynamic Factor Models with Infinite-Dimensional Factor Space: One-Sided Representations," Working Papers ECARES ECARES 2012-046, ULB -- Universite Libre de Bruxelles.

    Cited by:

    1. Chiara Casoli & Riccardo (Jack) Lucchetti, 2022. "Permanent-Transitory decomposition of cointegrated time series via dynamic factor models, with an application to commodity prices [Commodity-price comovement and global economic activity]," The Econometrics Journal, Royal Economic Society, vol. 25(2), pages 494-514.
    2. Marc Hallin & Siegfried Hörmann & Marco Lippi, 2017. "Optimal Dimension Reduction for High-dimensional and Functional Time Series," Working Papers ECARES ECARES 2017-39, ULB -- Universite Libre de Bruxelles.
    3. Carlos Cesar Trucios-Maza & João H. G Mazzeu & Luis K. Hotta & Pedro L. Valls Pereira & Marc Hallin, 2019. "On the robustness of the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting," Working Papers ECARES 2019-32, ULB -- Universite Libre de Bruxelles.
    4. Giovannelli, Alessandro & Massacci, Daniele & Soccorsi, Stefano, 2021. "Forecasting stock returns with large dimensional factor models," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 252-269.
    5. Pietro Dallari & Antonio Ribba, 2015. "Dynamic Factor Models with In nite-Dimensional Factor Space: Asymptotic Analysis," Center for Economic Research (RECent) 115, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    6. Carlos Trucíos & João H. G. Mazzeu & Marc Hallin & Luiz K. Hotta & Pedro L. Valls Pereira & Mauricio Zevallos, 2022. "Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(1), pages 40-52, December.
    7. Artūras Juodis & Simas Kučinskas, 2023. "Quantifying noise in survey expectations," Quantitative Economics, Econometric Society, vol. 14(2), pages 609-650, May.
    8. Norman R. Swanson & Weiqi Xiong, 2018. "Big data analytics in economics: What have we learned so far, and where should we go from here?," Canadian Journal of Economics, Canadian Economics Association, vol. 51(3), pages 695-746, August.
    9. Massacci, Daniele, 2017. "Least squares estimation of large dimensional threshold factor models," Journal of Econometrics, Elsevier, vol. 197(1), pages 101-129.
    10. Poncela, Pilar & Ruiz, Esther & Miranda, Karen, 2021. "Factor extraction using Kalman filter and smoothing: This is not just another survey," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1399-1425.
    11. Mario Forni & Luca Gambetti & marco Lippi & Luca Sala, 2020. "Common Components Structural VARs," Center for Economic Research (RECent) 147, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    12. Barigozzi, Matteo & Hallin, Marc & Soccorsi, Stefano & von Sachs, Rainer, 2020. "Time-varying general dynamic factor models and the measurement of financial connectedness," LIDAM Reprints ISBA 2020015, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    13. Matteo Barigozzi & Marc Hallin & Matteo Luciani & Paolo Zaffaroni, 2021. "Inferential Theory for Generalized Dynamic Factor Models," Working Papers ECARES 2021-20, ULB -- Universite Libre de Bruxelles.
    14. Tommaso Proietti & Alessandro Giovannelli, 2020. "Nowcasting Monthly GDP with Big Data: a Model Averaging Approach," CEIS Research Paper 482, Tor Vergata University, CEIS, revised 12 May 2020.
    15. Lucchetti, Riccardo & Venetis, Ioannis A., 2020. "A replication of "A quasi-maximum likelihood approach for large, approximate dynamic factor models" (Review of Economics and Statistics, 2012)," Economics Discussion Papers 2020-5, Kiel Institute for the World Economy (IfW Kiel).
    16. Barigozzi, Matteo & Hallin, Marc, 2017. "Generalized dynamic factor models and volatilities: estimation and forecasting," Journal of Econometrics, Elsevier, vol. 201(2), pages 307-321.
    17. Philipp Gersing & Christoph Rust & Manfred Deistler, 2023. "Weak Factors are Everywhere," Papers 2307.10067, arXiv.org, revised Jan 2024.
    18. F. Della Marra, 2017. "A forecasting performance comparison of dynamic factor models based on static and dynamic methods," Economics Department Working Papers 2017-ME01, Department of Economics, Parma University (Italy).
    19. Matteo Barigozzi & Marc Hallin, 2017. "A network analysis of the volatility of high dimensional financial series," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 66(3), pages 581-605, April.
    20. Trucíos Maza, Carlos César & Mazzeu, João H. G. & Hotta, Luiz Koodi & Pereira, Pedro L. Valls & Hallin, Marc, 2020. "Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting," Textos para discussão 521, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    21. Matteo Barigozzi & Marc Hallin, 2023. "Dynamic Factor Models: a Genealogy," Working Papers ECARES 2023-15, ULB -- Universite Libre de Bruxelles.
    22. Catherine Doz & Peter Fuleky, 2019. "Dynamic Factor Models," Working Papers 2019-4, University of Hawaii Economic Research Organization, University of Hawaii at Manoa.
    23. Christian Gross & Pierre L. Siklos, 2019. "Analyzing credit risk transmission to the non-financial sector in Europe: A network approach," CAMA Working Papers 2019-43, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    24. Mario Forni & Alessandro Giovannelli & Marco Lippi & Stefano Soccorsi, 2016. "Dynamic Factor Model with Infinite Dimensional Factor Space: Forecasting," Working Papers ECARES ECARES 2016-16, ULB -- Universite Libre de Bruxelles.
    25. Fiorentini, Gabriele & Galesi, Alessandro & Sentana, Enrique, 2018. "A spectral EM algorithm for dynamic factor models," Journal of Econometrics, Elsevier, vol. 205(1), pages 249-279.
    26. Jiahe Lin & George Michailidis, 2019. "Approximate Factor Models with Strongly Correlated Idiosyncratic Errors," Papers 1912.04123, arXiv.org.
    27. Barigozzi, Matteo & Hallin, Mark, 2015. "Generalized dynamic factor models and volatilities: recovering the market volatility shocks," LSE Research Online Documents on Economics 60980, London School of Economics and Political Science, LSE Library.
    28. Smeekes, Stephan & Wijler, Etiënne, 2016. "Macroeconomic Forecasting Using Penalized Regression Methods," Research Memorandum 039, Maastricht University, Graduate School of Business and Economics (GSBE).
    29. Marc Hallin & Carlos Trucíos, 2020. "Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Approach," Working Papers ECARES 2020-50, ULB -- Universite Libre de Bruxelles.
    30. Yang, Lu, 2022. "Idiosyncratic information spillover and connectedness network between the electricity and carbon markets in Europe," Journal of Commodity Markets, Elsevier, vol. 25(C).
    31. Marc Hallin, 2022. "Manfred Deistler and the General Dynamic Factor Model Approach to the Analysis of High-Dimensional Time Series," Working Papers ECARES 2022-30, ULB -- Universite Libre de Bruxelles.
    32. Gong, Xiao-Li & Liu, Xi-Hua & Xiong, Xiong & Zhang, Wei, 2020. "Research on China's financial systemic risk contagion under jump and heavy-tailed risk," International Review of Financial Analysis, Elsevier, vol. 72(C).
    33. Matteo Barigozzi & Marc Hallin, 2018. "Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals," Papers 1811.10045, arXiv.org, revised Jul 2019.
    34. Kim, Donggyu & Fan, Jianqing, 2019. "Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction," Journal of Econometrics, Elsevier, vol. 208(2), pages 395-417.
    35. Philipp Gersing, 2024. "On the Existence of One-Sided Representations in the Generalised Dynamic Factor Model," Papers 2410.18159, arXiv.org.
    36. Jari Miettinen & Katrin Illner & Klaus Nordhausen & Hannu Oja & Sara Taskinen & Fabian J. Theis, 2016. "Separation of Uncorrelated Stationary time series using Autocovariance Matrices," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(3), pages 337-354, May.
    37. Matteo Barigozzi & Marco Lippi & Matteo Luciani, 2014. "Dynamic Factor Models, Cointegration and Error Correction Mechanisms," Working Papers ECARES ECARES 2014-14, ULB -- Universite Libre de Bruxelles.
    38. Assaf, A. George & Tsionas, Mike G., 2019. "Forecasting occupancy rate with Bayesian compression methods," Annals of Tourism Research, Elsevier, vol. 75(C), pages 439-449.
    39. Matteo Barigozzi & Marc Hallin, 2015. "Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series," Papers 1510.05118, arXiv.org, revised Jul 2016.
    40. Luca Di Bonaventura & Mario Forni & Francesco Pattarin, 2018. "The Forecasting Performance of Dynamic Factor Models with Vintage Data," Center for Economic Research (RECent) 138, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    41. Hallin, Marc & Trucíos, Carlos, 2023. "Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach," Econometrics and Statistics, Elsevier, vol. 27(C), pages 1-15.
    42. Daniel Peña & Victor J. Yohai, 2016. "Generalized Dynamic Principal Components," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 111(515), pages 1121-1131, July.
    43. Smucler, Ezequiel, 2019. "Consistency of generalized dynamic principal components in dynamic factor models," Statistics & Probability Letters, Elsevier, vol. 154(C), pages 1-1.
    44. Matteo Barigozzi & Marco Lippi & Matteo Luciani, 2016. "Non-Stationary Dynamic Factor Models for Large Datasets," Finance and Economics Discussion Series 2016-024, Board of Governors of the Federal Reserve System (U.S.).
    45. Lippi, Marco & Deistler, Manfred & Anderson, Brian, 2023. "High-Dimensional Dynamic Factor Models: A Selective Survey and Lines of Future Research," Econometrics and Statistics, Elsevier, vol. 26(C), pages 3-16.
    46. Fan, Jianqing & Xue, Lingzhou & Yao, Jiawei, 2017. "Sufficient forecasting using factor models," Journal of Econometrics, Elsevier, vol. 201(2), pages 292-306.
    47. Juho Koistinen & Bernd Funovits, 2022. "Estimation of Impulse-Response Functions with Dynamic Factor Models: A New Parametrization," Papers 2202.00310, arXiv.org, revised Feb 2022.
    48. Siegfried Hörmann & Gilles Nisol, 2021. "Prediction of Singular VARs and an Application to Generalized Dynamic Factor Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(3), pages 295-313, May.
    49. Alonso, Andrés M. & Galeano, Pedro & Peña, Daniel, 2020. "A robust procedure to build dynamic factor models with cluster structure," Journal of Econometrics, Elsevier, vol. 216(1), pages 35-52.
    50. Yaya Su & Zhehao Huang & Benjamin M. Drakeford, 2019. "Monetary Policy, Industry Heterogeneity and Systemic Risk—Based on a High Dimensional Network Analysis," Sustainability, MDPI, vol. 11(22), pages 1-15, November.
    51. Matteo Barigozzi & Marco Lippi & Matteo Luciani, 2020. "Cointegration and Error Correction Mechanisms for Singular Stochastic Vectors," Econometrics, MDPI, vol. 8(1), pages 1-23, February.
    52. Popović Goran & Erić Ognjen & Bjelić Jelena, 2020. "Factor Analysis of Prices and Agricultural Production in the European Union," Economics, Sciendo, vol. 8(1), pages 73-81, June.
    53. Matteo Barigozzi & Marc Hallin & Stefano Soccorsi, 2017. "Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models," Working Papers ECARES ECARES 2017-10, ULB -- Universite Libre de Bruxelles.
    54. Krupskii, Pavel & Joe, Harry, 2020. "Flexible copula models with dynamic dependence and application to financial data," Econometrics and Statistics, Elsevier, vol. 16(C), pages 148-167.
    55. Marc Hallin & Gilles Nisol & Shahin Tavakoli, 2023. "Factor models for high‐dimensional functional time series I: Representation results," Journal of Time Series Analysis, Wiley Blackwell, vol. 44(5-6), pages 578-600, September.
    56. Lübbers, Johannes & Posch, Peter N., 2016. "Commodities' common factor: An empirical assessment of the markets' drivers," Journal of Commodity Markets, Elsevier, vol. 4(1), pages 28-40.

  20. Mario Forni & Luca Gambetti, 2011. "Testing for Sufficient Information in Structural VARs," UFAE and IAE Working Papers 863.11, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).

    Cited by:

    1. Mario Forni & Luca Gambetti & Luca Sala, 2011. "No News in Business Cycles," Working Papers 535, Barcelona School of Economics.
    2. Rossi, Barbara & Inoue, Atsushi & Anderson, Emily, 2013. "Heterogeneous Consumers and Fiscal Policy Shocks," CEPR Discussion Papers 9631, C.E.P.R. Discussion Papers.
    3. Luciana Juvenal & Ivan Petrella, 2012. "Speculation in the oil market," Economic Synopses, Federal Reserve Bank of St. Louis.
    4. Matthias Gubler & Matthias S. Hertweck, 2011. "Commodity Price Shocks and the Business Cycle: Structural Evidence for the U.S," Working Paper Series of the Department of Economics, University of Konstanz 2011-03, Department of Economics, University of Konstanz.
    5. Colin Ellis & Haroon Mumtaz & Pawel Zabczyk, 2014. "What Lies Beneath? A Time‐varying FAVAR Model for the UK Transmission Mechanism," Economic Journal, Royal Economic Society, vol. 0(576), pages 668-699, May.
    6. Karen Davtyan, 2016. "Interrelation among Economic Growth, Income Inequality, and Fiscal Performance: Evidence from Anglo-Saxon Countries," Hacienda Pública Española / Review of Public Economics, IEF, vol. 217(2), pages 37-66, June.
    7. Klaus, Benjamin & Ferroni, Filippo, 2015. "Euro area business cycles in turbulent times: convergence or decoupling?," Working Paper Series 1819, European Central Bank.
    8. Zens, Gregor & Böck, Maximilian & Zörner, Thomas O., 2020. "The heterogeneous impact of monetary policy on the US labor market," Journal of Economic Dynamics and Control, Elsevier, vol. 119(C).
    9. Herrera, Ana María & Karaki, Mohamad B. & Rangaraju, Sandeep Kumar, 2017. "Where do jobs go when oil prices drop?," Energy Economics, Elsevier, vol. 64(C), pages 469-482.
    10. Paul Beaudry & Franck Portier, 2014. "News Driven Business Cycles: Insights and Challenges," 2014 Meeting Papers 289, Society for Economic Dynamics.
    11. Miranda-Agrippino, Silvia & Hacıoglu Hoke, Sinem, 2018. "When creativity strikes: news shocks and business cycle fluctuations," LSE Research Online Documents on Economics 90381, London School of Economics and Political Science, LSE Library.
    12. Miranda-Agrippino, Silvia & Hacıoğlu Hoke, Sinem & Bluwstein, Kristina, 2020. "Patents, News, and Business Cycles," CEPR Discussion Papers 15062, C.E.P.R. Discussion Papers.

  21. Mario Forni & Marc Hallin & Marco Lippi & Paolo Zaffaroni, 2011. "One-Sided Representations of Generalized Dynamic Factor Models," Working Papers ECARES ECARES 2011-019, ULB -- Universite Libre de Bruxelles.

    Cited by:

    1. Forni, Mario & Hallin, Marc & Lippi, Marco & Zaffaroni, Paolo, 2015. "Dynamic factor models with infinite-dimensional factor spaces: One-sided representations," Journal of Econometrics, Elsevier, vol. 185(2), pages 359-371.
    2. Carlos Trucíos & João H. G. Mazzeu & Marc Hallin & Luiz K. Hotta & Pedro L. Valls Pereira & Mauricio Zevallos, 2022. "Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(1), pages 40-52, December.
    3. Marc Hallin & Marco Lippi, 2013. "Factor Models in High-Dimensional Time Series: A Time-Domain Approach," Working Papers ECARES ECARES 2013-15, ULB -- Universite Libre de Bruxelles.

  22. Mario Forni & Luca Gambetti, 2011. "Sufficient information in structural VARs," Center for Economic Research (RECent) 062, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".

    Cited by:

    1. Mario Forni & Luca Gambetti & Luca Sala, 2011. "No News in Business Cycles," Working Papers 535, Barcelona School of Economics.
    2. Mario Forni & Luca Gambetti & Marco Lippi & Luca Sala, 2017. "Noise Bubbles," Economic Journal, Royal Economic Society, vol. 127(604), pages 1940-1976, September.
    3. Mackowiak, Bartosz & Jarocinski, Marek, 2013. "Granger-Causal-Priority and Choice of Variables in Vector Autoregressions," CEPR Discussion Papers 9686, C.E.P.R. Discussion Papers.
    4. Pagan, Adrian & Robinson, Tim, 2022. "Excess shocks can limit the economic interpretation," European Economic Review, Elsevier, vol. 145(C).
    5. Laurent Ferrara & Luca Metelli & Filippo Natoli & Daniele Siena, 2020. "Questioning the puzzle: Fiscal policy, exchange rate and inflation," Working papers 752, Banque de France.
    6. Forni, Mario & Gambetti, Luca, 2016. "Government spending shocks in open economy VARs," Journal of International Economics, Elsevier, vol. 99(C), pages 68-84.
    7. Lippi, Marco & Forni, Mario & Sala, Luca & Gambetti, Luca, 2013. "Noisy News in Business cycles," CEPR Discussion Papers 9601, C.E.P.R. Discussion Papers.
    8. Afanasyeva, Elena & Güntner, Jochen, 2014. "Lending standards, credit booms and monetary policy," IMFS Working Paper Series 85, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    9. Georgiadis, Georgios, 2017. "To bi, or not to bi? Differences between spillover estimates from bilateral and multilateral multi-country models," Journal of International Economics, Elsevier, vol. 107(C), pages 1-18.
    10. Berger, Tino & Richter, Julia & Wong, Benjamin, 2021. "A unified approach for jointly estimating the business and financial cycle, and the role of financial factors," University of Göttingen Working Papers in Economics 415, University of Goettingen, Department of Economics.
    11. Pietro Dallari & Antonio Ribba, 2015. "Dynamic Factor Models with In nite-Dimensional Factor Space: Asymptotic Analysis," Center for Economic Research (RECent) 115, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    12. Soccorsi, Stefano, 2016. "Measuring nonfundamentalness for structural VARs," Journal of Economic Dynamics and Control, Elsevier, vol. 71(C), pages 86-101.
    13. Guido Ascari & Peder Beck-Friis & Anna Florio & Alessandro Gobbi, 2021. "Fiscal foresight and the effects of government spending: It’s all in the monetary-fiscal mix," Discussion Papers 2112, Centre for Macroeconomics (CFM).
    14. Kuhelika De & Ryan A. Compton & Daniel C. Giedeman & Gary A. Hoover, 2021. "Macroeconomic shocks and racial labor market differences," Southern Economic Journal, John Wiley & Sons, vol. 88(2), pages 680-704, October.
    15. Piergiorgio Alessandri & Haroon Mumtaz, 2014. "Financial regimes and uncertainty shocks," BCAM Working Papers 1404, Birkbeck Centre for Applied Macroeconomics.
    16. Andrea Gazzani, 2019. "Online Appendix to "News and noise bubbles in the housing market"," Online Appendices 18-262, Review of Economic Dynamics.
    17. Nikolay Iskrev, 2018. "Are asset price data informative about news shocks? A DSGE perspective," Working Papers REM 2018/33, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    18. Cantore, Cristiano & Freund, Lukas, 2020. "Workers, capitalists, and the government: fiscal policy and income (re)distribution," Bank of England working papers 858, Bank of England.
    19. Miranda-Agrippino, Silvia, 2016. "Unsurprising shocks: information, premia, and the monetary transmission," Bank of England working papers 626, Bank of England.
    20. Luisa Corrado & Daniela Fantozzi, 2021. "Micro level data for macro models: the distributional effects of monetary policy," National Institute of Economic and Social Research (NIESR) Discussion Papers 529, National Institute of Economic and Social Research.
    21. Canova, Fabio & Hamidi Sahneh, Mehdi, 2016. "Are small scale VARs useful for business cycle analysis? Revisiting Non-Fundamentalness," CEPR Discussion Papers 11041, C.E.P.R. Discussion Papers.
    22. Matthias Gubler & Matthias S. Hertweck, 2011. "Commodity Price Shocks and the Business Cycle: Structural Evidence for the U.S," Working Paper Series of the Department of Economics, University of Konstanz 2011-03, Department of Economics, University of Konstanz.
    23. Forni, Mario & Gambetti, Luca & Ricco, Giovanni, 2023. "External Instrument SVAR Analysis for Noninvertible Shocks," CEPR Discussion Papers 17886, C.E.P.R. Discussion Papers.
    24. Takushi Kurozumi & Willem Van Zandweghe, 2023. "A Theory of Intrinsic Inflation Persistence," Bank of Japan Working Paper Series 23-E-3, Bank of Japan.
    25. Georgios Georgiadis, 2015. "To bi, or not to bi? differences in spillover estimates from bilateral and multilateral multi-country models," Globalization Institute Working Papers 256, Federal Reserve Bank of Dallas.
    26. Karaki, Mohamad B. & Rangaraju, Sandeep Kumar, 2023. "The confidence channel of U.S. financial uncertainty: Evidence from industry-level data," Economic Modelling, Elsevier, vol. 129(C).
    27. Robert Adamek & Stephan Smeekes & Ines Wilms, 2024. "Local projection inference in high dimensions," The Econometrics Journal, Royal Economic Society, vol. 27(3), pages 323-342.
    28. Forni, Mario & Debortoli, Davide & Gambetti, Luca & Sala, Luca, 2020. "Asymmetric Effects of Monetary Policy Easing and Tightening," CEPR Discussion Papers 15005, C.E.P.R. Discussion Papers.
    29. Theo Drossidis & Haroon Mumtaz & Angeliki Theophilopoulou, 2024. "The Distributional Effects of Oil Supply New Shocks," Working Papers 975, Queen Mary University of London, School of Economics and Finance.
    30. Colin Ellis & Haroon Mumtaz & Pawel Zabczyk, 2014. "What Lies Beneath? A Time‐varying FAVAR Model for the UK Transmission Mechanism," Economic Journal, Royal Economic Society, vol. 0(576), pages 668-699, May.
    31. Mario Forni & Luca Gambetti & Luca Sala, 2017. "News, Uncertainty and Economic Fluctuations (No News is Good News)," Center for Economic Research (RECent) 132, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    32. Lakdawala, Aeimit, 2016. "Decomposing the Effects of Monetary Policy Using an External Instruments SVAR," MPRA Paper 78254, University Library of Munich, Germany.
    33. Erkmen G. Aslim & Shin‐Yi Chou & Kuhelika De, 2024. "Business cycles and healthcare employment," Health Economics, John Wiley & Sons, Ltd., vol. 33(9), pages 2123-2161, September.
    34. Karen Davtyan, 2016. "Interrelation among Economic Growth, Income Inequality, and Fiscal Performance: Evidence from Anglo-Saxon Countries," Hacienda Pública Española / Review of Public Economics, IEF, vol. 217(2), pages 37-66, June.
    35. Miranda-Agrippino, Silvia & Ricco, Giovanni, 2023. "Identification with External Instruments in Structural VARs," Journal of Monetary Economics, Elsevier, vol. 135(C), pages 1-19.
    36. Leonardo Melosi & Hiroshi Morita & Anna Rogantini Picco & Francesco Zanetti, 2024. "The Signaling Effects of Fiscal Announcements," CAMA Working Papers 2024-55, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    37. Mario Forni & Luca Gambetti & marco Lippi & Luca Sala, 2020. "Common Components Structural VARs," Center for Economic Research (RECent) 147, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    38. Luca Gambetti, 2012. "Fiscal Foresight, Forecast Revisions and the Effects of Government Spending in the Open Economy," UFAE and IAE Working Papers 907.12, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
    39. Portier, Franck & Beaudry, Paul & Feve, Patrick & Guay, Alain, 2015. "When is Nonfundamentalness in VARs A Real Problem? An Application to News Shocks," CEPR Discussion Papers 10763, C.E.P.R. Discussion Papers.
    40. Dimitris Korobilis & Davide Pettenuzzo, 2017. "Adaptive Hierarchical Priors for High-Dimensional Vector Autoregessions," Working Papers 115, Brandeis University, Department of Economics and International Business School.
    41. Laurent Ferrara & Luca Metelli & Filippo Natoli & Daniele Siena, 2021. "Questioning the puzzle: fiscal policy, real exchange rate and inflation," CAMA Working Papers 2021-38, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    42. Haroon Mumtaz & Konstantinos Theodoridis, 2017. "Fiscal Policy Shocks and Stock Prices in the United States," Working Papers 817, Queen Mary University of London, School of Economics and Finance.
    43. Robert Goodhead & Benedikt Kolb, 2025. "Monetary policy communication shocks and the macroeconomy," Economica, London School of Economics and Political Science, vol. 92(365), pages 173-198, January.
    44. Hippolyte d'Albis & Ekrame Boubtane & Dramane Coulibaly, 2022. "Global Uncertainty and International Migration to Western Europe," PSE Working Papers halshs-03770391, HAL.
    45. Klaus, Benjamin & Ferroni, Filippo, 2015. "Euro area business cycles in turbulent times: convergence or decoupling?," Working Paper Series 1819, European Central Bank.
    46. Mikkel Plagborg-Møller & Christian K. Wolf, 2022. "Instrumental Variable Identification of Dynamic Variance Decompositions," Journal of Political Economy, University of Chicago Press, vol. 130(8), pages 2164-2202.
    47. Leonardo N. Ferreira, 2020. "Forward Guidance Matters: Disentangling Monetary Policy Shocks," Working Papers 912, Queen Mary University of London, School of Economics and Finance.
    48. Kerssenfischer, Mark, 2019. "Information effects of euro area monetary policy: New evidence from high-frequency futures data," Discussion Papers 07/2019, Deutsche Bundesbank.
    49. Fève, Patrick & Assenza, Tiziana & Collard, Fabrice & Huber, Stefanie, 2024. "From Buzz to Bust: How Fake News Shapes the Business Cycle," TSE Working Papers 24-1516, Toulouse School of Economics (TSE).
    50. Luca Benati, 2015. "The Long-Run Phillips Curve: A Structural VAR Investigation," 2015 Meeting Papers 929, Society for Economic Dynamics.
    51. Pappa, Evi & Molteni, Francesco, 2017. "The Combination of Monetary and Fiscal Policy Shocks: A TVP-FAVAR Approach," CEPR Discussion Papers 12541, C.E.P.R. Discussion Papers.
    52. George Kapetanios & Massimiliano Marcellino & Fabrizio Venditti, 2019. "Large time‐varying parameter VARs: A nonparametric approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(7), pages 1027-1049, November.
    53. Christopher Biolsi & Bocong Du, 2020. "Do shocks to animal spirits cause output fluctuations?," Southern Economic Journal, John Wiley & Sons, vol. 87(1), pages 331-368, July.
    54. Ayobami E. Ilori & Juan Paez-Farrell & Christoph Thoenissen, 2020. "Fiscal policy shocks and international spillovers," CAMA Working Papers 2020-95, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    55. Ellahie, Atif & Ricco, Giovanni, 2017. "Government Purchases Reloaded : Informational Insufficiency and Heterogeneity in Fiscal VARs," Economic Research Papers 269308, University of Warwick - Department of Economics.
    56. Beaudry, Paul & Fève, Patrick & Guay, Alain & Portier, Franck, 2016. "When is Nonfundamentalness in SVARs A Real Problem?," TSE Working Papers 16-738, Toulouse School of Economics (TSE).
    57. Efrem Castelnuovo & Giovanni Pellegrino, 2018. "Uncertainty-dependent Effects of Monetary Policy Shocks: A New Keynesian Interpretation," Melbourne Institute Working Paper Series wp2018n02, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    58. Katarzyna Budnik & Gerhard Rünstler, 2023. "Identifying structural VARs from sparse narrative instruments: Dynamic effects of US macroprudential policies," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(2), pages 186-201, March.
    59. Elena Afanasyeva & Jochen Güntner, 2018. "Bank Market Power and the Risk Channel of Monetary Policy," Finance and Economics Discussion Series 2018-006, Board of Governors of the Federal Reserve System (U.S.).
    60. Jørgensen, Peter L. & Ravn, Søren H., 2022. "The inflation response to government spending shocks: A fiscal price puzzle?," European Economic Review, Elsevier, vol. 141(C).
    61. Giorgia De Nora, 2021. "Factor Augmented Vector-Autoregression with narrative identification. An application to monetary policy in the US," Working Papers 934, Queen Mary University of London, School of Economics and Finance.
    62. Haroon Mumtaz & Konstantinos Theodoridis, 2017. "The Federal Reserve’s implicit inflation target and Macroeconomic dynamics. A SVAR analysis," Working Papers 173173908, Lancaster University Management School, Economics Department.
    63. Stefano Fasani & Haroon Mumtaz & Lorenza Rossi, 2023. "Monetary Policy and Firm Dynamics," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 47, pages 278-296, January.
    64. Nicolas Reigl, 2023. "Noise shocks and business cycle fluctuations in three major European Economies," Empirical Economics, Springer, vol. 64(2), pages 603-657, February.
    65. Alvaro Fernandez-Gallardo & Ivan Paya, 2020. "Macroprudential Policy in the Euro Area," Working Papers 307121127, Lancaster University Management School, Economics Department.
    66. Glocker, Christian & Sestieri, Giulia & Towbin, Pascal, 2019. "Time-varying government spending multipliers in the UK," Journal of Macroeconomics, Elsevier, vol. 60(C), pages 180-197.
    67. Pallara, Kevin, 2016. "The dynamic effects of government spending: a FAVAR approach," MPRA Paper 92283, University Library of Munich, Germany.
    68. Nelimarkka, Jaakko, 2017. "Evidence on News Shocks under Information Deficiency," MPRA Paper 80850, University Library of Munich, Germany.
    69. Cristiano Cantore & Filippo Ferroni & Haroon Mumtaz & Angeliki Theophilopoulou, 2023. "A tail of labor supply and a tale of monetary policy," Discussion Papers 2308, Centre for Macroeconomics (CFM).
    70. Alejandro Vicondoa & Andrea Gazzani, 2020. "Bridge Proxy-SVAR: Estimating the Macroeconomic Effects of Shocks Identified at High-Frequency," Documentos de Trabajo 533, Instituto de Economia. Pontificia Universidad Católica de Chile..
    71. Hamidi Sahneh, Mehdi, 2015. "Are the shocks obtained from SVAR fundamental?," MPRA Paper 65126, University Library of Munich, Germany.
    72. Kamber, Güneş & Wong, Benjamin, 2020. "Global factors and trend inflation," Journal of International Economics, Elsevier, vol. 122(C).
    73. Gianluca Cubadda, 2024. "VAR models with an index structure: A survey with new results," Papers 2412.11278, arXiv.org.
    74. Rünstler, Gerhard, 2021. "The macroeconomic impact of euro area labour market reforms: evidence from a narrative panel VAR," Working Paper Series 2592, European Central Bank.
    75. Antonella Cavallo & Antonio Ribba, 2017. "Measuring the Effects of Oil Price and Euro-area Shocks on CEECs Business Cycles," Center for Economic Research (RECent) 128, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    76. Miranda-Agrippino, Silvia & Ricco, Giovanni, 2019. "Identification with External Instruments in Structural VARs under Partial Invertibility," The Warwick Economics Research Paper Series (TWERPS) 1213, University of Warwick, Department of Economics.
    77. Nadav Ben Zeev, 2015. "WHAT CAN WE LEARN ABOUT NEWS SHOCKS FROM THE LATE 1990s AND EARLY 2000s BOOM-BUST PERIOD?," Working Papers 1501, Ben-Gurion University of the Negev, Department of Economics.
    78. Dallari, Pietro & Ribba, Antonio, 2020. "The dynamic effects of monetary policy and government spending shocks on unemployment in the peripheral Euro area countries," Economic Modelling, Elsevier, vol. 85(C), pages 218-232.
    79. Zens, Gregor & Böck, Maximilian & Zörner, Thomas O., 2020. "The heterogeneous impact of monetary policy on the US labor market," Journal of Economic Dynamics and Control, Elsevier, vol. 119(C).
    80. Dimitris Korobilis, 2018. "Machine Learning Macroeconometrics: A Primer," Working Paper series 18-30, Rimini Centre for Economic Analysis.
    81. Herrera, Ana María & Karaki, Mohamad B. & Rangaraju, Sandeep Kumar, 2017. "Where do jobs go when oil prices drop?," Energy Economics, Elsevier, vol. 64(C), pages 469-482.
    82. Mirela Miescu & Haroon Mumtaz, 2019. "Proxy structural vector autoregressions, informational sufficiency and the role of monetary policy," Working Papers 280730188, Lancaster University Management School, Economics Department.
    83. Piergiorgio Alessandri & Andrea Gazzani & Alejandro Vicondoa, 2023. "Are the Effects of Uncertainty Shocks Big or Small?," Documentos de Trabajo 569, Instituto de Economia. Pontificia Universidad Católica de Chile..
    84. Paul Beaudry & Franck Portier, 2014. "News Driven Business Cycles: Insights and Challenges," 2014 Meeting Papers 289, Society for Economic Dynamics.
    85. Caggiano, Giovanni & Castelnuovo, Efrem & Groshenny, Nicolas, 2014. "Uncertainty shocks and unemployment dynamics in U.S. recessions," Journal of Monetary Economics, Elsevier, vol. 67(C), pages 78-92.
    86. Nicolo Maffei-Faccioli & Eugenia Vella, 2021. "Does Immigration Grow the Pie? Asymmetric Evidence from Germany," DEOS Working Papers 2105, Athens University of Economics and Business.
    87. Piergiorgio Alessandri & Andrea Gazzani & Alejandro Vicondoa, 2021. "The Real Effects of Financial Uncertainty Shocks: A Daily Identification Approach," Documentos de Trabajo 559, Instituto de Economia. Pontificia Universidad Católica de Chile..
    88. Redl, Chris, 2015. "Noisy news and exchange rates: A SVAR approach," Journal of International Money and Finance, Elsevier, vol. 58(C), pages 150-171.
    89. Haroon Mumtaz & Konstantinos Theodoridis, 2017. "The Federal Reserve’s implicit inflation target and Macroeconomic dynamics. A SVAR analysis," Working Papers 820, Queen Mary University of London, School of Economics and Finance.
    90. Miranda-Agrippino, Silvia & Hacıoglu Hoke, Sinem, 2018. "When creativity strikes: news shocks and business cycle fluctuations," LSE Research Online Documents on Economics 90381, London School of Economics and Political Science, LSE Library.
    91. Mirela Miescu, 2019. "Uncertainty shocks in emerging economies," Working Papers 277077821, Lancaster University Management School, Economics Department.
    92. Andrea Beccarini, 2024. "Testing omitted variables in VARs," Statistical Papers, Springer, vol. 65(5), pages 3093-3109, July.
    93. Eul Noh, 2024. "Revisiting the effects of conventional and unconventional monetary policies," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(5), pages 943-951, August.
    94. Balduzzi, Pierluigi & Brancati, Emanuele & Brianti, Marco & Schiantarelli, Fabio, 2020. "Populism, Political Risk and the Economy: Lessons from Italy," IZA Discussion Papers 12929, Institute of Labor Economics (IZA).
    95. Deokwoo Nam & Jian Wang, 2019. "Mood Swings and Business Cycles: Evidence from Sign Restrictions," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(6), pages 1623-1649, September.
    96. Wataru Miyamoto & Thuy Lan Nguyen & Dmitry Sergeyev, 2023. "How Oil Shocks Propagate: Evidence on the Monetary Policy Channel," Working Paper Series 2024-06, Federal Reserve Bank of San Francisco.
    97. Silvia Miranda Agrippino & Giovanni Ricco, 2018. "Identification with external instruments in structural VARs under partial invertibility," Working Papers hal-03475454, HAL.
    98. Miranda-Agrippino, Silvia & Hacıoğlu Hoke, Sinem & Bluwstein, Kristina, 2020. "Patents, News, and Business Cycles," CEPR Discussion Papers 15062, C.E.P.R. Discussion Papers.
    99. Ahmed, M. Iqbal & Farah, Quazi Fidia, 2022. "On the macroeconomic effects of news about innovations of information technology," Journal of Macroeconomics, Elsevier, vol. 71(C).
    100. Iskrev, Nikolay, 2019. "On the sources of information about latent variables in DSGE models," European Economic Review, Elsevier, vol. 119(C), pages 318-332.
    101. Daniela Fantozzi & Alessio Muscarnera, 2021. "A News-based Policy Index for Italy: Expectations and Fiscal Policy," CEIS Research Paper 509, Tor Vergata University, CEIS, revised 11 Mar 2021.
    102. Kuhelika De & Ryan A. Compton & Daniel C. Giedeman & Gary A. Hoover, 2019. "Macroeconomic Shocks and Racial Labour Market Differences in the U.S," CESifo Working Paper Series 8004, CESifo.
    103. Belke, Ansgar & Osowski, Thomas, 2017. "International effects of euro area versus US policy uncertainty: A FAVAR approach," Ruhr Economic Papers 689, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    104. De, Kuhelika & Sun, Wei, 2020. "Is the exchange rate a shock absorber or a source of shocks? Evidence from the U.S," Economic Modelling, Elsevier, vol. 89(C), pages 1-9.
    105. Nadav Ben Zeev, 2019. "Is There A Single Shock That Drives The Majority Of Business Cycle Fluctuations?," Working Papers 1906, Ben-Gurion University of the Negev, Department of Economics.
    106. Goodhead, Robert & Kolb, Benedikt, 2018. "Monetary Policy Communication Shocks and the Macroeconomy," Research Technical Papers 15/RT/18, Central Bank of Ireland.
    107. De Nora, Giorgia, 2023. "Factor-Augmented Vector Autoregression with narrative identification. An application to monetary policy in the US," Economics Letters, Elsevier, vol. 229(C).
    108. Martínez-Hernández, Catalina, 2020. "Disentangling the effects of multidimensional monetary policy on inflation and inflation expectations in the euro area," Discussion Papers 2020/18, Free University Berlin, School of Business & Economics.
    109. Laumer, Sebastian & Violaris, Andreas-Entony, 2024. "Unconventional monetary policy and policy foresight," Journal of Economic Dynamics and Control, Elsevier, vol. 164(C).
    110. Debortoli, Davide & Forni, Mario & Gambetti, Luca & Sala, Luca, 2023. "Asymmetric Monetary Policy Tradeoffs," CEPR Discussion Papers 18438, C.E.P.R. Discussion Papers.
    111. Ricco, Giovanni, 2015. "A new identification of fiscal shocks based on the information flow," Working Paper Series 1813, European Central Bank.
    112. Efrem Castelnuovo, 2016. "Monetary policy shocks and Cholesky VARs: an assessment for the Euro area," Empirical Economics, Springer, vol. 50(2), pages 383-414, March.
    113. Georgios Georgiadis, 2016. "To bi, or not to bi? Differences in Spillover Estimates from Bilateral and Multilateral Multi-country Models," EcoMod2016 9145, EcoMod.
    114. Andrea Giovanni Gazzani & Alejandro Vicondoa, 2019. "Proxy-SVAR as a Bridge for Identification with Higher Frequency Data," 2019 Meeting Papers 855, Society for Economic Dynamics.
    115. Nadav Ben Zeev, 2018. "The Tfp Channel Of Credit Supply Shocks," Working Papers 1802, Ben-Gurion University of the Negev, Department of Economics.
    116. Gambetti, Luca & Moretti, Laura, 2017. "News, Noise and Oil Price Swings," Research Technical Papers 12/RT/17, Central Bank of Ireland.
    117. Mats Wilhelmsson, 2020. "What Role Does the Housing Market Play for the Macroeconomic Transmission Mechanism?," JRFM, MDPI, vol. 13(6), pages 1-17, June.
    118. Nelimarkka, Jaakko, 2017. "The effects of government spending under anticipation: the noncausal VAR approach," MPRA Paper 81303, University Library of Munich, Germany.
    119. Ben Tippet & Özlem Onaran & Rafael Wildauer, 2024. "The Effect of Labor's Bargaining Power on Wealth Inequality in the UK, USA, And France," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 70(1), pages 102-128, March.
    120. Leonardo N. Ferreira, 2021. "Forecasting with VAR-teXt and DFM-teXt Models:exploring the predictive power of central bank communication," Working Papers Series 559, Central Bank of Brazil, Research Department.
    121. Angeliki Theophilopoulou, 2022. "The impact of macroeconomic uncertainty on inequality: An empirical study for the United Kingdom," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(4), pages 859-884, June.
    122. Ma, Xiaohan, 2018. "Investment specific technology, news, sentiment, and fluctuations: Evidence from nowcast data," Journal of Macroeconomics, Elsevier, vol. 57(C), pages 55-70.
    123. Mario Forni & Luca Gambetti & Luca Sala, 2018. "Fundamentalness, Granger Causality and Aggregation," Center for Economic Research (RECent) 139, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    124. Paul Levine & Joseph Pearlman & Alessio Volpicella & Bo Yang, 2022. "The Use and Mis-Use of SVARs for Validating DSGE Models," School of Economics Discussion Papers 0522, School of Economics, University of Surrey.
    125. Yong, Chen & Dingming, Liu, 2019. "How does government spending news affect interest rates? Evidence from the United States," Journal of Economic Dynamics and Control, Elsevier, vol. 108(C).
    126. Sérgio Kannebley & Diogo de Prince & Felipe dos Santos Costa, 2023. "Sectoral Exchange Rate Pass-through to Manufacturing Prices: A GVAR Approach," Open Economies Review, Springer, vol. 34(4), pages 919-958, September.
    127. Daniele Siena, 2017. "What's News in International Business Cycles," 2017 Meeting Papers 1206, Society for Economic Dynamics.
    128. Theophilopoulou, Angeliki, 2018. "The impact of macroeconomic uncertainty on inequality: An empirical study for the UK," MPRA Paper 90448, University Library of Munich, Germany.
    129. Nyholm, Juho, 2017. "Residual-based diagnostic tests for noninvertible ARMA models," MPRA Paper 81033, University Library of Munich, Germany.
    130. Lhuissier Stéphane & Nguyen Benoît, 2021. "The Dynamic Effects of the ECB’s Asset Purchases: a Survey-Based Identification," Working papers 806, Banque de France.

