\u201cScarce, Abundant, or Ample? A Time-Varying Model of the Reserve Demand Curve<\/a>,\u201d (with Gara Afonso, Gabriele La Spada, and John Williams), Journal of Finance<\/strong>, forthcoming.<\/p>\n\n\n\n \u201cThe Asymptotic Equivalence of Ridge and Principal Component Regression with Many Predictors<\/a>,\u201d (with Christine De Mol and Lucrezia Reichlin), Econometrics and Statistics<\/strong>, forthcoming.<\/p>\n\n\n\n \u201cA Large Bayesian VAR of the United States Economy<\/a>,\u201d 2025 (with Richard Crump, Stefano Eusepi, Eric Qian, and Argia Sbordone), International Journal of Central Banking<\/strong>, <\/strong>vol. 21(2), pages 351-409. (Replication files<\/a>).<\/p>\n\n\n\n \u201cBa<\/a>ck to the Present: Learning about the Euro Area through a Now-casting Model,<\/a>\u201d 2024 (with Danilo Cascaldi-Garcia, Thiago Ferreira, and Michele Modugno), International Journal of Forecasting<\/strong>, vol. 40(2), pages 661-686. (Weekly updates and replication files<\/a>).<\/p>\n\n\n\n \u201cNowcasting with large Bayesian vector autoregressions<\/a>,\u201d 2022 (with Jacopo Cimadomo, Michele Lenza, Francesca Monti, and Andrej Sokol), Journal of Econometrics<\/strong>, vol. 231(2), pages 500-519. (Replication files<\/a>)<\/p>\n\n\n\n \u201cCommon Factors of Commodity Prices<\/a>,\u201d 2022 (with Simona Delle Chiaie and Laurent Ferrara), Journal of Applied Econometrics<\/strong>, vol. 37(3), pages 461-476.<\/p>\n\n\n\n \u201cEconomic Predictions with Big Data: The Illusion of Sparsity<\/a>,\u201d 2021 (with Michele Lenza and Giorgio Primiceri), Econometrica, <\/strong>vol. 89(5), pages 2409-2437. (Supplement and replication files<\/a>)<\/p>\n\n\n\n \u201cMultimodality in Macrofinancial Dynamics<\/a>,\u201d 2021 (with Tobias Adrian and Nina Boyarchenko), International Economic Review<\/strong>, vol. 62(2), pages 861-886.<\/p>\n\n\n\n \u201cForecasting Macroeconomic Risk<\/a>,\u201d 2021 (with Patrick Adams, Tobias Adrian, and Nina Boyarchenko), International Journal of Forecasting<\/strong>, vol. 62(2), pages 1173-1191.<\/p>\n\n\n\n \u201cVulnerable Growth<\/a>,\u201d 2019 (with Tobias Adrian and Nina Boyarchenko), American Economic Review<\/strong>, vol. 109(4), pages 1263-1289. (Replication files<\/a>)<\/p>\n\n\n\n \u201cPriors for the Long Run<\/a>,\u201d 2019 (with Michele Lenza and Giorgio Primiceri), Journal of the American Statistical Association<\/strong>, vol. 114(52), pages 656-580. (Replication files<\/a>)<\/p>\n\n\n\n \u201cGlobal trends in interest rates<\/a>,\u201d 2019 (with Marco Del Negro, Marc Giannoni, and Andrea Tambalotti), Journal of International Economics<\/strong>, vol. 118(C), pages 248-262. (Replication files<\/a>)<\/p>\n\n\n\n \u201cMoney, Credit, Monetary Policy, and the Business Cycle in the Euro Area: What Has Changed Since the Crisis?<\/a>,\u201d 2019 (with Michele Lenza and Lucrezia Reichlin), International Journal of Central Banking<\/strong>, vol. 15(5), pages 137-173.<\/p>\n\n\n\n \u201cMacroeconomic Nowcasting and Forecasting with Big Data<\/a>,\u201d 2018 (with Brandyn Bok, Daniele Caratelli, Argia Sbordone, and Andrea Tambalotti), Annual Review of Economics<\/strong>, vol. 10(1), pages 615-643.<\/p>\n\n\n\n \u201cThe Low-Frequency Effects of Macroeconomic News on Government Bond Yields<\/a>,\u201d 2017 (with Carlo Altavilla and Michele Modugno), Journal of Monetary Economics<\/strong>, vol. 92(C), pages 31-46.<\/p>\n\n\n\n \u201cSafety, Liquidity, and the Natural Rate of Interest<\/a>,\u201d 2017 (with Marco Del Negro, Marc Giannoni, and Andrea Tambalotti), Brooking Papers on Economic Activity, <\/strong>vol. 48(1), pages 235-316. (Replication files<\/a>)<\/p>\n\n\n\n \u201cThe national segmentation of euro area bank balance sheets during the financial crisis<\/a>,\u201d 2017 (with Antonio Colangelo, Michele Lenza, Huw Pill and Lucrezia Reichlin), Empirical Economics<\/strong>, vol. 53(1), pages 247-265.