Domenico Giannone

Assistant Vice President
Macroeconomic and Monetary Studies Function
Federal Reserve Bank of New York
33 Liberty Street
New York, NY 10045

Phone (212) 720-5236
domenico.giannone@ny.frb.org

   

Publications

Journal Articles

The Low Frequency Effects of Macroeconomic News on Government Bond Yields
With C. Altavilla and M. Modugno
To appear in Journal of Monetary Economics

Safety, Liquidity, and the Natural Rate of Interest
With M. Del Negro, M. Giannoni, and A. Tambalotti
Brooking Papers on Economic Activity, vol. 48(1), pages 235-316, 2017

The National Segmentation of Euro Area Bank Balance Sheets During the Financial Crisis
With A. Colangelo, M. Lenza, H. Pill and L. Reichlin
Empirical Economics, vol. 53(1), pages 247-265

The Effectiveness of Non-Standard Monetary Policy Measures: Evidence from Survey Data
With C. Altavilla
Journal of Applied Econometrics, vol. 32(5), pages 952-964

Exploiting the Monthly Data Flow in Structural Forecasting
With F. Monti and L. Reichlin
Journal of Monetary Economics, vol. 84, pages 201-215, 2016

The Financial and Macroeconomic Effects of the OMT Announcements
With C. Altavilla and M. Lenza
International Journal of Central Banking, vol. 12(3), pages 29-57, 2016

Unspanned Macroeconomic Factors in the Yields Curve
With Laura Coroneo and Michele Modugno
Journal of Business and Economic Statistics, vol. 34(3), pages 472-485, 2016

Optimal Combination of Survey Forecasts
With Cristina Conflitti and Christine De Mol
International Journal of Forecasting, vol. 31(4), pages 1096-1103, 2015

Prior Selection for Vector Autoregressions
With Michele Lenza and Giorgio Primiceri
Review of Economics and Statistics, vol. 97(2), pages 436-451, 2015
(replication files)

Conditional Forecasts and Scenario Analysis with Vector Autoregressions for Large Cross-Sections
With Banbura Marta and Michele Lenza
International Journal of Forecasting (IJF), vol. 31(3), pages 739-756, June 2015

Short-term inflation projections: a Bayesian vector autoregressive approach
With Momferatou Daphne, Michele Lenza, and Luca Onorante
International Journal of Forecasting (IJF), vol. 30(3), pages 635-644, October 2014

Macroeconomic Forecasting and Structural Change
With Antonello D'Agostino and Luca Gambetti
Journal of Applied Econometrics (JAE), vol. 28(1), pages 81-101, December 2013

A quasi maximum likelihood approach for large approximate dynamic factor models
With Catherine Doz and Lucrezia Reichlin
Review of Economics and Statistics (REStat), vol. 94(4), 1014-1024 October 2012
(replication files)

An area-wide real-time database for the euro area
With Henry Jerome, Magdalena Lalik, and Michele Modugno
Review of Economics and Statistics (REStat), vol. 94(4), pages 1000-1013, December 2012
Data

The ECB and the Interbank Market
With Michele Lenza, Huw Pill, and Lucrezia Reichlin
Economic Journal (EJ), vol. 122(564), pages F467-F486, November 2012

Comparing alternative predictors based on large-panel dynamic factor models
With Antonello D'Agostino
Oxford Bulletin of Economics and Statistics (OBES), vol. 74(2), pages 306-326, February 2012

Short-term forecasts of euro area GDP growth
With Elena Angelini, Gonzalo Camba-Mendez, Lucrezia Reichlin and Gerhard Runstler
The Econometrics Journal (ECJ), vol. 14(1), pages C25-C44, November 2011

A two-step estimator for large approximate dynamic factor models based on Kalman filtering
With Lucrezia Reichlin and Catherine Doz
Journal of Econometrics (JE), vol. 164(1), pages 188-205, September 2011
(replication files)

Market Freedom and the Global Recession
With Michele Lenza and Lucrezia Reichlin
IMF Economic Review (IMFER), vol. 59(1), pages 111-135, April 2011

Opening the black box: structural factor models versus structural VARs
With Mario Forni, Marco Lippi, and Lucrezia Reichlin
Econometric Theory (ET), Vol. 25, No. 05, pages 1319-1347, October 2009

Large Bayesian Vector Auto Regressions
With Marta Banbura and Lucrezia Reichlin
Journal of Applied Econometrics (JAE), vol. 25(1), pages 71-92, August 2010
(replication files)

Nowcasting Euro Area Economic Activity in Real Time: The Role of Confidence Indicators
With Lucrezia Reichlin and Saverio Simonelli
National Institute Economic Review, Vol. 210, pages 90-97, October 2009

Sparse and stable Markowitz portfolios
With Joshua Brodie, Christine De Mol and Ingrid Daubechies and Ignace Loris
Proceedings of the National Academy of Science (PNAS), Vol. 106, No. 30, pages 12267-12272, April 2009
(WP Version)

Forecasting using a large number of predictors: Is Bayesian shrinkage a valid alternative to principal components?
With Christine De Mol, and Lucrezia Reichlin
Journal of Econometrics (JE), Vol. 146, No. 2, October 2008, pages 318-328, October 2008
(Appendix, replication files)