  23. Mario Forni & Luca Gambetti & Luca Sala, 2011. "No News in Business Cycles," UFAE and IAE Working Papers 862.11, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).

    Cited by:

    1. Mario Forni & Luca Gambetti & Luca Sala, 2011. "No News in Business Cycles," Working Papers 535, Barcelona School of Economics.
    2. Mario Forni & Luca Gambetti & Marco Lippi & Luca Sala, 2017. "Noise Bubbles," Economic Journal, Royal Economic Society, vol. 127(604), pages 1940-1976, September.
    3. Moench, Emanuel & Soofi-Siavash, Soroosh, 2022. "What moves treasury yields?," Journal of Financial Economics, Elsevier, vol. 146(3), pages 1016-1043.
    4. Forni, Mario & Gambetti, Luca, 2016. "Government spending shocks in open economy VARs," Journal of International Economics, Elsevier, vol. 99(C), pages 68-84.
    5. Afanasyeva, Elena & Güntner, Jochen, 2014. "Lending standards, credit booms and monetary policy," IMFS Working Paper Series 85, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
    6. Pavon-Prado, David, 2019. "Have we been measuring monetary policy correctly? Analysing the Federal Reserve’s policies over the last century," IFCS - Working Papers in Economic History.WH 28342, Universidad Carlos III de Madrid. Instituto Figuerola.
    7. Marco Flaccadoro, 2022. "Exchange rate pass-through in small, open, commodity-exporting economies: lessons from Canada," Temi di discussione (Economic working papers) 1368, Bank of Italy, Economic Research and International Relations Area.
    8. Francesco Zanetti & Christoph Görtz & John D. Tsoukalas, 2016. "News Shocks under Financial Frictions," Economics Series Working Papers 813, University of Oxford, Department of Economics.
    9. Soccorsi, Stefano, 2016. "Measuring nonfundamentalness for structural VARs," Journal of Economic Dynamics and Control, Elsevier, vol. 71(C), pages 86-101.
    10. Eric M. Leeper & Todd B. Walker & Shu-Chun Susan Yang, 2009. "Fiscal Foresight and Information Flows," NBER Working Papers 14630, National Bureau of Economic Research, Inc.
    11. Cascaldi-Garcia, Danilo & Vukoti, Marija & Zubairy, Sarah, 2023. "Innovation During Challenging Times," The Warwick Economics Research Paper Series (TWERPS) 1475, University of Warwick, Department of Economics.
    12. Andrea Gazzani, 2019. "Online Appendix to "News and noise bubbles in the housing market"," Online Appendices 18-262, Review of Economic Dynamics.
    13. Roberto perotti, 2011. "Expectations and Fiscal Policy: An Empirical Investigation," Working Papers 429, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    14. Stéphane Dees, 2017. "The role of confidence shocks in business cycles and their global dimension," International Economics, CEPII research center, issue 151, pages 48-65.
    15. Canova, Fabio & Hamidi Sahneh, Mehdi, 2016. "Are small scale VARs useful for business cycle analysis? Revisiting Non-Fundamentalness," CEPR Discussion Papers 11041, C.E.P.R. Discussion Papers.
    16. Sabri Boubaker & Duc Khuong Nguyen & Nikos Paltalidis, 2016. "Fiscal Policy Interventions at the Zero Lower Bound," Working Papers 2016-002, Department of Research, Ipag Business School.
    17. Giovanni Caggiano & Efrem Castelnuovo & Valentina Colombo & Gabriela Nodari, 2014. "Estimating Fiscal Multipliers: News from a Nonlinear World," Melbourne Institute Working Paper Series wp2014n26, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    18. Hyunseung Oh & Nicolas Crouzet, 2013. "Can news shocks account for the business-cycle dynamics of inventories?," 2013 Meeting Papers 504, Society for Economic Dynamics.
    19. Puch, Luis A. & Ruiz, Jesús, 2023. "Energy News Shocks and their Propagation to Renewable and Fossil Fuels Use," UC3M Working papers. Economics 37355, Universidad Carlos III de Madrid. Departamento de Economía.
    20. Mario Forni & Luca Gambetti & Luca Sala, 2017. "News, Uncertainty and Economic Fluctuations (No News is Good News)," Center for Economic Research (RECent) 132, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    21. Luca Sala & Luca Gambetti & Mario Forni, 2016. "VAR Information and the Empirical Validation of DSGE Models," 2016 Meeting Papers 260, Society for Economic Dynamics.
    22. Lovcha, Yuliya & Perez-Laborda, Alejandro, 2020. "Dynamic frequency connectedness between oil and natural gas volatilities," Economic Modelling, Elsevier, vol. 84(C), pages 181-189.
    23. Christoph Görtz & Christopher Gunn & Thomas A. Lubik, 2021. "Is There News in Inventories?," Working Paper series 21-26, Rimini Centre for Economic Analysis.
    24. Danilo Cascaldi-Garcia & Ana Beatriz Galvao, 2018. "News and Uncertainty Shocks," International Finance Discussion Papers 1240, Board of Governors of the Federal Reserve System (U.S.).
    25. Mario Forni & Luca Gambetti & marco Lippi & Luca Sala, 2020. "Common Components Structural VARs," Center for Economic Research (RECent) 147, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    26. Fève, Patrick & Guay, Alain, 2016. "Sentiments in SVARs," TSE Working Papers 16-656, Toulouse School of Economics (TSE).
    27. Portier, Franck & Beaudry, Paul & Feve, Patrick & Guay, Alain, 2015. "When is Nonfundamentalness in VARs A Real Problem? An Application to News Shocks," CEPR Discussion Papers 10763, C.E.P.R. Discussion Papers.
    28. Dimitris Korobilis & Davide Pettenuzzo, 2017. "Adaptive Hierarchical Priors for High-Dimensional Vector Autoregessions," Working Papers 115, Brandeis University, Department of Economics and International Business School.
    29. Luca Gambetti & Christoph Görtz & Dimitris Korobilis & John D. Tsoukalas & Francesco Zanetti, 2022. "The Effect of News Shocks and Monetary Policy," Advances in Econometrics, in: Essays in Honour of Fabio Canova, volume 44, pages 139-164, Emerald Group Publishing Limited.
    30. Riccardo M. Masolo & Alessia Paccagnini, 2015. "Identifying Noise Shocks: a VAR with Data Revisions," Discussion Papers 1510, Centre for Macroeconomics (CFM).
    31. Milani, Fabio & Rajbhandari, Ashish, 2020. "Observed expectations, news shocks, and the business cycle," Research in Economics, Elsevier, vol. 74(2), pages 95-118.
    32. Christoph Görtz & Christopher Gunn & Thomas Lubik, 2018. "Taking Stock of TFP News Shocks: The Inventory Comovement Puzzle," Carleton Economic Papers 18-05, Carleton University, Department of Economics, revised 14 Jul 2018.
    33. Sims, Eric, 2016. "What׳s news in News? A cautionary note on using a variance decomposition to assess the quantitative importance of news shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 73(C), pages 41-60.
    34. Beaudry, Paul & Fève, Patrick & Guay, Alain & Portier, Franck, 2016. "When is Nonfundamentalness in SVARs A Real Problem?," TSE Working Papers 16-738, Toulouse School of Economics (TSE).
    35. Laurentiu Guinea & Luis A. Puch & Jesús Ruiz, 2019. "News-driven housing booms: Spain vs. Germany," Documentos de Trabajo del ICAE 2019-32, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    36. Shen, Wenyi, 2015. "News, disaster risk, and time-varying uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 459-479.
    37. Kenza Benhima & Céline Poilly, 2017. "Do Misperceptions about Demand Matter? Theory and Evidence," Cahiers de Recherches Economiques du Département d'économie 17.08, Université de Lausanne, Faculté des HEC, Département d’économie.
    38. Danilo Cascaldi-Garcia, 2017. "Amplification effects of news shocks through uncertainty," 2017 Papers pca1251, Job Market Papers.
    39. Nicolas Reigl, 2023. "Noise shocks and business cycle fluctuations in three major European Economies," Empirical Economics, Springer, vol. 64(2), pages 603-657, February.
    40. Forni, Mario & Gambetti, Luca, 2014. "Sufficient information in structural VARs," Journal of Monetary Economics, Elsevier, vol. 66(C), pages 124-136.
    41. Pallara, Kevin, 2016. "The dynamic effects of government spending: a FAVAR approach," MPRA Paper 92283, University Library of Munich, Germany.
    42. Nelimarkka, Jaakko, 2017. "Evidence on News Shocks under Information Deficiency," MPRA Paper 80850, University Library of Munich, Germany.
    43. Danilo Cascaldi-Garcia, 2022. "Forecast Revisions as Instruments for News Shocks," International Finance Discussion Papers 1341, Board of Governors of the Federal Reserve System (U.S.).
    44. Hamidi Sahneh, Mehdi, 2015. "Are the shocks obtained from SVAR fundamental?," MPRA Paper 65126, University Library of Munich, Germany.
    45. Thuy Lan Nguyen & Wataru Miyamoto, 2014. "News shocks and Business cycles: Evidence from forecast data," 2014 Meeting Papers 259, Society for Economic Dynamics.
    46. Corona, Francisco & Poncela, Pilar, 2017. "Estimating non-stationary common factors : Implications for risk sharing," DES - Working Papers. Statistics and Econometrics. WS 24585, Universidad Carlos III de Madrid. Departamento de Estadística.
    47. Claudio, João C. & von Schweinitz, Gregor, 2020. "On the international dissemination of technology news shocks," IWH Discussion Papers 25/2020, Halle Institute for Economic Research (IWH).
    48. Offick, Sven & Wohltmann, Hans-Werner, 2015. "Volatility effects of news shocks in (B)RE models with optimal monetary policy," Economics Working Papers 2015-07, Christian-Albrechts-University of Kiel, Department of Economics.
    49. Seymen, Atılım, 2013. "Sequential identification of technological news shocks," ZEW Discussion Papers 13-111, ZEW - Leibniz Centre for European Economic Research.
    50. Nadav Ben Zeev, 2015. "WHAT CAN WE LEARN ABOUT NEWS SHOCKS FROM THE LATE 1990s AND EARLY 2000s BOOM-BUST PERIOD?," Working Papers 1501, Ben-Gurion University of the Negev, Department of Economics.
    51. Bolboaca Maria & Fischer Sarah, 2021. "Unraveling News: Reconciling Conflicting Evidence," The B.E. Journal of Macroeconomics, De Gruyter, vol. 21(2), pages 695-743, June.
    52. Paul Beaudry & Franck Portier, 2014. "News Driven Business Cycles: Insights and Challenges," 2014 Meeting Papers 289, Society for Economic Dynamics.
    53. Valerie A. Ramey, 2016. "Macroeconomic Shocks and Their Propagation," NBER Working Papers 21978, National Bureau of Economic Research, Inc.
    54. Born, Benjamin & Peter, Alexandra & Pfeifer, Johannes, 2013. "Fiscal news and macroeconomic volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2582-2601.
    55. Barigozzi, Matteo & Lippi, Marco & Luciani, Matteo, 2021. "Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with I(1) cointegrated factors," Journal of Econometrics, Elsevier, vol. 221(2), pages 455-482.
    56. Miyamoto, Wataru & Nguyen, Thuy Lan, 2020. "The expectational effects of news in business cycles: Evidence from forecast data," Journal of Monetary Economics, Elsevier, vol. 116(C), pages 184-200.
    57. Nadav Ben Zeev, 2019. "Is There A Single Shock That Drives The Majority Of Business Cycle Fluctuations?," Working Papers 1906, Ben-Gurion University of the Negev, Department of Economics.
    58. Dalibor Stevanovic, 2015. "Factor augmented autoregressive distributed lag models with macroeconomic applications," CIRANO Working Papers 2015s-33, CIRANO.
    59. Hamidi Sahneh, Mehdi, 2017. "News, Noise, and Tests of Present Value Models," MPRA Paper 82715, University Library of Munich, Germany.
    60. Langer, Viktoria C.E., 2016. "News shocks, nonseparable preferences, and optimal monetary policy," Journal of Macroeconomics, Elsevier, vol. 49(C), pages 237-246.
    61. Nadav Ben Zeev, 2018. "The Tfp Channel Of Credit Supply Shocks," Working Papers 1802, Ben-Gurion University of the Negev, Department of Economics.
    62. Gambetti, Luca & Moretti, Laura, 2017. "News, Noise and Oil Price Swings," Research Technical Papers 12/RT/17, Central Bank of Ireland.
    63. Han, Xu, 2018. "Estimation and inference of dynamic structural factor models with over-identifying restrictions," Journal of Econometrics, Elsevier, vol. 202(2), pages 125-147.
    64. Schnattinger, Philip, 2023. "Beliefs- and fundamentals-driven job creation," Bank of England working papers 1040, Bank of England.
    65. Mario Forni & Luca Gambetti & Luca Sala, 2018. "Fundamentalness, Granger Causality and Aggregation," Center for Economic Research (RECent) 139, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    66. Le, Vo Phuong Mai & Meenagh, David & Minford, Patrick, 2020. "News and why it is not shocking: The role of micro-foundations," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 66(C).
    67. Yong, Chen & Dingming, Liu, 2019. "How does government spending news affect interest rates? Evidence from the United States," Journal of Economic Dynamics and Control, Elsevier, vol. 108(C).
    68. Daniele Siena, 2017. "What's News in International Business Cycles," 2017 Meeting Papers 1206, Society for Economic Dynamics.

  24. Mario Forni & Luca Gambetti, 2010. "Fiscal Foresight and the Effects of Government Spending," UFAE and IAE Working Papers 851.10, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).

    Cited by:

    1. Mario Forni & Luca Gambetti & Luca Sala, 2011. "No News in Business Cycles," Working Papers 535, Barcelona School of Economics.
    2. Jackson, Laura E. & Owyang, Michael T. & Zubairy, Sarah, 2018. "Debt and stabilization policy: Evidence from a Euro Area FAVAR," Journal of Economic Dynamics and Control, Elsevier, vol. 93(C), pages 67-91.
    3. Forni, Mario & Gambetti, Luca, 2016. "Government spending shocks in open economy VARs," Journal of International Economics, Elsevier, vol. 99(C), pages 68-84.
    4. Lippi, Marco & Forni, Mario & Sala, Luca & Gambetti, Luca, 2013. "Noisy News in Business cycles," CEPR Discussion Papers 9601, C.E.P.R. Discussion Papers.
    5. James Cloyne, 2014. "Government spending shocks, wealth effects and distortionary taxes," Discussion Papers 1413, Centre for Macroeconomics (CFM).
    6. Barigozzi, Matteo & Conti, Antonio & Luciani, Matteo, 2012. "Do Euro area countries respond asymmetrically to the common monetary policy?," LSE Research Online Documents on Economics 43344, London School of Economics and Political Science, LSE Library.
    7. Luca Gambetti, 2010. "Fiscal Policy, Foresight and the Trade Balance in the U.S," UFAE and IAE Working Papers 852.10, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
    8. Luisa Corrado & Daniela Fantozzi, 2021. "Micro level data for macro models: the distributional effects of monetary policy," National Institute of Economic and Social Research (NIESR) Discussion Papers 529, National Institute of Economic and Social Research.
    9. Patrick Blagrave & Giang Ho & Ksenia Koloskova & Mr. Esteban Vesperoni, 2017. "Fiscal Spillovers: The Importance of Macroeconomic and Policy Conditions in Transmission," IMF Spillover Notes 2017/002, International Monetary Fund.
    10. Goemans, Pascal, 2020. "Government Spending in Uncertain and Slack Times: Historical Evidence for Larger Fiscal Multipliers," VfS Annual Conference 2020 (Virtual Conference): Gender Economics 224642, Verein für Socialpolitik / German Economic Association.
    11. Giovanni Caggiano & Efrem Castelnuovo & Valentina Colombo & Gabriela Nodari, 2014. "Estimating Fiscal Multipliers: News from a Nonlinear World," Melbourne Institute Working Paper Series wp2014n26, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    12. Furlanetto, Francesco, 2011. "Fiscal stimulus and the role of wage rigidity," Journal of Economic Dynamics and Control, Elsevier, vol. 35(4), pages 512-527, April.
    13. Matteo Fragetta & Emanuel Gasteiger, 2012. "Fiscal Foresight, Limited Information and the Effects of Government Spending Shocks," Working Papers Series 2 12-02, ISCTE-IUL, Business Research Unit (BRU-IUL).
    14. Matarrese, Marco Maria & Frangiamore, Francesco, 2023. "Italian local fiscal multipliers: Evidence from proxy-SVAR," Economics Letters, Elsevier, vol. 228(C).
    15. Atanas Pekanov, 2018. "The New View on Fiscal Policy and its Implications for the European Monetary Union," WIFO Working Papers 562, WIFO.
    16. Attinasi, Maria Grazia & Metelli, Luca, 2017. "Is fiscal consolidation self-defeating? A panel-VAR analysis for the Euro area countries," Journal of International Money and Finance, Elsevier, vol. 74(C), pages 147-164.
    17. Elizabeth Bucacos, 2017. "Impact of International Monetary Policy in Uruguay: A favar Approach," Investigación Conjunta-Joint Research, in: Ángel Estrada García & Alberto Ortiz Bolaños (ed.), International Spillovers of Monetary Policy, edition 1, chapter 10, pages 321-367, Centro de Estudios Monetarios Latinoamericanos, CEMLA.
    18. Bonam, Dennis & De Haan, Jakob & Soederhuizen, Beau, 2022. "The Effects Of Fiscal Policy At The Effective Lower Bound," Macroeconomic Dynamics, Cambridge University Press, vol. 26(1), pages 149-185, January.
    19. Takao Fujii & Kazuki Hiraga & Masafumi Kozuka, 2012. "Analyses of Public Investment Shock in Japan: Factor Augmented Vector Autoregressive Approach," Keio/Kyoto Joint Global COE Discussion Paper Series 2012-006, Keio/Kyoto Joint Global COE Program.
    20. Pascal Goemans, 2022. "Historical evidence for larger government spending multipliers in uncertain times than in slumps," Economic Inquiry, Western Economic Association International, vol. 60(3), pages 1164-1185, July.
    21. Emilio Colombo & Davide Furceri & Pietro Pizzuto & Patrizio Tirelli, 2022. "Fiscal Multipliers and Informality," DISEIS - Quaderni del Dipartimento di Economia internazionale, delle istituzioni e dello sviluppo dis2201, Università Cattolica del Sacro Cuore, Dipartimento di Economia internazionale, delle istituzioni e dello sviluppo (DISEIS).
    22. Andrea Boitani & Salvatore Perdichizzi & Chiara Punzo, 2020. "Nonlinearities and expenditure multipliers in the Eurozone," DISCE - Working Papers del Dipartimento di Economia e Finanza def089, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
    23. Amendola, Adalgiso & Di Serio, Mario & Fragetta, Matteo & Melina, Giovanni, 2020. "The euro-area government spending multiplier at the effective lower bound," European Economic Review, Elsevier, vol. 127(C).
    24. Luca Gambetti, 2012. "Fiscal Foresight, Forecast Revisions and the Effects of Government Spending in the Open Economy," UFAE and IAE Working Papers 907.12, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
    25. Pappa, Evi & Bermperoglu, Dimitrios & Vella, Eugenia, 2013. "Spending-based austerity measures and their effects on output and unemployment," CEPR Discussion Papers 9383, C.E.P.R. Discussion Papers.
    26. Roel Beetsma & Massimo Giuliodori, 2011. "The Effects of Government Purchases Shocks: Review and Estimates for the EU," Economic Journal, Royal Economic Society, vol. 121(550), pages 4-32, February.
    27. Ayobami E. Ilori & Juan Paez-Farrell & Christoph Thoenissen, 2020. "Fiscal policy shocks and international spillovers," CAMA Working Papers 2020-95, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    28. Ellahie, Atif & Ricco, Giovanni, 2017. "Government Purchases Reloaded : Informational Insufficiency and Heterogeneity in Fiscal VARs," Economic Research Papers 269308, University of Warwick - Department of Economics.
    29. Ian Borg, "undated". "Fiscal Multipliers in Malta," CBM Working Papers WP/06/2014, Central Bank of Malta.
    30. Nektarios A. Michail & Christos S. Savva & Demetris Koursaros, 2017. "Size Effects of Fiscal Policy and Business Confidence in the Euro Area," IJFS, MDPI, vol. 5(4), pages 1-15, November.
    31. Laumer, Sebastian, 2020. "Government spending and heterogeneous consumption dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 114(C).
    32. Nicoletta Batini & Mario di Serio & Matteo Fragetta & Mr. Giovanni Melina, 2021. "Building Back Better: How Big Are Green Spending Multipliers?," IMF Working Papers 2021/087, International Monetary Fund.
    33. End, Nicolas, 2023. "Big Brother is also being watched: Measuring fiscal credibility," Journal of Macroeconomics, Elsevier, vol. 77(C).
    34. Ricco, Giovanni & Ellahie, Atif, 2012. "Government Spending Reloaded: Fundamentalness and Heterogeneity in Fiscal SVARs," MPRA Paper 42105, University Library of Munich, Germany.
    35. Davide Furceri & Ms. Aleksandra Zdzienicka, 2018. "Twin Deficits in Developing Economies," IMF Working Papers 2018/170, International Monetary Fund.
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    37. Ricco, Giovanni & Callegari, Giovanni & Cimadomo, Jacopo, 2014. "Signals from the Government: Policy Uncertainty and the Transmission of Fiscal Shocks," MPRA Paper 56136, University Library of Munich, Germany.
    38. Giacomo De Giorgi & Luca Gambetti, 2012. "The Effects of Government Spending on the Distribution of Consumption," Working Papers 645, Barcelona School of Economics.
    39. Forni, Mario & Gambetti, Luca, 2014. "Sufficient information in structural VARs," Journal of Monetary Economics, Elsevier, vol. 66(C), pages 124-136.
    40. Andrea Boitani & Salvatore Perdichizzi, 2018. "Public Expenditure Multipliers in recessions. Evidence from the Eurozone," DISCE - Working Papers del Dipartimento di Economia e Finanza def068, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
    41. Glocker, Christian & Sestieri, Giulia & Towbin, Pascal, 2019. "Time-varying government spending multipliers in the UK," Journal of Macroeconomics, Elsevier, vol. 60(C), pages 180-197.
    42. Pallara, Kevin, 2016. "The dynamic effects of government spending: a FAVAR approach," MPRA Paper 92283, University Library of Munich, Germany.
    43. Jacopo Cimadomo & Agnès Bénassy-Quéré, 2012. "Changing Patterns of Fiscal Policy Multipliers in Germany, the UK and the US," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00966144, HAL.
    44. Ángel Estrada García & Alberto Ortiz Bolaños (ed.), 2017. "International Spillovers of Monetary Policy," Investigación Conjunta-Joint Research, Centro de Estudios Monetarios Latinoamericanos, CEMLA, edition 1, volume 1, number 3, December.
    45. Nicolas End, 2020. "Rousseau's social contract or Machiavelli's virtue? A measure of fiscal credibility," Working Papers halshs-03078704, HAL.
    46. Elizabeth Bucacos, 2015. "Impact of international monetary policy in Uruguay: a FAVAR approach," Documentos de trabajo 2015003, Banco Central del Uruguay.
    47. Dario Caldara & Christophe Kamps, 2017. "The Analytics of SVARs: A Unified Framework to Measure Fiscal Multipliers," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 84(3), pages 1015-1040.
    48. Jacopo Cimadomo & Sebastian Hauptmeier & Sergio Sola, 2011. "Identifying the Effects of Government Spending Shocks with and without Expected Reversal: an Approach Based on U.S. Real-Time Data," IHEID Working Papers 12-2011, Economics Section, The Graduate Institute of International Studies.
    49. Hanisch, Max, 2017. "The effectiveness of conventional and unconventional monetary policy: Evidence from a structural dynamic factor model for Japan," Journal of International Money and Finance, Elsevier, vol. 70(C), pages 110-134.
    50. Di Serio, Mario & Fragetta, Matteo & Melina, Giovanni, 2021. "The impact of r-g on Euro-Area government spending multipliers," Journal of International Money and Finance, Elsevier, vol. 119(C).
    51. Takumah, Wisdom, 2021. "Effects of government spending on consumption Dynamics," MPRA Paper 109171, University Library of Munich, Germany, revised 09 Jul 2021.
    52. Camehl, Annika & Rieth, Malte, 2021. "Disentangling Covid-19, economic mobility, and containment policy shocks," IWH Discussion Papers 2/2021, Halle Institute for Economic Research (IWH).
    53. Nadav Ben Zeev & Evi Pappa, 2017. "Chronicle of a War Foretold: The Macroeconomic Effects of Anticipated Defence Spending Shocks," Economic Journal, Royal Economic Society, vol. 127(603), pages 1568-1597, August.
    54. Davide Furceri & Mr. Prakash Loungani & Ms. Aleksandra Zdzienicka, 2016. "The Effects of Monetary Policy Shocks on Inequality," IMF Working Papers 2016/245, International Monetary Fund.
    55. João Tovar Jalles, 2020. "The impact of financial crises on the environment in developing countries," Annals of Finance, Springer, vol. 16(2), pages 281-306, June.
    56. Tovar Jalles, João & Park, Donghyun & Qureshi, Irfan, 2024. "Public and Private Investment as Catalysts for Growth: An analysis of emerging markets and developing economies with a focus on Asia," Journal of International Money and Finance, Elsevier, vol. 148(C).
    57. Faccini, Renato & Mumtaz, Haroon & Surico, Paolo, 2016. "International fiscal spillovers," Journal of International Economics, Elsevier, vol. 99(C), pages 31-45.
    58. Simona Lorena Comi & Elena Cottini & Claudio Lucifora, 2020. "The effect of retirement on social relationships: new evidence from SHARE," DISCE - Working Papers del Dipartimento di Economia e Finanza def088, Università Cattolica del Sacro Cuore, Dipartimenti e Istituti di Scienze Economiche (DISCE).
    59. Born, Benjamin & Peter, Alexandra & Pfeifer, Johannes, 2013. "Fiscal news and macroeconomic volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2582-2601.
    60. Jalles, João Tovar & Park , Donghyun & Qureshi, Irfan, 2024. "Public versus Private Investment Multipliers in Emerging Market and Developing Economies: Cross-Country Analysis with a Focus on Asia," ADB Economics Working Paper Series 737, Asian Development Bank.
    61. Munkacsi, Zsuzsa, 2015. "Fiscal austerity, unemployment and family firms," Discussion Papers 06/2015, Deutsche Bundesbank.
    62. Nektarios Michail & Christos Savva & Demetris Koursaros, 2018. "Effects of fiscal consolidation on business confidence in the Euro Area," Economics and Business Letters, Oviedo University Press, vol. 7(2), pages 76-83.
    63. Cléaud, G. & Lemoine, M. & Pionnier, P.-A., 2013. "Which size and evolution of the government expenditure multiplier in France (1980-2010)?," Working papers 469, Banque de France.
    64. Daniela Fantozzi & Alessio Muscarnera, 2021. "A News-based Policy Index for Italy: Expectations and Fiscal Policy," CEIS Research Paper 509, Tor Vergata University, CEIS, revised 11 Mar 2021.
    65. Romain Duval & Davide Furceri, 2018. "The Effects of Labor and Product Market Reforms: The Role of Macroeconomic Conditions and Policies," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 66(1), pages 31-69, March.
    66. Nadav Ben Zeev & Hashmat Khan, 2012. "Investment-Specific News Shocks and U.S. Business Cycles," Carleton Economic Papers 12-05, Carleton University, Department of Economics, revised 25 Feb 2013.
    67. Jalles, Joao Tovar, 2019. "Crises and emissions: New empirical evidence from a large sample," Energy Policy, Elsevier, vol. 129(C), pages 880-895.
    68. Juho Koistinen & Bernd Funovits, 2022. "Estimation of Impulse-Response Functions with Dynamic Factor Models: A New Parametrization," Papers 2202.00310, arXiv.org, revised Feb 2022.
    69. Fujii, Takao & Hiraga, Kazuki & Kozuka, Masafumi, 2013. "Effects of public investment on sectoral private investment: A factor augmented VAR approach," Journal of the Japanese and International Economies, Elsevier, vol. 27(C), pages 35-47.
    70. Charl Jooste & Ruthira Naraidoo, 2017. "The Macroeconomics Effects of Government Spending Under Fiscal Foresight," South African Journal of Economics, Economic Society of South Africa, vol. 85(1), pages 68-85, March.
    71. Hashmat Khan & Abeer Reza, 2013. "House Prices and Government Spending Shocks," Carleton Economic Papers 13-10, Carleton University, Department of Economics, revised 14 Sep 2016.
    72. Laumer, Sebastian & Violaris, Andreas-Entony, 2024. "Unconventional monetary policy and policy foresight," Journal of Economic Dynamics and Control, Elsevier, vol. 164(C).
    73. Mathias Klein & Roland Winkler, 2021. "The government spending multiplier at the zero lower bound: International evidence from historical data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(6), pages 744-759, September.
    74. Masud Alam, 2021. "Heterogeneous Responses to the U.S. Narrative Tax Changes: Evidence from the U.S. States," Papers 2107.13678, arXiv.org.
    75. C. Glocker & G. Sestieri & P. Towbin, 2017. "Time-varying fiscal spending multipliers in the UK," Working papers 643, Banque de France.
    76. Forni, Mario & Gambetti, Luca, 2011. "Testing for Sufficient Information in Structural VARs," CEPR Discussion Papers 8209, C.E.P.R. Discussion Papers.
    77. Davide Furceri & Jun Ge & Mr. Prakash Loungani & Mr. Giovanni Melina, 2018. "The Distributional Effects of Government Spending Shocks in Developing Economies," IMF Working Papers 2018/057, International Monetary Fund.
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  25. Mario Forni & Luca Gambetti, 2010. "Macroeconomic Shocks and the Business Cycle: Evidence from a Structural Factor Model," UFAE and IAE Working Papers 850.10, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).

    Cited by:

    1. Kerssenfischer, Mark, 2017. "The effects of US monetary policy shocks: Applying external instrument identification to a dynamic factor model," Discussion Papers 08/2017, Deutsche Bundesbank.
    2. Barigozzi, Matteo & Conti, Antonio & Luciani, Matteo, 2012. "Do Euro area countries respond asymmetrically to the common monetary policy?," LSE Research Online Documents on Economics 43344, London School of Economics and Political Science, LSE Library.
    3. Li, Hongjun & Li, Qi & Shi, Yutang, 2017. "Determining the number of factors when the number of factors can increase with sample size," Journal of Econometrics, Elsevier, vol. 197(1), pages 76-86.
    4. Colin Ellis & Haroon Mumtaz & Pawel Zabczyk, 2014. "What Lies Beneath? A Time‐varying FAVAR Model for the UK Transmission Mechanism," Economic Journal, Royal Economic Society, vol. 0(576), pages 668-699, May.
    5. Kabundi, Alain & De Simone, Francisco Nadal, 2020. "Monetary policy and systemic risk-taking in the euro area banking sector," Economic Modelling, Elsevier, vol. 91(C), pages 736-758.
    6. Olli Palm'en, 2020. "Inflation Dynamics of Financial Shocks," Papers 2006.03301, arXiv.org.
    7. Leiva-Leon Danilo, 2014. "Real vs. nominal cycles: a multistate Markov-switching bi-factor approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(5), pages 557-580, December.
    8. Mario Forni & Marc Hallin & Marco Lippi & Paolo Zaffaroni, 2011. "One-Sided Representations of Generalized Dynamic Factor Models," EIEF Working Papers Series 1106, Einaudi Institute for Economics and Finance (EIEF), revised Mar 2011.
    9. William A. Barnett & Marcelle Chauvetz & Danilo Leiva-Leonx, 2014. "Real-Time Nowcasting Nominal GDP Under Structural Break," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201313, University of Kansas, Department of Economics, revised Feb 2014.
    10. Ángel Cuevas & Enrique Quilis, 2012. "A factor analysis for the Spanish economy," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 3(3), pages 311-338, September.
    11. Taghizadeh-Hesary, Farhad & Yoshino, Naoyuki & Shimizu, Sayoko, 2018. "The Impact of Monetary and Tax Policy on Income Inequality in Japan," ADBI Working Papers 837, Asian Development Bank Institute.
    12. Christiane Baumeister & Philip Liu & Haroon Mumtaz, 2012. "Changes in the Effects of Monetary Policy on Disaggregate Price Dynamics," Staff Working Papers 12-13, Bank of Canada.
    13. Jin, Xisong & Nadal De Simone, Francisco, 2020. "Monetary policy and systemic risk-taking in the Euro area investment fund industry: A structural factor-augmented vector autoregression analysis," Journal of Financial Stability, Elsevier, vol. 49(C).
    14. Krustev, Georgi & Casalis, André, 2020. "Cyclical drivers of euro area consumption: what can we learn from durable goods?," Working Paper Series 2386, European Central Bank.
    15. Lorenzo Ductor & Danilo Leiva-Leon, 2015. "Dynamics of Global Business Cycles Interdependence," Working Papers Central Bank of Chile 763, Central Bank of Chile.

  26. Mario Forni & Domenico Giannone & Marco Lippi & Lucrezia Reichlin, 2008. "Opening the Black Box: Structural Factor Models with Large Cross-Sections," Working Papers ECARES 2008_036, ULB -- Universite Libre de Bruxelles.