<\/p>\n\n\n\n \u201cThe Effectiveness of Non-Standard Monetary Policy Measures: Evidence from Survey Data,<\/a>\u201d 2017 (with Carlo Altavilla), Journal of Applied Econometrics<\/strong>, vol. 32(5), pages 952-964<\/p>\n\n\n\n \u201cExploiting the Monthly Data Flow in Structural Forecasting<\/a>,\u201d 2016 (with F. Monti and L. Reichlin), Journal of Monetary Economics<\/strong>, vol. 84, pages 201-215.<\/p>\n\n\n\n \u201cThe Financial and Macroeconomic Effects of the OMT Announcements<\/a>,\u201d 2016 (with Carlo Altavilla and Michele Lenza), International Journal of Central Banking<\/strong>, vol. 12(3), pages 29-57.<\/p>\n\n\n\n \u201cUnspanned Macroeconomic Factors in the Yields Curve<\/a>,\u201d 2016 (with Laura Coroneo and Michele Modugno), Journal of Business and Economic Statistics<\/strong>, vol. 34(3), pages 472-485.<\/p>\n\n\n\n \u201cOptimal Combination of Survey Forecasts,<\/a>\u201d 2015 (with Cristina Conflitti and Christine De Mol). International Journal of Forecasting<\/strong>, vol. 31(4), pages 1096-1103.<\/p>\n\n\n\n \u201cPrior Selection for Vector Autoregressions<\/a>,\u201d 2015 (with Michele Lenza and Giorgio Primiceri). Review of Economics and Statistics<\/em><\/strong>,<\/em> vol. 97(2), pages 436-451. (Replication files<\/a>)<\/p>\n\n\n\n \u201cConditional Forecasts and Scenario Analysis with Vector Autoregressions for Large Cross-Sections<\/a>,\u201d 2015 (with Marta Banbura and Michele Lenza), International Journal of Forecasting<\/strong>, vol. 31(3), pages 739-756.<\/p>\n\n\n\n \u201cShort-Term Inflation Projections: a Bayesian Vector Autoregressive Approach<\/a>,\u201d 2014 (with Michele Lenza, Daphne Momferatou, and Luca Onorante), International Journal of Forecasting<\/strong>, vol. 30(3), pages 635-644.<\/p>\n\n\n\n \u201cThe ECB and the Interbank Market<\/a>,\u201d 2012 (with Michele Lenza, Huw Pill, and Lucrezia Reichlin), Economic Journal<\/strong>, vol. 122(564), pages F467-F486.<\/p>\n\n\n\n \u201cAn area-wide real-time database for the euro area<\/a>,\u201d 2012 (with Jerome Henry, Magdalena Lalik, and Michele Modugno), Review of Economics and Statistics<\/em><\/strong>,<\/em> vol. 94(4), pages 1000-1013. (Data<\/a>)<\/p>\n\n\n\n \u201cMacroeconomic Forecasting and Structural Change<\/a>,\u201d 2013 (with Antonello D\u2019Agostino and Luca Gambetti), Journal of Applied Econometrics, <\/em><\/strong>vol. 28(1), pages 81-101.<\/p>\n\n\n\n \u201cA Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models<\/a>,\u201d 2012 (with Catherine Doz and Lucrezia Reichlin), Review of Economics and Statistics<\/em><\/strong>, <\/em>vol. <\/em>94(4), 1014-1024. (Replication files<\/a>)<\/p>\n\n\n\n \u201cComparing alternative predictors based on large-panel dynamic factor models<\/a>,\u201d 2012 (with Antonello D\u2019Agostino), Oxford Bulletin of Economics and Statistics<\/em><\/strong>, vol. 74(2), pages 306-326.<\/p>\n\n\n\n \u201cMarket freedom and the global recession<\/a>,\u201d 2011 (with Michele Lenza and Lucrezia Reichlin), IMF Economic Review<\/em><\/strong>, vol. 59(1), pages 111-135.<\/p>\n\n\n\n \u201cA two-step estimator for large approximate dynamic factor models based on Kalman filtering<\/a>,\u201d 2011 (with Catherine Doz and Lucrezia Reichlin), Journal of Econometrics<\/em><\/strong>, vol. 164(1), pages 188-205. (Replication files<\/a>)<\/p>\n\n\n\n \u201cShort-term forecasts of euro area GDP growth<\/a>,\u201d 2011 (with Elena Angelini, Gonzalo Camba-Mendez, Lucrezia Reichlin, and Gerhard Runstler), The Econometrics Journal<\/em><\/strong>, vol. 14(1), pages C25-C44.