Explaining The Great Moderation: It Is Not The Shocks
With Michele Lenza and Lucrezia Reichlin
Journal of the European Economic Association (JEEA), P&P, Vol. 6, No. 2-3, pages 621-633, April-May 2008

Nowcasting: The realtime informational content of macroeconomic data releases
With Lucrezia Reichlin, and David Small
Journal of Monetary Economics (JME), Vol. 55, No. 4, Pages 665-676, May 2008
(Technical Appendix, replication files)

A new core inflation indicator for New Zealand
With Troy Matheson
International Journal of Central Banking (IJCB), vol. 3, No. 4, Pages 145-180, December 2007

VARs, Factor Models and the Empirical Validation of Equilibrium Business Cycle Models
With Lucrezia Reichlin and Luca Sala
Journal of Econometrics (JE), Volume 132, No. 1, pages 257-279, May 2006

Does information help recovering structural shocks from past observations?
With Lucrezia Reichlin
Journal of the European Economic Association (JEEA), P&P, Vol. 4, No. 2-3, pages 455-465, April-May 2006

Articles in Books

Big Data in Economics: Evolution or Revolution?
With C. De Mol, E. Gautier, S. Mullainathan, L. Reichlin, E. van Dijk, and J. M. Wooldridge
Economics without Borders Economic Research for European Policy Challenges, eds. R. Blundel, E. Cantillon et al., Cambridge University Press, 2016

Nowcasting Business Cycles: a Bayesian Approach to Dynamic Heterogenous Factor Models
With Antonello D’Agostino, Michele Lenza and Michele Modugno
Advances in Econometrics, vol. 35, Dynamic Factor Models, eds. S.J. Koopman and E. Hillebrand, Emerald, pages 569-594

Now-Casting and the Real-Time Data-Flow
With Marta Banbura, Michele Modugno, and Lucrezia Reichlin
in G. Elliott and A. Timmermann, eds., Handbook of Economic Forecasting, Volume 2, Elsevier-North Holland, January 2013

Nowcasting
With Marta Banbura and Lucrezia Reichlin
in Michael P. Clements and David F. Hendry, editors, Oxford Handbook on Economic Forecasting, pages 193-224, January 2011
(Corrected Appendix, replication files)

Non-standard monetary policy measures and monetary developments
With Michele Lenza, Huw Pill and Lucrezia Reichlin
in Lessons for Monetary Policy from the Financial Crisis, eds. J. Chadha and S.Holly, pages 195-221, Cambridge University Press, January 2011

The Feldstein - Horioka Fact
With Michele Lenza
in Alberto Alesina and Francesco Giavazzi, editors, Europe and the Euro, pages 141-167, University of Chicago Press, January 2010

Business Cycles in the euro area
With Michele Lenza and Lucrezia Reichlin
In Alberto Alesina and Francesco Giavazzi, editors, Europe and the Euro, pages 141-167, University of Chicago Press, January 2009

Incorporating Conjunctural Analysis in Structural Models
With Francesca Monti and Lucrezia Reichlin
in Volker Wieland, editor, The Science and Practice of Monetary Policy Today, pages 41-57, Springer, January 2009

Monetary Policy in Real Time
With Lucrezia Reichlin and Luca Sala
in Mark Gertler and Kenneth Rogoff, editors, NBER Macroeconomics Annual 2004, pages 161-200. MIT Press, May 2005

Euro area and US recessions: 1970-2003
With Lucrezia Reichlin
in Lucrezia Reichlin, editor, The Euro Area Business Cycle: Stylized Facts and Measurement Issues, pages 83-93, C.E.P.R., 2004

Discussions and Comments

Comments on "In-Sample Inference and Forecasting in Miss-Specified Factor Model"
Journal of Business and Economic Statistics, vol. 34(3), pages 342-344, 2016

Comments on "Financial crises: lessons from history for today",
Economic Policy, vol. 29, 2014

Comments on "Bank Lending and Monetary Transmission in the Euro Area",
Economic Policy, vol. 28, 2013

Comments on "Forecasting economic and financial variables with global VARs
With Lucrezia Reichlin
International Journal of Forecasting, vol. 25(4), pages 684-686, June 2009

Comments on "Can Parameter Instability Explain the Meese-Rogoff Puzzle?"
in Lucrezia Reichlin and Kenneth West, editors, NBER International Seminar on Macroeconomics 2009, pages 180-190, University of Chicago Press
June 2010

Business cycles in the euro area
Research Bulletin No. 5, DG Research, European Central Bank, March 2009

Discussion of the paper "The ECB and the bond market"
With Michele Lenza and Lucrezia Reichlin
in Marco Buti, Servaas Deroose and Vito Gaspar, editors, The Euro, Cambridge University Press, forthcoming

Panel discussion on "Convergence or Divergence in Europe?
With Anton Brender, Jean Pisani-Ferry, and Riccardo Faini
In Convergence or Divergence in Europe?, Olivier De Bandt, Heinz Hermann, Giuseppe Parigi, editors, Springer, pages 47-60, September 2006

Domenico Giannone's CVPDF

The views expressed in the papers listed on this page are those of the author(s) and do not necessarily reflect the position of the Federal Reserve Bank of New York or the Federal Reserve System.