    Cited by:

    1. Juan José Echavarría & Andrés gonzález & Enrique López & Norberto Rodríguez, 2012. "Choques internacionales reales y financieros y su impacto sobre la economía colombiana," Borradores de Economia 9884, Banco de la Republica.
    2. Christophe Andre & Petre Caraiani & Rangan Gupta, 2023. "Fiscal Policy and Stock Markets at the Effective Lower Bound," Working Papers 202309, University of Pretoria, Department of Economics.
    3. Alessi, Lucia & Kerssenfischer, Mark, 2016. "The response of asset prices to monetary policy shocks: stronger than thought," Working Paper Series 1967, European Central Bank.
    4. Mario Forni & Luca Gambetti & Luca Sala, 2011. "No News in Business Cycles," Working Papers 535, Barcelona School of Economics.
    5. Mario Forni & Luca Gambetti & Marco Lippi & Luca Sala, 2017. "Noise Bubbles," Economic Journal, Royal Economic Society, vol. 127(604), pages 1940-1976, September.
    6. Kerssenfischer, Mark, 2017. "The effects of US monetary policy shocks: Applying external instrument identification to a dynamic factor model," Discussion Papers 08/2017, Deutsche Bundesbank.
    7. Moench, Emanuel & Soofi-Siavash, Soroosh, 2022. "What moves treasury yields?," Journal of Financial Economics, Elsevier, vol. 146(3), pages 1016-1043.
    8. Elena Deryugina & Alexey Ponomarenko & Andrey Sinyakov & Constantine Sorokin, 2018. "Evaluating underlying inflation measures for Russia," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 11(2), pages 124-145, May.
    9. Reichlin, Lucrezia & Doz, Catherine & Giannone, Domenico, 2006. "A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models," CEPR Discussion Papers 5724, C.E.P.R. Discussion Papers.
    10. Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2009. "A Robust Criterion for Determining the Number of Factors in Approximate Factor Models," Working Papers ECARES 2009_023, ULB -- Universite Libre de Bruxelles.
    11. GUO-FITOUSSI, Liang, 2013. "A Comparison of the Finite Sample Properties of Selection Rules of Factor Numbers in Large Datasets," MPRA Paper 50005, University Library of Munich, Germany.
    12. Forni, Mario & Hallin, Marc & Lippi, Marco & Zaffaroni, Paolo, 2015. "Dynamic factor models with infinite-dimensional factor spaces: One-sided representations," Journal of Econometrics, Elsevier, vol. 185(2), pages 359-371.
    13. Marcellino, Massimiliano & Sivec, Vasja, 2016. "Monetary, fiscal and oil shocks: Evidence based on mixed frequency structural FAVARs," Journal of Econometrics, Elsevier, vol. 193(2), pages 335-348.
    14. Mr. Maxym Kryshko, 2011. "Data-Rich DSGE and Dynamic Factor Models," IMF Working Papers 2011/216, International Monetary Fund.
    15. Carlos Cesar Trucios-Maza & João H. G Mazzeu & Luis K. Hotta & Pedro L. Valls Pereira & Marc Hallin, 2019. "On the robustness of the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting," Working Papers ECARES 2019-32, ULB -- Universite Libre de Bruxelles.
    16. Matteo Barigozzi & Marc Hallin, 2024. "The Dynamic, the Static, and the Weak factor models and the analysis of high-dimensional time series," Papers 2407.10653, arXiv.org, revised Jan 2025.
    17. Lippi, Marco & Forni, Mario & Sala, Luca & Gambetti, Luca, 2013. "Noisy News in Business cycles," CEPR Discussion Papers 9601, C.E.P.R. Discussion Papers.
    18. Daniel A. Dias & João B. Duarte, 2019. "Monetary policy, housing rents, and inflation dynamics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(5), pages 673-687, August.
    19. Elena Deryugina & Alexey Ponomarenko, 2019. "Disinflation and reliability of underlying inflation measures," Bank of Russia Working Paper Series wps44, Bank of Russia.
    20. Luciana Juvenal & Ivan Petrella, 2012. "Speculation in the oil market," Economic Synopses, Federal Reserve Bank of St. Louis.
    21. Pietro Dallari & Antonio Ribba, 2015. "Dynamic Factor Models with In nite-Dimensional Factor Space: Asymptotic Analysis," Center for Economic Research (RECent) 115, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    22. Davide Brignone & Alessandro Franconi & Marco Mazzali, 2023. "Robust Impulse Responses using External Instruments: the Role of Information," Papers 2307.06145, arXiv.org.
    23. Marco M. Sorge, 2013. "On the Fundamentalness of Nonfundamentalness in DSGE Models," CSEF Working Papers 340, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
    24. Marco Flaccadoro, 2022. "Exchange rate pass-through in small, open, commodity-exporting economies: lessons from Canada," Temi di discussione (Economic working papers) 1368, Bank of Italy, Economic Research and International Relations Area.
    25. Matteo LUCIANI, "undated". "Monetary Policy and the Housing Market: A Structural Factor Analysis," Working Papers wp2010-7, Department of the Treasury, Ministry of the Economy and of Finance.
    26. Hanan Naser, 2015. "Estimating and forecasting Bahrain quarterly GDP growth using simple regression and factor-based methods," Empirical Economics, Springer, vol. 49(2), pages 449-479, September.
    27. Barigozzi, Matteo & Conti, Antonio & Luciani, Matteo, 2012. "Do Euro area countries respond asymmetrically to the common monetary policy?," LSE Research Online Documents on Economics 43344, London School of Economics and Political Science, LSE Library.
    28. Cristina Conflitti & Matteo Luciani, 2019. "Oil Price Pass-Through into Core Inflation," FEDS Notes 2019-04-30, Board of Governors of the Federal Reserve System (U.S.).
    29. Gianluca Cubadda & Alain Hecq, 2022. "Dimension Reduction for High Dimensional Vector Autoregressive Models," CEIS Research Paper 534, Tor Vergata University, CEIS, revised 24 Mar 2022.
    30. Chou, Ray Yeutien & Yen, Tso-Jung & Yen, Yu-Min, 2020. "Macroeconomic forecasting using approximate factor models with outliers," International Journal of Forecasting, Elsevier, vol. 36(2), pages 267-291.
    31. Hubrich, Kirstin & Marcellino, Massimiliano & Beck, Günter W., 2006. "Regional inflation dynamics within and across euro area countries and a comparison with the US," Working Paper Series 681, European Central Bank.
    32. Luca Gambetti, 2010. "Fiscal Policy, Foresight and the Trade Balance in the U.S," UFAE and IAE Working Papers 852.10, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
    33. Giannoni, Marc & Boivin, Jean & Stevanovic, Dalibor, 2013. "Dynamic Effects of Credit Shocks in a Data-Rich Environment," CEPR Discussion Papers 9470, C.E.P.R. Discussion Papers.
    34. Mario Forni & Luca Gambetti, 2010. "Macroeconomic Shocks and the Business Cycle: Evidence from a Structural Factor Model," Center for Economic Research (RECent) 040, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    35. Reichlin, Lucrezia & Giannone, Domenico & Modugno, Michele & Banbura, Marta, 2012. "Now-casting and the real-time data flow," CEPR Discussion Papers 9112, C.E.P.R. Discussion Papers.
    36. Matteo Barigozzi & Filippo Pellegrino, 2023. "Multidimensional dynamic factor models," Papers 2301.12499, arXiv.org.
    37. Aït-Sahalia, Yacine & Xiu, Dacheng, 2017. "Using principal component analysis to estimate a high dimensional factor model with high-frequency data," Journal of Econometrics, Elsevier, vol. 201(2), pages 384-399.
    38. Bastian Gribisch, 2018. "A latent dynamic factor approach to forecasting multivariate stock market volatility," Empirical Economics, Springer, vol. 55(2), pages 621-651, September.
    39. Lasse Bork & Hans Dewachter & Romain Houssa, 2009. "Identification of Macroeconomic Factors in Large Panels," CREATES Research Papers 2009-43, Department of Economics and Business Economics, Aarhus University.
    40. Ms. Natalia T. Tamirisa & Alain N. Kabundi & Ms. Deniz O Igan & Mr. Francisco d Nadal De Simone & Marcelo Pinheiro, 2009. "Three Cycles: Housing, Credit, and Real Activity," IMF Working Papers 2009/231, International Monetary Fund.
    41. Potjagailo, Galina, 2017. "Spillover effects from Euro area monetary policy across Europe: A factor-augmented VAR approach," Journal of International Money and Finance, Elsevier, vol. 72(C), pages 127-147.
    42. Robert Adamek & Stephan Smeekes & Ines Wilms, 2024. "Local projection inference in high dimensions," The Econometrics Journal, Royal Economic Society, vol. 27(3), pages 323-342.
    43. Matteo Barigozzi & Giuseppe Cavaliere & Graziano Moramarco, 2022. "Factor Network Autoregressions," Papers 2208.02925, arXiv.org, revised Feb 2024.
    44. Mario Forni & Luca Gambetti & Luca Sala, 2017. "News, Uncertainty and Economic Fluctuations (No News is Good News)," Center for Economic Research (RECent) 132, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    45. Andrea Cipollini & Giuseppe Missaglia, 2007. "Dynamic Factor analysis of industry sector default rates and implication for Portfolio Credit Risk Modelling," Center for Economic Research (RECent) 007, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    46. Matteo Barigozzi & Matteo Luciani, 2024. "Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm," Finance and Economics Discussion Series 2024-086, Board of Governors of the Federal Reserve System (U.S.).
    47. Mirko Abbritti & Mr. Salvatore Dell'Erba & Mr. Antonio Moreno & Mr. Sergio Sola, 2013. "Global Factors in the Term Structure of Interest Rates," IMF Working Papers 2013/223, International Monetary Fund.
    48. Doz, Catherine & Giannone, Domenico & Reichlin, Lucrezia, 2011. "A two-step estimator for large approximate dynamic factor models based on Kalman filtering," Journal of Econometrics, Elsevier, vol. 164(1), pages 188-205, September.
    49. Domenico Giannone & Troy Matheson, 2006. "A new core inflation indicator for New Zealand," Reserve Bank of New Zealand Discussion Paper Series DP2006/02, Reserve Bank of New Zealand.
    50. Andrea Cipollini & George Kapetanios, 2005. "Forecasting Financial Crises and Contagion in Asia Using Dynamic Factor Analysis," Working Papers 538, Queen Mary University of London, School of Economics and Finance.
    51. Antolin-Diaz, Juan & Drechsel, Thomas & Petrella, Ivan, 2017. "Tracking the slowdown in long-run GDP growth," LSE Research Online Documents on Economics 81869, London School of Economics and Political Science, LSE Library.
    52. Matteo Barigozzi & Matteo Luciani, 2017. "Common Factors, Trends, and Cycles in Large Datasets," Finance and Economics Discussion Series 2017-111, Board of Governors of the Federal Reserve System (U.S.).
    53. Thomas Despois & Catherine Doz, 2021. "Identifying and interpreting the factors in factor models via sparsity: Different approaches," PSE Working Papers halshs-02235543, HAL.
    54. Luciani, Matteo & Pundit, Madhavi & Ramayandi, Arief & Veronese , Giovanni, 2015. "Nowcasting Indonesia," ADB Economics Working Paper Series 471, Asian Development Bank.
    55. Luca Sala & Luca Gambetti & Mario Forni, 2016. "VAR Information and the Empirical Validation of DSGE Models," 2016 Meeting Papers 260, Society for Economic Dynamics.
    56. Matteo Barigozzi & Matteo Luciani, 2019. "Quasi Maximum Likelihood Estimation of Non-Stationary Large Approximate Dynamic Factor Models," Papers 1910.09841, arXiv.org.
    57. Alessi, Lucia & Barigozzi, Matteo & Capasso, Marco, 2008. "A robust criterion for determining the number of static factors in approximate factor models," Working Paper Series 903, European Central Bank.
    58. Domenico Giannone & Lucrezia Reichlin & David H. Small, 2005. "Nowcasting GDP and inflation: the real-time informational content of macroeconomic data releases," Finance and Economics Discussion Series 2005-42, Board of Governors of the Federal Reserve System (U.S.).
    59. Gábor Pellényi, 2012. "The Sectoral Effects of Monetary Policy in Hungary: A Structural Factor Analysis," MNB Working Papers 2012/1, Magyar Nemzeti Bank (Central Bank of Hungary).
    60. Matteo Barigozzi & Marco Capasso, 2007. "A Multivariate Perspective for Modeling and Forecasting Inflation's Conditional Mean and Variance," LEM Papers Series 2007/21, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    61. Qin, Duo, 2007. "Uncover Latent PPP by Dynamic Factor Error Correction Model (DF-ECM) Approach: Evidence from five OECD countries," Economics Discussion Papers 2007-29, Kiel Institute for the World Economy (IfW Kiel).
    62. Mario Forni & Luca Gambetti & marco Lippi & Luca Sala, 2020. "Common Components Structural VARs," Center for Economic Research (RECent) 147, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    63. Pellényi, Gábor, 2012. "A monetáris politika hatása a magyar gazdaságra. Elemzés strukturális, dinamikus faktormodellel [The sectoral effects of monetary policy in Hungary: a structural factor]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(3), pages 263-284.
    64. Eickmeier, Sandra, 2004. "Business Cycle Transmission from the US to Germany: a Structural Factor Approach," Discussion Paper Series 1: Economic Studies 2004,12, Deutsche Bundesbank.
    65. Masud Alam, 2021. "Output, Employment, and Price Effects of U.S. Narrative Tax Changes: A Factor-Augmented Vector Autoregression Approach," Papers 2106.10844, arXiv.org.
    66. Belviso Francesco & Milani Fabio, 2006. "Structural Factor-Augmented VARs (SFAVARs) and the Effects of Monetary Policy," The B.E. Journal of Macroeconomics, De Gruyter, vol. 6(3), pages 1-46, December.
    67. Marta Bańbura, 2008. "Large Bayesian VARs," 2008 Meeting Papers 334, Society for Economic Dynamics.
    68. Hansen, Stephen & McMahon, Michael, 2015. "Shocking language: Understanding the macroeconomic effects of central bank communication," Economic Research Papers 269727, University of Warwick - Department of Economics.
    69. Amendola, Adalgiso & Di Serio, Mario & Fragetta, Matteo & Melina, Giovanni, 2020. "The euro-area government spending multiplier at the effective lower bound," European Economic Review, Elsevier, vol. 127(C).
    70. Ouysse, Rachida, 2016. "Bayesian model averaging and principal component regression forecasts in a data rich environment," International Journal of Forecasting, Elsevier, vol. 32(3), pages 763-787.
    71. Matteo Barigozzi & Lorenzo Trapani, 2018. "Sequential testing for structural stability in approximate factor models," Discussion Papers 18/04, University of Nottingham, Granger Centre for Time Series Econometrics.
    72. Manganelli, Simone & Wolswijk, Guido, 2007. "Market discipline, financial integration and fiscal rules: what drives spreads in the euro area government bond market?," Working Paper Series 745, European Central Bank.
    73. Petrella, Ivan & Drechsel, Thomas & Antolin-Diaz, Juan, 2014. "Following the Trend: Tracking GDP when Long-Run Growth is Uncertain," CEPR Discussion Papers 10272, C.E.P.R. Discussion Papers.
    74. Marcellino, Massimiliano & Kapetanios, George, 2006. "Impulse Response Functions from Structural Dynamic Factor Models: A Monte Carlo Evaluation," CEPR Discussion Papers 5621, C.E.P.R. Discussion Papers.
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    Cited by:

    1. Carstensen, Kai & Heinrich, Markus & Reif, Magnus & Wolters, Maik H., 2020. "Predicting ordinary and severe recessions with a three-state Markov-switching dynamic factor model," International Journal of Forecasting, Elsevier, vol. 36(3), pages 829-850.
    2. Drew Creal & Siem Jan Koopman & Eric Zivot, 2008. "The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model," Tinbergen Institute Discussion Papers 08-069/4, Tinbergen Institute.
    3. Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2009. "A Robust Criterion for Determining the Number of Factors in Approximate Factor Models," Working Papers ECARES 2009_023, ULB -- Universite Libre de Bruxelles.
    4. Marie Bessec, 2013. "Short‐Term Forecasts of French GDP: A Dynamic Factor Model with Targeted Predictors," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(6), pages 500-511, September.
    5. Forni, Mario & Hallin, Marc & Lippi, Marco & Zaffaroni, Paolo, 2015. "Dynamic factor models with infinite-dimensional factor spaces: One-sided representations," Journal of Econometrics, Elsevier, vol. 185(2), pages 359-371.
    6. Caroline Jardet & Baptiste Meunier, 2022. "Nowcasting world GDP growth with high‐frequency data," Post-Print hal-03647097, HAL.
    7. De Santis, Roberto A. & Zaghini, Andrea, 2019. "Unconventional monetary policy and corporate bond issuance," Working Paper Series 2329, European Central Bank.
    8. Carlos Cesar Trucios-Maza & João H. G Mazzeu & Luis K. Hotta & Pedro L. Valls Pereira & Marc Hallin, 2019. "On the robustness of the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting," Working Papers ECARES 2019-32, ULB -- Universite Libre de Bruxelles.
    9. Poncela, Pilar, 2012. "More is not always better : back to the Kalman filter in dynamic factor models," DES - Working Papers. Statistics and Econometrics. WS ws122317, Universidad Carlos III de Madrid. Departamento de Estadística.
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    13. Ard Reijer, 2013. "Forecasting Dutch GDP and inflation using alternative factor model specifications based on large and small datasets," Empirical Economics, Springer, vol. 44(2), pages 435-453, April.
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    21. Dean Fantazzini & Julia Pushchelenko & Alexey Mironenkov & Alexey Kurbatskii, 2021. "Forecasting Internal Migration in Russia Using Google Trends: Evidence from Moscow and Saint Petersburg," Forecasting, MDPI, vol. 3(4), pages 1-30, October.
    22. Mario Forni & Luca Gambetti, 2010. "Macroeconomic Shocks and the Business Cycle: Evidence from a Structural Factor Model," Center for Economic Research (RECent) 040, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
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    45. George Kapetanios & Fotis Papailias, 2018. "Big Data & Macroeconomic Nowcasting: Methodological Review," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2018-12, Economic Statistics Centre of Excellence (ESCoE).
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    110. Fornaro, Paolo & Luomaranta, Henri & Saarinen, Lauri, 2017. "Nowcasting Finnish Turnover Indexes Using Firm-Level Data," ETLA Working Papers 46, The Research Institute of the Finnish Economy.
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    112. Kristoffer Persson, 2020. "Economic Reality, Economic Media and Individuals' Expectations," Papers 2007.13823, arXiv.org.
    113. Pavel Vidal Alejandro & Lya Paola Sierra Suárez & Johana Sanabria Dominguez & Jaime Andres Collazos Rodríguez, 2015. "Indicador mensual de actividad económica (IMAE) para el Valle del Cauca," Borradores de Economia 900, Banco de la Republica de Colombia.
    114. Muriel Nguiffo-Boyom, 2014. "2007-2013: This is what the indicator told us ? Evaluating the performance of real-time nowcasts from a dynamic factor model," BCL working papers 88, Central Bank of Luxembourg.
    115. Gerhard Rünstler, 2016. "On the Design of Data Sets for Forecasting with Dynamic Factor Models," Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 629-662, Emerald Group Publishing Limited.
    116. Guido Bulligan & Roberto Golinelli & Giuseppe Parigi, 2010. "Forecasting industrial production: the role of information and methods," IFC Bulletins chapters, in: Bank for International Settlements (ed.), The IFC's contribution to the 57th ISI Session, Durban, August 2009, volume 33, pages 227-235, Bank for International Settlements.
    117. Fornaro, Paolo, 2016. "Predicting Finnish economic activity using firm-level data," International Journal of Forecasting, Elsevier, vol. 32(1), pages 10-19.
    118. Marcellino, Massimiliano & Proietti, Tommaso & Frale, Cecilia & Mazzi, Gian Luigi, 2008. "A Monthly Indicator of the Euro Area GDP," CEPR Discussion Papers 7007, C.E.P.R. Discussion Papers.
    119. Barigozzi, Matteo & Lippi, Marco & Luciani, Matteo, 2021. "Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with I(1) cointegrated factors," Journal of Econometrics, Elsevier, vol. 221(2), pages 455-482.
    120. Donatella Baiardi & Carluccio Bianchi, 2010. "Un Indicatore di Attività Economica per la Lombardia e per le Province di Milano e Pavia," Quaderni di Dipartimento 130, University of Pavia, Department of Economics and Quantitative Methods.
    121. Klaus Wohlrabe, 2011. "Konstruktion von Indikatoren zur Analyse der wirtschaftlichen Aktivität in den Dienstleistungsbereichen," ifo Forschungsberichte, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 55, July.
    122. Matteo Barigozzi & Marco Lippi & Matteo Luciani, 2016. "Non-Stationary Dynamic Factor Models for Large Datasets," Finance and Economics Discussion Series 2016-024, Board of Governors of the Federal Reserve System (U.S.).
    123. Dovern, Jonas & Ziegler, Christina, 2008. "Predicting growth rates and recessions: assessing US leading indicators under real-time conditions," Kiel Working Papers 1397, Kiel Institute for the World Economy (IfW Kiel).
    124. Raffaele Mattera & Michelangelo Misuraca & Maria Spano & Germana Scepi, 2023. "Mixed frequency composite indicators for measuring public sentiment in the EU," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(3), pages 2357-2382, June.
    125. Schumacher Christian, 2011. "Forecasting with Factor Models Estimated on Large Datasets: A Review of the Recent Literature and Evidence for German GDP," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 231(1), pages 28-49, February.
    126. Ryadh M. Alkhareif & William A. Barnett, 2022. "Nowcasting Real GDP for Saudi Arabia1," Open Economies Review, Springer, vol. 33(2), pages 333-345, April.
    127. Francesca Di Iorio & Stefano Fachin, 2017. "Evaluating Restricted Common Factor models for non-stationary data," DSS Empirical Economics and Econometrics Working Papers Series 2017/2, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
    128. Yannic Stucki, 2022. "Measuring Swiss employment growth: a measurement-error approach," Working Papers 2022-11, Swiss National Bank.
    129. Ginters Buss, 2012. "A New Real-Time Indicator for the Euro Area GDP," Working Papers 2012/02, Latvijas Banka.
    130. G. Rünstler & K. Barhoumi & S. Benk & R. Cristadoro & A. Den Reijer & A. Jakaitiene & P. Jelonek & A. Rua & K. Ruth & C. Van Nieuwenhuyze, 2009. "Short-term forecasting of GDP using large datasets: a pseudo real-time forecast evaluation exercise," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(7), pages 595-611.
    131. António Rua, 2016. "A wavelet-based multivariate multiscale approach for forecasting," Working Papers w201612, Banco de Portugal, Economics and Research Department.
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    133. Schumacher, Christian & Breitung, Jörg, 2008. "Real-time forecasting of German GDP based on a large factor model with monthly and quarterly data," International Journal of Forecasting, Elsevier, vol. 24(3), pages 386-398.
    134. Chikamatsu, Kyosuke & Hirakata, Naohisa & Kido, Yosuke & Otaka, Kazuki, 2021. "Mixed-frequency approaches to nowcasting GDP: An application to Japan," Japan and the World Economy, Elsevier, vol. 57(C).
    135. Paolo Fornaro & Henri Luomaranta, 2020. "Nowcasting Finnish real economic activity: a machine learning approach," Empirical Economics, Springer, vol. 58(1), pages 55-71, January.
    136. Giuseppe Ferrero & Andrea Nobili & Gabriele Sene, 2019. "Credit risk-taking and maturity mismatch: the role of the yield curve," Temi di discussione (Economic working papers) 1220, Bank of Italy, Economic Research and International Relations Area.
    137. Marek Chudý & Erhard Reschenhofer, 2019. "Macroeconomic Forecasting with Factor-Augmented Adjusted Band Regression," Econometrics, MDPI, vol. 7(4), pages 1-14, December.
    138. Forni, Mario & Cavicchioli, Maddalena & Lippi, Marco & Zaffaroni, Paolo, 2016. "Eigenvalue Ratio Estimators for the Number of Common Factors," CEPR Discussion Papers 11440, C.E.P.R. Discussion Papers.
    139. Donato Ceci & Orest Prifti & Andrea Silvestrini, 2024. "Nowcasting Italian GDP growth: a Factor MIDAS approach," Temi di discussione (Economic working papers) 1446, Bank of Italy, Economic Research and International Relations Area.
    140. Conefrey, Thomas & Liebermann, Joelle, 2013. "A Monthly Business Cycle Indicator for Ireland," Economic Letters 03/EL/13, Central Bank of Ireland.
    141. Alessandro Giovannelli & Marco Lippi & Tommaso Proietti, 2023. "Band-Pass Filtering with High-Dimensional Time Series," CEIS Research Paper 559, Tor Vergata University, CEIS, revised 15 Jun 2023.
    142. Mario Forni & Luca Gambetti, 2021. "Policy and Business Cycle Shocks: A Structural Factor Model Representation of the US Economy," JRFM, MDPI, vol. 14(8), pages 1-21, August.
    143. Massimiliano Marcellino & Christian Schumacher, 2010. "Factor MIDAS for Nowcasting and Forecasting with Ragged‐Edge Data: A Model Comparison for German GDP," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 72(4), pages 518-550, August.
    144. Beate Schirwitz, 2013. "Business Fluctuations, Job Flows and Trade Unions - Dynamics in the Economy," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 47.
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    152. Stock, J.H. & Watson, M.W., 2016. "Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 415-525, Elsevier.
    153. Klaus Abberger & Michael Graff & Oliver Müller & Jan-Egbert Sturm, 2020. "Die Globalen Konjunkturbarometer," KOF Analysen, KOF Swiss Economic Institute, ETH Zurich, vol. 14(2), pages 45-61, June.
    154. Daniel Wochner, 2020. "Dynamic Factor Trees and Forests – A Theory-led Machine Learning Framework for Non-Linear and State-Dependent Short-Term U.S. GDP Growth Predictions," KOF Working papers 20-472, KOF Swiss Economic Institute, ETH Zurich.
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  29. Riccardo Cristadoro & Mario Forni & Lucrezia Reichlin & Giovanni Veronese, 2005. "A core inflation indicator for the Euro area," ULB Institutional Repository 2013/10131, ULB -- Universite Libre de Bruxelles.

    Cited by:

    1. Bobeica Elena & Holton Sarah & Koester Gerrit, 2023. "Bringing Inflation Back Under Control," Intereconomics: Review of European Economic Policy, Sciendo, vol. 58(3), pages 136-141, June.
    2. Forni, Mario & Hallin, Marc & Lippi, Marco & Zaffaroni, Paolo, 2015. "Dynamic factor models with infinite-dimensional factor spaces: One-sided representations," Journal of Econometrics, Elsevier, vol. 185(2), pages 359-371.
    3. Stracca, Livio & Bilke, Laurent, 2008. "A persistence-weighted measure of core inflation in the euro area," Working Paper Series 905, European Central Bank.
    4. Carlos Cesar Trucios-Maza & João H. G Mazzeu & Luis K. Hotta & Pedro L. Valls Pereira & Marc Hallin, 2019. "On the robustness of the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting," Working Papers ECARES 2019-32, ULB -- Universite Libre de Bruxelles.
    5. Hahn, Elke & Zekaite, Zivile & de Bondt, Gabe, 2018. "ALICE: A new inflation monitoring tool," Working Paper Series 2175, European Central Bank.
    6. Alain Kabundi & Rangan Gupta, 2009. "A Large Factor Model for Forecasting Macroeconomic Variables in South Africa," Working Papers 137, Economic Research Southern Africa.
    7. Cristina Conflitti & Matteo Luciani, 2019. "Oil Price Pass-Through into Core Inflation," FEDS Notes 2019-04-30, Board of Governors of the Federal Reserve System (U.S.).
    8. Adam Jêdrzejczyk, 2012. "Inflation forecasting using dynamic factor analysis. SAS 4GL programming approach," Working Papers 63, Department of Applied Econometrics, Warsaw School of Economics.
    9. Alkhareif, Ryadh M. & Barnett, William A., 2020. "Nowcasting Real GDP for Saudi Arabia," MPRA Paper 104278, University Library of Munich, Germany.
    10. Ciccarelli, Matteo & Mojon, Benoît, 2006. "Global Inflation," Kiel Working Papers 1337, Kiel Institute for the World Economy (IfW Kiel).
    11. Domenico Giannone & Troy Matheson, 2006. "A new core inflation indicator for New Zealand," Reserve Bank of New Zealand Discussion Paper Series DP2006/02, Reserve Bank of New Zealand.
    12. James H. Stock & Mark W. Watson, 2015. "Core Inflation and Trend Inflation," NBER Working Papers 21282, National Bureau of Economic Research, Inc.
    13. Amstad, Marlene & Fischer, Andreas M., 2010. "Monthly pass-through ratios," Journal of Economic Dynamics and Control, Elsevier, vol. 34(7), pages 1202-1213, July.
    14. Ergemen, Yunus Emre & Rodríguez-Caballero, C. Vladimir, 2023. "Estimation of a dynamic multi-level factor model with possible long-range dependence," International Journal of Forecasting, Elsevier, vol. 39(1), pages 405-430.
    15. Hubrich, Kirstin & González, Andrés & Teräsvirta, Timo, 2011. "Forecasting inflation with gradual regime shifts and exogenous information," Working Paper Series 1363, European Central Bank.
    16. Marlene Amstad & Andreas M. Fischer, 2009. "Do macroeconomic announcements move inflation forecasts?," Review, Federal Reserve Bank of St. Louis, vol. 91(Sep), pages 507-518.
    17. Matteo Barigozzi & Marc Hallin & Matteo Luciani & Paolo Zaffaroni, 2021. "Inferential Theory for Generalized Dynamic Factor Models," Working Papers ECARES 2021-20, ULB -- Universite Libre de Bruxelles.
    18. Marlene Amstad & Simon M. Potter & Robert W. Rich, 2017. "The New York Fed Staff Underlying Inflation Gauge (UIG)," Economic Policy Review, Federal Reserve Bank of New York, issue 23-2, pages 1-32.
    19. Rangan Gupta & Alain Kabundi & Stephen M. Miller, 2009. "Forecasting the US Real House Price Index: Structural and Non-Structural Models with and without Fundamentals," Working papers 2009-42, University of Connecticut, Department of Economics.
    20. Katja Heinisch & Rolf Scheufele, 2018. "Bottom-up or direct? Forecasting German GDP in a data-rich environment," Empirical Economics, Springer, vol. 54(2), pages 705-745, March.
    21. Trucíos Maza, Carlos César & Mazzeu, João H. G. & Hotta, Luiz Koodi & Pereira, Pedro L. Valls & Hallin, Marc, 2020. "Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting," Textos para discussão 521, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    22. Proietti, Tommaso, 2008. "Estimation of Common Factors under Cross-Sectional and Temporal Aggregation Constraints: Nowcasting Monthly GDP and its Main Components," MPRA Paper 6860, University Library of Munich, Germany.
    23. Filippo Altissimo & Riccardo Cristadoro & Mario Forni & Marco Lippi & Giovanni Veronese, 2010. "New Eurocoin: Tracking Economic Growth in Real Time," The Review of Economics and Statistics, MIT Press, vol. 92(4), pages 1024-1034, November.
    24. Davide Delle Monache & Ivan Petrella & Fabrizio Venditti, 2016. "Common Faith or Parting Ways? A Time Varying Parameters Factor Analysis of Euro-Area Inflation," Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 539-565, Emerald Group Publishing Limited.
    25. Lippi, Marco & Reichlin, Lucrezia & Hallin, Marc & Forni, Mario, 2002. "Do Financial Variables Help Forecasting Inflation and Real Activity in the Euro Area?," CEPR Discussion Papers 3146, C.E.P.R. Discussion Papers.
    26. Ryadh M. Alkhareif & William A. Barnett, 2015. "Core Inflation Indicators for Saudi Arabia," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 62(3), pages 257-266.
    27. Necati Tekatli, 2010. "A New Core Inflation Indicator for Turkey (Turkiye Ekonomisi Icin Yeni Bir Cekirdek Enflasyon Gostergesi)," Working Papers 1019, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    28. Mario Forni & Marc Hallin & Marco Lippi & Paolo Zaffaroni, 2011. "One-Sided Representations of Generalized Dynamic Factor Models," EIEF Working Papers Series 1106, Einaudi Institute for Economics and Finance (EIEF), revised Mar 2011.
    29. Shahiduzzaman, Md, 2009. "Measuring Core Inflation in Bangladesh: The Choice of Alternative Methods," Bangladesh Development Studies, Bangladesh Institute of Development Studies (BIDS), vol. 32(1), pages 23-44, March.
    30. Hervé Le Bihan & Danilo Leiva-León & Matías Pacce, 2023. "Underlying inflation and asymetric risks," Working Papers 2319, Banco de España.
    31. Ergemen, Yunus Emre, 2023. "Parametric estimation of long memory in factor models," Journal of Econometrics, Elsevier, vol. 235(2), pages 1483-1499.
    32. Gatt, William, 2014. "An evaluation of core inflation measures for Malta," MPRA Paper 61250, University Library of Munich, Germany.
    33. O. De Bandt & E. Michaux & C. Bruneau & A. Flageollet, 2007. "Forecasting inflation using economic indicators: the case of France," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(1), pages 1-22.
    34. Givens, David, 2013. "Defining governance matters: A factor analytic assessment of governance institutions," Journal of Comparative Economics, Elsevier, vol. 41(4), pages 1026-1053.
    35. Mr. Ashoka Mody & Ms. Franziska L Ohnsorge, 2007. "Can Domestic Policies Influence Inflation?," IMF Working Papers 2007/257, International Monetary Fund.
    36. Rachel Holden, 2006. "Measuring core inflation," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 69, pages 1-7, December.
    37. Nicholas Sander, 2013. "Fresh perspectives on unobservable variables: Data decomposition of the Kalman smoother," Reserve Bank of New Zealand Analytical Notes series AN2013/09, Reserve Bank of New Zealand.
    38. Barhoumi, K. & Darné, O. & Ferrara, L., 2013. "Dynamic Factor Models: A review of the Literature ," Working papers 430, Banque de France.
    39. Cecilia Frale & Stefano Grassi & Massimiliano Marcellino & Gianluigi Mazzi & Tommaso Proietti, 2013. "EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro Area and member countries," CEIS Research Paper 287, Tor Vergata University, CEIS, revised 01 Oct 2013.
    40. Lucrezia Reichlin, 2003. "Factor models in large cross sections of time series," ULB Institutional Repository 2013/10179, ULB -- Universite Libre de Bruxelles.
    41. Javier Emmanuel Anguiano-Pita & Antonio Ruiz-Porras, 2020. "Desarrollo financiero y crecimiento económico en América del Norte," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, vol. 12(1), pages 165-199, June.
    42. Alhassan Abdullah Mohammed, 2011. "A Coincident Indicator of the Gulf Cooperation Council Business Cycle," Review of Middle East Economics and Finance, De Gruyter, vol. 6(3), pages 1-23, February.
    43. Philippe Goulet Coulombe & Karin Klieber & Christophe Barrette & Maximilian Goebel, 2024. "Maximally Forward-Looking Core Inflation," Papers 2404.05209, arXiv.org.
    44. Vicente da Gama Machado & Raquel Nadal & Fernando Ryu Ramos Kawaoka, 2020. "A Data-Rich Measure of Underlying Inflation for Brazil," Working Papers Series 516, Central Bank of Brazil, Research Department.
    45. Mikael Khan & Louis Morel & Patrick Sabourin, 2013. "The Common Component of CPI: An Alternative Measure of Underlying Inflation for Canada," Staff Working Papers 13-35, Bank of Canada.
    46. Guido Bulligan & Roberto Golinelli & Giuseppe Parigi, 2010. "Forecasting industrial production: the role of information and methods," IFC Bulletins chapters, in: Bank for International Settlements (ed.), The IFC's contribution to the 57th ISI Session, Durban, August 2009, volume 33, pages 227-235, Bank for International Settlements.
    47. Barigozzi, Matteo & Lippi, Marco & Luciani, Matteo, 2021. "Large-dimensional Dynamic Factor Models: Estimation of Impulse–Response Functions with I(1) cointegrated factors," Journal of Econometrics, Elsevier, vol. 221(2), pages 455-482.
    48. Abdullah Alhassan, 2009. "A Coincident Indicator of the Gulf Cooperation Council (GCC) Business Cycle," IMF Working Papers 2009/073, International Monetary Fund.
    49. Matteo Barigozzi & Marco Lippi & Matteo Luciani, 2016. "Non-Stationary Dynamic Factor Models for Large Datasets," Finance and Economics Discussion Series 2016-024, Board of Governors of the Federal Reserve System (U.S.).
    50. Oğuz Atuk & Mustafa Utku Özmen, 2009. "Design and evaluation of core inflation measures for Turkey," IFC Working Papers 3, Bank for International Settlements.
    51. Ryadh M. Alkhareif & William A. Barnett, 2022. "Nowcasting Real GDP for Saudi Arabia1," Open Economies Review, Springer, vol. 33(2), pages 333-345, April.
    52. Bańbura, Marta & Bobeica, Elena, 2020. "PCCI – a data-rich measure of underlying inflation in the euro area," Statistics Paper Series 38, European Central Bank.
    53. James H. Stock & Mark W. Watson, 2019. "Slack and Cyclically Sensitive Inflation," NBER Working Papers 25987, National Bureau of Economic Research, Inc.
    54. Andrea Brischetto & Anthony Richards, 2006. "The Performance of Trimmed Mean Measures of Underlying Inflation," RBA Research Discussion Papers rdp2006-10, Reserve Bank of Australia.
    55. In Choi, 2012. "Model Selection for Factor Analysis: Some New Criteria and Performance Comparisons," Working Papers 1209, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).
    56. Sara Serra & João Quelhas, 2023. "The inflation process in Portugal: the role of price spillovers," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
    57. Sandra Eickmeier, 2009. "Comovements and heterogeneity in the euro area analyzed in a non-stationary dynamic factor model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(6), pages 933-959.
    58. Gideon Du Rand & Kevin Kotze & Stan Du Plessis, 2015. "Measuring Core Inflation in South Africa," Working Papers 503, Economic Research Southern Africa.
    59. Michael Kirker, 2010. "What drives core inflation? A dynamic factor model analysis of tradable and nontradable prices," Reserve Bank of New Zealand Discussion Paper Series DP2010/13, Reserve Bank of New Zealand.
    60. de Bondt, Gabe J. & Hahn, Elke & Zekaite, Zivile, 2021. "ALICE: Composite leading indicators for euro area inflation cycles," International Journal of Forecasting, Elsevier, vol. 37(2), pages 687-707.
    61. Sandra Eickmeier & Christina Ziegler, 2008. "How successful are dynamic factor models at forecasting output and inflation? A meta-analytic approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(3), pages 237-265.
    62. Forni, Mario & Cavicchioli, Maddalena & Lippi, Marco & Zaffaroni, Paolo, 2016. "Eigenvalue Ratio Estimators for the Number of Common Factors," CEPR Discussion Papers 11440, C.E.P.R. Discussion Papers.
    63. Bjarni G. Einarsson, 2014. "A Dynamic Factor Model for Icelandic Core Inflation," Economics wp67, Department of Economics, Central bank of Iceland.
    64. Guido Bulligan & Roberto Golinelli & Giuseppe Parigi, 2010. "Forecasting monthly industrial production in real-time: from single equations to factor-based models," Empirical Economics, Springer, vol. 39(2), pages 303-336, October.
    65. Qin Zhang & He Ni & Hao Xu, 2023. "Forecasting models for the Chinese macroeconomy in a data‐rich environment: Evidence from large dimensional approximate factor models with mixed‐frequency data," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(1), pages 719-767, March.
    66. Yunus Emre Ergemen, 2022. "Parametric Estimation of Long Memory in Factor Models," CREATES Research Papers 2022-10, Department of Economics and Business Economics, Aarhus University.
    67. Cristina Conflitti, 2020. "Alternative measures of underlying inflation in the euro area," Questioni di Economia e Finanza (Occasional Papers) 593, Bank of Italy, Economic Research and International Relations Area.
    68. Rostagno, Massimo & Altavilla, Carlo & Carboni, Giacomo & Lemke, Wolfgang & Motto, Roberto & Saint Guilhem, Arthur & Yiangou, Jonathan, 2019. "A tale of two decades: the ECB’s monetary policy at 20," Working Paper Series 2346, European Central Bank.
    69. Sartaj Rasool Rather & S. Raja Sethu Durai & M. Ramachandran, 2016. "On the Methodology of Measuring Core Inflation," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 45(2), pages 271-282, July.

  30. Mario Forni & Marc Hallin & Marco Lippi & Lucrezia Reichlin, 2004. "The generalised dynamic factor model: consistency and rates," ULB Institutional Repository 2013/10133, ULB -- Universite Libre de Bruxelles.