<\/p>\n\n\n\n \u201cLarge Bayesian VARs<\/a>,\u201d 2010 (with Marta Banbura and Lucrezia Reichlin), Journal of Applied Econometrics<\/em><\/strong>, vol. 25(1), pages 71-92. (Replication files<\/a>)<\/p>\n\n\n\n \u201cSparse and Stable Markowitz Portfolios<\/a>,\u201d 2009 (with Joshua Brodie, Christine De Mol, Ingrid Daubechies, and Ignace Loris), Proceedings of the National Academy of Science<\/em><\/strong>, Vol. 106, No. 30, pages 12267-12272. (WP version<\/a>)<\/p>\n\n\n\n \u201cOpening the black box: structural factor models versus structural VARs<\/a>,\u201d 2009 (with Mario Forni, Marco Lippi, and Lucrezia Reichlin), Econometric Theory<\/em><\/strong>, Vol. 25, No. 05, pages 1319-1347.<\/p>\n\n\n\n \u201cExplaining the great moderation: it is not the shocks<\/a>,\u201d 2008 (with Michele Lenza and Lucrezia Reichlin), Journal of the European Economic Association<\/em><\/strong>, P&P, Vol. 6, No. 2-3, April-May 2008, pages 621-633.<\/p>\n\n\n\n \u201cForecasting using a large number of predictors: is Bayesian shrinkage a valid alternative to principal components<\/a>?,\u201d 2008 (with Christine De Mol and Lucrezia Reichlin), Journal of Econometrics<\/strong><\/em>, Vol. 146, No. 2, October 2008, pages 318-328. (Appendix<\/a>, replication files<\/a>)<\/p>\n\n\n\n \u201cNowcasting: The Real Time Informational Content of Macroeconomic Data Releases<\/a>,\u201d 2008 (with Lucrezia Reichlin and David Small), Journal of Monetary Economics<\/em><\/strong>, Vol. 55, No. 4, May 2008, Pages 665-676. (Technical appendix<\/a>, replication files<\/a>)<\/p>\n\n\n\n \u201cNowcasting Euro Area Economic Activity in Real Time: The Role of Confidence Indicators<\/a>,\u201d 2009, (with Lucrezia Reichlin and Saverio Simonelli). National Institute Economic Review<\/em><\/strong>; Vol. 210, pages 90-97.<\/p>\n\n\n\n \u201cA new core inflation indicator for New Zealand<\/a>,\u201d 2007 (with Troy Matheson), International Journal of Central Banking<\/em><\/strong>, <\/em>vol. 3, No. 4, December 2007, Pages 145-180.<\/p>\n\n\n\n \u201cVARs, Factor Models and the Empirical Validation of Equilibrium Business Cycle Models<\/a>,\u201d 2006, (with Lucrezia Reichlin and Luca Sala), Journal of Econometrics<\/em><\/strong>, Volume 132, No. 1, May 2006, pages 257-279.<\/p>\n\n\n\n \u201cDoes information help recovering structural shocks from past observations?<\/a>,\u201d 2006 (with Lucrezia Reichlin), Journal of the European Economic Association<\/em><\/strong>, P&P, Vol. 4, No. 2-3, April-May 2006, pages 455-465.<\/p>\n\n\n\n Articles in books<\/strong><\/p>\n\n\n\n \u201cNowcasting Recession Risk<\/a>,\u201d (with Francesco Furno), to appear in the Handbook of Macroeconomic Forecasting<\/strong>, eds., A. Galvao and M. Clemens. (Replication files<\/a>)<\/p>\n\n\n\n \u201cChanging risk-return profiles<\/a>,\u201d (with Richard Crump, Miro Everaert, and Sean Hundtofte), to appear in A Festschrift for Marc Hallin<\/strong>, eds. M. Barigozzi and D. Paindaveine.<\/p>\n\n\n\n \u201cBig Data in Economics: Evolution or Revolution?<\/a>,\u201d 2016 (with Christine De Mol, Eric Gautier, Sendhil Mullainathan, Lucrezia Reichlin, Herman van Dijk, and Jeffrey Wooldridge), Economics without Borders Economic Research for European Policy Challenges<\/strong>, eds. R. Blundel, E. Cantillon et al., Cambridge University Press.<\/p>\n\n\n\n \u201cNowcasting Business Cycles: a Bayesian Approach to Dynamic Heterogenous Factor Models<\/a>,\u201d 2016 (with Antonello D\u2019Agostino, Michele Lenza and Michele Modugno), Advances in Econometrics<\/em><\/strong>, vol. 35, Dynamic Factor Models, eds. S.J. Koopman and E. Hillebrand, Emerald, pages 569-594.