    Cited by:

    1. Heaton, Chris & Oslington, Paul, 2010. "Micro vs macro explanations of post-war US unemployment movements," Economics Letters, Elsevier, vol. 106(2), pages 87-91, February.
    2. Matteo Barigozzi & Christian T. Brownlees & Giampiero M. Gallo & David Veredas, 2010. "Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets," Econometrics Working Papers Archive wp2010_06, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
    3. Claudio Morana, 2010. "Heteroskedastic Factor Vector Autoregressive Estimation of Persistent and Non Persistent Processes Subject to Structural Breaks," ICER Working Papers - Applied Mathematics Series 36-2010, ICER - International Centre for Economic Research.
    4. Christian Genest, 2024. "A Conversation With Marc Hallin," International Statistical Review, International Statistical Institute, vol. 92(2), pages 137-159, August.
    5. Forni, Mario & Hallin, Marc & Lippi, Marco & Zaffaroni, Paolo, 2015. "Dynamic factor models with infinite-dimensional factor spaces: One-sided representations," Journal of Econometrics, Elsevier, vol. 185(2), pages 359-371.
    6. Carlos Cesar Trucios-Maza & João H. G Mazzeu & Luis K. Hotta & Pedro L. Valls Pereira & Marc Hallin, 2019. "On the robustness of the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting," Working Papers ECARES 2019-32, ULB -- Universite Libre de Bruxelles.
    7. T. Ando & R. S. Tsay, 2009. "‘Model selection for generalized linear models with factor‐augmented predictors’," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 25(3), pages 243-246, May.
    8. Matteo Barigozzi & Marc Hallin, 2024. "The Dynamic, the Static, and the Weak factor models and the analysis of high-dimensional time series," Papers 2407.10653, arXiv.org, revised Jan 2025.
    9. Ard Reijer, 2013. "Forecasting Dutch GDP and inflation using alternative factor model specifications based on large and small datasets," Empirical Economics, Springer, vol. 44(2), pages 435-453, April.
    10. Bańbura, Marta & Giannone, Domenico & Lenza, Michele, 2015. "Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections," International Journal of Forecasting, Elsevier, vol. 31(3), pages 739-756.
    11. Pietro Dallari & Antonio Ribba, 2015. "Dynamic Factor Models with In nite-Dimensional Factor Space: Asymptotic Analysis," Center for Economic Research (RECent) 115, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    12. Lippi, Marco & Reichlin, Lucrezia & Hallin, Marc & Forni, Mario, 2002. "The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting," CEPR Discussion Papers 3432, C.E.P.R. Discussion Papers.
    13. Matteo LUCIANI, "undated". "Monetary Policy and the Housing Market: A Structural Factor Analysis," Working Papers wp2010-7, Department of the Treasury, Ministry of the Economy and of Finance.
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    Cited by:

    1. Renaud Bourlès & Gilbert Cette & Jimmy Lopez & Jacques Mairesse & Giuseppe Nicoletti, 2013. "Do Product Market Regulations In Upstream Sectors Curb Productivity Growth? Panel Data Evidence For OECD Countries," The Review of Economics and Statistics, MIT Press, vol. 95(5), pages 1750-1768, December.
    2. Guglielmo Barone & Federico Cingano, 2011. "Service Regulation and Growth: Evidence from OECD Countries," Economic Journal, Royal Economic Society, vol. 121(555), pages 931-957, September.
    3. Tanja Goodwin & Martha Denisse Pierola, 2015. "Export Competitiveness," World Bank Publications - Reports 23658, The World Bank Group.
    4. Cette, G. & Lopez, J. & Mairesse,J., 2013. "Upstream product market regulations, ICT, R&D and productivity," Working papers 441, Banque de France.
    5. Cette, G. & Lopez, J. & Mairesse, J., 2016. "What is the macroeconomic impact of ambitious structural reforms on product and labour markets?," Rue de la Banque, Banque de France, issue 27, june..
    6. Cette, G. & Lopez, J. & Mairesse, J., 2015. "Les effets macroéconomiques sur la productivité et les prix de vastes réformes structurelles sur les marchés des biens et du travail," Bulletin de la Banque de France, Banque de France, issue 199, pages 1-19.
    7. Mr. Sergi Lanau & Petia Topalova, 2016. "The Impact of Product Market Reforms on Firm Productivity in Italy," IMF Working Papers 2016/119, International Monetary Fund.
    8. Marta Auricchio, 2015. "Local Manufacturing Multiplier, Technology Level and Human Capital in Italian Local Labor Markets," ERSA conference papers ersa15p1381, European Regional Science Association.
    9. Gilbert Cette & Jimmy Lopez & Jacques Mairesse, 2016. "Product and Labour Market Regulations, Production Prices, Wages and Productivity," Review of Economics and Institutions, Università di Perugia, vol. 7(2).
    10. Pammolli, Fabio & Cambini, Carlo & Giannaccari, Andrea, 2007. "Introduzione. Liberalizzazioni e concorrenza in Italia [Introduction. Liberalisation and competition in Italy]," MPRA Paper 16125, University Library of Munich, Germany.
    11. Igna, Ioana A. & Rincon-Aznar, Ana & Venturini, Francesco, 2019. "Upstream regulation, factor demand and productivity: Cross-industry differences in OECD countries, 1975–2007," Information Economics and Policy, Elsevier, vol. 49(C).

  32. Lippi, Marco & Reichlin, Lucrezia & Forni, Mario, 2003. "Opening the Black Box: Structural Factor Models versus Structural VARs," CEPR Discussion Papers 4133, C.E.P.R. Discussion Papers.

    Cited by:

    1. Matteo LUCIANI, "undated". "Monetary Policy and the Housing Market: A Structural Factor Analysis," Working Papers wp2010-7, Department of the Treasury, Ministry of the Economy and of Finance.
    2. Andrea Cipollini & Giuseppe Missaglia, 2007. "Dynamic Factor analysis of industry sector default rates and implication for Portfolio Credit Risk Modelling," Center for Economic Research (RECent) 007, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    3. Domenico Giannone & Troy Matheson, 2006. "A new core inflation indicator for New Zealand," Reserve Bank of New Zealand Discussion Paper Series DP2006/02, Reserve Bank of New Zealand.
    4. Andrea Cipollini & George Kapetanios, 2005. "Forecasting Financial Crises and Contagion in Asia Using Dynamic Factor Analysis," Working Papers 538, Queen Mary University of London, School of Economics and Finance.
    5. Qin, Duo, 2007. "Uncover Latent PPP by Dynamic Factor Error Correction Model (DF-ECM) Approach: Evidence from five OECD countries," Economics Discussion Papers 2007-29, Kiel Institute for the World Economy (IfW Kiel).
    6. Eickmeier, Sandra, 2004. "Business Cycle Transmission from the US to Germany: a Structural Factor Approach," Discussion Paper Series 1: Economic Studies 2004,12, Deutsche Bundesbank.
    7. Belviso Francesco & Milani Fabio, 2006. "Structural Factor-Augmented VARs (SFAVARs) and the Effects of Monetary Policy," The B.E. Journal of Macroeconomics, De Gruyter, vol. 6(3), pages 1-46, December.
    8. Marta Bańbura, 2008. "Large Bayesian VARs," 2008 Meeting Papers 334, Society for Economic Dynamics.
    9. Marcellino, Massimiliano & Kapetanios, George, 2006. "Impulse Response Functions from Structural Dynamic Factor Models: A Monte Carlo Evaluation," CEPR Discussion Papers 5621, C.E.P.R. Discussion Papers.
    10. Andrea Cipollini & Giuseppe Missaglia, 2008. "Measuring bank capital requirements through Dynamic Factor analysis," Center for Economic Research (RECent) 010, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    11. Qin, Duo & Cagas, Marie Anne & Ducanes, Geoffrey & Magtibay-Ramos, Nedelyn & Quising, Pilipinas F., 2007. "Measuring Regional Market Integration in Developing Asia: a Dynamic Factor Error Correction Model (DF-ECM) Approach," Working Papers on Regional Economic Integration 8, Asian Development Bank.
    12. Agnello, Luca & Schuknecht, Ludger, 2011. "Booms and busts in housing markets: Determinants and implications," Journal of Housing Economics, Elsevier, vol. 20(3), pages 171-190, September.
    13. Antonio Acconcia & Saverio Simonelli, 2005. "Revisiting the one type permanent shocks hypothesis: Aggregate fluctuations in a multi-sector economy," CSEF Working Papers 137, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, revised 01 Sep 2006.
    14. Nektarios Aslanidis & Andrea Cipollini, 2007. "Leading indicator properties of the US corporate spreads," Money Macro and Finance (MMF) Research Group Conference 2006 115, Money Macro and Finance Research Group.
    15. Gregor B urle, 2008. "Priors from DSGE Models for Dynamic Factor Analysis," Diskussionsschriften dp0803, Universitaet Bern, Departement Volkswirtschaft.
    16. Alasdair Scott & George Kapetanios & Adrian Pagan, 2005. "Making a match: combining theory and evidence in policy-oriented macroeconomic modelling," Computing in Economics and Finance 2005 462, Society for Computational Economics.
    17. Houssa, Romain, 2008. "Monetary union in West Africa and asymmetric shocks: A dynamic structural factor model approach," Journal of Development Economics, Elsevier, vol. 85(1-2), pages 319-347, February.
    18. Stephane Dees & Filippo di Mauro & M. Hashem Pesaran & L. Vanessa Smith, 2005. "Exploring the International Linkages of the Euro Area: a Global VAR Analysis," CESifo Working Paper Series 1425, CESifo.
    19. G. Peersman, 2005. "The relative importance of symmetric and asymmetric shocks and the determination of the exchange rate," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 05/286, Ghent University, Faculty of Economics and Business Administration.
    20. Marco Lippi & Daniel L. Thornton, 2004. "A Dynamic Factor Analysis of the Response of U.S. Interest Rates to News," LEM Papers Series 2004/05, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    21. Christian Schulz, 2008. "Forecasting economic activity for Estonia : The application of dynamic principal component analyses," Bank of Estonia Working Papers 2008-02, Bank of Estonia, revised 30 Oct 2008.
    22. Matteo Barigozzi & Marco Lippi & Matteo Luciani, 2014. "Dynamic Factor Models, Cointegration and Error Correction Mechanisms," Working Papers ECARES ECARES 2014-14, ULB -- Universite Libre de Bruxelles.
    23. Boivin, J. & Giannoni, M., 2007. "DSGE Models in a Data-Rich Environment," Working papers 162, Banque de France.
    24. Luca Di Bonaventura & Mario Forni & Francesco Pattarin, 2018. "The Forecasting Performance of Dynamic Factor Models with Vintage Data," Center for Economic Research (RECent) 138, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    25. Akbari Dehbaghi, Simin & Arman, Seyed Aziz & Ahangari, Majid, 2020. "The Impact of Domestic and Foreign Monetary Policy on Iran\'s economy: Global Modeling," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 15(2), pages 151-180, April.
    26. Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2006. "Generalized Dynamic Factor Model + GARCH Exploiting Multivariate Information for Univariate Prediction," LEM Papers Series 2006/13, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    27. Matteo Barigozzi & Marco Lippi & Matteo Luciani, 2016. "Non-Stationary Dynamic Factor Models for Large Datasets," Finance and Economics Discussion Series 2016-024, Board of Governors of the Federal Reserve System (U.S.).
    28. rea cipollini & giuseppe missaglia, 2005. "Business cycle effects on Portfolio Credit Risk: scenario generation through Dynamic Factor analysis," Finance 0502010, University Library of Munich, Germany.
    29. Sandra Eickmeier, 2009. "Comovements and heterogeneity in the euro area analyzed in a non-stationary dynamic factor model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(6), pages 933-959.
    30. François Lescaroux & Valérie Mignon, 2009. "Measuring The Effects Of Oil Prices On China'S Economy: A Factor‐Augmented Vector Autoregressive Approach," Pacific Economic Review, Wiley Blackwell, vol. 14(3), pages 410-425, August.
    31. Duo Qin & Marie Anne Cagas & Geoffrey Ducanes & Nedelyn Magtibay-Ramos & Pilipinas F. Quising, 2006. "Measuring Regional Market Integration by Dynamic Factor Error Correction Model (DF-ECM) Approach - The Case of Developing Asia," Working Papers 565, Queen Mary University of London, School of Economics and Finance.
    32. Martin Fukac & Adrian Pagan, 2006. "Issues in Adopting DSGE Models for Use in the Policy Process," Working Papers 2006/6, Czech National Bank.
    33. Francesca Marino, 2013. "Regional fluctuations and national cohesion in the EU12: a pre-Maastricht assessment," SERIES 0048, Dipartimento di Economia e Finanza - Università degli Studi di Bari "Aldo Moro", revised Aug 2013.
    34. Duo Qin & Marie Anne Cagas & Geoffrey Ducanes & Nedelyn Magtibay-Ramos & Pilipinas Quising, 2006. "Forecasting Inflation and GDP growth: Comparison of Automatic Leading Indicator (ALI) Method with Macro Econometric Structural Models (MESMs)," Working Papers 554, Queen Mary University of London, School of Economics and Finance.
    35. Alain Kabundi & Andrew S. Duncan, 2011. "Global Financial Crises and Time-varying Volatility Comovement in World Equity Markets," Working Papers 253, Economic Research Southern Africa.
    36. Rafiq, M.S., 2011. "The optimality of a gulf currency union: Commonalities and idiosyncrasies," Economic Modelling, Elsevier, vol. 28(1-2), pages 728-740, January.
    37. Vansteenkiste, Isabel, 2009. "How important are common factors in driving non-fuel commodity prices? A dynamic factor analysis," Working Paper Series 1072, European Central Bank.
    38. Eickmeier, Sandra, 2005. "Common stationary and non-stationary factors in the euro area analyzed in a large-scale factor model," Discussion Paper Series 1: Economic Studies 2005,02, Deutsche Bundesbank.
    39. Rafiq, M.S., 2011. "The optimality of a gulf currency union: Commonalities and idiosyncrasies," Economic Modelling, Elsevier, vol. 28(1), pages 728-740.

  33. Lippi, Marco & Reichlin, Lucrezia & Hallin, Marc & Forni, Mario, 2002. "Do Financial Variables Help Forecasting Inflation and Real Activity in the Euro Area?," CEPR Discussion Papers 3146, C.E.P.R. Discussion Papers.

    Cited by:

    1. Lamprou, Dimitra, 2016. "Nowcasting GDP in Greece: The impact of data revisions and forecast origin on model selection and performance," The Journal of Economic Asymmetries, Elsevier, vol. 14(PA), pages 93-102.
    2. Robert Lehmann, 2016. "Economic Growth and Business Cycle Forecasting at the Regional Level," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 65.
    3. Juha Junttila, 2007. "Forecasting the macroeconomy with contemporaneous financial market information: Europe and the United States," Review of Financial Economics, John Wiley & Sons, vol. 16(2), pages 149-175.
    4. Michele Modugno & Lucrezia Reichlin & Domenico Giannone & Marta Banbura, 2012. "Nowcasting with Daily Data," 2012 Meeting Papers 555, Society for Economic Dynamics.
    5. Hansson, Jesper & Jansson, Per & Löf, Mårten, 2003. "Business Survey Data: Do They Help in Forecasting the Macro Economy?," Working Paper Series 151, Sveriges Riksbank (Central Bank of Sweden).
    6. Mr. Maxym Kryshko, 2011. "Data-Rich DSGE and Dynamic Factor Models," IMF Working Papers 2011/216, International Monetary Fund.
    7. Gary Koop, 2011. "Forecasting with Medium and Large Bayesian VARs," Working Papers 1117, University of Strathclyde Business School, Department of Economics.
    8. Poncela, Pilar, 2012. "More is not always better : back to the Kalman filter in dynamic factor models," DES - Working Papers. Statistics and Econometrics. WS ws122317, Universidad Carlos III de Madrid. Departamento de Estadística.
    9. Hahn, Elke & Zekaite, Zivile & de Bondt, Gabe, 2018. "ALICE: A new inflation monitoring tool," Working Paper Series 2175, European Central Bank.
    10. Plakandaras, Vasilios & Gupta, Rangan & Papadimitriou, Theophilos & Gogas, Periklis, 2014. "Forecasting the U.S. Real House Price Index," DUTH Research Papers in Economics 10-2014, Democritus University of Thrace, Department of Economics.
    11. Wolters, Maik H., 2013. "Evaluating point and density forecasts of DSGE models," Economics Working Papers 2013-03, Christian-Albrechts-University of Kiel, Department of Economics.
    12. Edda Claus, 2011. "Seven Leading Indexes of New Zealand Employment," The Economic Record, The Economic Society of Australia, vol. 87(276), pages 76-89, March.
    13. Karlsson, Sune, 2012. "Forecasting with Bayesian Vector Autoregressions," Working Papers 2012:12, Örebro University, School of Business.
    14. Inske Pirschel & Maik H. Wolters, 2018. "Forecasting with large datasets: compressing information before, during or after the estimation?," Empirical Economics, Springer, vol. 55(2), pages 573-596, September.
    15. Inoue, Atsushi & Kilian, Lutz, 2003. "On the selection of forecasting models," Working Paper Series 214, European Central Bank.
    16. Matteo LUCIANI, "undated". "Monetary Policy and the Housing Market: A Structural Factor Analysis," Working Papers wp2010-7, Department of the Treasury, Ministry of the Economy and of Finance.
    17. Hofmann, Boris, 2009. "Do monetary indicators lead euro area inflation?," Journal of International Money and Finance, Elsevier, vol. 28(7), pages 1165-1181, November.
    18. Christina Ziegler, 2009. "Testing Predicitive Ability of Business Cycle Indicators for the Euro Area," ifo Working Paper Series 69, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    19. Hanan Naser, 2015. "Estimating and forecasting Bahrain quarterly GDP growth using simple regression and factor-based methods," Empirical Economics, Springer, vol. 49(2), pages 449-479, September.
    20. Alain Kabundi & Rangan Gupta, 2009. "A Large Factor Model for Forecasting Macroeconomic Variables in South Africa," Working Papers 137, Economic Research Southern Africa.
    21. Mototsugu Shintani, 2003. "Nonlinear Forecasting Analysis Using Diffusion Indexes: An Application to Japan," Vanderbilt University Department of Economics Working Papers 0322, Vanderbilt University Department of Economics, revised Apr 2004.
    22. Poghosyan, K. & Magnus, J.R., 2011. "WALS estimation and forecasting in factor-based dynamic models with an application to Armenia," Other publications TiSEM 419d588e-7827-4cdd-b989-4, Tilburg University, School of Economics and Management.
    23. Erdemlioglu, Deniz, 2009. "Macro Factors in UK Excess Bond Returns: Principal Components and Factor-Model Approach," MPRA Paper 28895, University Library of Munich, Germany.
    24. Mogliani, Matteo & Darné, Olivier & Pluyaud, Bertrand, 2017. "The new MIBA model: Real-time nowcasting of French GDP using the Banque de France's monthly business survey," Economic Modelling, Elsevier, vol. 64(C), pages 26-39.
    25. Andreas Fischer & Marlene Amstad, 2004. "Sequential Information Flow and Real-Time Diagnosis of Swiss Inflation: Intra-Monthly DCF Estimates for a Low-Inflation Environment," Working Papers 04.06, Swiss National Bank, Study Center Gerzensee.
    26. Kun Guo & Wei-Xing Zhou & Si-Wei Cheng & Didier Sornette, 2011. "The US Stock Market Leads the Federal Funds Rate and Treasury Bond Yields," PLOS ONE, Public Library of Science, vol. 6(8), pages 1-9, August.
    27. Khaled Guesmi & Ilyes Abid & Anna Creti & Julien Chevallier, 2018. "Oil Price Risk and Financial Contagion," The Energy Journal, , vol. 39(2_suppl), pages 97-116, December.
    28. Dieter Gerdesmeier & Hans-Eggert Reimers & Barbara Roffia, 2016. "Asset Prices and Consumer Prices: Exploring the Linkages," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot GmbH, Berlin, vol. 62(3), pages 169-186.
    29. Reichlin, Lucrezia & Giannone, Domenico & Modugno, Michele & Banbura, Marta, 2012. "Now-casting and the real-time data flow," CEPR Discussion Papers 9112, C.E.P.R. Discussion Papers.
    30. Tao Zeng & Yong Li & Jun Yu, 2014. "Deviance Information Criterion for Comparing VAR Models," Advances in Econometrics, in: Essays in Honor of Peter C. B. Phillips, volume 33, pages 615-637, Emerald Group Publishing Limited.
    31. Nathan Bedock & Dalibor Stevanovic, 2012. "An Empirical Study of Credit Shock Transmission in a Small Open Economy," CIRANO Working Papers 2012s-16, CIRANO.
    32. Mehmet Balcilar & Rangan Gupta & Stephen M. Miller, 2012. "The Out-of-Sample Forecasting Performance of Non-Linear Models of Regional Housing Prices in the US," Working Papers 1209, University of Nevada, Las Vegas , Department of Economics.
    33. Niu, Linlin & Xu, Xiu & Chen, Ying, 2017. "An adaptive approach to forecasting three key macroeconomic variables for transitional China," Economic Modelling, Elsevier, vol. 66(C), pages 201-213.
    34. Joshua C. C. Chan, 2020. "Large Bayesian VARs: A Flexible Kronecker Error Covariance Structure," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(1), pages 68-79, January.
    35. Antolin-Diaz, Juan & Drechsel, Thomas & Petrella, Ivan, 2017. "Tracking the slowdown in long-run GDP growth," LSE Research Online Documents on Economics 81869, London School of Economics and Political Science, LSE Library.
    36. Luciani, Matteo & Pundit, Madhavi & Ramayandi, Arief & Veronese , Giovanni, 2015. "Nowcasting Indonesia," ADB Economics Working Paper Series 471, Asian Development Bank.
    37. Andrea Cipollini & Nektarios Aslanidis, 2007. "Leading indicator properties of US high-yield credit spreads," Center for Economic Research (RECent) 006, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    38. Tóth, Peter, 2014. "Malý dynamický faktorový model na krátkodobé prognózovanie slovenského HDP [A Small Dynamic Factor Model for the Short-Term Forecasting of Slovak GDP]," MPRA Paper 63713, University Library of Munich, Germany.
    39. Laurent Ferrara & Clément Marsilli, 2019. "Nowcasting global economic growth: A factor‐augmented mixed‐frequency approach," The World Economy, Wiley Blackwell, vol. 42(3), pages 846-875, March.
    40. Tomas Havranek & Roman Horvath & Jakub Mateju, 2010. "Do Financial Variables Help Predict Macroeconomic Environment? The Case of the Czech Republic," Working Papers 2010/06, Czech National Bank.
    41. Amstad, Marlene & Fischer, Andreas M., 2010. "Monthly pass-through ratios," Journal of Economic Dynamics and Control, Elsevier, vol. 34(7), pages 1202-1213, July.
    42. Cristina Fuentes-Albero & Leonardo Melosi, 2011. "Methods for Computing Marginal Data Densities from the Gibbs Output," Departmental Working Papers 201131, Rutgers University, Department of Economics.
    43. Marta Bańbura, 2008. "Large Bayesian VARs," 2008 Meeting Papers 334, Society for Economic Dynamics.
    44. Lillian Kamal, 2014. "Do GAP Models Still have a Role to Play in Forecasting Inflation?," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 8(3), pages 1-12.
    45. Hwee Kwan Chow & Keen Meng Choy, 2009. "Analyzing and Forecasting Business Cycles in a Small Open Economy: A Dynamic Factor Model for Singapore," Working Papers 05-2009, Singapore Management University, School of Economics.
    46. Gupta, Rangan & Modise, Mampho P., 2013. "Macroeconomic Variables and South African Stock Return Predictability," Economic Modelling, Elsevier, vol. 30(C), pages 612-622.
    47. Marlene Amstad & Andreas M. Fischer, 2009. "Do macroeconomic announcements move inflation forecasts?," Review, Federal Reserve Bank of St. Louis, vol. 91(Sep), pages 507-518.
    48. an de Meulen, Philipp, 2015. "Das RWI-Kurzfristprognosemodell," RWI Konjunkturberichte, RWI - Leibniz-Institut für Wirtschaftsforschung, vol. 66(2), pages 25-46.
    49. Hang Qian, 2014. "A Flexible State Space Model And Its Applications," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(2), pages 79-88, March.
    50. Chauvet, Marcelle & Potter, Simon, 2013. "Forecasting Output," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 141-194, Elsevier.
    51. Fischer, Andreas & Amstad, Marlene, 2005. "Shock Identification of Macroeconomic Forecasts Based on Daily Panels," CEPR Discussion Papers 5008, C.E.P.R. Discussion Papers.
    52. Matteo Luciani & Lorenzo Ricci, 2014. "Nowcasting Norway," International Journal of Central Banking, International Journal of Central Banking, vol. 10(4), pages 215-248, December.
    53. Rangan Gupta & Faaiqa Hartley, 2013. "The Role of Asset Prices in Forecasting Inflation and Output in South Africa," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 12(3), pages 239-291, December.
    54. Julien Chevallier, 2011. "Macroeconomics, finance, commodities: Interactions with carbon markets in a data-rich model," Post-Print hal-00991961, HAL.
    55. Xisong Jin & Francisco Nadal De Simone, 2013. "Banking Systemic Vulnerabilities: A Tail-risk Dynamic CIMDO Approach," BCL working papers 82, Central Bank of Luxembourg.
    56. Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
      • Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
    57. Qian, Hang, 2012. "A Flexible State Space Model and its Applications," MPRA Paper 38455, University Library of Munich, Germany.
    58. Jean-Stéphane MESONNIER, 2007. "The predictive content of the real interest rate gap for macroeconomic variables in the euro area," Money Macro and Finance (MMF) Research Group Conference 2006 102, Money Macro and Finance Research Group.
    59. Macias, Paweł & Stelmasiak, Damian & Szafranek, Karol, 2023. "Nowcasting food inflation with a massive amount of online prices," International Journal of Forecasting, Elsevier, vol. 39(2), pages 809-826.
    60. Baetje, Fabian & Menkhoff, Lukas, 2013. "Macro determinants of U.S. stock market risk premia in bull and bear markets," Hannover Economic Papers (HEP) dp-520, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    61. Gianluca Lagana, 2004. "Measuring monetary policy in the UK: a factor augmented vector autoregressive approach," Money Macro and Finance (MMF) Research Group Conference 2004 64, Money Macro and Finance Research Group.
    62. Jörg Breitung & Sandra Eickmeier, 2006. "Dynamic factor models," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 90(1), pages 27-42, March.
    63. Rangan Gupta & Alain Kabundi & Stephen M. Miller, 2009. "Forecasting the US Real House Price Index: Structural and Non-Structural Models with and without Fundamentals," Working papers 2009-42, University of Connecticut, Department of Economics.
    64. Blaes, Barno, 2009. "Money and monetary policy transmission in the euro area: evidence from FAVAR- and VAR approaches," Discussion Paper Series 1: Economic Studies 2009,18, Deutsche Bundesbank.
    65. Morita, Hiroshi, 2022. "Forecasting GDP growth using stock returns in Japan: A factor-augmented MIDAS approach," Discussion paper series HIAS-E-118, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
    66. Iyer , Tara & Sen Gupta, Abhijit, 2019. "Nowcasting Economic Growth in India: The Role of Rainfall," ADB Economics Working Paper Series 593, Asian Development Bank.
    67. Xisong Jin & Francisco Nadal De Simone, 2017. "Systemic Financial Sector and Sovereign Risks," BCL working papers 109, Central Bank of Luxembourg.
    68. Antolin-Diaz, Juan & Drechsel, Thomas & Petrella, Ivan, 2023. "Advances in Nowcasting Economic Activity: The Role of Heterogeneous Dynamics and Fat Tails," CEPR Discussion Papers 17800, C.E.P.R. Discussion Papers.
    69. Mark W. Watson & James H. Stock, 2004. "Combination forecasts of output growth in a seven-country data set," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(6), pages 405-430.
    70. Tomáš Havránek & Roman Horváth & Jakub Matějů, 2012. "Monetary transmission and the financial sector in the Czech Republic," Economic Change and Restructuring, Springer, vol. 45(3), pages 135-155, August.
    71. Massimiliano Serati & Matteo Manera & Michele Plotegher, 2008. "Modelling electricity prices: from the state of the art to a draft of a new proposal," LIUC Papers in Economics 210, Cattaneo University (LIUC).
    72. Drechsel, Katja & Scheufele, Rolf, 2010. "Should We Trust in Leading Indicators? Evidence from the Recent Recession," IWH Discussion Papers 10/2010, Halle Institute for Economic Research (IWH).
    73. Nektarios Aslanidis & Andrea Cipollini, 2007. "Leading indicator properties of the US corporate spreads," Money Macro and Finance (MMF) Research Group Conference 2006 115, Money Macro and Finance Research Group.
    74. Kuzin, Vladimir N. & Marcellino, Massimiliano & Schumacher, Christian, 2009. "Pooling versus model selection for nowcasting with many predictors: an application to German GDP," Discussion Paper Series 1: Economic Studies 2009,03, Deutsche Bundesbank.
    75. Poghosyan, K., 2012. "Structural and reduced-form modeling and forecasting with application to Armenia," Other publications TiSEM ad1a24c3-15e6-4f04-b338-3, Tilburg University, School of Economics and Management.
    76. Harald Grech, 2004. "What Do German Short-Term Interest Rates Tell Us About Future Inflation?," Working Papers 94, Oesterreichische Nationalbank (Austrian Central Bank).
    77. Massimiliano Marcellino & Christian Schumacher, 2008. "Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP1," Working Papers 333, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    78. Alain Kabundi & Elmarie Nel & Franz Ruch, 2016. "Nowcasting Real GDP growth in South Africa," Working Papers 54, Economic Research Southern Africa.
    79. Çakmaklı, Cem & van Dijk, Dick, 2016. "Getting the most out of macroeconomic information for predicting excess stock returns," International Journal of Forecasting, Elsevier, vol. 32(3), pages 650-668.
    80. Goodness C. Aye & Mehmet Balcilar Author-Name-First Mehmet & Rangan Gupta & Anandamayee Majumdar, 2014. "Forecasting Aggregate Retail Sales: The Case of South Africa," Working Papers 15-21, Eastern Mediterranean University, Department of Economics.
    81. Panagiotelis, Anastasios & Athanasopoulos, George & Hyndman, Rob J. & Jiang, Bin & Vahid, Farshid, 2019. "Macroeconomic forecasting for Australia using a large number of predictors," International Journal of Forecasting, Elsevier, vol. 35(2), pages 616-633.
    82. Ibarra-Ramírez Raúl & Gómez-Zamudio Luis M., 2017. "Are daily financial data useful for forecasting GDP? Evidence from Mexico," Working Papers 2017-17, Banco de México.
    83. Robert Lehmann & Klaus Wohlrabe, 2012. "Forecasting GDP at the Regional Level with Many Predictors," CESifo Working Paper Series 3956, CESifo.
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    1. Sergio Aquino de Souza & Eduardo Pontual Ribeiro & Gerson Carvalho, 2010. "Documento de Trabalho 01/2010 - Delimitação de Mercado Relevante," Documentos de Trabalho 2010010, Conselho Administrativo de Defesa Econômica (Cade), Departamento de Estudos Econômicos.
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    3. Böckers, Veit & Heimeshoff, Ulrich, 2012. "The extent of European power markets," DICE Discussion Papers 50, Heinrich Heine University Düsseldorf, Düsseldorf Institute for Competition Economics (DICE).
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  36. Filippo Altissimo & Antonio Bassanetti & Riccardo Cristadoro & Mario Forni & Marco Lippi & Lucrezia Reichlin & Giovanni Veronese, 2001. "A real time coincident indicator of the euro area business cycle," Temi di discussione (Economic working papers) 436, Bank of Italy, Economic Research and International Relations Area.

    Cited by:

    1. Martin Schneider & Martin Spitzer, 2004. "Forecasting Austrian GDP using the generalized dynamic factor model," Working Papers 89, Oesterreichische Nationalbank (Austrian Central Bank).
    2. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2013. "Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model," Tinbergen Institute Discussion Papers 13-142/III, Tinbergen Institute, revised 01 Nov 2014.
    3. Maria A. Arias & Charles S. Gascon & David E. Rapach, 2014. "Metro Business Cycles," Working Papers 2014-46, Federal Reserve Bank of St. Louis.
    4. Marie Bessec, 2013. "Short‐Term Forecasts of French GDP: A Dynamic Factor Model with Targeted Predictors," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(6), pages 500-511, September.
    5. António Rua & Luís Catela Nunes, 2003. "Coincident and Leading Indicators for the Euro Area: A Frequency Band Approach," Working Papers w200307, Banco de Portugal, Economics and Research Department.
    6. Eickmeier, Sandra, 2006. "Comovements and heterogeneity in the Comovements and heterogeneity in the dynamic factor model," Discussion Paper Series 1: Economic Studies 2006,31, Deutsche Bundesbank.
    7. Michael Graff & Klaus Abberger & Boriss Siliverstovs & Jan-Egbert Sturm, 2014. "Das neue KOF Konjunkturbarometer – Version 2014," KOF Analysen, KOF Swiss Economic Institute, ETH Zurich, vol. 8(1), pages 91-106, March.
    8. Mr. Maxym Kryshko, 2011. "Data-Rich DSGE and Dynamic Factor Models," IMF Working Papers 2011/216, International Monetary Fund.
    9. Klaus Abberger & Michael Graff & Boriss Siliverstovs & Jan-Egbert Sturm, 2014. "The KOF Economic Barometer, Version 2014," KOF Working papers 14-353, KOF Swiss Economic Institute, ETH Zurich.
    10. S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti, 2007. "Real-time measurement of business conditions," International Finance Discussion Papers 901, Board of Governors of the Federal Reserve System (U.S.).
    11. Lippi, Marco & Reichlin, Lucrezia & Hallin, Marc & Forni, Mario, 2002. "The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting," CEPR Discussion Papers 3432, C.E.P.R. Discussion Papers.
    12. Tatiana Cesaroni, 2011. "The cyclical behavior of the Italian business survey data," Empirical Economics, Springer, vol. 41(3), pages 747-768, December.
    13. Peter McAdam, 2007. "USA, Japan and the Euro Area: Comparing Business-Cycle Features," International Review of Applied Economics, Taylor & Francis Journals, vol. 21(1), pages 135-156.
    14. Valentina Aprigliano & Lorenzo Bencivelli, 2013. "Ita-coin: a new coincident indicator for the Italian economy," Temi di discussione (Economic working papers) 935, Bank of Italy, Economic Research and International Relations Area.
    15. Carriero, Andrea & Marcellino, Massimiliano, 2007. "A comparison of methods for the construction of composite coincident and leading indexes for the UK," International Journal of Forecasting, Elsevier, vol. 23(2), pages 219-236.
    16. Reichlin, Lucrezia & Giannone, Domenico & Modugno, Michele & Banbura, Marta, 2012. "Now-casting and the real-time data flow," CEPR Discussion Papers 9112, C.E.P.R. Discussion Papers.
    17. Adam Jêdrzejczyk, 2012. "Inflation forecasting using dynamic factor analysis. SAS 4GL programming approach," Working Papers 63, Department of Applied Econometrics, Warsaw School of Economics.
    18. Mojon, Benoît & Agresti, Anna Maria, 2001. "Some stylised facts on the euro area business cycle," Working Paper Series 95, European Central Bank.
    19. Wallis, Kenneth F., 2008. "Macroeconomic modelling in central banks in Latin America," Documentos de Proyectos 3627, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
    20. Domenico Giannone & Troy Matheson, 2006. "A new core inflation indicator for New Zealand," Reserve Bank of New Zealand Discussion Paper Series DP2006/02, Reserve Bank of New Zealand.
    21. Eickmeier, Sandra & Breitung, Jörg, 2005. "How synchronized are central and east European economies with the euro area? Evidence from a structural factor model," Discussion Paper Series 1: Economic Studies 2005,20, Deutsche Bundesbank.
    22. Daniel Grenouilleau, 2004. "A sorted leading indicators dynamic (SLID) factor model for short-run euro-area GDP forecasting," European Economy - Economic Papers 2008 - 2015 219, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    23. Sandra Eickmeier & Joerg Breitung, 2006. "Business cycle transmission from the euro area to CEECs," Computing in Economics and Finance 2006 229, Society for Computational Economics.
    24. Fischer, Andreas & Amstad, Marlene, 2005. "Time-Varying Pass-Through from Import Prices to Consumer Prices: Evidence from an Event Study with Real-Time Data," CEPR Discussion Papers 5395, C.E.P.R. Discussion Papers.
    25. Eduardo Bandrés & María Dolores Gadea-Rivas & Ana Gómez-Loscos, 2017. "Regional business cycles across europe," Occasional Papers 1702, Banco de España.
    26. Domenico Giannone & Lucrezia Reichlin & David H. Small, 2005. "Nowcasting GDP and inflation: the real-time informational content of macroeconomic data releases," Finance and Economics Discussion Series 2005-42, Board of Governors of the Federal Reserve System (U.S.).
    27. Giannone, Domenico & Reichlin, Lucrezia & Sala, Luca, 2006. "VARs, common factors and the empirical validation of equilibrium business cycle models," Journal of Econometrics, Elsevier, vol. 132(1), pages 257-279, May.
    28. Amstad, Marlene & Fischer, Andreas M., 2010. "Monthly pass-through ratios," Journal of Economic Dynamics and Control, Elsevier, vol. 34(7), pages 1202-1213, July.
    29. Oliver Hülsewig & Johannes Mayr & Stéphane Sorbe, 2007. "Assessing the Forecast Properties of the CESifo World Economic Climate Indicator: Evidence for the Euro Area," ifo Working Paper Series 46, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    30. Reichlin, Lucrezia & Giannone, Domenico & Lenza, Michele, 2009. "Business Cycles in the Euro Area," CEPR Discussion Papers 7124, C.E.P.R. Discussion Papers.
    31. Kemal Bagzibagli, 2012. "Monetary Transmission Mechanism and Time Variation in the Euro Area," Discussion Papers 12-12, Department of Economics, University of Birmingham.
    32. Fischer, Andreas & Amstad, Marlene, 2005. "Shock Identification of Macroeconomic Forecasts Based on Daily Panels," CEPR Discussion Papers 5008, C.E.P.R. Discussion Papers.
    33. Xu Han & Mehmet Caner, 2017. "Determining the number of factors with potentially strong within-block correlations in error terms," Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 946-969, October.
    34. Robert Inklaar & Jan Jacobs & Ward Romp, 2005. "Business Cycle Indexes: Does a Heap of Data Help?," Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2004(3), pages 309-336.
    35. Klaus, Benjamin & Ferroni, Filippo, 2015. "Euro area business cycles in turbulent times: convergence or decoupling?," Working Paper Series 1819, European Central Bank.
    36. Marlene Amstad & Simon M. Potter & Robert W. Rich, 2017. "The New York Fed Staff Underlying Inflation Gauge (UIG)," Economic Policy Review, Federal Reserve Bank of New York, issue 23-2, pages 1-32.
    37. Andrea Carriero & Massimiliano Marcellino, 2007. "Monitoring the Economy of the Euro Area: A Comparison of Composite Coincident Indexes," Working Papers 319, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    38. Abberger, Klaus & Graff, Michael & Siliverstovs, Boriss & Sturm, Jan-Egbert, 2018. "Using rule-based updating procedures to improve the performance of composite indicators," Economic Modelling, Elsevier, vol. 68(C), pages 127-144.
    39. Michael J. Dueker & Martin Sola, 2008. "Multivariate Markov switching with weighted regime determination: giving France more weight than Finland," Working Papers 2008-001, Federal Reserve Bank of St. Louis.
    40. Monica Billio & Jacques Anas & Laurent Ferrara & Marco Lo Duca, 2007. "A turning point chronology for the Euro-zone," Working Papers 2007_33, Department of Economics, University of Venice "Ca' Foscari".
    41. Jörg Breitung & Sandra Eickmeier, 2006. "Dynamic factor models," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 90(1), pages 27-42, March.
    42. Diron, Marie, 2006. "Short-term forecasts of euro area real GDP growth: an assessment of real-time performance based on vintage data," Working Paper Series 622, European Central Bank.
    43. Eickmeier, Sandra & Breitung, Jorg, 2006. "How synchronized are new EU member states with the euro area? Evidence from a structural factor model," Journal of Comparative Economics, Elsevier, vol. 34(3), pages 538-563, September.
    44. Jeffrey Sheen & Stefan Trück & Ben Zhe Wang, 2015. "Daily Business and External Condition Indices for the Australian Economy," The Economic Record, The Economic Society of Australia, vol. 91(S1), pages 38-53, June.
    45. Barhoumi, K. & Rünstler, G. & Cristadoro, R. & Den Reijer, A. & Jakaitiene, A. & Jelonek, P. & Rua, A. & Ruth, K. & Benk, S. & Van Nieuwenhuyze, C., 2008. "Short-term forecasting of GDP using large monthly datasets: a pseudo real-time forecast evaluation exercise," Working papers 215, Banque de France.
    46. Filippo Altissimo & Riccardo Cristadoro & Mario Forni & Marco Lippi & Giovanni Veronese, 2010. "New Eurocoin: Tracking Economic Growth in Real Time," The Review of Economics and Statistics, MIT Press, vol. 92(4), pages 1024-1034, November.
    47. Michael Graff & Dominik Studer, 2018. "Konstruktion von Sammelindikatoren für den Konjunkturverlauf bei prekärer Datenlage am Beispiel Montenegros," KOF Analysen, KOF Swiss Economic Institute, ETH Zurich, vol. 12(3), pages 81-91, October.
    48. Andrea Carriero & Massimiliano Marcellino, 2011. "Sectoral Survey‐based Confidence Indicators for Europe," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 73(2), pages 175-206, April.
    49. In Choi & Jorg Breitung, 2011. "Factor models," Working Papers 1121, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy), revised Dec 2011.
    50. Donatella Baiardi & Carluccio Bianchi, 2012. "Un Indicatore per la Lombardia e per le Province di Milano e Pavia (Nuova versione)," Quaderni di Dipartimento 158, University of Pavia, Department of Economics and Quantitative Methods.
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    62. Christian Gayer & Julien Genet, 2006. "Using factor models to construct composite indicators from BCS data - a comparison with European Commission confidence indicators," European Economy - Economic Papers 2008 - 2015 240, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
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    70. Patnaik, Ila & Mittal, Shalini & Pandey, Radhika, 2019. "Examining the trade-off between price and financial stability in India," Working Papers 19/248, National Institute of Public Finance and Policy.
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    72. Herman Kamil & Jose David Pulido & Jose Luis Torres, 2010. "El "IMACO": un índice mensual líder de la actividad económica en Colombia," Borradores de Economia 609, Banco de la Republica de Colombia.
    73. Amstad, Marlene & Ye, Huan & Ma, Guonan, 2018. "Developing an underlying inflation gauge for China," BOFIT Discussion Papers 11/2018, Bank of Finland Institute for Emerging Economies (BOFIT).
    74. Stephen G. Hall & Nicholas G. Zonzilos, 2003. "An Indicator Measuring Underlying Economic Activity in Greece," Working Papers 04, Bank of Greece.
    75. Muriel Nguiffo-Boyom, 2014. "2007-2013: This is what the indicator told us ? Evaluating the performance of real-time nowcasts from a dynamic factor model," BCL working papers 88, Central Bank of Luxembourg.
    76. In Choi & Dukpa Kim & Yun Jung Kim & Noh-Sun Kwark, 2016. "A Multilevel Factor Model: Identification, Asymptotic Theory and Applications," Working Papers 1609, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).
    77. Guido Bulligan & Roberto Golinelli & Giuseppe Parigi, 2010. "Forecasting industrial production: the role of information and methods," IFC Bulletins chapters, in: Bank for International Settlements (ed.), The IFC's contribution to the 57th ISI Session, Durban, August 2009, volume 33, pages 227-235, Bank for International Settlements.
    78. Marcellino, Massimiliano & Proietti, Tommaso & Frale, Cecilia & Mazzi, Gian Luigi, 2008. "A Monthly Indicator of the Euro Area GDP," CEPR Discussion Papers 7007, C.E.P.R. Discussion Papers.
    79. Donatella Baiardi & Carluccio Bianchi, 2010. "Un Indicatore di Attività Economica per la Lombardia e per le Province di Milano e Pavia," Quaderni di Dipartimento 130, University of Pavia, Department of Economics and Quantitative Methods.
    80. Sylvia Kaufmann, 2003. "The business cycle of European countries Bayesian clustering of country - individual IP growth series," Working Papers 83, Oesterreichische Nationalbank (Austrian Central Bank).
    81. Rueben Ellul, 2016. "A real-time measure of business conditions in Malta," CBM Working Papers WP/04/2016, Central Bank of Malta.
    82. Ginters Buss, 2012. "A New Real-Time Indicator for the Euro Area GDP," Working Papers 2012/02, Latvijas Banka.
    83. In Choi, 2012. "Model Selection for Factor Analysis: Some New Criteria and Performance Comparisons," Working Papers 1209, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).
    84. Sandra Eickmeier, 2009. "Comovements and heterogeneity in the euro area analyzed in a non-stationary dynamic factor model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(6), pages 933-959.
    85. Agnieszka Gehringer & Thomas Mayer, 2021. "Measuring the Business Cycle Chronology with a Novel Business Cycle Indicator for Germany," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 17(1), pages 71-89, April.
    86. Dominique Ladiray, 2002. "Conjoncture, statistique et économétrie," Économie et Statistique, Programme National Persée, vol. 359(1), pages 3-12.
    87. Domenico Giannone & Lucrezia Reichlin & David Small, 2008. "Nowcasting: the real time informational content of macroeconomic data releases," ULB Institutional Repository 2013/6409, ULB -- Universite Libre de Bruxelles.
    88. In Choi, 2011. "Efficient Estimation of Nonstationary Factor Models," Working Papers 1101, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy), revised Jun 2011.
    89. António Rua, 2016. "A wavelet-based multivariate multiscale approach for forecasting," Working Papers w201612, Banco de Portugal, Economics and Research Department.
    90. Dimitra Lamprou, 2015. "Nowcasting GDP in Greece: A Note on Forecasting Improvements from the Use of Bridge Models," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, vol. 13(1), pages 85-100.
    91. Giuseppe Parigi & Roberto Golinelli, 2007. "The use of monthly indicators to forecast quarterly GDP in the short run: an application to the G7 countries," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(2), pages 77-94.
    92. Sandra Eickmeier & Christina Ziegler, 2008. "How successful are dynamic factor models at forecasting output and inflation? A meta-analytic approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(3), pages 237-265.
    93. Christian Schulz, 2007. "Forecasting economic growth for Estonia : application of common factor methodologies," Bank of Estonia Working Papers 2007-09, Bank of Estonia, revised 04 Sep 2007.
    94. Joao Valle e Azevedo & Siem Jan Koopman & Antonio Rua, 2003. "Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area," Tinbergen Institute Discussion Papers 03-069/4, Tinbergen Institute.
    95. Filippo Altissimo & Alberto Locarno & Stefano Siviero, 2002. "Dealing with forward-looking expectations and policy rules in quantifying the channels of transmission of monetary policy," Temi di discussione (Economic working papers) 460, Bank of Italy, Economic Research and International Relations Area.
    96. Beate Schirwitz, 2013. "Business Fluctuations, Job Flows and Trade Unions - Dynamics in the Economy," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 47.
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  37. Forni, Mario & Paba, Sergio, 2001. "Knowledge Spillovers and the Growth of Local Industries," CEPR Discussion Papers 2934, C.E.P.R. Discussion Papers.

    Cited by:

    1. Elisa Cavezzali & Jacopo Crepaldi & Ugo Rigoni, 2014. "Proximity to hubs of expertise and financial analyst forecast accuracy," Eurasian Business Review, Springer;Eurasia Business and Economics Society, vol. 4(2), pages 157-179, December.
    2. Combes, Pierre-Philippe & Overman, Henry G., 2004. "The spatial distribution of economic activities in the European Union," Handbook of Regional and Urban Economics, in: J. V. Henderson & J. F. Thisse (ed.), Handbook of Regional and Urban Economics, edition 1, volume 4, chapter 64, pages 2845-2909, Elsevier.
    3. Matthias Firgo & Peter Mayerhofer, 2015. "Wissens-Spillovers und regionale Entwicklung - welche strukturpolitische Ausrichtung optimiert des Wachstum?," Working Paper Reihe der AK Wien - Materialien zu Wirtschaft und Gesellschaft 144, Kammer für Arbeiter und Angestellte für Wien, Abteilung Wirtschaftswissenschaft und Statistik.
    4. Tianshu Quan & Tianli Quan, 2023. "A Study of the Spatial Mechanism of Financial Agglomeration Affecting Green Low-Carbon Development: Evidence from China," Sustainability, MDPI, vol. 15(2), pages 1-21, January.
    5. Michele Cincera, 2005. "Firms' productivity growth and R&D spillovers: An analysis of alternative technological proximity measures," Economics of Innovation and New Technology, Taylor & Francis Journals, vol. 14(8), pages 657-682.
    6. S. Deidda & R. Paci & S. Usai, 2002. "Spatial Externalities and Local Economic Growth," Working Paper CRENoS 200206, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    7. Cong Wang & Jakob B. Madsen & Bodo Steiner, 2017. "Industry diversity, competition and firm relatedness: the impact on employment before and after the 2008 global financial crisis," Regional Studies, Taylor & Francis Journals, vol. 51(12), pages 1801-1814, December.
    8. Matthias Firgo & Peter Mayerhofer, 2015. "Wissensintensive Unternehmensdienste, Wissens-Spillovers und regionales Wachstum. Teilprojekt 1: Wissens-Spillovers und regionale Entwicklung – Welche strukturpolitische Ausrichtung optimiert das Wach," WIFO Studies, WIFO, number 58342, January.
    9. Döring, Thomas & Schnellenbach, Jan, 2004. "What Do We Know About Geographical Knowledge Spillovers and Regional Growth? A Survey of the Literature," Research Notes 14, Deutsche Bank Research.
    10. Paul Bishop & Peter Gripaios, 2010. "Spatial Externalities, Relatedness and Sector Employment Growth in Great Britain," Regional Studies, Taylor & Francis Journals, vol. 44(4), pages 443-454.
    11. R. Paci & S. Usai, 1999. "The role of specialisation and diversity externalities in the agglomeration of innovative activities," Working Paper CRENoS 199915, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    12. Stefano Usai & Raffaele Paci, 2003. "Externalities and Local Economic Growth in Manufacturing Industries," Advances in Spatial Science, in: Bernard Fingleton (ed.), European Regional Growth, chapter 10, pages 293-321, Springer.
    13. Harvey Cutler & Scott England & Stephan Weiler, 2007. "Urban and regional distinctions for aggregating time series data," Papers in Regional Science, Wiley Blackwell, vol. 86(4), pages 575-595, November.
    14. Cristina Santos & Alexandre Almeida & Aurora A.C. Teixeira, 2008. "Searching for clusters in tourism. A quantitative methodological proposal," FEP Working Papers 293, Universidade do Porto, Faculdade de Economia do Porto.
    15. Alex R. Hoen, 2002. "Identifying Linkages with a Cluster-based Methodology," Economic Systems Research, Taylor & Francis Journals, vol. 14(2), pages 131-146, June.
    16. Döring, Thomas, 2005. "Räumliche Externalitäten von Wissen und ihre Konsequenzen für die Ausgestaltung des Finanzausgleichs," Forschungs- und Sitzungsberichte der ARL: Aufsätze, in: Färber, Gisela (ed.), Das föderative System in Deutschland: Bestandsaufnahme, Reformbedarf und Handlungsempfehlungen aus raumwissenschaftlicher Sicht, volume 127, pages 93-120, ARL – Akademie für Raumentwicklung in der Leibniz-Gemeinschaft.

  38. Lucrezia Reichlin & Mario Forni & Marc Hallin & Marco Lippi, 2001. "Coincident and leading indicators for the Euro area," ULB Institutional Repository 2013/10137, ULB -- Universite Libre de Bruxelles.

    Cited by:

    1. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2013. "Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model," Tinbergen Institute Discussion Papers 13-142/III, Tinbergen Institute, revised 01 Nov 2014.
    2. Michael Graff, 2005. "Internationale Konjunkturverbunde," KOF Working papers 05-108, KOF Swiss Economic Institute, ETH Zurich.
    3. Mario Forni & Marc Hallin & Marco Lippi & Lucrezia Reichlin, 2004. "The generalised dynamic factor model: consistency and rates," ULB Institutional Repository 2013/10133, ULB -- Universite Libre de Bruxelles.
    4. Drew Creal & Siem Jan Koopman & Eric Zivot, 2008. "The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model," Tinbergen Institute Discussion Papers 08-069/4, Tinbergen Institute.
    5. Don Harding & Adrian Pagan, 2006. "Measurement of Business Cycles," Department of Economics - Working Papers Series 966, The University of Melbourne.
    6. Mario Forno & Marco Lippi & Lucrezia Reichlin & Filippo Altissimo & Antonio Bassanetti, 2003. "Eurocoin: A Real Time Coincident Indicator Of The Euro Area Business Cycle," Computing in Economics and Finance 2003 242, Society for Computational Economics.
    7. António Rua & Luís Catela Nunes, 2003. "Coincident and Leading Indicators for the Euro Area: A Frequency Band Approach," Working Papers w200307, Banco de Portugal, Economics and Research Department.
    8. Knut Lehre Seip & Yunus Yilmaz & Michael Schröder, 2019. "Comparing Sentiment- and Behavioral-Based Leading Indexes for Industrial Production: When Does Each Fail?," Economies, MDPI, vol. 7(4), pages 1-18, October.
    9. Dr Silvia Lui & Dr Martin Weale & Dr. James Mitchell, 2009. "The utility of expectational data: Firm-level evidence using matched qualitative-quantitative UK surveys," National Institute of Economic and Social Research (NIESR) Discussion Papers 343, National Institute of Economic and Social Research.
    10. Ard Reijer, 2013. "Forecasting Dutch GDP and inflation using alternative factor model specifications based on large and small datasets," Empirical Economics, Springer, vol. 44(2), pages 435-453, April.
    11. Lippi, Marco & Reichlin, Lucrezia & Hallin, Marc & Forni, Mario, 2002. "The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting," CEPR Discussion Papers 3432, C.E.P.R. Discussion Papers.
    12. Alain Kabundi & Rangan Gupta, 2009. "A Large Factor Model for Forecasting Macroeconomic Variables in South Africa," Working Papers 137, Economic Research Southern Africa.
    13. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. Van Dijk, 2016. "Interconnections Between Eurozone and us Booms and Busts Using a Bayesian Panel Markov‐Switching VAR Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1352-1370, November.
    14. Simon Beyeler & Sylvia Kaufmann, 2016. "Factor augmented VAR revisited - A sparse dynamic factor model approach," Working Papers 16.08, Swiss National Bank, Study Center Gerzensee.
    15. A. Girardi & R. Golinelli & C. Pappalardo, 2014. "The Role of Indicator Selection in Nowcasting Euro Area GDP in Pseudo Real Time," Working Papers wp919, Dipartimento Scienze Economiche, Universita' di Bologna.
    16. Timilsina, Govinda R. & Hochman, Gal & Fedets, Iryna, 2016. "Understanding energy efficiency barriers in Ukraine: Insights from a survey of commercial and industrial firms," Energy, Elsevier, vol. 106(C), pages 203-211.
    17. Neil R. Ericsson, 2021. "Dynamic Econometrics in Action: A Biography of David F. Hendry," International Finance Discussion Papers 1311, Board of Governors of the Federal Reserve System (U.S.).
    18. Alkhareif, Ryadh M. & Barnett, William A., 2020. "Nowcasting Real GDP for Saudi Arabia," MPRA Paper 104278, University Library of Munich, Germany.
    19. Lasse Bork & Hans Dewachter & Romain Houssa, 2009. "Identification of Macroeconomic Factors in Large Panels," CREATES Research Papers 2009-43, Department of Economics and Business Economics, Aarhus University.
    20. Thierry Aimar & Francis Bismans & Claude Diebolt, 2010. "Le cycle économique : une synthèse," Revue Française d'Économie, Programme National Persée, vol. 24(4), pages 3-65.
    21. Drew Creal & Siem Jan Koopman & Eric Zivot, 2010. "Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 695-719.
    22. James Mitchell & Richard J. Smith & Martin R. Weale, 2013. "Efficient Aggregation Of Panel Qualitative Survey Data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(4), pages 580-603, June.
    23. Troy D. Matheson, 2006. "Factor Model Forecasts for New Zealand," International Journal of Central Banking, International Journal of Central Banking, vol. 2(2), May.
    24. Zirogiannis, Nikolaos & Tripodis, Yorghos, 2013. "A Generalized Dynamic Factor Model for Panel Data: Estimation with a Two-Cycle Conditional Expectation-Maximization Algorithm," Working Paper Series 142752, University of Massachusetts, Amherst, Department of Resource Economics.
    25. Daniel Grenouilleau, 2004. "A sorted leading indicators dynamic (SLID) factor model for short-run euro-area GDP forecasting," European Economy - Economic Papers 2008 - 2015 219, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    26. Graziano Moramarco, 2021. "Financial-cycle ratios and medium-term predictions of GDP: Evidence from the United States," Papers 2111.00822, arXiv.org, revised Jan 2024.
    27. Michael Zhemkov, 2022. "Assessment of Monthly GDP Growth Using Temporal Disaggregation Methods," Russian Journal of Money and Finance, Bank of Russia, vol. 81(2), pages 79-104, June.
    28. Milan Christian Wet & Ilse Botha, 2022. "Constructing and Characterising the Aggregate South African Financial Cycle: A Markov Regime-Switching Approach," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 18(1), pages 37-67, March.
    29. Neil R. Ericsson, 2016. "Economic Forecasting in Theory and Practice : An Interview with David F. Hendry," International Finance Discussion Papers 1184, Board of Governors of the Federal Reserve System (U.S.).
    30. Simon Beyeler & Sylvia Kaufmann, 2021. "Reduced‐form factor augmented VAR—Exploiting sparsity to include meaningful factors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(7), pages 989-1012, November.
    31. Bessonovs, Andrejs, 2011. "GDP Modelling with Factor Model: an Impact of Nested Data on Forecasting Accuracy," MPRA Paper 30211, University Library of Munich, Germany.
    32. Christian Gillitzer & Jonathan Kearns & Anthony Richards, 2005. "The Australian Business Cycle: A Coincident Indicator Approach," RBA Research Discussion Papers rdp2005-07, Reserve Bank of Australia.
    33. Lippi, Marco & Reichlin, Lucrezia & Forni, Mario, 2003. "Opening the Black Box: Structural Factor Models versus Structural VARs," CEPR Discussion Papers 4133, C.E.P.R. Discussion Papers.
    34. David Mayes & Matti Virén, 2010. "The Impact of Asset Prices and their Information Value for Monetary Policy," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 28(61), pages 134-167, August.
    35. Jason Angelopoulos, 2017. "Creating and assessing composite indicators: Dynamic applications for the port industry and seaborne trade," Maritime Economics & Logistics, Palgrave Macmillan;International Association of Maritime Economists (IAME), vol. 19(1), pages 126-159, March.
    36. Andrea Carriero & Massimiliano Marcellino, 2007. "Monitoring the Economy of the Euro Area: A Comparison of Composite Coincident Indexes," Working Papers 319, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    37. Canova, Fabio & Ciccarelli, Matteo & Ortega, Eva, 2007. "Similarities and convergence in G-7 cycles," Journal of Monetary Economics, Elsevier, vol. 54(3), pages 850-878, April.
    38. Rangan Gupta & Alain Kabundi & Stephen M. Miller, 2009. "Forecasting the US Real House Price Index: Structural and Non-Structural Models with and without Fundamentals," Working papers 2009-42, University of Connecticut, Department of Economics.
    39. Proietti, Tommaso, 2008. "Estimation of Common Factors under Cross-Sectional and Temporal Aggregation Constraints: Nowcasting Monthly GDP and its Main Components," MPRA Paper 6860, University Library of Munich, Germany.
    40. George Kapetanios & Fotis Papailias, 2021. "UK Economic Conditions during the Pandemic: Assessing the Economy using ONS Faster Indicators," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2021-10, Economic Statistics Centre of Excellence (ESCoE).
    41. Ray Barrell, 1999. "Employment Security and European Labour Demand: A Panel Study Across 16 Industries," National Institute of Economic and Social Research (NIESR) Discussion Papers 148, National Institute of Economic and Social Research.
    42. Sylvia Kaufmann & Christian Schumacher, 2013. "Bayesian estimation of sparse dynamic factor models with order-independent identification," Working Papers 13.04, Swiss National Bank, Study Center Gerzensee.
    43. Filippo Altissimo & Riccardo Cristadoro & Mario Forni & Marco Lippi & Giovanni Veronese, 2010. "New Eurocoin: Tracking Economic Growth in Real Time," The Review of Economics and Statistics, MIT Press, vol. 92(4), pages 1024-1034, November.
    44. Massimiliano Serati & Matteo Manera & Michele Plotegher, 2008. "Modelling electricity prices: from the state of the art to a draft of a new proposal," LIUC Papers in Economics 210, Cattaneo University (LIUC).
    45. Lippi, Marco & Reichlin, Lucrezia & Hallin, Marc & Forni, Mario, 2002. "Do Financial Variables Help Forecasting Inflation and Real Activity in the Euro Area?," CEPR Discussion Papers 3146, C.E.P.R. Discussion Papers.
    46. Don Harding & Adrian Pagan, 2005. "A suggested framework for classifying the modes of cycle research," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(2), pages 151-159.
    47. Andrea Carriero & Massimiliano Marcellino, 2011. "Sectoral Survey‐based Confidence Indicators for Europe," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 73(2), pages 175-206, April.
    48. Graff Michael, 2006. "Internationale Konjunkturverbunde / International Business Cycles," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 226(4), pages 385-417, August.
    49. André Nunes Maranhão, 2024. "Brazilian Business Cycle Analysis in a High-Dimensional and Time-Irregular Span Context," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 20(1), pages 1-58, August.
    50. Donatella Baiardi & Carluccio Bianchi, 2012. "Un Indicatore per la Lombardia e per le Province di Milano e Pavia (Nuova versione)," Quaderni di Dipartimento 158, University of Pavia, Department of Economics and Quantitative Methods.
    51. Alain Kabundi & Elmarie Nel & Franz Ruch, 2016. "Nowcasting Real GDP growth in South Africa," Working Papers 54, Economic Research Southern Africa.
    52. Adel Bosch & Franz Ruch, 2012. "An Alternative Business Cycle Dating Procedure for South Africa," Working Papers 5210, South African Reserve Bank.
    53. André Nunes Maranhão & Nicole Rennó Castro, 2023. "Dissecting Brazilian agriculture business cycles in high-dimensional and time-irregular span contexts," Empirical Economics, Springer, vol. 65(4), pages 1543-1578, October.
    54. Lasse Bork, 2009. "Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach," CREATES Research Papers 2009-11, Department of Economics and Business Economics, Aarhus University.
    55. Massimiliano Serati & Gianni Amisano, 2008. "Building composite leading indexes in a dynamic factor model framework: a new proposal," LIUC Papers in Economics 212, Cattaneo University (LIUC).
    56. Irac, D. & Sédillot, F., 2002. "Short-Run Assessment of French Economic Activity Using OPTIM," Working papers 88, Banque de France.
    57. Bhattacharya, Rudrani & Chakravarti, Parma & Mundle, Sudipto, 2018. "Forecasting India's Economic Growth: A Time-Varying Parameter Regression Approach," Working Papers 18/238, National Institute of Public Finance and Policy.
    58. Houssa, Romain, 2008. "Monetary union in West Africa and asymmetric shocks: A dynamic structural factor model approach," Journal of Development Economics, Elsevier, vol. 85(1-2), pages 319-347, February.
    59. Weinert, Günter, 2003. "Zwischen Hoffen und Bangen - Konjunktur 2003," HWWA Reports 224, Hamburg Institute of International Economics (HWWA).
    60. Alain Galli, 2017. "Which indicators matter? Analyzing the Swiss business cycle using a large-scale mixed-frequency dynamic factor model," Working Papers 2017-08, Swiss National Bank.
    61. Reichlin, Lucrezia & Sala, Luca & Giannone, Domenico, 2002. "Tracking Greenspan: Systematic and Unsystematic Monetary Policy Revisited," CEPR Discussion Papers 3550, C.E.P.R. Discussion Papers.
    62. Oleg Demidov, 2008. "Different indexes for forecasting economic activity in Russia (in Russian)," Quantile, Quantile, issue 5, pages 83-102, September.
    63. Christian Gayer & Julien Genet, 2006. "Using factor models to construct composite indicators from BCS data - a comparison with European Commission confidence indicators," European Economy - Economic Papers 2008 - 2015 240, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    64. Christian Schulz, 2008. "Forecasting economic activity for Estonia : The application of dynamic principal component analyses," Bank of Estonia Working Papers 2008-02, Bank of Estonia, revised 30 Oct 2008.
    65. Muriel Nguiffo-Boyom, 2008. "A monthly indicator of Economic activity for Luxembourg," BCL working papers 31, Central Bank of Luxembourg.
    66. Hochman, Gal & Timilsina, Govinda R., 2017. "Energy efficiency barriers in commercial and industrial firms in Ukraine: An empirical analysis," Energy Economics, Elsevier, vol. 63(C), pages 22-30.
    67. Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon, 2020. "Regional output growth in the United Kingdom: More timely and higher frequency estimates from 1970," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(2), pages 176-197, March.
    68. Fulvia Focker & Umberto Triacca, 2006. "A new proxy of the average volatility of a basket of returns: A Monte Carlo study," Economics Bulletin, AccessEcon, vol. 3(15), pages 1-14.
    69. Dreger, Christian & Schumacher, Christian, 2002. "Estimating large-scale factor models for economic activity in Germany: Do they outperform simpler models?," HWWA Discussion Papers 199, Hamburg Institute of International Economics (HWWA).
    70. Jean Boivin & Serena Ng, 2003. "Are More Data Always Better for Factor Analysis?," NBER Working Papers 9829, National Bureau of Economic Research, Inc.
    71. Thierry Aimar & Francis Bismans & Claude Diebolt, 2012. "Economic Cycles: A Synthesis," Working Papers 12-11, Association Française de Cliométrie (AFC).
    72. den Reijer, Ard H.J., 2011. "Regional and sectoral dynamics of the Dutch staffing labor cycle," Economic Modelling, Elsevier, vol. 28(4), pages 1826-1837, July.
    73. Cecilia Frale & Stefano Grassi & Massimiliano Marcellino & Gianluigi Mazzi & Tommaso Proietti, 2013. "EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro Area and member countries," CEIS Research Paper 287, Tor Vergata University, CEIS, revised 01 Oct 2013.
    74. Sylvia Kaufmann, 2008. "Dating and forecasting turning points by Bayesian clustering with dynamic structure: A suggestion with an application to Austrian data," Working Papers 144, Oesterreichische Nationalbank (Austrian Central Bank).
    75. Lucrezia Reichlin, 2003. "Factor models in large cross sections of time series," ULB Institutional Repository 2013/10179, ULB -- Universite Libre de Bruxelles.
    76. Libero Monteforte & Stefano Siviero, 2002. "The economic consequences of euro area modelling shortcuts," Temi di discussione (Economic working papers) 458, Bank of Italy, Economic Research and International Relations Area.
    77. Herman Kamil & Jose David Pulido & Jose Luis Torres, 2010. "El "IMACO": un índice mensual líder de la actividad económica en Colombia," Borradores de Economia 609, Banco de la Republica de Colombia.
    78. Bernd Süssmuth, 2002. "National and Supranational Business Cycles (1960-2000): A multivariate description of central G7 and EURO15 NIPA aggregates," CESifo Working Paper Series 658, CESifo.
    79. Jonas Krampe & Luca Margaritella, 2021. "Factor Models with Sparse VAR Idiosyncratic Components," Papers 2112.07149, arXiv.org, revised May 2022.
    80. Pavel Vidal Alejandro & Lya Paola Sierra Suárez & Johana Sanabria Dominguez & Jaime Andres Collazos Rodríguez, 2015. "Indicador mensual de actividad económica (IMAE) para el Valle del Cauca," Borradores de Economia 900, Banco de la Republica de Colombia.
    81. Harding, Don & Pagan, Adrian, 2001. "Extracting, Using and Analysing Cyclical Information," MPRA Paper 15, University Library of Munich, Germany.
    82. Donatella Baiardi & Carluccio Bianchi, 2010. "Un Indicatore di Attività Economica per la Lombardia e per le Province di Milano e Pavia," Quaderni di Dipartimento 130, University of Pavia, Department of Economics and Quantitative Methods.
    83. Nan Li & Simon S. Kwok, 2021. "Jointly determining the state dimension and lag order for Markov‐switching vector autoregressive models," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(4), pages 471-491, July.
    84. Bruneau, C. & De Bandt, O. & Flageollet, A., 2003. "Forecasting Inflation in the Euro Area," Working papers 102, Banque de France.
    85. Cubadda, Gianluca & Guardabascio, Barbara & Hecq, Alain, 2013. "A general to specific approach for constructing composite business cycle indicators," Economic Modelling, Elsevier, vol. 33(C), pages 367-374.
    86. Ryadh M. Alkhareif & William A. Barnett, 2022. "Nowcasting Real GDP for Saudi Arabia1," Open Economies Review, Springer, vol. 33(2), pages 333-345, April.
    87. Vidar Hjellvik & Rong Chen & Dag Tjøstheim, 2004. "Nonparametric Estimation and Testing in Panels of Intercorrelated Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(6), pages 831-872, November.
    88. Jason Angelopoulos & Costas I. Chlomoudis, 2017. "A Generalized Dynamic Factor Model for the U.S. Port Sector," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 67(1), pages 22-37, January-M.
    89. António Rua & Francisco Craveiro Dias, 2008. "Determining the number of factors in approximate factor models with global and group-specific factors," Working Papers w200809, Banco de Portugal, Economics and Research Department.
    90. Christian Schumacher, 2007. "Forecasting German GDP using alternative factor models based on large datasets," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(4), pages 271-302.
    91. M. Boermans & H.J. Roelfsema & Zhang Yi, 2009. "Regional determinants of FDI in China: A new approach with recent data," Working Papers 09-23, Utrecht School of Economics.
    92. António Rua, 2016. "A wavelet-based multivariate multiscale approach for forecasting," Working Papers w201612, Banco de Portugal, Economics and Research Department.
    93. Michael Graff, 2005. "Ein multisektoraler Sammelindikator fuer die Schweizer Konjunktur," KOF Working papers 05-107, KOF Swiss Economic Institute, ETH Zurich.
    94. Herman Kamil & José David Pulido & José Luis Torres, 2010. "El "IMACO": un índice mensual de la actividad económica en Colombia," Monetaria, CEMLA, vol. 0(4), pages 495-548, octubre-d.
    95. Alain Kabundi & Rangan Gupta & Sonali Das, 2008. "Is a DFM well suited for forecasting regional house price inflation?," Working Papers 085, Economic Research Southern Africa.
    96. Angelopoulos, Jason & Sahoo, Satya & Visvikis, Ilias D., 2020. "Commodity and transportation economic market interactions revisited: New evidence from a dynamic factor model," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 133(C).
    97. Pami Dua, 2023. "Macroeconomic Modelling and Bayesian Methods," Springer Books, in: Pami Dua (ed.), Macroeconometric Methods, chapter 0, pages 19-37, Springer.
    98. Christian Schulz, 2007. "Forecasting economic growth for Estonia : application of common factor methodologies," Bank of Estonia Working Papers 2007-09, Bank of Estonia, revised 04 Sep 2007.
    99. Daniel Armeanu & Jean Vasile Andrei & Leonard Lache & Mirela Panait, 2017. "A multifactor approach to forecasting Romanian gross domestic product (GDP) in the short run," PLOS ONE, Public Library of Science, vol. 12(7), pages 1-23, July.
    100. Weinert, Gunter & Wohlers, Eckhardt & Bruck, Christiane & Fieber, Eva-Ulrike & Hinze, Jorg & Kirchesch, Kai & Matthies, Klaus & Schumacher, Christian, 2003. "Zwischen Hoffen und Bangen - Konjunktur 2003," Report Series 26082, Hamburg Institute of International Economics.
    101. Kaufmann, Sylvia & Schumacher, Christian, 2019. "Bayesian estimation of sparse dynamic factor models with order-independent and ex-post mode identification," Journal of Econometrics, Elsevier, vol. 210(1), pages 116-134.
    102. Umberto Triacca & Fulvia Focker, 2014. "Estimating overnight volatility of asset returns by using the generalized dynamic factor model approach," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 37(2), pages 235-254, October.
    103. Edgar Vicente MARCILLO YÉPEZ, 2013. "Un indicador Líder para la actividad económica de Colombia," Archivos de Economía 11205, Departamento Nacional de Planeación.
    104. Anna Pestova, 2015. "Leading Indicators of the Business Cycle: Dynamic Logit Models for OECD Countries and Russia," HSE Working papers WP BRP 94/EC/2015, National Research University Higher School of Economics.
    105. Daniel Grenouilleau, 2006. "The Stacked Leading Indicators Dynamic Factor Model: A Sensitivity Analysis of Forecast Accuracy using Bootstrapping," European Economy - Economic Papers 2008 - 2015 249, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    106. Schumacher Christian & Dreger Christian, 2004. "Estimating Large-Scale Factor Models for Economic Activity in Germany: Do They Outperform Simpler Models? / Die Schätzung von großen Faktormodellen für die deutsche Volkswirtschaft: Übertreffen sie ei," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 224(6), pages 731-750, December.
    107. Desirée Castrillo R. & Carlos Mora G. & Carlos Torres G., 2010. "Mecanismos de transmisión de la política monetaria en Costa Rica: periodo 1991-2007," Monetaria, CEMLA, vol. 0(4), pages 549-599, octubre-d.
    108. Jennifer Castle & David Hendry & Oleg Kitov, 2013. "Forecasting and Nowcasting Macroeconomic Variables: A Methodological Overview," Economics Series Working Papers 674, University of Oxford, Department of Economics.
    109. Christophe Van Nieuwenhuyze, 2006. "A generalised dynamic factor model for the Belgian economy - Useful business cycle indicators and GDP growth forecasts," Working Paper Research 80, National Bank of Belgium.
    110. Rünstler, Gerhard & Sédillot, Franck, 2003. "Short-term estimates of euro area real GDP by means of monthly data," Working Paper Series 276, European Central Bank.
    111. Eickmeier, Sandra, 2005. "Common stationary and non-stationary factors in the euro area analyzed in a large-scale factor model," Discussion Paper Series 1: Economic Studies 2005,02, Deutsche Bundesbank.
    112. Karim Barhoumi & Olivier Darné & Laurent Ferrara, 2010. "Are disaggregate data useful for factor analysis in forecasting French GDP?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 132-144.
    113. Marco Antonio Laguna Vargas, 2010. "Características de la inflación importada en Bolivia: ¿puede contenerse con política cambiaria?," Monetaria, CEMLA, vol. 0(4), pages 463-493, octubre-d.
    114. Nikolaos Zirogiannis & Yorghos Tripodis, 2013. "A Generalized Dynamic Factor Model for Panel Data: Estimation with a Two-Cycle Conditional Expectation-Maximization Algorithm," Working Papers 2013-1, University of Massachusetts Amherst, Department of Resource Economics.
    115. Olivier Biau & Hélène Erkel-Rousse & Nicolas Ferrari, 2006. "Réponses individuelles aux enquêtes de conjoncture et prévision de la production manufacturière," Économie et Statistique, Programme National Persée, vol. 395(1), pages 91-116.
    116. François Bouton & Hélène Erkel-Rousse, 2002. "Conjonctures sectorielles et prévision à court terme de l'activité : l'apport de l'enquête de conjoncture dans les services," Économie et Statistique, Programme National Persée, vol. 359(1), pages 35-68.

  39. Mario Forni & Lucrezia Reichlin, 2001. "Federal policies and local economies: Europe and the U.S," ULB Institutional Repository 2013/10141, ULB -- Universite Libre de Bruxelles.