<\/p>\n\n\n\n \u201cNow-Casting and the Real-Time Data-Flow,\u201d<\/a> 2013 (with Marta Banbura, Michele Modugno, and Lucrezia Reichlin), in G. Elliott and A. Timmermann, eds., Handbook of Economic Forecasting, Volume 2, Elsevier-North Holland.<\/p>\n\n\n\n \u201cNowcasting,\u201d<\/a> 2011 (with Marta Banbura and Lucrezia Reichlin), in Michael P. Clements and David F. Hendry, editors, Oxford Handbook on Economic Forecasting, pages 193-224. (Corrected Appendix<\/a>, replication files<\/a>)<\/p>\n\n\n\n \u201cNon-standard monetary policy measures and monetary developments<\/a>,\u201d 2011 (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.<\/p>\n\n\n\n \u201cThe Feldstein \u2013 Horioka Fact<\/a>,\u201d 2010 (with Michele Lenza), in Lucrezia Reichlin and Kenneth West, editors, NBER International Seminar on Macroeconomics 2009, pages 103-117, University of Chicago Press.<\/p>\n\n\n\n \u201cBusiness Cycles in the euro area<\/a>,\u201d 2009 (with Michele Lenza and Lucrezia Reichlin), In Alberto Alesina and Francesco Giavazzi, editors, Europe and the Euro<\/em>, pages 141-167, University of Chicago Press.<\/p>\n\n\n\n \u201cIncorporating Conjunctural Analysis in Structural Models<\/a>,\u201d 2009 (joint with Francesca Monti and Lucrezia Reichlin), in Volker Wieland, editor, The Science and Practice of Monetary Policy Today, pages 41-57, Springer.<\/p>\n\n\n\n \u201cMonetary Policy in Real Time<\/a>,\u201d 2005 (with Lucrezia Reichlin and Luca Sala), In Mark Gertler and Kenneth Rogoff, editors, NBER Macroeconomics Annual 2004<\/em>, pages 161-200. MIT Press.<\/p>\n\n\n\n \u201cEuro area and US recessions: 1970-2003<\/a>,\u201d 2004 (with Lucrezia Reichlin), in Lucrezia Reichlin, editor, The Euro Area Business Cycle: Stylized Facts and Measurement Issues<\/em>, pages 83-93, CEPR.<\/p>\n\n\n\n Comments on \u201cIn-Sample Inference and Forecasting in Miss-Specified Factor Model,\u201d<\/a> 2016, Journal of Business and Economic Statistics<\/strong>, vol. 34(3), pages 342-344.<\/p>\n\n\n\n Comments on \u201cFinancial crises: lessons from history for today,\u201d 2014, Economic Policy<\/strong>, vol. 29.<\/p>\n\n\n\n Comments on \u201cBank Lending and Monetary Transmission in the Euro Area,\u201d 2013, Economic Policy<\/strong>, vol. 28.<\/p>\n\n\n\n \u201cComments on \u201cForecasting economic and financial variables with global VARs,\u201d<\/a> 2009, (with Lucrezia Reichlin) International Journal of Forecasting<\/em>, vol. 25(4), pages 684-686.<\/p>\n\n\n\n Comments on \u201cCan Parameter Instability Explain the Meese-Rogoff Puzzle?\u201d<\/a> 2010, in Lucrezia Reichlin and Kenneth West, editors, NBER International Seminar on Macroeconomics 2009, pages 180-190, University of Chicago Press.<\/p>\n\n\n\n \u201cBusiness cycles in the euro area\u201d<\/a> (with Michele Lenza). Research Bulletin No. 5, DG Research, European Central Bank, March 2009.<\/p>\n\n\n\n Discussion of the paper \u201cThe ECB and the bond market,\u201d 2009 (with Michele Lenza and Lucrezia Reichlin), in Marco Buti, Servaas Deroose and Vito Gaspar, editors, The Euro, Cambridge University Press, forthcoming.<\/p>\n\n\n\n Panel discussion on \u201cConvergence or Divergence in Europe?\u201d 2006 (with Anton Brender, Jean Pisani-Ferry, and Riccardo Faini), In Convergence or Divergence in Europe?<\/a>, Olivier De Bandt, Heinz Hermann, Giuseppe Parigi, editors, Springer, pages 47-60.<\/p>\n\n\n\n \u201cTrends and cycles in the Euro area: how much heterogeneity and should we worry about it?<\/a>,\u201d 2006 (with Lucrezia Reichlin), Working Paper Series 595, European Central Bank.<\/p>\n\n\n\nDiscussions and comments<\/h2>\n\n\n\n
Permanent working papers<\/h2>\n\n\n\n