    Cited by:

    1. Reichlin, Lucrezia & Doz, Catherine & Giannone, Domenico, 2006. "A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models," CEPR Discussion Papers 5724, C.E.P.R. Discussion Papers.
    2. Oscar Bajo-Rubio & Carmen Díaz-Roldán, 2007. "Vulnerability to Shocks in EMU: 1991–2004 (in English)," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 57(5-6), pages 225-234, August.
    3. Mario Forno & Marco Lippi & Lucrezia Reichlin & Filippo Altissimo & Antonio Bassanetti, 2003. "Eurocoin: A Real Time Coincident Indicator Of The Euro Area Business Cycle," Computing in Economics and Finance 2003 242, Society for Computational Economics.
    4. Eickmeier, Sandra, 2006. "Comovements and heterogeneity in the Comovements and heterogeneity in the dynamic factor model," Discussion Paper Series 1: Economic Studies 2006,31, Deutsche Bundesbank.
    5. Clark, Todd E. & van Wincoop, Eric, 2001. "Borders and business cycles," Journal of International Economics, Elsevier, vol. 55(1), pages 59-85, October.
    6. Oscar Bajo-Rubio & Carmen Díaz-Roldán, 2000. "Insurance Mechanisms Against Asymmetric Shocks In A Monetary Union: A Proposal With An Application To Emu," Working Papers 00-08, Asociación Española de Economía y Finanzas Internacionales.
    7. Hideaki Hirata & M. Ayhan Kose & Christopher Otrok, 2013. "Regionalization vs. globalization," Working Papers 2013-002, Federal Reserve Bank of St. Louis.
    8. André Sapir, 2011. "European Integration at the Crossroads: A Review Essay on the 50th Anniversary of Bela Balassa's Theory of Economic Integration," Journal of Economic Literature, American Economic Association, vol. 49(4), pages 1200-1229, December.
    9. Imbs, Jean, 1999. "Co-Fluctuations," CEPR Discussion Papers 2267, C.E.P.R. Discussion Papers.
    10. Cesaroni, Tatiana & Maccini, Louis & Malgarini, Marco, 2011. "Business cycle stylized facts and inventory behaviour: New evidence for the Euro area," International Journal of Production Economics, Elsevier, vol. 133(1), pages 12-24, September.
    11. Guilhem Bentoglio & Jacky Fayolle & Matthieu Lemoine, 2002. "Unity and Plurality of the European Cycle," SciencePo Working papers Main hal-03458584, HAL.
    12. Hubrich, Kirstin & Marcellino, Massimiliano & Beck, Günter W., 2006. "Regional inflation dynamics within and across euro area countries and a comparison with the US," Working Paper Series 681, European Central Bank.
    13. Simona Delle Chiaie & Laurent Ferrara & Domenico Giannone, 2022. "Common factors of commodity prices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(3), pages 461-476, April.
    14. Lasse Bork & Hans Dewachter & Romain Houssa, 2009. "Identification of Macroeconomic Factors in Large Panels," CREATES Research Papers 2009-43, Department of Economics and Business Economics, Aarhus University.
    15. Salvador Barrios & Marius Brülhart & Robert J.R. Elliott & Marianne Sensier, 2003. "A Tale of Two Cycles: Co‐Fluctuations Between UK Regions and the Euro Zone," Manchester School, University of Manchester, vol. 71(3), pages 265-292, June.
    16. Ciccarelli, Matteo & Mojon, Benoît, 2006. "Global Inflation," Kiel Working Papers 1337, Kiel Institute for the World Economy (IfW Kiel).
    17. Mojon, Benoît & Agresti, Anna Maria, 2001. "Some stylised facts on the euro area business cycle," Working Paper Series 95, European Central Bank.
    18. Svatopluk Kapounek & Zuzana Kucerova, 2018. "Historical Decoupling in the EU: Evidence from Time-Frequency Analysis," MENDELU Working Papers in Business and Economics 2018-75, Mendel University in Brno, Faculty of Business and Economics.
    19. Doz, Catherine & Giannone, Domenico & Reichlin, Lucrezia, 2011. "A two-step estimator for large approximate dynamic factor models based on Kalman filtering," Journal of Econometrics, Elsevier, vol. 164(1), pages 188-205, September.
    20. Domenico Giannone & Lucrezia Reichlin & David H. Small, 2005. "Nowcasting GDP and inflation: the real-time informational content of macroeconomic data releases," Finance and Economics Discussion Series 2005-42, Board of Governors of the Federal Reserve System (U.S.).
    21. Plamen Nikolov & Paolo Pasimeni, 2023. "Fiscal Stabilization in the United States: Lessons for Monetary Unions," Open Economies Review, Springer, vol. 34(1), pages 113-153, February.
    22. Reichlin, Lucrezia & Giannone, Domenico & Lenza, Michele, 2009. "Business Cycles in the Euro Area," CEPR Discussion Papers 7124, C.E.P.R. Discussion Papers.
    23. Eric Girardin & Cheikh A. T. Sall, 2018. "Inflation Dynamics of Franc-Zone Countries Determinants, Co-movements and Spatial Interactions," Open Economies Review, Springer, vol. 29(2), pages 295-320, April.
    24. Oscar Bajo-Rubio & Carmen Díaz-Roldán, "undated". "Insurance mechanisms against asymmetric shocks in a monetary union: An application to the European Monetary Union," Studies on the Spanish Economy 62, FEDEA.
    25. Lippi, Marco & Reichlin, Lucrezia & Forni, Mario, 2003. "Opening the Black Box: Structural Factor Models versus Structural VARs," CEPR Discussion Papers 4133, C.E.P.R. Discussion Papers.
    26. Guilhem Bentoglio & Jacky Fayolle & Matthieu Lemoine, 2001. "Unité et pluralité du cycle européen," Revue de l'OFCE, Presses de Sciences-Po, vol. 78(3), pages 9-73.
    27. Jakob De Haan & Robert Inklaar & Richard Jong‐A‐Pin, 2008. "Will Business Cycles In The Euro Area Converge? A Critical Survey Of Empirical Research," Journal of Economic Surveys, Wiley Blackwell, vol. 22(2), pages 234-273, April.
    28. Halkos, George E. & Tzeremes, Nickolaos G., 2009. "Economic efficiency and growth in the EU enlargement," Journal of Policy Modeling, Elsevier, vol. 31(6), pages 847-862, November.
    29. Artis, Michael J & Krolzig, Hans-Martin & Toro, Juan, 1999. "The European Business Cycle," CEPR Discussion Papers 2242, C.E.P.R. Discussion Papers.
    30. Riccardo Cristadoro & Mario Forni & Lucrezia Reichlin & Giovanni Veronese, 2001. "A core inflation index for the euro area," Temi di discussione (Economic working papers) 435, Bank of Italy, Economic Research and International Relations Area.
    31. Marco Del Negro & Christopher Otrok, 2008. "Dynamic factor models with time-varying parameters: measuring changes in international business cycles," Staff Reports 326, Federal Reserve Bank of New York.
    32. James D. Hamilton & Michael T. Owyang, 2011. "The Propagation of Regional Recessions," NBER Working Papers 16657, National Bureau of Economic Research, Inc.
    33. Sybille Lehwald, 2013. "Has the Euro changed business cycle synchronization? Evidence from the core and the periphery," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 40(4), pages 655-684, November.
    34. Renne, J-P., 2009. "Frequency-domain analysis of debt service in a macro-finance model for the euro area," Working papers 261, Banque de France.
    35. Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon, 2018. "Regional Output Growth in the United Kingdom: More Timely and Higher Frequency Estimates, 1970-2017," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2018-14, Economic Statistics Centre of Excellence (ESCoE).
    36. Arpita Chatterjee & Richa Saraf, 2024. "Impact of China on commodity exporters," Review of International Economics, Wiley Blackwell, vol. 32(3), pages 1462-1491, August.
    37. Michael T. Owyang & David E. Rapach & Howard J. Wall, 2008. "States and the business cycle," Working Papers 2007-050, Federal Reserve Bank of St. Louis.
    38. Ayhan Kose, M. & Otrok, Christopher & Whiteman, Charles H., 2008. "Understanding the evolution of world business cycles," Journal of International Economics, Elsevier, vol. 75(1), pages 110-130, May.
    39. Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon, 2020. "Regional output growth in the United Kingdom: More timely and higher frequency estimates from 1970," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(2), pages 176-197, March.
    40. Carmen Díaz-Roldán & Oscar Bajo-Rubio, "undated". "Vulnerability to Shocks in EMU: 1991-2004," Working Papers on International Economics and Finance 05-08, FEDEA.
    41. Gabriele Tondl & Iulia Traistaru-Siedschlag, 2006. "Regional growth cycle synchronisation with the Euro Area," Papers WP173, Economic and Social Research Institute (ESRI).
    42. Iulia Siedschlag & Gabriele Tondl, 2011. "Regional output growth synchronisation with the Euro Area," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 38(2), pages 203-221, May.
    43. Domenico Giannone & Lucrezia Reichlin, 2004. "Euro area and US recessions: 1970-2003," ULB Institutional Repository 2013/6405, ULB -- Universite Libre de Bruxelles.
    44. Poncela, Pilar, 2021. "Dynamic factor models: does the specification matter?," DES - Working Papers. Statistics and Econometrics. WS 32210, Universidad Carlos III de Madrid. Departamento de Estadística.
    45. Bernd Süssmuth, 2002. "National and Supranational Business Cycles (1960-2000): A multivariate description of central G7 and EURO15 NIPA aggregates," CESifo Working Paper Series 658, CESifo.
    46. Onatski, Alexei, 2015. "Asymptotic analysis of the squared estimation error in misspecified factor models," Journal of Econometrics, Elsevier, vol. 186(2), pages 388-406.
    47. Filippo Altissimo & Pierpaolo Benigno & Diego Palenzuela, 2011. "Inflation Differentials in a Currency Area: Facts, Explanations and Policy," Open Economies Review, Springer, vol. 22(2), pages 189-233, April.
    48. Economidou, Claire & Kool, Clemens, 2009. "European economic integration and (a)symmetry of macroeconomic fluctuations," Economic Modelling, Elsevier, vol. 26(4), pages 778-787, July.
    49. Monfort, Alain & Vitale, Giovanni & Rüffer, Rasmus & Renne, Jean-Paul, 2003. "Is Economic Activity in the G7 Synchronized? Common Shocks versus Spillover Effects," CEPR Discussion Papers 4119, C.E.P.R. Discussion Papers.
    50. Strozzi, Chiara & Pistoresi, Barbara, 2001. "Rent Sharing in Wage Determination: Evidence from Italy," CEPR Discussion Papers 2939, C.E.P.R. Discussion Papers.
    51. Sylvia Kaufmann, 2003. "The business cycle of European countries Bayesian clustering of country - individual IP growth series," Working Papers 83, Oesterreichische Nationalbank (Austrian Central Bank).
    52. Georgios Chalamandaris & Andrianos Tsekrekos, 2010. "The correlation structure of FX option markets before and since the financial crisis," Applied Financial Economics, Taylor & Francis Journals, vol. 20(1-2), pages 73-84.
    53. Marco Del Negro & Christopher Otrok, 2005. "Monetary policy and the house price boom across U.S. states," FRB Atlanta Working Paper 2005-24, Federal Reserve Bank of Atlanta.
    54. Andrea R. Lamorgese, 2008. "Innovation driven sectoral shocks and aggregate city cycles," Temi di discussione (Economic working papers) 667, Bank of Italy, Economic Research and International Relations Area.
    55. Barbara Pistoresi & Chiara Strozzi, 2003. "Rent Sharing and Bargaining Levels: Evidence from Italy," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 62(2), pages 145-170, October.
    56. Sandra Eickmeier, 2009. "Comovements and heterogeneity in the euro area analyzed in a non-stationary dynamic factor model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(6), pages 933-959.
    57. Georgios Fotopoulos & Dimitris Kallioras & George Petrakos, 2010. "Spatial variations of Greek manufacturing employment growth: The effects of specialization and international trade," Papers in Regional Science, Wiley Blackwell, vol. 89(1), pages 109-133, March.
    58. Jean Boivin & Marc P. Giannoni & Benoît Mojon, 2009. "How Has the Euro Changed the Monetary Transmission Mechanism?," NBER Chapters, in: NBER Macroeconomics Annual 2008, Volume 23, pages 77-125, National Bureau of Economic Research, Inc.
    59. Carmen Díaz Roldán, 2000. "International monetary policy coordination under asymmetric shocks," Documentos de Trabajo - Lan Gaiak Departamento de Economía - Universidad Pública de Navarra 0002, Departamento de Economía - Universidad Pública de Navarra.
    60. Paweł Gajewski, 2017. "Sources of Regional Inflation in Poland," Eastern European Economics, Taylor & Francis Journals, vol. 55(3), pages 261-276, May.
    61. Guenter Beck & Massimiliano Marcellino, 2006. "Regional Inflation Dynamics within and across Euro Area and a Comparison with the US," Computing in Economics and Finance 2006 338, Society for Computational Economics.
    62. Ronald MacDonald & Paul Hallwood, 2004. "The Economic Case for Fiscal Federalism in Scotland," Working papers 2004-42, University of Connecticut, Department of Economics.
    63. CROCI ANGELINI Elisabetta & D'AMBROSIO Conchita & FARINA Francesco, 2001. "Do Preferences in EU Member-States Support Fiscal Federalism?," IRISS Working Paper Series 2002-01, IRISS at CEPS/INSTEAD.
    64. Barbara Pistoresi & Valeria Venturelli, 2015. "Credit, venture capital and regional economic growth," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(4), pages 742-761, October.
    65. Andrew Hallett & Christian Richter, 2006. "Measuring the Degree of Convergence among European Business Cycles," Computational Economics, Springer;Society for Computational Economics, vol. 27(2), pages 229-259, May.
    66. Francesca Marino, 2013. "Regional fluctuations and national cohesion in the EU12: a pre-Maastricht assessment," SERIES 0048, Dipartimento di Economia e Finanza - Università degli Studi di Bari "Aldo Moro", revised Aug 2013.
    67. Sergei S. Shibaev, 2016. "Recession Propagation In Small Regional Economies: Spatial Spillovers And Endogenous Clustering," Working Paper 1369, Economics Department, Queen's University.
    68. Smets, Frank & Beyer, Robert C. M., 2015. "Labour market adjustments in Europe and the US: How different?," Working Paper Series 1767, European Central Bank.
    69. Eickmeier, Sandra, 2005. "Common stationary and non-stationary factors in the euro area analyzed in a large-scale factor model," Discussion Paper Series 1: Economic Studies 2005,02, Deutsche Bundesbank.

  40. Riccardo Cristadoro & Mario Forni & Lucrezia Reichlin & Giovanni Veronese, 2001. "A core inflation index for the euro area," Temi di discussione (Economic working papers) 435, Bank of Italy, Economic Research and International Relations Area.

    Cited by:

    1. Mr. Emil Stavrev, 2006. "Measures of Underlying Inflation in the Euro Area: Assessment and Role for Informing Monetary Policy," IMF Working Papers 2006/197, International Monetary Fund.
    2. Ricardo Reis & Mark W. Watson, 2010. "Relative Goods' Prices, Pure Inflation, and the Phillips Correlation," American Economic Journal: Macroeconomics, American Economic Association, vol. 2(3), pages 128-157, July.
    3. Andreas Fischer & Marlene Amstad, 2004. "Sequential Information Flow and Real-Time Diagnosis of Swiss Inflation: Intra-Monthly DCF Estimates for a Low-Inflation Environment," Working Papers 04.06, Swiss National Bank, Study Center Gerzensee.
    4. Riccardo Cristadoro & Giuseppe Saporito & Fabrizio Venditti, 2013. "Forecasting inflation and tracking monetary policy in the euro area: does national information help?," Empirical Economics, Springer, vol. 44(3), pages 1065-1086, June.
    5. Fröhling, Annette & Lommatzsch, Kirsten, 2011. "Output sensitivity of inflation in the euro area: Indirect evidence from disaggregated consumer prices," Discussion Paper Series 1: Economic Studies 2011,25, Deutsche Bundesbank.
    6. Klaus Masuch & Sergio Nicoletti-Altimari & Massimo Rostagno & Huw Pill, 2003. "The role of money in monetary policymaking," BIS Papers chapters, in: Bank for International Settlements (ed.), Monetary policy in a changing environment, volume 19, pages 158-191, Bank for International Settlements.
    7. Wojciech W. Charemza & Yuriy Kharin & Vladislav Maevskiy, 2014. "Bilinear Forecast Risk Assessment for Non-systematic Inflation: Theory and Evidence," Dynamic Modeling and Econometrics in Economics and Finance, in: Frauke Schleer-van Gellecom (ed.), Advances in Non-linear Economic Modeling, edition 127, pages 205-232, Springer.
    8. Fritz Breuss, 2002. "Was ECB's monetary policy optimal?," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 30(3), pages 298-319, September.
    9. Lombardi, Marco J. & Maier, Philipp, 2011. "Forecasting economic growth in the euro area during the Great Moderation and the Great Recession," Working Paper Series 1379, European Central Bank.
    10. Amstad, Marlene & Fischer, Andreas M., 2010. "Monthly pass-through ratios," Journal of Economic Dynamics and Control, Elsevier, vol. 34(7), pages 1202-1213, July.
    11. Reis, Ricardo & Watson, Mark W., 2007. "Measuring changes in the value of the numeraire," Kiel Working Papers 1364, Kiel Institute for the World Economy (IfW Kiel).
    12. Hahn, Elke, 2002. "Core inflation in the euro area: An application of the generalized dynamic factor model," CFS Working Paper Series 2002/11, Center for Financial Studies (CFS).
    13. Fischer, Andreas & Amstad, Marlene, 2005. "Shock Identification of Macroeconomic Forecasts Based on Daily Panels," CEPR Discussion Papers 5008, C.E.P.R. Discussion Papers.
    14. Michal Brzoza-Brzezina & Jacek Kotlowski, 2009. "Estimating pure inflation in the Polish economy," Working Papers 37, Department of Applied Econometrics, Warsaw School of Economics.
    15. Jörg Breitung & Sandra Eickmeier, 2006. "Dynamic factor models," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 90(1), pages 27-42, March.
    16. Lippi, Marco & Reichlin, Lucrezia & Hallin, Marc & Forni, Mario, 2002. "Do Financial Variables Help Forecasting Inflation and Real Activity in the Euro Area?," CEPR Discussion Papers 3146, C.E.P.R. Discussion Papers.
    17. Hubrich, Kirstin, 2005. "Forecasting euro area inflation: Does aggregating forecasts by HICP component improve forecast accuracy?," International Journal of Forecasting, Elsevier, vol. 21(1), pages 119-136.
    18. Theodore M. Crone & N. Neil K. Khettry & Loretta J. Mester & Jason A. Novak, 2008. "Core measures of inflation as predictors of total inflation," Working Papers 08-9, Federal Reserve Bank of Philadelphia.
    19. Alberto Humala & Gabriel Rodríguez, 2011. "A Factorial Decomposition Of Inflation In Peru, An Alternative Measure Of Core Inflation," Documentos de Trabajo / Working Papers 2011-315, Departamento de Economía - Pontificia Universidad Católica del Perú.
    20. Anton Grui & Roman Lysenko, 2017. "Nowcasting Ukraine's GDP Using a Factor-Augmented VAR (FAVAR) Model," Visnyk of the National Bank of Ukraine, National Bank of Ukraine, issue 242, pages 5-13.
    21. Stefano SIVIERO & Giovanni VERONESE, 2010. "A Policy-Sensible Core-Inflation Measure for the Euro Area," EcoMod2004 330600130, EcoMod.
    22. Andrea Nobili, 2005. "Forecasting Output Growth And Inflation In The Euro Area: Are Financial Spreads Useful?," Temi di discussione (Economic working papers) 544, Bank of Italy, Economic Research and International Relations Area.
    23. Jean Boivin & Serena Ng, 2003. "Are More Data Always Better for Factor Analysis?," NBER Working Papers 9829, National Bureau of Economic Research, Inc.
    24. Emil Stavrev, 2010. "Measures of underlying inflation in the euro area: assessment and role for informing monetary policy," Empirical Economics, Springer, vol. 38(1), pages 217-239, February.
    25. Marlene Amstad & Ye Huan & Guonan Ma, 2014. "Developing an underlying inflation gauge for China," BIS Working Papers 465, Bank for International Settlements.
    26. Lucrezia Reichlin, 2003. "Factor models in large cross sections of time series," ULB Institutional Repository 2013/10179, ULB -- Universite Libre de Bruxelles.
    27. Libero Monteforte, 2004. "Aggregation bias in macro models: does it matter foir the euro area?," Temi di discussione (Economic working papers) 534, Bank of Italy, Economic Research and International Relations Area.
    28. Rapacciuolo, Ciro, 2003. "Un semplice modello univariato per la previsione a breve termine dell'inflazione italiana [A simple model for the short term forecasting of Italian inflation]," MPRA Paper 7714, University Library of Munich, Germany.
    29. Vedolin, Andrea, 2012. "Uncertainty and leveraged Lucas Trees: the cross section of equilibrium volatility risk premia," LSE Research Online Documents on Economics 43091, London School of Economics and Political Science, LSE Library.
    30. Bruneau, C. & De Bandt, O. & Flageollet, A., 2003. "Forecasting Inflation in the Euro Area," Working papers 102, Banque de France.
    31. Stefano Siviero & Giovanni Veronese, 2011. "A policy-sensible benchmark core inflation measure," Oxford Economic Papers, Oxford University Press, vol. 63(4), pages 648-672, December.
    32. Michael Kirker, 2010. "What drives core inflation? A dynamic factor model analysis of tradable and nontradable prices," Reserve Bank of New Zealand Discussion Paper Series DP2010/13, Reserve Bank of New Zealand.
    33. Marlene Amstad & Simon M. Potter, 2009. "Real time underlying inflation gauges for monetary policymakers," Staff Reports 420, Federal Reserve Bank of New York.
    34. Mr. Emil Stavrev, 2009. "Forces Driving Inflation in the New EU10 Members," IMF Working Papers 2009/051, International Monetary Fund.
    35. Maria Arrazola & Jose de Hevia, 2008. "A simple inflation indicator for the euro zone," Applied Economics, Taylor & Francis Journals, vol. 40(18), pages 2387-2394.
    36. Marlene Amstad & Simon Potter & Robert Rich, 2014. "The FRBNY Staff Underlying Inflation Gauge: UIG," BIS Working Papers 453, Bank for International Settlements.
    37. The People's Bank of China, 2016. "An underlying inflation gauge (UIG) for China," BIS Papers chapters, in: Bank for International Settlements (ed.), Inflation mechanisms, expectations and monetary policy, volume 89, pages 117-121, Bank for International Settlements.
    38. Marcellino, Massimiliano & Musso, Alberto, 2010. "Real time estimates of the euro area output gap: reliability and forecasting performance," Working Paper Series 1157, European Central Bank.

  41. Lippi, Marco & Reichlin, Lucrezia & Hallin, Marc & Forni, Mario & Altissimo, Filippo & Cristadoro, Riccardo & Veronese, Giovanni & Bassanetti, Antonio, 2001. "EuroCOIN: A Real Time Coincident Indicator of the Euro Area Business Cycle," CEPR Discussion Papers 3108, C.E.P.R. Discussion Papers.

    Cited by:

    1. Martin Schneider & Martin Spitzer, 2004. "Forecasting Austrian GDP using the generalized dynamic factor model," Working Papers 89, Oesterreichische Nationalbank (Austrian Central Bank).
    2. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2013. "Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model," Tinbergen Institute Discussion Papers 13-142/III, Tinbergen Institute, revised 01 Nov 2014.
    3. Maria A. Arias & Charles S. Gascon & David E. Rapach, 2014. "Metro Business Cycles," Working Papers 2014-46, Federal Reserve Bank of St. Louis.
    4. Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2009. "A Robust Criterion for Determining the Number of Factors in Approximate Factor Models," Working Papers ECARES 2009_023, ULB -- Universite Libre de Bruxelles.
    5. Marie Bessec, 2013. "Short‐Term Forecasts of French GDP: A Dynamic Factor Model with Targeted Predictors," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(6), pages 500-511, September.
    6. António Rua & Luís Catela Nunes, 2003. "Coincident and Leading Indicators for the Euro Area: A Frequency Band Approach," Working Papers w200307, Banco de Portugal, Economics and Research Department.
    7. Eickmeier, Sandra, 2006. "Comovements and heterogeneity in the Comovements and heterogeneity in the dynamic factor model," Discussion Paper Series 1: Economic Studies 2006,31, Deutsche Bundesbank.
    8. Mr. Maxym Kryshko, 2011. "Data-Rich DSGE and Dynamic Factor Models," IMF Working Papers 2011/216, International Monetary Fund.
    9. Klaus Abberger & Michael Graff & Boriss Siliverstovs & Jan-Egbert Sturm, 2014. "The KOF Economic Barometer, Version 2014," KOF Working papers 14-353, KOF Swiss Economic Institute, ETH Zurich.
    10. S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti, 2007. "Real-time measurement of business conditions," International Finance Discussion Papers 901, Board of Governors of the Federal Reserve System (U.S.).
    11. Tatiana Cesaroni, 2011. "The cyclical behavior of the Italian business survey data," Empirical Economics, Springer, vol. 41(3), pages 747-768, December.
    12. Peter McAdam, 2007. "USA, Japan and the Euro Area: Comparing Business-Cycle Features," International Review of Applied Economics, Taylor & Francis Journals, vol. 21(1), pages 135-156.
    13. Valentina Aprigliano & Lorenzo Bencivelli, 2013. "Ita-coin: a new coincident indicator for the Italian economy," Temi di discussione (Economic working papers) 935, Bank of Italy, Economic Research and International Relations Area.
    14. Carriero, Andrea & Marcellino, Massimiliano, 2007. "A comparison of methods for the construction of composite coincident and leading indexes for the UK," International Journal of Forecasting, Elsevier, vol. 23(2), pages 219-236.
    15. Reichlin, Lucrezia & Giannone, Domenico & Modugno, Michele & Banbura, Marta, 2012. "Now-casting and the real-time data flow," CEPR Discussion Papers 9112, C.E.P.R. Discussion Papers.
    16. Adam Jêdrzejczyk, 2012. "Inflation forecasting using dynamic factor analysis. SAS 4GL programming approach," Working Papers 63, Department of Applied Econometrics, Warsaw School of Economics.
    17. Mojon, Benoît & Agresti, Anna Maria, 2001. "Some stylised facts on the euro area business cycle," Working Paper Series 95, European Central Bank.
    18. Wallis, Kenneth F., 2008. "Macroeconomic modelling in central banks in Latin America," Documentos de Proyectos 3627, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
    19. Domenico Giannone & Troy Matheson, 2006. "A new core inflation indicator for New Zealand," Reserve Bank of New Zealand Discussion Paper Series DP2006/02, Reserve Bank of New Zealand.
    20. Eickmeier, Sandra & Breitung, Jörg, 2005. "How synchronized are central and east European economies with the euro area? Evidence from a structural factor model," Discussion Paper Series 1: Economic Studies 2005,20, Deutsche Bundesbank.
    21. Sandra Eickmeier & Joerg Breitung, 2006. "Business cycle transmission from the euro area to CEECs," Computing in Economics and Finance 2006 229, Society for Computational Economics.
    22. Fischer, Andreas & Amstad, Marlene, 2005. "Time-Varying Pass-Through from Import Prices to Consumer Prices: Evidence from an Event Study with Real-Time Data," CEPR Discussion Papers 5395, C.E.P.R. Discussion Papers.
    23. Eduardo Bandrés & María Dolores Gadea-Rivas & Ana Gómez-Loscos, 2017. "Regional business cycles across europe," Occasional Papers 1702, Banco de España.
    24. Domenico Giannone & Lucrezia Reichlin & David H. Small, 2005. "Nowcasting GDP and inflation: the real-time informational content of macroeconomic data releases," Finance and Economics Discussion Series 2005-42, Board of Governors of the Federal Reserve System (U.S.).
    25. Amstad, Marlene & Fischer, Andreas M., 2010. "Monthly pass-through ratios," Journal of Economic Dynamics and Control, Elsevier, vol. 34(7), pages 1202-1213, July.
    26. Oliver Hülsewig & Johannes Mayr & Stéphane Sorbe, 2007. "Assessing the Forecast Properties of the CESifo World Economic Climate Indicator: Evidence for the Euro Area," ifo Working Paper Series 46, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    27. Reichlin, Lucrezia & Giannone, Domenico & Lenza, Michele, 2009. "Business Cycles in the Euro Area," CEPR Discussion Papers 7124, C.E.P.R. Discussion Papers.
    28. Marlene Amstad & Andreas M. Fischer, 2009. "Do macroeconomic announcements move inflation forecasts?," Review, Federal Reserve Bank of St. Louis, vol. 91(Sep), pages 507-518.
    29. Kemal Bagzibagli, 2012. "Monetary Transmission Mechanism and Time Variation in the Euro Area," Discussion Papers 12-12, Department of Economics, University of Birmingham.
    30. Christian Gillitzer & Jonathan Kearns & Anthony Richards, 2005. "The Australian Business Cycle: A Coincident Indicator Approach," RBA Research Discussion Papers rdp2005-07, Reserve Bank of Australia.
    31. Fischer, Andreas & Amstad, Marlene, 2005. "Shock Identification of Macroeconomic Forecasts Based on Daily Panels," CEPR Discussion Papers 5008, C.E.P.R. Discussion Papers.
    32. Xu Han & Mehmet Caner, 2017. "Determining the number of factors with potentially strong within-block correlations in error terms," Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 946-969, October.
    33. Robert Inklaar & Jan Jacobs & Ward Romp, 2005. "Business Cycle Indexes: Does a Heap of Data Help?," Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2004(3), pages 309-336.
    34. Klaus, Benjamin & Ferroni, Filippo, 2015. "Euro area business cycles in turbulent times: convergence or decoupling?," Working Paper Series 1819, European Central Bank.
    35. Andrea Carriero & Massimiliano Marcellino, 2007. "Monitoring the Economy of the Euro Area: A Comparison of Composite Coincident Indexes," Working Papers 319, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    36. Abberger, Klaus & Graff, Michael & Siliverstovs, Boriss & Sturm, Jan-Egbert, 2018. "Using rule-based updating procedures to improve the performance of composite indicators," Economic Modelling, Elsevier, vol. 68(C), pages 127-144.
    37. Michael J. Dueker & Martin Sola, 2008. "Multivariate Markov switching with weighted regime determination: giving France more weight than Finland," Working Papers 2008-001, Federal Reserve Bank of St. Louis.
    38. Monica Billio & Jacques Anas & Laurent Ferrara & Marco Lo Duca, 2007. "A turning point chronology for the Euro-zone," Working Papers 2007_33, Department of Economics, University of Venice "Ca' Foscari".
    39. Jörg Breitung & Sandra Eickmeier, 2006. "Dynamic factor models," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 90(1), pages 27-42, March.
    40. Diron, Marie, 2006. "Short-term forecasts of euro area real GDP growth: an assessment of real-time performance based on vintage data," Working Paper Series 622, European Central Bank.
    41. Eickmeier, Sandra & Breitung, Jorg, 2006. "How synchronized are new EU member states with the euro area? Evidence from a structural factor model," Journal of Comparative Economics, Elsevier, vol. 34(3), pages 538-563, September.
    42. Jeffrey Sheen & Stefan Trück & Ben Zhe Wang, 2015. "Daily Business and External Condition Indices for the Australian Economy," The Economic Record, The Economic Society of Australia, vol. 91(S1), pages 38-53, June.
    43. Barhoumi, K. & Rünstler, G. & Cristadoro, R. & Den Reijer, A. & Jakaitiene, A. & Jelonek, P. & Rua, A. & Ruth, K. & Benk, S. & Van Nieuwenhuyze, C., 2008. "Short-term forecasting of GDP using large monthly datasets: a pseudo real-time forecast evaluation exercise," Working papers 215, Banque de France.
    44. Michael Graff & Dominik Studer, 2018. "Konstruktion von Sammelindikatoren für den Konjunkturverlauf bei prekärer Datenlage am Beispiel Montenegros," KOF Analysen, KOF Swiss Economic Institute, ETH Zurich, vol. 12(3), pages 81-91, October.
    45. Massimiliano Serati & Matteo Manera & Michele Plotegher, 2008. "Modelling electricity prices: from the state of the art to a draft of a new proposal," LIUC Papers in Economics 210, Cattaneo University (LIUC).
    46. Michael Artis & Massimiliano Marcellino & Tommaso Proietti, 2003. "Dating the Euro Area Business Cycle," Working Papers 237, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    47. Andrea Carriero & Massimiliano Marcellino, 2011. "Sectoral Survey‐based Confidence Indicators for Europe," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 73(2), pages 175-206, April.
    48. In Choi & Jorg Breitung, 2011. "Factor models," Working Papers 1121, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy), revised Dec 2011.
    49. Philippe Moës, 2012. "Multivariate models with dual cycles: implications for output gap and potential growth measurement," Empirical Economics, Springer, vol. 42(3), pages 791-818, June.
    50. Gianluca Cubadda, 2007. "A Reduced Rank Regression Approach to Coincident and Leading Indexes Building," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 69(2), pages 271-292, April.
    51. Carlo Ambrogio Favero & Massimilano Marcellino & Francesca Neglia, "undated". "Principal components at work: The empirical analysis of monetary policy with large datasets," Working Papers 223, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    52. Massimiliano Serati & Gianni Amisano, 2008. "Building composite leading indexes in a dynamic factor model framework: a new proposal," LIUC Papers in Economics 212, Cattaneo University (LIUC).
    53. Fornaro, Paolo, 2017. "Know the Present to Understand the Future: Nowcasting and Forecasting the Finnish Economy," ETLA Brief 59, The Research Institute of the Finnish Economy.
    54. Martha Banbura & Domenico Giannone & Lucrezia Reichlin, 2010. "Nowcasting," Working Papers ECARES ECARES 2010-021, ULB -- Universite Libre de Bruxelles.
    55. Jacopo Cimadomo & Agnès Bénassy-Quéré, 2012. "Changing Patterns of Fiscal Policy Multipliers in Germany, the UK and the US," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00966144, HAL.
    56. Leo Krippner & Sandra Eickmeier & Julia von Borstel, 2015. "The interest rate pass-through in the euro area during the sovereign debt crisis," Reserve Bank of New Zealand Discussion Paper Series DP2015/03, Reserve Bank of New Zealand.
    57. S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti, 2007. "Real-Time Measurement of Business Conditions, Second Version," PIER Working Paper Archive 08-011, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 04 Apr 2008.
    58. Lorenza Rossi & Emilio Zanetti Chini, 2017. "Firms' Dynamics and Business Cycle: New Disaggregated Data," DEM Working Papers Series 141, University of Pavia, Department of Economics and Management.
    59. Reichlin, Lucrezia & Sala, Luca & Giannone, Domenico, 2002. "Tracking Greenspan: Systematic and Unsystematic Monetary Policy Revisited," CEPR Discussion Papers 3550, C.E.P.R. Discussion Papers.
    60. Christian Gayer & Julien Genet, 2006. "Using factor models to construct composite indicators from BCS data - a comparison with European Commission confidence indicators," European Economy - Economic Papers 2008 - 2015 240, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    61. Claudia Pacella, 2021. "Dating the euro area business cycle: an evaluation," Temi di discussione (Economic working papers) 1332, Bank of Italy, Economic Research and International Relations Area.
    62. Valentina Aprigliano, 2011. "The relationship between the PMI and the Italian index of industrial production and the impact of the latest economic crisis," Temi di discussione (Economic working papers) 820, Bank of Italy, Economic Research and International Relations Area.
    63. Yoshihiro Ohtsuka, 2018. "Large Shocks and the Business Cycle: The Effect of Outlier Adjustments," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 14(1), pages 143-178, April.
    64. Marc Hallin & Roman Liska, 2008. "Dynamic Factors in the Presence of Block Structure," Economics Working Papers ECO2008/22, European University Institute.
    65. Dreger, Christian & Schumacher, Christian, 2002. "Estimating large-scale factor models for economic activity in Germany: Do they outperform simpler models?," HWWA Discussion Papers 199, Hamburg Institute of International Economics (HWWA).
    66. Barhoumi, K. & Darné, O. & Ferrara, L., 2013. "Dynamic Factor Models: A review of the Literature ," Working papers 430, Banque de France.
    67. Marlene Amstad & Ye Huan & Guonan Ma, 2014. "Developing an underlying inflation gauge for China," BIS Working Papers 465, Bank for International Settlements.
    68. Patnaik, Ila & Mittal, Shalini & Pandey, Radhika, 2019. "Examining the trade-off between price and financial stability in India," Working Papers 19/248, National Institute of Public Finance and Policy.
    69. Libero Monteforte, 2004. "Aggregation bias in macro models: does it matter foir the euro area?," Temi di discussione (Economic working papers) 534, Bank of Italy, Economic Research and International Relations Area.
    70. Herman Kamil & Jose David Pulido & Jose Luis Torres, 2010. "El "IMACO": un índice mensual líder de la actividad económica en Colombia," Borradores de Economia 609, Banco de la Republica de Colombia.
    71. Amstad, Marlene & Ye, Huan & Ma, Guonan, 2018. "Developing an underlying inflation gauge for China," BOFIT Discussion Papers 11/2018, Bank of Finland Institute for Emerging Economies (BOFIT).
    72. Stephen G. Hall & Nicholas G. Zonzilos, 2003. "An Indicator Measuring Underlying Economic Activity in Greece," Working Papers 04, Bank of Greece.
    73. Muriel Nguiffo-Boyom, 2014. "2007-2013: This is what the indicator told us ? Evaluating the performance of real-time nowcasts from a dynamic factor model," BCL working papers 88, Central Bank of Luxembourg.
    74. In Choi & Dukpa Kim & Yun Jung Kim & Noh-Sun Kwark, 2016. "A Multilevel Factor Model: Identification, Asymptotic Theory and Applications," Working Papers 1609, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).
    75. Guido Bulligan & Roberto Golinelli & Giuseppe Parigi, 2010. "Forecasting industrial production: the role of information and methods," IFC Bulletins chapters, in: Bank for International Settlements (ed.), The IFC's contribution to the 57th ISI Session, Durban, August 2009, volume 33, pages 227-235, Bank for International Settlements.
    76. Marcellino, Massimiliano & Proietti, Tommaso & Frale, Cecilia & Mazzi, Gian Luigi, 2008. "A Monthly Indicator of the Euro Area GDP," CEPR Discussion Papers 7007, C.E.P.R. Discussion Papers.
    77. Abdullah Alhassan, 2009. "A Coincident Indicator of the Gulf Cooperation Council (GCC) Business Cycle," IMF Working Papers 2009/073, International Monetary Fund.
    78. Cubadda, Gianluca & Guardabascio, Barbara & Hecq, Alain, 2013. "A general to specific approach for constructing composite business cycle indicators," Economic Modelling, Elsevier, vol. 33(C), pages 367-374.
    79. Sylvia Kaufmann, 2003. "The business cycle of European countries Bayesian clustering of country - individual IP growth series," Working Papers 83, Oesterreichische Nationalbank (Austrian Central Bank).
    80. Juergen Bierbaumer-Polly, 2012. "Regional and Sectoral Business Cycles - Key Features for the Austrian economy," EcoMod2012 4074, EcoMod.
    81. Rueben Ellul, 2016. "A real-time measure of business conditions in Malta," CBM Working Papers WP/04/2016, Central Bank of Malta.
    82. Jason Angelopoulos & Costas I. Chlomoudis, 2017. "A Generalized Dynamic Factor Model for the U.S. Port Sector," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 67(1), pages 22-37, January-M.
    83. Ginters Buss, 2012. "A New Real-Time Indicator for the Euro Area GDP," Working Papers 2012/02, Latvijas Banka.
    84. In Choi, 2012. "Model Selection for Factor Analysis: Some New Criteria and Performance Comparisons," Working Papers 1209, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).
    85. G. Rünstler & K. Barhoumi & S. Benk & R. Cristadoro & A. Den Reijer & A. Jakaitiene & P. Jelonek & A. Rua & K. Ruth & C. Van Nieuwenhuyze, 2009. "Short-term forecasting of GDP using large datasets: a pseudo real-time forecast evaluation exercise," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(7), pages 595-611.
    86. Christian Schumacher, 2007. "Forecasting German GDP using alternative factor models based on large datasets," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(4), pages 271-302.
    87. Sandra Eickmeier, 2009. "Comovements and heterogeneity in the euro area analyzed in a non-stationary dynamic factor model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(6), pages 933-959.
    88. Agnieszka Gehringer & Thomas Mayer, 2021. "Measuring the Business Cycle Chronology with a Novel Business Cycle Indicator for Germany," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 17(1), pages 71-89, April.
    89. Dominique Ladiray, 2002. "Conjoncture, statistique et économétrie," Économie et Statistique, Programme National Persée, vol. 359(1), pages 3-12.
    90. Domenico Giannone & Lucrezia Reichlin & David Small, 2008. "Nowcasting: the real time informational content of macroeconomic data releases," ULB Institutional Repository 2013/6409, ULB -- Universite Libre de Bruxelles.
    91. In Choi, 2011. "Efficient Estimation of Nonstationary Factor Models," Working Papers 1101, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy), revised Jun 2011.
    92. António Rua, 2016. "A wavelet-based multivariate multiscale approach for forecasting," Working Papers w201612, Banco de Portugal, Economics and Research Department.
    93. Dimitra Lamprou, 2015. "Nowcasting GDP in Greece: A Note on Forecasting Improvements from the Use of Bridge Models," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, vol. 13(1), pages 85-100.
    94. Giuseppe Parigi & Roberto Golinelli, 2007. "The use of monthly indicators to forecast quarterly GDP in the short run: an application to the G7 countries," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(2), pages 77-94.
    95. Sandra Eickmeier & Christina Ziegler, 2008. "How successful are dynamic factor models at forecasting output and inflation? A meta-analytic approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(3), pages 237-265.
    96. Christian Schulz, 2007. "Forecasting economic growth for Estonia : application of common factor methodologies," Bank of Estonia Working Papers 2007-09, Bank of Estonia, revised 04 Sep 2007.
    97. Joao Valle e Azevedo & Siem Jan Koopman & Antonio Rua, 2003. "Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area," Tinbergen Institute Discussion Papers 03-069/4, Tinbergen Institute.
    98. Filippo Altissimo & Alberto Locarno & Stefano Siviero, 2002. "Dealing with forward-looking expectations and policy rules in quantifying the channels of transmission of monetary policy," Temi di discussione (Economic working papers) 460, Bank of Italy, Economic Research and International Relations Area.
    99. Marie Diron, 2008. "Short-term forecasts of euro area real GDP growth: an assessment of real-time performance based on vintage data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(5), pages 371-390.
    100. Guido Bulligan & Roberto Golinelli & Giuseppe Parigi, 2010. "Forecasting monthly industrial production in real-time: from single equations to factor-based models," Empirical Economics, Springer, vol. 39(2), pages 303-336, October.
    101. Schumacher Christian & Dreger Christian, 2004. "Estimating Large-Scale Factor Models for Economic Activity in Germany: Do They Outperform Simpler Models? / Die Schätzung von großen Faktormodellen für die deutsche Volkswirtschaft: Übertreffen sie ei," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 224(6), pages 731-750, December.
    102. Philippe Moës, 2008. "Multivariate structural time series models with dual cycles : implications for measurement of output gap and potential growth," Working Paper Research 136, National Bank of Belgium.
    103. Marlene Amstad & Andreas M. Fischer, 2009. "Are Weekly Inflation Forecasts Informative?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(2), pages 237-252, April.
    104. Christophe Van Nieuwenhuyze, 2006. "A generalised dynamic factor model for the Belgian economy - Useful business cycle indicators and GDP growth forecasts," Working Paper Research 80, National Bank of Belgium.
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    106. Hallin, Marc & Liska, Roman, 2011. "Dynamic factors in the presence of blocks," Journal of Econometrics, Elsevier, vol. 163(1), pages 29-41, July.
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  42. Lippi, Marco & Reichlin, Lucrezia & Hallin, Marc & Forni, Mario, 2000. "Reference Cycles: The NBER Methodology Revisited," CEPR Discussion Papers 2400, C.E.P.R. Discussion Papers.

    Cited by:

    1. Zhaoxing Gao & Ruey S. Tsay, 2021. "Divide-and-Conquer: A Distributed Hierarchical Factor Approach to Modeling Large-Scale Time Series Data," Papers 2103.14626, arXiv.org.
    2. Juan Carlos Chávez Martín del Campo & Ricardo Rodríguez Vargas & Felipe de Jesús Fonseca Hernández, 2010. "Vacas gordas y vacas flacas: la política fiscal y el balance estructural en México, 1990-2009," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 25(2), pages 309-336.
    3. Li, Hongjun & Li, Qi & Shi, Yutang, 2017. "Determining the number of factors when the number of factors can increase with sample size," Journal of Econometrics, Elsevier, vol. 197(1), pages 76-86.
    4. Enrique López Enciso, 2019. "Dos tradiciones en la medición del ciclo: historia general y desarrollos en Colombia," Tiempo y Economía, Universidad de Bogotá Jorge Tadeo Lozano, vol. 6(1), pages 77-142, February.
    5. Marcellino, Massimiliano & Stock, James H. & Watson, Mark W., 2003. "Macroeconomic forecasting in the Euro area: Country specific versus area-wide information," European Economic Review, Elsevier, vol. 47(1), pages 1-18, February.
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  44. Mario Forni & Lucrezia Reichlin, 1999. "Risk and potential insurance in Europe," ULB Institutional Repository 2013/10145, ULB -- Universite Libre de Bruxelles.

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    1. Dolls, Mathias & Fuest, Clemens & Peichl, Andreas & Neumann, Dirk, 2015. "An unemployment insurance scheme for the euro area? A comparison of different alternatives using micro data," EUROMOD Working Papers EM15/15, EUROMOD at the Institute for Social and Economic Research.
    2. Forni, Mario & Reichlin, Lucrezia, 2001. "Federal policies and local economies: Europe and the US," European Economic Review, Elsevier, vol. 45(1), pages 109-134, January.
    3. Ortuno-Ortin, Ignacio & Sempere, Jaume, 2006. "A theoretical model of nations, regions and fiscal integration," Regional Science and Urban Economics, Elsevier, vol. 36(1), pages 132-157, January.
    4. Javier Capó Parrilla & Xisco Oliver Rullán, 2002. "Evaluación del efecto estabilizador del presupuesto español y propuestas de estabilización fiscal para la Unión Monetaria Europea," Hacienda Pública Española / Review of Public Economics, IEF, vol. 162(3), pages 35-60, September.
    5. Fabrizio Balassone & Sandro Momigliano & Marzia Romanelli & Pietro Tommasino, 2018. "Just Round the Corner? Pros, Cons, and Implementation Issues of a Fiscal Union for the Euro Area," ECONOMIA PUBBLICA, FrancoAngeli Editore, vol. 2018(1), pages 5-34.
    6. Pierre M. Picard & Tim Worrall, 2009. "Currency Unions and International Assistance," DEM Discussion Paper Series 09-01, Department of Economics at the University of Luxembourg.
    7. Jacques H. Dreze, 2000. "Economic and Social Security in the Twenty‐first Century, with Attention to Europe," Scandinavian Journal of Economics, Wiley Blackwell, vol. 102(3), pages 327-348, September.
    8. Marco Del Negro, 2000. "Asymmetric shocks among U.S. states," FRB Atlanta Working Paper 2000-27, Federal Reserve Bank of Atlanta.
    9. Sebnem Kalemi-Ozcan & Bent E. Sorensen & Oved Yosha, 2000. "Risk Sharing and Sectoral Specialization: Regional and International Evidence," Econometric Society World Congress 2000 Contributed Papers 1582, Econometric Society.
    10. Ignacio Ortuño Ortín & Jaume Sempere, 2000. "Is Regionalism Better For Economic Integration? Nations, Regions, And Risk Sharing," Working Papers. Serie AD 2000-16, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    11. Picard, Pierre M. & Worrall, Tim, 2020. "Currency areas and voluntary transfers," Journal of International Economics, Elsevier, vol. 127(C).
    12. Pacheco, Luís Miguel, 2000. "Fiscal Federalism, EMU and Shock Absorption Mechanisms: A Guide to the Literature," European Integration online Papers (EIoP), European Community Studies Association Austria (ECSA-A), vol. 4, March.
    13. Dolls, Mathias & Lewney, Richard, 2017. "Backward-looking analysis," ZEW Expertises, ZEW - Leibniz Centre for European Economic Research, number 149873, March.
    14. Sebnem Kalemli-Ozcan & Bent E. Sørensen & Oved Yosha, 2003. "Risk Sharing and Industrial Specialization: Regional and International Evidence," American Economic Review, American Economic Association, vol. 93(3), pages 903-918, June.
    15. Ignazio Angeloni & Anil K. Kashyap & Benoit Mojon & Daniele Terlizzese, 2003. "The Output Composition Puzzle: A Difference in the Monetary Transmission Mechanism in the Euro Area and U.S," NBER Working Papers 9985, National Bureau of Economic Research, Inc.
    16. Konrad, Kai A. & Seitz, Helmut, 2001. "Fiscal federalism and risk sharing in Germany: the role of size differences [Risikokonsolidierung im Rahmen des deutschen Länderfinanzausgleichs: die Rolle von Größenunterschieden]," Discussion Papers, Research Unit: Market Processes and Governance FS IV 01-20, WZB Berlin Social Science Center.
    17. Joao L. M. Amador, 2000. "Fiscal federalism in continuous time stochastic economies," Nova SBE Working Paper Series wp383, Universidade Nova de Lisboa, Nova School of Business and Economics.

  45. Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia, 1999. "The Generalized Dynamic Factor Model: Identification and Estimation," CEPR Discussion Papers 2338, C.E.P.R. Discussion Papers.

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    1. Corielli, Francesco & Marcellino, Massimiliano, 2006. "Factor based index tracking," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2215-2233, August.
    2. Castle, Jennifer L. & Doornik, Jurgen A. & Hendry, David F., 2021. "Modelling non-stationary ‘Big Data’," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1556-1575.
    3. Monica Billio & Roberto Casarin & Francesco Ravazzolo & Herman K. van Dijk, 2013. "Interactions between Eurozone and US Booms and Busts: A Bayesian Panel Markov-switching VAR Model," Tinbergen Institute Discussion Papers 13-142/III, Tinbergen Institute, revised 01 Nov 2014.
    4. Aramayis Dallakyan, 2021. "Nonparanormal Structural VAR for Non-Gaussian Data," Computational Economics, Springer;Society for Computational Economics, vol. 57(4), pages 1093-1113, April.
    5. Mario Forni & Luca Gambetti & Luca Sala, 2011. "No News in Business Cycles," Working Papers 535, Barcelona School of Economics.
    6. Drew Creal & Siem Jan Koopman & Eric Zivot, 2008. "The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model," Tinbergen Institute Discussion Papers 08-069/4, Tinbergen Institute.
    7. Chiara Casoli & Riccardo (Jack) Lucchetti, 2022. "Permanent-Transitory decomposition of cointegrated time series via dynamic factor models, with an application to commodity prices [Commodity-price comovement and global economic activity]," The Econometrics Journal, Royal Economic Society, vol. 25(2), pages 494-514.
    8. Moench, Emanuel & Soofi-Siavash, Soroosh, 2022. "What moves treasury yields?," Journal of Financial Economics, Elsevier, vol. 146(3), pages 1016-1043.
    9. Pegoraro, F. & Siegel, A. F. & Tiozzo Pezzoli, L., 2014. "Specification Analysis of International Treasury Yield Curve Factors," Working papers 490, Banque de France.
    10. Heaton, Chris & Oslington, Paul, 2010. "Micro vs macro explanations of post-war US unemployment movements," Economics Letters, Elsevier, vol. 106(2), pages 87-91, February.
    11. Matteo Barigozzi & Christian T. Brownlees & Giampiero M. Gallo & David Veredas, 2010. "Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets," Econometrics Working Papers Archive wp2010_06, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
    12. Elena Deryugina & Alexey Ponomarenko & Andrey Sinyakov & Constantine Sorokin, 2018. "Evaluating underlying inflation measures for Russia," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 11(2), pages 124-145, May.
    13. Reichlin, Lucrezia & Doz, Catherine & Giannone, Domenico, 2006. "A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models," CEPR Discussion Papers 5724, C.E.P.R. Discussion Papers.
    14. Mario Forno & Marco Lippi & Lucrezia Reichlin & Filippo Altissimo & Antonio Bassanetti, 2003. "Eurocoin: A Real Time Coincident Indicator Of The Euro Area Business Cycle," Computing in Economics and Finance 2003 242, Society for Computational Economics.
    15. Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2009. "A Robust Criterion for Determining the Number of Factors in Approximate Factor Models," Working Papers ECARES 2009_023, ULB -- Universite Libre de Bruxelles.
    16. Claudio Morana, 2010. "Heteroskedastic Factor Vector Autoregressive Estimation of Persistent and Non Persistent Processes Subject to Structural Breaks," ICER Working Papers - Applied Mathematics Series 36-2010, ICER - International Centre for Economic Research.
    17. D'Agostino, Antonello & Domenico, Giannone & Surico, Paolo, 2006. "(Un)Predictability and Macroeconomic Stability," Research Technical Papers 5/RT/06, Central Bank of Ireland.
    18. Farmer, Roger & Henry, Jerome & Marcellino, Massimiliano & Beyer, Andreas, 2005. "Factor Analysis in a New-Keynesian Model," CEPR Discussion Papers 5266, C.E.P.R. Discussion Papers.
    19. GUO-FITOUSSI, Liang, 2013. "A Comparison of the Finite Sample Properties of Selection Rules of Factor Numbers in Large Datasets," MPRA Paper 50005, University Library of Munich, Germany.
    20. Christian Genest, 2024. "A Conversation With Marc Hallin," International Statistical Review, International Statistical Institute, vol. 92(2), pages 137-159, August.
    21. Henzel, Steffen R. & Mayr, Johannes, 2013. "The mechanics of VAR forecast pooling—A DSGE model based Monte Carlo study," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 1-24.
    22. Forni, Mario & Hallin, Marc & Lippi, Marco & Zaffaroni, Paolo, 2015. "Dynamic factor models with infinite-dimensional factor spaces: One-sided representations," Journal of Econometrics, Elsevier, vol. 185(2), pages 359-371.
    23. Mackowiak, Bartosz & Jarocinski, Marek, 2013. "Granger-Causal-Priority and Choice of Variables in Vector Autoregressions," CEPR Discussion Papers 9686, C.E.P.R. Discussion Papers.
    24. Eickmeier, Sandra, 2006. "Comovements and heterogeneity in the Comovements and heterogeneity in the dynamic factor model," Discussion Paper Series 1: Economic Studies 2006,31, Deutsche Bundesbank.
    25. Natalia Bailey & George Kapetanios & M. Hashem Pesaran, 2012. "Exponent of Cross-sectional Dependence: Estimation and Inference," CESifo Working Paper Series 3722, CESifo.
    26. Hansson, Jesper & Jansson, Per & Löf, Mårten, 2003. "Business Survey Data: Do They Help in Forecasting the Macro Economy?," Working Paper Series 151, Sveriges Riksbank (Central Bank of Sweden).
    27. Marc Hallin & Siegfried Hörmann & Marco Lippi, 2017. "Optimal Dimension Reduction for High-dimensional and Functional Time Series," Working Papers ECARES ECARES 2017-39, ULB -- Universite Libre de Bruxelles.
    28. Jennifer Castle & David Hendry & Michael P. Clements, 2014. "Robust Approaches to Forecasting," Economics Series Working Papers 697, University of Oxford, Department of Economics.
    29. Claudio Morana, 2014. "Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks," Working Papers 273, University of Milano-Bicocca, Department of Economics, revised May 2014.
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    44. Mustafa Gülerce & Gazanfer Ünal, 2018. "Electricity price forecasting using multiple wavelet coherence method: Comparison of ARMA versus VARMA," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(01), pages 1-20, March.
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    1. Ansgar Belke & Frank Baumgärtner, 2002. "Fiskalische Transfermechanismen und asymmetrische Schocks in Euroland," Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim 209/2002, Department of Economics, University of Hohenheim, Germany.
    2. Jean-Pierre DANTHINE & Francesco GIAVAZZI & Ernst-Ludwig VON THADDEN, 2000. "European Financial Markets After EMU: A First Assessment," Cahiers de Recherches Economiques du Département d'économie 00.03, Université de Lausanne, Faculté des HEC, Département d’économie, revised May 2000.
    3. Francesco Paolo Mongelli, 2005. "What is European Economic and Monetary Union Telling us About the Properties of Optimum Currency Areas?," Journal of Common Market Studies, Wiley Blackwell, vol. 43(3), pages 607-635, September.
    4. Artis, Michael J & Krolzig, Hans-Martin & Toro, Juan, 1999. "The European Business Cycle," CEPR Discussion Papers 2242, C.E.P.R. Discussion Papers.
    5. Mario Forni & Lucrezia Reichlin, 1999. "Risk and potential insurance in Europe," ULB Institutional Repository 2013/10145, ULB -- Universite Libre de Bruxelles.
    6. Carlo Ambrogio Favero & Massimilano Marcellino & Francesca Neglia, "undated". "Principal components at work: The empirical analysis of monetary policy with large datasets," Working Papers 223, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    7. Ansgar BELKE & Jens H. HEINE, 2010. "Specialisation Patterns and the Synchronicity of Regional Employment Cycles in Europe," EcoMod2004 330600020, EcoMod.
    8. Joan Costa-i-Font & Ramon Tremosa-i-Balcells, "undated". "Spanish Regions and the Macroeconomic Benefits of European Monetary Union (EMU)," Studies on the Spanish Economy 89, FEDEA.
    9. Süppel, Ralph, 2003. "Comparing economic dynamics in the EU and CEE accession countries," Working Paper Series 267, European Central Bank.
    10. Yosha, Oved & Sørensen, Bent E & Ostergaard, Charlotte, 2001. "Consumption and Aggregate Constraints: Evidence from US States and Canadian Provinces," CEPR Discussion Papers 2947, C.E.P.R. Discussion Papers.
    11. Jürgen Bierbaumer & Werner Hölzl, 2015. "Business Cycle Dynamics and Firm Heterogeneity. Evidence for Austria Using Survey Data," WIFO Working Papers 504, WIFO.
    12. Kalemli-Ozcan, Sebnem & Sorensen, Bent E. & Yosha, Oved, 2001. "Economic integration, industrial specialization, and the asymmetry of macroeconomic fluctuations," Journal of International Economics, Elsevier, vol. 55(1), pages 107-137, October.
    13. George Kapetanios & Massimiliano Marcellino, 2009. "A parametric estimation method for dynamic factor models of large dimensions," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(2), pages 208-238, March.
    14. Lucrezia Reichlin, 2003. "Factor models in large cross sections of time series," ULB Institutional Repository 2013/10179, ULB -- Universite Libre de Bruxelles.
    15. Ṣebnem Kalemli-Özcan & Bent E. Sorensen & Oved Yosha, 1999. "Industrial specialization and the asymmetry of shocks across regions," Research Working Paper 99-06, Federal Reserve Bank of Kansas City.
    16. Massimiliano Marcellino & George Kapetanios, 2006. "The Role of Search Frictions and Bargaining for Inflation Dynamics," Working Papers 305, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    17. James H. Stock & Mark W. Watson, 1998. "Diffusion Indexes," NBER Working Papers 6702, National Bureau of Economic Research, Inc.
    18. Lores, Francisco Xavier, 2001. "Growth and cyclical fluctuations in Spanish macroeconomic series," UC3M Working papers. Economics we014609, Universidad Carlos III de Madrid. Departamento de Economía.
    19. Catherine Bruno & Catherine Fuss, 2000. "Ajustement sur les marchés du travail et lutte contre le chômage [En Allemagne, en France et aux États-Unis]," Revue de l'OFCE, Programme National Persée, vol. 74(1), pages 159-179.
    20. Francesco Paolo Mongelli, 2008. "European Economic and Monetary Integration, and the Optimum Currency Area Theory," European Economy - Economic Papers 2008 - 2015 302, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
    21. Mario Forni & Marc Hallin & Lucrezia Reichlin & Marco Lippi, 2000. "The generalised dynamic factor model: identification and estimation," ULB Institutional Repository 2013/10143, ULB -- Universite Libre de Bruxelles.
    22. Forni, Mario & Lippi, Marco, 1999. "Aggregation of linear dynamic microeconomic models," Journal of Mathematical Economics, Elsevier, vol. 31(1), pages 131-158, February.
    23. Ansgar Belke & Jens Heine, 2007. "On the endogeneity of an exogenous OCA-criterion: specialisation and the correlation of regional business cycles in Europe," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 34(1), pages 15-44, March.
    24. Bruno, C. & Fuss, C., 1999. "Asymmetries on European labour markets," Documents de Travail de l'OFCE 1999-03, Observatoire Francais des Conjonctures Economiques (OFCE).
    25. Xavier Vives, 2001. "Restructuring Financial Regulation in the European Monetary Union," Journal of Financial Services Research, Springer;Western Finance Association, vol. 19(1), pages 57-82, February.
    26. Demyanyk, Yuliya & Volosovych, Vadym, 2005. "Macroeconomic Asymmetry in the European Union: The Difference Between New and Old Members," CEPR Discussion Papers 4847, C.E.P.R. Discussion Papers.
    27. Juan Luís Ollero & Raul Ramos & Jordi Suriñach-Caralt, 2001. "Macroeconomic implications of EMU at the regional level," ERSA conference papers ersa01p146, European Regional Science Association.

  49. Forni, Mario & Reichlin, Lucrezia, 1995. "Let's Get Real: A Dynamic Factor Analytical Approach to Disaggregated Business Cycle," CEPR Discussion Papers 1244, C.E.P.R. Discussion Papers.

    Cited by:

    1. Corielli, Francesco & Marcellino, Massimiliano, 2006. "Factor based index tracking," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2215-2233, August.
    2. Fabio Canova, 1997. "Testing for convergence clubs in income per-capita: A predictive density approach," Economics Working Papers 404, Department of Economics and Business, Universitat Pompeu Fabra, revised Jun 1999.
    3. Andrew T. Foerster & Pierre-Daniel G. Sarte & Mark W. Watson, 2011. "Sectoral versus Aggregate Shocks: A Structural Factor Analysis of Industrial Production," Journal of Political Economy, University of Chicago Press, vol. 119(1), pages 1-38.
    4. Nii Ayi Armah & Norman R. Swanson, 2008. "Seeing inside the black box: Using diffusion index methodology to construct factor proxies in large scale macroeconomic time series environments," Working Papers 08-25, Federal Reserve Bank of Philadelphia.
    5. Domenico Delli Gatti & Mauro Gallegati, 2004. "Weird Ties? : Growth, Cycles and Firms Dynamics in an Agent Based-Model with Financial Market Imperfections," Computing in Economics and Finance 2004 288, Society for Computational Economics.
    6. Bank for International Settlements, 2008. "Measuring economic integration: the case of Asian economies," BIS Papers chapters, in: Bank for International Settlements (ed.), Regional financial integration in Asia: present and future, volume 42, pages 136-158, Bank for International Settlements.
    7. Norman R. Swanson & Nii Ayi Armah, 2011. "Diffusion Index Models and Index Proxies: Recent Results and New Directions," Departmental Working Papers 201114, Rutgers University, Department of Economics.
    8. Ben S. Bernanke & Jean Boivin & Piotr Eliasz, 2004. "Measuring the effects of monetary policy: a factor-augmented vector autoregressive (FAVAR) approach," Finance and Economics Discussion Series 2004-03, Board of Governors of the Federal Reserve System (U.S.).
    9. Carlo A. Favero, 2007. "Model Evaluation in Macroeconometrics: from early empirical macroeconomic models to DSGE models," Working Papers 327, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    10. George Kapetanios, 2004. "Dynamic Factor Extraction of Cross-Sectional Dependence in Panel Unit Root Tests," Working Papers 509, Queen Mary University of London, School of Economics and Finance.
    11. Stelios D. Bekiros & Alessia Paccagnini, 2013. "Bayesian Forecasting with a Factor-Augmented Vector Autoregressive DSGE model," Working Paper series 22_13, Rimini Centre for Economic Analysis.
    12. Roberto Tatiwa Ferreira & Herman Bierens & Ivan Castelar, 2005. "Forecasting Quarterly Brazilian GDP Growth Rate With Linear and NonLinear Diffusion Index Models," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], vol. 6(3), pages 261-292.
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    19. Carlo Ambrogio Favero & Massimilano Marcellino & Francesca Neglia, "undated". "Principal components at work: The empirical analysis of monetary policy with large datasets," Working Papers 223, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    20. Nii Ayi Armah & Norman Swanson, 2011. "Some variables are more worthy than others: new diffusion index evidence on the monitoring of key economic indicators," Applied Financial Economics, Taylor & Francis Journals, vol. 21(1-2), pages 43-60.
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    25. Stelios D. Bekiros & Alessia Paccagnini, 2014. "Policy-oriented macroeconomic forecasting with hybrid DGSE and time-varying parameter VAR models," Working Papers 2014-426, Department of Research, Ipag Business School.
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    27. George Kapetanios & Massimiliano Marcellino, 2009. "A parametric estimation method for dynamic factor models of large dimensions," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(2), pages 208-238, March.
    28. Stelios Bekiros & Alessia Paccagnini, 2014. "Forecasting the US Economy with a Factor-Augmented Vector Autoregressive DSGE model," Working Papers 2014-183, Department of Research, Ipag Business School.
    29. Carlo A. Favero, 2007. "The Econometrics of Monetary Policy: an Overview," Working Papers 329, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    30. Massimiliano Marcellino & George Kapetanios, 2006. "The Role of Search Frictions and Bargaining for Inflation Dynamics," Working Papers 305, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    31. James H. Stock & Mark W. Watson, 1998. "Diffusion Indexes," NBER Working Papers 6702, National Bureau of Economic Research, Inc.
    32. António Rua & Francisco Craveiro Dias, 2008. "Determining the number of factors in approximate factor models with global and group-specific factors," Working Papers w200809, Banco de Portugal, Economics and Research Department.
    33. Forni, Mario & Lippi, Marco, 1999. "Aggregation of linear dynamic microeconomic models," Journal of Mathematical Economics, Elsevier, vol. 31(1), pages 131-158, February.
    34. Yin-Wong Cheung & Matthew S. Yiu & Kenneth K. Chow, 2009. "A Factor Analysis of Trade Integration: the Case of Asian and Oceanic Economies," Economie Internationale, CEPII research center, issue 119, pages 5-23.
    35. Jean-Pierre Rouy, 1997. "Sources et impacts à long terme des chocs dans l'industrie manufacturière : une analyse au niveau désagrégé," Économie et Prévision, Programme National Persée, vol. 131(5), pages 131-144.

  50. Forni, Mario & Reichlin, Lucrezia, 1995. "Dynamic Common Factors in Large Cross-Sections," CEPR Discussion Papers 1285, C.E.P.R. Discussion Papers.

    Cited by:

    1. Corielli, Francesco & Marcellino, Massimiliano, 2006. "Factor based index tracking," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2215-2233, August.
    2. Robin L. Lumsdaine & Mr. Eswar S Prasad, 1999. "Identifying the Common Component in International Economic Fluctuations: A New Approach," IMF Working Papers 1999/154, International Monetary Fund.
    3. Orazio Attanasio & Margherita Borella, 2006. "Stochastic Components of Individual Consumption: A Time Series Analysis of Grouped Data," NBER Working Papers 12456, National Bureau of Economic Research, Inc.
    4. Nii Ayi Armah & Norman R. Swanson, 2008. "Seeing inside the black box: Using diffusion index methodology to construct factor proxies in large scale macroeconomic time series environments," Working Papers 08-25, Federal Reserve Bank of Philadelphia.
    5. Forni, Mario & Reichlin, Lucrezia, 2001. "Federal policies and local economies: Europe and the US," European Economic Review, Elsevier, vol. 45(1), pages 109-134, January.
    6. Artis, Michael & Osborn, Denise & Perez-Vazquez, Pedro, 2004. "The International Business Cycle in a Changing World: Volatility and the Propagation of Shocks in the G-7," CEPR Discussion Papers 4652, C.E.P.R. Discussion Papers.
    7. Grace H.Y. Lee, 2009. "Aggregate Shocks Decomposition For Eight East Asian Countries," Monash Economics Working Papers 17-09, Monash University, Department of Economics.
    8. Norman R. Swanson & Nii Ayi Armah, 2011. "Diffusion Index Models and Index Proxies: Recent Results and New Directions," Departmental Working Papers 201114, Rutgers University, Department of Economics.
    9. Alessia Paccagnini, 2017. "Forecasting with FAVAR: macroeconomic versus financial factors," NBP Working Papers 256, Narodowy Bank Polski.
    10. Ben S. Bernanke & Jean Boivin & Piotr Eliasz, 2004. "Measuring the effects of monetary policy: a factor-augmented vector autoregressive (FAVAR) approach," Finance and Economics Discussion Series 2004-03, Board of Governors of the Federal Reserve System (U.S.).
    11. Carlo A. Favero, 2007. "Model Evaluation in Macroeconometrics: from early empirical macroeconomic models to DSGE models," Working Papers 327, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    12. Elena Angelini & Jérôme Henry & Ricardo Mestre, 2001. "A multi-country trend indicator for euro area inflation: computation and properties," BIS Papers chapters, in: Bank for International Settlements (ed.), Empirical studies of structural changes and inflation, volume 3, pages 81-108, Bank for International Settlements.
    13. Liu, Dandan & Jansen, Dennis W., 2007. "Macroeconomic forecasting using structural factor analysis," International Journal of Forecasting, Elsevier, vol. 23(4), pages 655-677.
    14. George Kapetanios, 2004. "Dynamic Factor Extraction of Cross-Sectional Dependence in Panel Unit Root Tests," Working Papers 509, Queen Mary University of London, School of Economics and Finance.
    15. Bekiros Stelios & Paccagnini Alessia, 2015. "Estimating point and density forecasts for the US economy with a factor-augmented vector autoregressive DSGE model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(2), pages 107-136, April.
    16. Lippi, Marco & Reichlin, Lucrezia & Forni, Mario, 2003. "Opening the Black Box: Structural Factor Models versus Structural VARs," CEPR Discussion Papers 4133, C.E.P.R. Discussion Papers.
    17. Bernanke, Ben S. & Boivin, Jean, 2003. "Monetary policy in a data-rich environment," Journal of Monetary Economics, Elsevier, vol. 50(3), pages 525-546, April.
    18. Stelios D. Bekiros & Alessia Paccagnini, 2014. "Bayesian forecasting with small and medium scale factor-augmented vector autoregressive DSGE models," Open Access publications 10197/7322, School of Economics, University College Dublin.
    19. Gianluca Lagana, 2004. "Measuring monetary policy in the UK: a factor augmented vector autoregressive approach," Money Macro and Finance (MMF) Research Group Conference 2004 64, Money Macro and Finance Research Group.
    20. Domenico Giannone & Lucrezia Reichlin, 2005. "Does information help recovering fundamental structural shocks from past observations?," Macroeconomics 0511017, University Library of Munich, Germany.
    21. Gagliardini, Patrick & Gouriéroux, Christian, 2017. "Double instrumental variable estimation of interaction models with big data," Journal of Econometrics, Elsevier, vol. 201(2), pages 176-197.
    22. Carlo Ambrogio Favero & Massimilano Marcellino & Francesca Neglia, "undated". "Principal components at work: The empirical analysis of monetary policy with large datasets," Working Papers 223, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    23. Andrea Cipollini & George Kapetanios, 2004. "A Stochastic Variance Factor Model for Large Datasets and an Application to S&P Data," Working Papers 506, Queen Mary University of London, School of Economics and Finance.
    24. Nii Ayi Armah & Norman Swanson, 2011. "Some variables are more worthy than others: new diffusion index evidence on the monitoring of key economic indicators," Applied Financial Economics, Taylor & Francis Journals, vol. 21(1-2), pages 43-60.
    25. Giannone, Domenico & Reichlin, Lucrezia, 2006. "Does information help recovering structural shocks from past observations?," Working Paper Series 632, European Central Bank.
    26. Forni, Mario & Gambetti, Luca, 2014. "Sufficient information in structural VARs," Journal of Monetary Economics, Elsevier, vol. 66(C), pages 124-136.
    27. Kelly, Bryan & Pruitt, Seth, 2015. "The three-pass regression filter: A new approach to forecasting using many predictors," Journal of Econometrics, Elsevier, vol. 186(2), pages 294-316.
    28. Kuruppuarachchi, Duminda & Premachandra, I.M., 2016. "Information spillover dynamics of the energy futures market sector: A novel common factor approach," Energy Economics, Elsevier, vol. 57(C), pages 277-294.
    29. Consolo, Agostino & Favero, Carlo A. & Paccagnini, Alessia, 2009. "On the statistical identification of DSGE models," Journal of Econometrics, Elsevier, vol. 150(1), pages 99-115, May.
    30. Zirogiannis, Nikolaos & Tripodis, Yorghos, 2014. "Dynamic Factor Analysis for Short Panels: Estimating Performance Trajectories for Water Utilities," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 170592, Agricultural and Applied Economics Association.
    31. Peijie Wang, 2003. "Cycles and Common Cycles in Property and Related Sectors," International Real Estate Review, Global Social Science Institute, vol. 6(1), pages 22-42.
    32. Neusser, Klaus, 2008. "Interdependencies of US manufacturing sectoral TFPs: A spatial VAR approach," Journal of Macroeconomics, Elsevier, vol. 30(3), pages 991-1004, September.
    33. Stelios D. Bekiros & Alessia Paccagnini, 2014. "Policy-oriented macroeconomic forecasting with hybrid DGSE and time-varying parameter VAR models," Working Papers 2014-426, Department of Research, Ipag Business School.
    34. George Kapetanios & Massimiliano Marcellino, 2009. "A parametric estimation method for dynamic factor models of large dimensions," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(2), pages 208-238, March.
    35. Lucrezia Reichlin, 2003. "Factor models in large cross sections of time series," ULB Institutional Repository 2013/10179, ULB -- Universite Libre de Bruxelles.
    36. Carlo A. Favero, 2007. "The Econometrics of Monetary Policy: an Overview," Working Papers 329, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    37. Paccagnini, Alessia, 2019. "Did financial factors matter during the Great Recession?," Economics Letters, Elsevier, vol. 174(C), pages 26-30.
    38. Massimiliano Marcellino & George Kapetanios, 2006. "The Role of Search Frictions and Bargaining for Inflation Dynamics," Working Papers 305, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    39. James H. Stock & Mark W. Watson, 1998. "Diffusion Indexes," NBER Working Papers 6702, National Bureau of Economic Research, Inc.
    40. Asger Lunde & Miha Torkar, 2020. "Including news data in forecasting macro economic performance of China," Computational Management Science, Springer, vol. 17(4), pages 585-611, December.
    41. Strozzi, Chiara & Pistoresi, Barbara, 2001. "Rent Sharing in Wage Determination: Evidence from Italy," CEPR Discussion Papers 2939, C.E.P.R. Discussion Papers.
    42. Neusser, Klaus, 2001. "A Multisectoral Log-Linear Model of Economic Growth with Marshallian Externalities," Journal of Macroeconomics, Elsevier, vol. 23(4), pages 537-564, October.
    43. Wei-Chun Hsu & Lin Lin & Chen-Yu Li, 2014. "Forecasting automobile sales: the Peña-Box approach," Transportation Planning and Technology, Taylor & Francis Journals, vol. 37(6), pages 568-580, August.
    44. Sagaert, Yves R. & Aghezzaf, El-Houssaine & Kourentzes, Nikolaos & Desmet, Bram, 2018. "Tactical sales forecasting using a very large set of macroeconomic indicators," European Journal of Operational Research, Elsevier, vol. 264(2), pages 558-569.
    45. Mario Forni & Marc Hallin & Lucrezia Reichlin & Marco Lippi, 2000. "The generalised dynamic factor model: identification and estimation," ULB Institutional Repository 2013/10143, ULB -- Universite Libre de Bruxelles.
    46. Konstantin Kuck & Karsten Schweikert, 2021. "Forecasting Baden‐Württemberg's GDP growth: MIDAS regressions versus dynamic mixed‐frequency factor models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(5), pages 861-882, August.
    47. Alvarez, Rocio & Camacho, Maximo & Perez-Quiros, Gabriel, 2016. "Aggregate versus disaggregate information in dynamic factor models," International Journal of Forecasting, Elsevier, vol. 32(3), pages 680-694.
    48. Robin L. Lumsdaine & Eswar S. Prasad, 1997. "Identifying the Common Component in International Economic Fluctuations," NBER Working Papers 5984, National Bureau of Economic Research, Inc.
    49. Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2007. "A Review of Nonfundamentalness and Identification in Structural VAR Models," LEM Papers Series 2007/22, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    50. Paul Gilbert & Lise Pichette, 2003. "Dynamic Factor Analysis for Measuring Money," Staff Working Papers 03-21, Bank of Canada.
    51. Davor Kunovac, 2007. "Factor Model Forecasting of Inflation in Croatia," Financial Theory and Practice, Institute of Public Finance, vol. 31(4), pages 371-393.
    52. Christian Jensen, 2017. "Aggregate Evidence on Price Rigidities and the Inflation-Output Trade-Off: A Factor Analysis of Factor Shares," Annals of Economics and Finance, Society for AEF, vol. 18(2), pages 227-252, November.

Articles

  1. Forni, Mario & Gambetti, Luca & Maffei-Faccioli, Nicolò & Sala, Luca, 2024. "The effects of monetary policy on macroeconomic risk," European Economic Review, Elsevier, vol. 167(C).

    Cited by:

    1. Emter, Lorenz & Setzer, Ralph & Zorell, Nico & Moura, Afonso S., 2024. "Monetary policy and growth-at-risk: the role of institutional quality," Working Paper Series 2989, European Central Bank.

  2. Mario Forni & Luca Gambetti & Nicolò Maffei‐Faccioli & Luca Sala, 2024. "Nonlinear Transmission of Financial Shocks: Some New Evidence," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 56(1), pages 5-33, February.
    See citations under working paper version above.
  3. Mario Forni & Luca Gambetti, 2021. "Policy and Business Cycle Shocks: A Structural Factor Model Representation of the US Economy," JRFM, MDPI, vol. 14(8), pages 1-21, August.

    Cited by:

    1. Alfan Mansur, 2023. "Simultaneous identification of fiscal and monetary policy shocks," Empirical Economics, Springer, vol. 65(2), pages 697-728, August.
    2. Luke Mosley & Tak-Shing Chan & Alex Gibberd, 2023. "sparseDFM: An R Package to Estimate Dynamic Factor Models with Sparse Loadings," Papers 2303.14125, arXiv.org.
    3. Wouter J. Den Haan & Tiancheng Sun, 2024. "The Role of Sell Frictions for Inventories and Business Cycles," Discussion Papers 2426, Centre for Macroeconomics (CFM).
    4. Juho Koistinen & Bernd Funovits, 2022. "Estimation of Impulse-Response Functions with Dynamic Factor Models: A New Parametrization," Papers 2202.00310, arXiv.org, revised Feb 2022.

  4. Mario Forni & Luca Gambetti & Luca Sala, 2019. "Structural VARs and noninvertible macroeconomic models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(2), pages 221-246, March.

    Cited by:

    1. Pagan, Adrian & Robinson, Tim, 2022. "Excess shocks can limit the economic interpretation," European Economic Review, Elsevier, vol. 145(C).
    2. Collard, Fabrice & Dellas, Harris & Angeletos, George-Marios, 2020. "Business Cycle Anatomy," TSE Working Papers 20-1065, Toulouse School of Economics (TSE).
    3. Dake Li & Mikkel Plagborg-Møller & Christian K. Wolf, 2021. "Local Projections vs. VARs: Lessons From Thousands of DGPs," Working Papers 2021-55, Princeton University. Economics Department..
    4. Miranda-Agrippino, Silvia & Ricco, Giovanni, 2023. "Identification with External Instruments in Structural VARs," Journal of Monetary Economics, Elsevier, vol. 135(C), pages 1-19.
    5. Mario Forni & Luca Gambetti & marco Lippi & Luca Sala, 2020. "Common Components Structural VARs," Center for Economic Research (RECent) 147, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    6. Giovanni Angelini & Marco M. Sorge, 2021. "Under the same (Chole)sky: DNK models, timing restrictions and recursive identification of monetary policy shocks," Working Papers wp1160, Dipartimento Scienze Economiche, Universita' di Bologna.
    7. Mikkel Plagborg-Møller & Christian K. Wolf, 2022. "Instrumental Variable Identification of Dynamic Variance Decompositions," Journal of Political Economy, University of Chicago Press, vol. 130(8), pages 2164-2202.
    8. Buncic, Daniel, 2024. "Econometric issues in the estimation of the natural rate of interest," Economic Modelling, Elsevier, vol. 132(C).
    9. Liu, Xiaochun, 2021. "On fiscal and monetary policy-induced macroeconomic volatility dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
    10. Thorsten Drautzburg & Jonathan H. Wright, 2021. "Refining Set-Identification in VARs through Independence," Working Papers 21-31, Federal Reserve Bank of Philadelphia.
    11. Maghyereh, Aktham & Abdoh, Hussein, 2021. "The effect of structural oil shocks on bank systemic risk in the GCC countries," Energy Economics, Elsevier, vol. 103(C).
    12. Mirela Miescu & Haroon Mumtaz, 2019. "Proxy structural vector autoregressions, informational sufficiency and the role of monetary policy," Working Papers 280730188, Lancaster University Management School, Economics Department.
    13. Gianluca Cubadda & Marco Mazzali, 2023. "The Vector Error Correction Index Model: Representation, Estimation and Identification," CEIS Research Paper 556, Tor Vergata University, CEIS, revised 04 Apr 2023.
    14. Piergiorgio Alessandri & Andrea Gazzani & Alejandro Vicondoa, 2023. "Are the Effects of Uncertainty Shocks Big or Small?," Documentos de Trabajo 569, Instituto de Economia. Pontificia Universidad Católica de Chile..
    15. Mikkel Plagborg-Møller & Christian K. Wolf, 2020. "Local Projections and VARs Estimate the Same Impulse Responses," Working Papers 2020-16, Princeton University. Economics Department..
    16. Piergiorgio Alessandri & Andrea Gazzani, 2023. "Natural gas and the macroeconomy: not all energy shocks are alike," Temi di discussione (Economic working papers) 1428, Bank of Italy, Economic Research and International Relations Area.
    17. Debortoli, Davide & Forni, Mario & Gambetti, Luca & Sala, Luca, 2023. "Asymmetric Monetary Policy Tradeoffs," CEPR Discussion Papers 18438, C.E.P.R. Discussion Papers.
    18. Han, Zhao & Tan, Fei & Wu, Jieran, 2022. "Analytic policy function iteration," Journal of Economic Theory, Elsevier, vol. 200(C).
    19. Ben Tippet & Özlem Onaran & Rafael Wildauer, 2024. "The Effect of Labor's Bargaining Power on Wealth Inequality in the UK, USA, And France," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 70(1), pages 102-128, March.
    20. ChaeWon Baek & Byoungchan Lee, 2022. "A Guide to Autoregressive Distributed Lag Models for Impulse Response Estimations," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(5), pages 1101-1122, October.
    21. Paul Levine & Joseph Pearlman & Stephen Wright & Bo Yang, 2023. "Imperfect Information and Hidden Dynamics," School of Economics Discussion Papers 1223, School of Economics, University of Surrey.

  5. Mario Forni & Alessandro Giovannelli & Marco Lippi & Stefano Soccorsi, 2018. "Dynamic factor model with infinite‐dimensional factor space: Forecasting," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(5), pages 625-642, August.
    See citations under working paper version above.
  6. Mario Forni & Luca Gambetti & Marco Lippi & Luca Sala, 2017. "Noise Bubbles," Economic Journal, Royal Economic Society, vol. 127(604), pages 1940-1976, September.
    See citations under working paper version above.
  7. Mario Forni & Luca Gambetti & Marco Lippi & Luca Sala, 2017. "Noisy News in Business Cycles," American Economic Journal: Macroeconomics, American Economic Association, vol. 9(4), pages 122-152, October.
    See citations under working paper version above.
  8. Forni, Mario & Hallin, Marc & Lippi, Marco & Zaffaroni, Paolo, 2017. "Dynamic factor models with infinite-dimensional factor space: Asymptotic analysis," Journal of Econometrics, Elsevier, vol. 199(1), pages 74-92.
    See citations under working paper version above.
  9. Forni, Mario & Gambetti, Luca, 2016. "Government spending shocks in open economy VARs," Journal of International Economics, Elsevier, vol. 99(C), pages 68-84.
    See citations under working paper version above.
  10. Forni, Mario & Hallin, Marc & Lippi, Marco & Zaffaroni, Paolo, 2015. "Dynamic factor models with infinite-dimensional factor spaces: One-sided representations," Journal of Econometrics, Elsevier, vol. 185(2), pages 359-371.
    See citations under working paper version above.
  11. Forni, Mario & Gambetti, Luca, 2014. "Sufficient information in structural VARs," Journal of Monetary Economics, Elsevier, vol. 66(C), pages 124-136.
    See citations under working paper version above.
  12. Mario Forni & Luca Gambetti & Luca Sala, 2014. "No News in Business Cycles," Economic Journal, Royal Economic Society, vol. 124(581), pages 1168-1191, December.
    See citations under working paper version above.
  13. Forni, Mario & Lippi, Marco, 2011. "The general dynamic factor model: One-sided representation results," Journal of Econometrics, Elsevier, vol. 163(1), pages 23-28, July.

    Cited by:

    1. Forni, Mario & Hallin, Marc & Lippi, Marco & Zaffaroni, Paolo, 2015. "Dynamic factor models with infinite-dimensional factor spaces: One-sided representations," Journal of Econometrics, Elsevier, vol. 185(2), pages 359-371.
    2. Marc Hallin & Siegfried Hörmann & Marco Lippi, 2017. "Optimal Dimension Reduction for High-dimensional and Functional Time Series," Working Papers ECARES ECARES 2017-39, ULB -- Universite Libre de Bruxelles.
    3. Carlos Cesar Trucios-Maza & João H. G Mazzeu & Luis K. Hotta & Pedro L. Valls Pereira & Marc Hallin, 2019. "On the robustness of the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting," Working Papers ECARES 2019-32, ULB -- Universite Libre de Bruxelles.
    4. Carlos Trucíos & João H. G. Mazzeu & Marc Hallin & Luiz K. Hotta & Pedro L. Valls Pereira & Mauricio Zevallos, 2022. "Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(1), pages 40-52, December.
    5. Alkhareif, Ryadh M. & Barnett, William A., 2020. "Nowcasting Real GDP for Saudi Arabia," MPRA Paper 104278, University Library of Munich, Germany.
    6. Barigozzi, Matteo & Hallin, Marc, 2017. "Generalized dynamic factor models and volatilities: estimation and forecasting," Journal of Econometrics, Elsevier, vol. 201(2), pages 307-321.
    7. Trucíos Maza, Carlos César & Mazzeu, João H. G. & Hotta, Luiz Koodi & Pereira, Pedro L. Valls & Hallin, Marc, 2020. "Robustness and the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting," Textos para discussão 521, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    8. Catherine Doz & Peter Fuleky, 2019. "Dynamic Factor Models," Working Papers 2019-4, University of Hawaii Economic Research Organization, University of Hawaii at Manoa.
    9. Mario Forni & Alessandro Giovannelli & Marco Lippi & Stefano Soccorsi, 2016. "Dynamic Factor Model with Infinite Dimensional Factor Space: Forecasting," Working Papers ECARES ECARES 2016-16, ULB -- Universite Libre de Bruxelles.
    10. Fiorentini, Gabriele & Galesi, Alessandro & Sentana, Enrique, 2018. "A spectral EM algorithm for dynamic factor models," Journal of Econometrics, Elsevier, vol. 205(1), pages 249-279.
    11. Gabriele Fiorentini & Enrique Sentana, 2013. "Dynamic Specification Tests for Dynamic Factor Models," Working Papers wp2013_1306, CEMFI.
    12. Ryadh M. Alkhareif & William A. Barnett, 2015. "Core Inflation Indicators for Saudi Arabia," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 62(3), pages 257-266.
    13. Barigozzi, Matteo & Hallin, Mark, 2015. "Generalized dynamic factor models and volatilities: recovering the market volatility shocks," LSE Research Online Documents on Economics 60980, London School of Economics and Political Science, LSE Library.
    14. Marc Hallin & Carlos Trucíos, 2020. "Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Approach," Working Papers ECARES 2020-50, ULB -- Universite Libre de Bruxelles.
    15. Mario Forni & Marc Hallin & Marco Lippi & Paolo Zaffaroni, 2011. "One-Sided Representations of Generalized Dynamic Factor Models," EIEF Working Papers Series 1106, Einaudi Institute for Economics and Finance (EIEF), revised Mar 2011.
    16. Matteo Barigozzi & Marc Hallin, 2018. "Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals," Papers 1811.10045, arXiv.org, revised Jul 2019.
    17. Philipp Gersing, 2024. "On the Existence of One-Sided Representations in the Generalised Dynamic Factor Model," Papers 2410.18159, arXiv.org.
    18. Paolo Andreini & Donato Ceci, 2019. "A Horse Race in High Dimensional Space," CEIS Research Paper 452, Tor Vergata University, CEIS, revised 14 Feb 2019.
    19. Matteo Barigozzi & Marco Lippi & Matteo Luciani, 2014. "Dynamic Factor Models, Cointegration and Error Correction Mechanisms," Working Papers ECARES ECARES 2014-14, ULB -- Universite Libre de Bruxelles.
    20. Forni, Mario & Gambetti, Luca, 2008. "The Dynamic Effects of Monetary Policy: A Structural Factor Model Approach," CEPR Discussion Papers 7098, C.E.P.R. Discussion Papers.
    21. Daniel Peña & Victor J. Yohai, 2016. "Generalized Dynamic Principal Components," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 111(515), pages 1121-1131, July.
    22. Ryadh M. Alkhareif & William A. Barnett, 2022. "Nowcasting Real GDP for Saudi Arabia1," Open Economies Review, Springer, vol. 33(2), pages 333-345, April.
    23. Marc Hallin & Marco Lippi, 2013. "Factor Models in High-Dimensional Time Series: A Time-Domain Approach," Working Papers ECARES ECARES 2013-15, ULB -- Universite Libre de Bruxelles.
    24. Porshakov, Alexey & Deryugina, Elena & Ponomarenko, Alexey & Sinyakov, Andrey, 2015. "Nowcasting and short-term forecasting of Russian GDP with a dynamic factor model," BOFIT Discussion Papers 19/2015, Bank of Finland Institute for Emerging Economies (BOFIT).
    25. Peter Pedroni, 2013. "Structural Panel VARs," Econometrics, MDPI, vol. 1(2), pages 1-27, September.
    26. Kihwan Kim & Norman Swanson, 2013. "Diffusion Index Model Specification and Estimation Using Mixed Frequency Datasets," Departmental Working Papers 201315, Rutgers University, Department of Economics.

  14. Forni, Mario & Gambetti, Luca, 2010. "The dynamic effects of monetary policy: A structural factor model approach," Journal of Monetary Economics, Elsevier, vol. 57(2), pages 203-216, March.
    See citations under working paper version above.
  15. Filippo Altissimo & Riccardo Cristadoro & Mario Forni & Marco Lippi & Giovanni Veronese, 2010. "New Eurocoin: Tracking Economic Growth in Real Time," The Review of Economics and Statistics, MIT Press, vol. 92(4), pages 1024-1034, November.
    See citations under working paper version above.
  16. Forni, Mario & Giannone, Domenico & Lippi, Marco & Reichlin, Lucrezia, 2009. "Opening The Black Box: Structural Factor Models With Large Cross Sections," Econometric Theory, Cambridge University Press, vol. 25(5), pages 1319-1347, October.
    See citations under working paper version above.
  17. Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia, 2005. "The Generalized Dynamic Factor Model: One-Sided Estimation and Forecasting," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 830-840, September.
    See citations under working paper version above.
  18. Cristadoro, Riccardo & Forni, Mario & Reichlin, Lucrezia & Veronese, Giovanni, 2005. "A Core Inflation Indicator for the Euro Area," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 37(3), pages 539-560, June.
    See citations under working paper version above.
  19. Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia, 2004. "The generalized dynamic factor model consistency and rates," Journal of Econometrics, Elsevier, vol. 119(2), pages 231-255, April.
    See citations under working paper version above.
  20. Mario Forni, 2004. "Using Stationarity Tests in Antitrust Market Definition," American Law and Economics Review, American Law and Economics Association, vol. 6(2), pages 441-464.
    See citations under working paper version above.
  21. Elisabetta Allegra & Mario Forni & Michele Grillo & Lara Magnani, 2004. "Antitrust Policy and National Growth: Some Evidence from Italy," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 63(1), pages 69-86, April.
    See citations under working paper version above.
  22. Forni, Mario & Hallin, Marc & Lippi, Marco & Reichlin, Lucrezia, 2003. "Do financial variables help forecasting inflation and real activity in the euro area?," Journal of Monetary Economics, Elsevier, vol. 50(6), pages 1243-1255, September.
    See citations under working paper version above.
  23. Mario Forni & Sergio Paba, 2002. "Spillovers and the growth of local industries," Journal of Industrial Economics, Wiley Blackwell, vol. 50(2), pages 151-171, June.

    Cited by:

    1. Mercedes Delgado & Michael E. Porter & Scott Stern, 2012. "Clusters, Convergence, and Economic Performance," NBER Working Papers 18250, National Bureau of Economic Research, Inc.
    2. Carlos Carreira & Luís Lopes, 2016. "Collecting new pieces to the regional knowledge spillovers puzzle: high-tech versus low-tech industries," GEMF Working Papers 2016-06, GEMF, Faculty of Economics, University of Coimbra.
    3. Marco Capasso & Koen Frenken & Tania Treibich, 2017. "Sectoral co-movements of employment growth at regional level," Economic Systems Research, Taylor & Francis Journals, vol. 29(1), pages 82-104, January.
    4. Michele Cincera, 2005. "Firms' productivity growth and R&D spillovers: An analysis of alternative technological proximity measures," Economics of Innovation and New Technology, Taylor & Francis Journals, vol. 14(8), pages 657-682.
    5. Beaudry, Catherine & Schiffauerova, Andrea, 2009. "Who's right, Marshall or Jacobs? The localization versus urbanization debate," Research Policy, Elsevier, vol. 38(2), pages 318-337, March.
    6. Basile, Roberto & Donati, Cristiana & Pittiglio, Rosanna, 2013. "Industry structure and employment growth: evidence from semiparametric geoadditive models," MPRA Paper 47621, University Library of Munich, Germany.
    7. Raffaello Bronzini, 2004. "Foreign direct investment and agglomeration: evidence from Italy," Temi di discussione (Economic working papers) 526, Bank of Italy, Economic Research and International Relations Area.
    8. Demidova, Olga & Kolyagina, Alena & Pastore, Francesco, 2019. "Marshallian vs Jacobs effects: which one is stronger? Evidence for Russia unemployment dynamics," GLO Discussion Paper Series 302, Global Labor Organization (GLO).
    9. Liang, Lin & Lin, Shanglang & Li, Yong, 2014. "How agglomeration in the financial services industry influences economic growth: Evidence from Chinese cities," Economics Discussion Papers 2014-6, Kiel Institute for the World Economy (IfW Kiel).
    10. Niccolò Innocenti & Luciana Lazzeretti, 2018. "Relatedness and growth: The impact of creative industries to the wider economy," Papers in Evolutionary Economic Geography (PEEG) 1819, Utrecht University, Department of Human Geography and Spatial Planning, Group Economic Geography, revised Apr 2018.
    11. Carolina Guevara & Stéphane Riou & Corinne Autant-Bernard, 2018. "Agglomeration externalities in Ecuador. Do urbanisation and tertiarisation matter?," Working Papers halshs-01872922, HAL.
    12. Enrico Santarelli, 2004. "Patents and the Technological Performance of District Firms Evidence for the Emilia-Romagna Region of Italy," Papers on Entrepreneurship, Growth and Public Policy 2004-29, Max Planck Institute of Economics, Entrepreneurship, Growth and Public Policy Group.
    13. Carlos Carreira & Luís Lopes, 2020. "How are the potential gains from economic activity transmitted to the labour factor: more employment or more wages? Evidence from the Portuguese context," Regional Science Policy & Practice, Wiley Blackwell, vol. 12(2), pages 319-348, April.
    14. Neng Shen & Yuqing Zhao & Qunwei Wang, 2018. "Diversified Agglomeration, Specialized Agglomeration, and Emission Reduction Effect—A Nonlinear Test Based on Chinese City Data," Sustainability, MDPI, vol. 10(6), pages 1-22, June.
    15. Illy, Annette & Hornych, Christoph & Schwartz, Michael & Rosenfeld, Martin T. W., 2009. "Urban Growth in Germany – The Impact of Localization and Urbanization Economies," IWH Discussion Papers 19/2009, Halle Institute for Economic Research (IWH).
    16. Döring, Thomas & Schnellenbach, Jan, 2004. "What Do We Know About Geographical Knowledge Spillovers and Regional Growth? A Survey of the Literature," Research Notes 14, Deutsche Bank Research.
    17. Venkatesh Shankar & Unnati Narang, 2020. "Emerging market innovations: unique and differential drivers, practitioner implications, and research agenda," Journal of the Academy of Marketing Science, Springer, vol. 48(5), pages 1030-1052, September.
    18. Daniel J. Graham & Patricia C. Melo, 2009. "Agglomeration Economies and Labour Productivity: Evidence from Longitudinal Worker Data for GBs Travel-to-Work Areas," SERC Discussion Papers 0031, Centre for Economic Performance, LSE.
    19. Libo Li & Wenbing Wu & Mingyu Zhang & Lu Lin, 2021. "Linkage Analysis between Finance and Environmental Protection Sectors in China: An Approach to Evaluating Green Finance," IJERPH, MDPI, vol. 18(5), pages 1-16, March.
    20. Xiaohu Li & Xigang Zhu & Jianshu Li & Chao Gu, 2021. "Influence of Different Industrial Agglomeration Modes on Eco-Efficiency in China," IJERPH, MDPI, vol. 18(24), pages 1-23, December.
    21. Cubillo Pinilla, José María, 2003. "Market access spillovers: an empirical approach to the flagship firm effect," DEE - Working Papers. Business Economics. WB wb032506, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    22. Xiaobing Shuai, 2013. "Will specialization continue forever? A case study of interactions between industry specialization and diversity," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 50(1), pages 1-24, February.
    23. Roberto Basile & Cristiana Donati & Rosanna Pittiglio & Maria Savarese, 2015. "Dinamiche dell?occupazione e struttura produttiva locale in Italia," SCIENZE REGIONALI, FrancoAngeli Editore, vol. 2015(2), pages 33-68.
    24. Cainelli, Giulio & Lupi, Claudio, 2008. "Does Spatial Proximity Matter? Micro-evidence from Italy," Economics & Statistics Discussion Papers esdp08042, University of Molise, Department of Economics.
    25. Canfei He & Fenghua Pan, 2010. "Economic Transition, Dynamic Externalities and City-industry Growth in China," Urban Studies, Urban Studies Journal Limited, vol. 47(1), pages 121-144, January.
    26. Tom Holden, 2012. "Medium-frequency cycles and the remarkable near trend-stationarity of output," School of Economics Discussion Papers 1412, School of Economics, University of Surrey.
    27. F. Lotti & E. Santarelli, 2002. "The Survival of Family Firms: The Importance of Control and Family Ties," Working Papers 461, Dipartimento Scienze Economiche, Universita' di Bologna.
    28. Demidova, Olga & Kolyagina, Alena & Pastore, Francesco, 2020. "Marshallian vs Jacobs effects: Which is stronger? Evidence for Russia unemployment dynamics," Structural Change and Economic Dynamics, Elsevier, vol. 55(C), pages 244-258.
    29. Sergio Destefanis & Vania Sena, 2009. "Public capital, productivity and trade balances: some evidence for the Italian regions," Empirical Economics, Springer, vol. 37(3), pages 533-554, December.

  24. Forni, Mario & Lippi, Marco, 2001. "The Generalized Dynamic Factor Model: Representation Theory," Econometric Theory, Cambridge University Press, vol. 17(6), pages 1113-1141, December.
    See citations under working paper version above.
  25. Forni, Mario & Reichlin, Lucrezia, 2001. "Federal policies and local economies: Europe and the US," European Economic Review, Elsevier, vol. 45(1), pages 109-134, January.
    See citations under working paper version above.
  26. Forni, Mario, et al, 2001. "Coincident and Leading Indicators for the Euro Area," Economic Journal, Royal Economic Society, vol. 111(471), pages 62-85, May.
    See citations under working paper version above.
  27. Christophe Croux & Mario Forni & Lucrezia Reichlin, 2001. "A Measure Of Comovement For Economic Variables: Theory And Empirics," The Review of Economics and Statistics, MIT Press, vol. 83(2), pages 232-241, May.
    See citations under working paper version above.
  28. Mario Forni & Sergio Paba, 2000. "The Sources of Local Growth: Evidence from Italy," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 59(1), pages 1-49, April.

    Cited by:

    1. R. Paci & S. Saddi, 2002. "Capitale pubblico e produttività nelle regioni italiane," Working Paper CRENoS 200201, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    2. Claudio Detotto & Edoardo Otranto, 2010. "Does Crime Affect Economic Growth?," Post-Print hal-01972848, HAL.
    3. Rosetta Lombardo & Marianna Falcone, 2011. "Crime And Economic Performance. A Cluster Analysis Of Panel Data On Italy'S Nuts 3 Regions," Working Papers 201112, Università della Calabria, Dipartimento di Economia, Statistica e Finanza "Giovanni Anania" - DESF.
    4. Oliviero Antonio Carboni & Claudio Detotto, 2016. "« The economic consequences of crime in Italy »," Post-Print hal-01359245, HAL.
    5. Davide Fiaschi & Lisa Gianmoena & Angela Parenti, 2011. "The Dynamics of Labour Productivity Across Italian Provinces: Convergence and Polarization," Rivista italiana degli economisti, Società editrice il Mulino, issue 2, pages 209-240.
    6. Stefano Magrini, 2007. "Analysing Convergence through the Distribution Dynamics Approach: Why and how?," Working Papers 2007_13, Department of Economics, University of Venice "Ca' Foscari".
    7. De Siano, Rita & D'Uva, Marcella, 2007. "A new approach for β-convergence estimation in Italy," MPRA Paper 5643, University Library of Munich, Germany.
    8. A. Lasagni, 2009. "Agglomeration economies: new evidence on IT employment growth in Italy," Economics Department Working Papers 2009-EP08, Department of Economics, Parma University (Italy).
    9. Stefano Usai & Raffaele Paci, 2003. "Externalities and Local Economic Growth in Manufacturing Industries," Advances in Spatial Science, in: Bernard Fingleton (ed.), European Regional Growth, chapter 10, pages 293-321, Springer.
    10. Giovanni Peri & Dieter M. Urban, 2003. "The Veblen-Gerschenkron Effect of FDI in Mezzogiorno and East Germany," Working Papers 49, University of California, Davis, Department of Economics.
    11. Giovanni Peri & Alejandro Cunat, 2001. "Job Creation in Italy: Geography, Determinants and Perspectives," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 60(1), pages 43-74, June.
    12. Forni, Mario & Paba, Sergio, 2001. "Knowledge Spillovers and the Growth of Local Industries," CEPR Discussion Papers 2934, C.E.P.R. Discussion Papers.
    13. Fiorillo, Damiano, 2005. "Le determinanti del capitale sociale in Italia, 1993-2000: una analisi esplorativa," MPRA Paper 796, University Library of Munich, Germany.
    14. Cerro, Ana María & Rodríguez Andrés, Antonio, 2010. "The Effect of Crime on the Job Market: An ARDL approach to Argentina," MPRA Paper 44457, University Library of Munich, Germany.
    15. Giovanni Peri, 2004. "Social Variables and Economics Success: The Case of Italian Industrial Development," Working Papers 95, University of California, Davis, Department of Economics.

  29. Mario Forni & Marc Hallin & Marco Lippi & Lucrezia Reichlin, 2000. "The Generalized Dynamic-Factor Model: Identification And Estimation," The Review of Economics and Statistics, MIT Press, vol. 82(4), pages 540-554, November.
    See citations under working paper version above.
  30. Forni, Mario & Reichlin, Lucrezia, 1999. "Risk and potential insurance in Europe," European Economic Review, Elsevier, vol. 43(7), pages 1237-1256, June.
    See citations under working paper version above.
  31. Forni, Mario & Lippi, Marco, 1999. "Aggregation of linear dynamic microeconomic models," Journal of Mathematical Economics, Elsevier, vol. 31(1), pages 131-158, February.

    Cited by:

    1. Onatski, Alexei, 2012. "Asymptotics of the principal components estimator of large factor models with weakly influential factors," Journal of Econometrics, Elsevier, vol. 168(2), pages 244-258.
    2. Giovanni Dosi & Mauro Napoletano & Andrea Roventini & Joseph Stiglitz & Tania Treibich, 2020. "Rational heuristics? Expectations and behaviors in evolving economies with heterogeneous interacting agents," Post-Print halshs-03046977, HAL.
    3. Trapani, Lorenzo & Urga, Giovanni, 2010. "Micro versus macro cointegration in heterogeneous panels," Journal of Econometrics, Elsevier, vol. 155(1), pages 1-18, March.
    4. Giorgio Fagiolo & Mauro Napoletano & Andrea Roventini, 2008. "Are output growth-rate distributions fat-tailed? some evidence from OECD countries," SciencePo Working papers Main hal-03417062, HAL.
    5. Giorgio Fagiolo & Andrea Roventini, 2016. "Macroeconomic Policy in DSGE and Agent-Based Models Redux: New Developments and Challenges Ahead," LEM Papers Series 2016/17, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    6. Mario Forni & Luca Gambetti & marco Lippi & Luca Sala, 2020. "Common Components Structural VARs," Center for Economic Research (RECent) 147, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    7. Giorgio Fagiolo & Andrea Roventini, 2012. "Macroeconomic Policy in DSGE and Agent-Based Models," Working Papers hal-04141079, HAL.
    8. Yongok Choi & Giacomo Rondina & Todd B. Walker, 2023. "Information Aggregation Bias and Samuelson's Dictum," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(5), pages 1119-1145, August.
    9. G. Fagiolo & A. Roventini, 2009. "On the Scientific Status of Economic Policy: A Tale of Alternative Paradigms," Voprosy Ekonomiki, NP Voprosy Ekonomiki, issue 6.
    10. Giovanni Dosi & Andrea Roventini, 2019. "More is Different ... and Complex! The Case for Agent-Based Macroeconomics," LEM Papers Series 2019/01, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    11. Cheng Hsiao & Yan Shen & Hiroshi Fujiki, 2002. "Aggregate vs Disaggregate Data Analysis - A Paradox in the Estimation of Money Demand Function of Japan Under the Low Interest Rate Policy," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 A4-1, International Conferences on Panel Data.
    12. Aart Kraay & Roy Weide, 2022. "Measuring intragenerational mobility using aggregate data," Journal of Economic Growth, Springer, vol. 27(2), pages 273-314, June.
    13. George C. Davis, 1999. "The science and art of promotion evaluation," Agribusiness, John Wiley & Sons, Ltd., vol. 15(4), pages 465-483.
    14. Giorgio Fagiolo & Andrea Roventini, 2016. "Macroeconomic Policy in DGSE and Agent-Based Models Redux," Working Papers hal-03459348, HAL.
    15. Nizalov, Denys & Schmid, A. Allan, 2004. "Regional Poverty In Michigan: Rural And Urban Difference," Staff Paper Series 11782, Michigan State University, Department of Agricultural, Food, and Resource Economics.
    16. Mario Forni & Luca Gambetti & Luca Sala, 2018. "Fundamentalness, Granger Causality and Aggregation," Center for Economic Research (RECent) 139, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".

  32. Mario Forni & Lucrezia Reichlin, 1998. "Let's Get Real: A Factor Analytical Approach to Disaggregated Business Cycle Dynamics," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 65(3), pages 453-473.
    See citations under working paper version above.
  33. Forni, Mario & Reichlin, Lucrezia, 1996. "Dynamic Common Factors in Large Cross-Sections," Empirical Economics, Springer, vol. 21(1), pages 27-42.
    See citations under working paper version above.
  34. Forni, Mario, 1996. "Consumption volatility and income persistence in the permanent income model," Ricerche Economiche, Elsevier, vol. 50(3), pages 223-234, September.

    Cited by:

    1. Mario Forni & Lucrezia Reichlin, 1999. "Risk and potential insurance in Europe," ULB Institutional Repository 2013/10145, ULB -- Universite Libre de Bruxelles.
    2. Bilgili, Faik, 2006. "Random walk, excess smoothness or excess sensitivity? Evidence from literature and an application for Turkish economy," MPRA Paper 24086, University Library of Munich, Germany, revised 14 Jul 2010.

Books

  1. Forni, Mario & Lippi, Marco, 1997. "Aggregation and the Microfoundations of Dynamic Macroeconomics," OUP Catalogue, Oxford University Press, number 9780198288008.

    Cited by:

    1. Giovanni Dosi & Marcelo C. Pereira & Andrea Roventini & Maria Enrica Virgillito, 2016. "When more Flexibility Yields more Fragility: the Microfoundations of Keynesian Aggregate Unemployment," LEM Papers Series 2016/06, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    2. Gallegati, Mauro & Kirman, Alan, 2019. "20 years of WEHIA: A journey in search of a safer road," Journal of Economic Behavior & Organization, Elsevier, vol. 157(C), pages 5-14.
    3. Kneip, Alois & Sickles, Robin C. & Song, Wonho, 2012. "A New Panel Data Treatment For Heterogeneity In Time Trends," Econometric Theory, Cambridge University Press, vol. 28(3), pages 590-628, June.
    4. Giorgio Fagiolo & Paul Windrum & Alessio Moneta, 2006. "Empirical Validation of Agent Based Models: A Critical Survey," LEM Papers Series 2006/14, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    5. Giovanni Dosi & Giorgio Fagiolo & Roberto Gabriele, 2004. "Towards an Evolutionary Interpretation of Aggregate Labor Market Regularities," LEM Papers Series 2004/02, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    6. Alexander Chudik & M. Hashem Pesaran, 2011. "Aggregation in large dynamic panels," Globalization Institute Working Papers 101, Federal Reserve Bank of Dallas.
    7. Daniel L. Thornton, 2012. "Monetary policy: why money matters, and interest rates don’t," Working Papers 2012-020, Federal Reserve Bank of St. Louis.
    8. Alexander Chudik & M. Hashem Pesaran, 2014. "Theory and practice of GVAR modeling," Globalization Institute Working Papers 180, Federal Reserve Bank of Dallas.
    9. Giovanni Dosi & Mauro Napoletano & Andrea Roventini & Joseph Stiglitz & Tania Treibich, 2020. "Rational heuristics? Expectations and behaviors in evolving economies with heterogeneous interacting agents," Post-Print halshs-03046977, HAL.
    10. Filippo Altissimo & Benoit Mojon & Paolo Zaffaroni, 2007. "Fast micro and slow macro: can aggregation explain the persistence of inflation?," Working Paper Series WP-07-02, Federal Reserve Bank of Chicago.
    11. Jondeau, Eric & Imbs, Jean & Pelgrin, Florian, 2007. "Aggregating Phillips Curves," CEPR Discussion Papers 6184, C.E.P.R. Discussion Papers.
    12. Trapani, Lorenzo & Urga, Giovanni, 2010. "Micro versus macro cointegration in heterogeneous panels," Journal of Econometrics, Elsevier, vol. 155(1), pages 1-18, March.
    13. Alexandre Petkovic & David Veredas, 2010. "Aggregation of linear models for panel data," ULB Institutional Repository 2013/136203, ULB -- Universite Libre de Bruxelles.
    14. Adam Jêdrzejczyk, 2012. "Inflation forecasting using dynamic factor analysis. SAS 4GL programming approach," Working Papers 63, Department of Applied Econometrics, Warsaw School of Economics.
    15. Joakim, Westerlund & Johan, Blomquist, 2009. "Are Crime Rates Really Stationary?," Working Papers 2009:20, Lund University, Department of Economics.
    16. M. Hashem Pesaran, 2004. "Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure," CESifo Working Paper Series 1331, CESifo.
    17. Laura Mayoral, 2009. "Heterogeneous dynamics, aggregation and the persistence of economic shocks," UFAE and IAE Working Papers 786.09, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
    18. Giorgio Fagiolo & Andrea Roventini, 2016. "Macroeconomic Policy in DSGE and Agent-Based Models Redux: New Developments and Challenges Ahead," LEM Papers Series 2016/17, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    19. Getzen, Thomas E., 2000. "Health care is an individual necessity and a national luxury: applying multilevel decision models to the analysis of health care expenditures," Journal of Health Economics, Elsevier, vol. 19(2), pages 259-270, March.
    20. Mario Forni & Luca Gambetti & marco Lippi & Luca Sala, 2020. "Common Components Structural VARs," Center for Economic Research (RECent) 147, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    21. Giorgio Fagiolo & Andrea Roventini, 2012. "Macroeconomic Policy in DSGE and Agent-Based Models," Working Papers hal-04141079, HAL.
    22. Straub, Roland & Chudik, Alexander, 2010. "Size, openness, and macroeconomic interdependence," Working Paper Series 1172, European Central Bank.
    23. Lippi, Marco & Reichlin, Lucrezia & Forni, Mario, 2003. "Opening the Black Box: Structural Factor Models versus Structural VARs," CEPR Discussion Papers 4133, C.E.P.R. Discussion Papers.
    24. Alan Kirman, 1996. "Book Reviews," Journal of Economic Methodology, Taylor & Francis Journals, vol. 3(2), pages 322-333.
    25. G. Fagiolo & A. Roventini, 2009. "On the Scientific Status of Economic Policy: A Tale of Alternative Paradigms," Voprosy Ekonomiki, NP Voprosy Ekonomiki, issue 6.
    26. Giorgio Fagiolo & Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2010. "On the distributional properties of household consumption expenditures: the case of Italy," Empirical Economics, Springer, vol. 38(3), pages 717-741, June.
    27. Denys Nizalov & A. Allan Schmid, 2008. "Poverty in Michigan Small Communities," International Regional Science Review, , vol. 31(3), pages 275-303, July.
    28. Giovanni Dosi & Andrea Roventini, 2019. "More is Different ... and Complex! The Case for Agent-Based Macroeconomics," LEM Papers Series 2019/01, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    29. Lamperti, F. & Dosi, G. & Napoletano, M. & Roventini, A. & Sapio, A., 2018. "Faraway, So Close: Coupled Climate and Economic Dynamics in an Agent-based Integrated Assessment Model," Ecological Economics, Elsevier, vol. 150(C), pages 315-339.
    30. Giancarlo Lutero & Marco Marini, 2010. "Direct vs Indirect Forecasts of Foreign Trade Unit Value Indices," Rivista di statistica ufficiale, ISTAT - Italian National Institute of Statistics - (Rome, ITALY), vol. 12(2-3), pages 73-96, October.
    31. Mehmet Caner & Xu Han, 2014. "Selecting the Correct Number of Factors in Approximate Factor Models: The Large Panel Case With Group Bridge Estimators," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(3), pages 359-374, July.
    32. Pedro Garcia Duarte & Gilberto Tadeu Lima, 2011. "Privileging Micro over Macro? A History of Conflicting Positions," Working Papers, Department of Economics 2011_01, University of São Paulo (FEA-USP).
    33. Eric JONDEAU & Florian PELGRIN, 2014. "Estimating Aggregate Autoregressive Processes When Only Macro Data are Available," Swiss Finance Institute Research Paper Series 14-43, Swiss Finance Institute.
    34. Mario Forni & Lucrezia Reichlin, 1999. "Risk and potential insurance in Europe," ULB Institutional Repository 2013/10145, ULB -- Universite Libre de Bruxelles.
    35. A. Pyka & G. Fagiolo, 2007. "Agent-based Modelling: A Methodology for Neo-Schumpetarian Economics," Chapters, in: Horst Hanusch & Andreas Pyka (ed.), Elgar Companion to Neo-Schumpeterian Economics, chapter 29, Edward Elgar Publishing.
    36. Mauro Gallegati & Gianfranco Giulioni, 2003. "Complex Dynamics and Financial Fragility in an Agent Based Model," Computing in Economics and Finance 2003 86, Society for Computational Economics.
    37. Andrea R. Lamorgese & Gianmarco I.P. Ottaviano, 2006. "Intercity interactions: evidence from the US," 2006 Meeting Papers 667, Society for Economic Dynamics.
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