Lucrezia Reichlin

Biographic Data

ID5731638
NAMELucrezia Reichlin
GIVEN NAMESLucrezia
FAMILY NAMEReichlin
SIGNATUREREICHLIN L
AFFILIATIONSUniversité Libre de Bruxelles
VERIFIEDNo
TOTAL WORKS12
TOTAL CITATIONS24
AUTHOR COUNT12
EDITOR COUNT0
FIRST PUBLICATION YEAR1989
LATEST PUBLICATION YEAR2022
H-INDEX3

  • Chaire européenne (chaire annuelle 2018-2019)

    Lucrezia ReichlinARTICLEL’annuaire du Collège de France2022

    Enseignement Cours – La Banque centrale européenne et la crise de l’euro Mes recherches actuelles se penchent sur l’évaluation critique des défis rencontrés par la Banque centrale européenne (BCE) pendant la période 2007-2015, au moment où sévissaient la pire récession et la pire crise financière de l’après-guerre, et où la BCE devait faire face à la première crise majeure de son histoire. La crise a constitué un test de robustesse du cadre génér…

  • A Model of the Fed's View on Inflation

    Thomas Hasenzagl, Filippo Pellegrino et al.ARTICLEThe Review of Economics and…2022

    We develop a medium-size semistructural time series model of inflation dynamics that is consistent with the view, often expressed by central banks, that three components are important: a trend anchored by long-run expectations, a Phillips curve, and temporary fluctuations in energy prices. We find that a stable long-term inflation trend and a well-identified steep Phillips curve are consistent with the data, but they imply potential output declin…

  • The ECB and the Interbank Market

    Open AccessDomenico Giannone, Michele Lenza et al.ARTICLEThe Economic Journal2012Cited by: 8References: 17

    We analyse the impact on the euro area economy of the ECB's non-standard monetary policy measures by studying the effect of the expansion of intermediation of interbank transactions across the central bank balance sheet. We exploit data drawn from the aggregated Monetary and Financial Institutions (MFI) balance sheet, which allow us to construct a measure of the 'policy shock' represented by the ECB's increasing role as a financial intermediary. …

  • A Quasi–Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models

    Catherine Doz, Domenico Giannone et al.ARTICLEThe Review of Economics and…2011

    Is maximum likelihood suitable for factor models in large cross-sections of time series? We answer this question from both an asymptotic and an empirical perspective. We show that estimates of the common factors based on maximum likelihood are consistent for the size of the cross-section (n) and the sample size (T), going to infinity along any path, and that maximum likelihood is viable for n large. The estimator is robust to misspecification of …

  • Large Bayesian vector auto regressions

    Open AccessMarta Bańbura, Domenico Giannone et al.ARTICLEJournal of Applied Econometrics2010

    This paper shows that vector auto regression (VAR) with Bayesian shrinkage is an appropriate tool for large dynamic models. We build on the results of De Mol and co‐workers (2008) and show that, when the degree of shrinkage is set in relation to the cross‐sectional dimension, the forecasting performance of small monetary VARs can be improved by adding additional macroeconomic variables and sectoral information. In addition, we show that large VAR…

  • Nowcasting

    Open AccessDomenico Giannone, Lucrezia Reichlin et al.ARTICLEJournal of Monetary Economics2008

  • A Quasi Maximum Likelihood Approach for Large Approximate Dynamic Factor Models

    Open AccessCatherine Doz, Domenico Giannone et al.ARTICLESSRN Electronic Journal2006

  • A Measure of Comovement for Economic Variables

    Christophe Croux, Mario Forni et al.ARTICLEThe Review of Economics and…2001

    This paper proposes a measure of dynamic comovement between (possibly many) time series and names it cohesion. The measure is defined in the frequency domain and is appropriate for processes that are costationary, possibly after suitable transformations. In the bivariate case, the measure reduces to dynamic correlation and is related, but not equal, to the well known quantities of coherence and coherency. Dynamic correlation on a frequency band e…

  • Coincident and Leading Indicators for the Euro Area

    Open AccessMario Forni, Marc Hallin et al.ARTICLEThe Economic Journal2001Cited by: 3

    This paper proposes a new way to compute a coincident and a leading indicator of economic activity. Our methodology, based on Forni, Hallin, Lippi and Reichlin (2000), reconciles dynamic principal components analysis with dynamic factor analysis. it allows us to extract indicators from a large panel of economic variables (many variables Tot many countries). The procedure is used to estimate coincident and leading indicators fut the EURO area. Unl…

  • The Generalized Dynamic-Factor Model

    Mario Forni, Marc Hallin et al.ARTICLEThe Review of Economics and…2000

    This paper proposes a factor model with infinite dynamics and nonorthogonal idiosyncratic components. The model, which we call the generalized dynamic-factor model, is novel to the literature and generalizes the static approximate factor model of Chamberlain and Rothschild (1983), as well as the exact factor model à la Sargent and Sims (1977). We provide identification conditions, propose an estimator of the common components, prove convergence a…

  • Trend-Cycle Decompositions and Measures of Persistence

    Marco Lippi, Lucrezia ReichlinARTICLEThe Economic Journal1991Cited by: 1

    FLWNO

  • Segmented Trends and Non-Stationary Time Series

    Peter Rappoport, Lucrezia ReichlinARTICLEThe Economic Journal1989Cited by: 12References: 1

    Since the influential work of Charles R. Nelson and Charles Plosser (1982), many empirical studies have concluded that macroeconomic time series are difference stationary. This paper proposes the segmented trend model as an alternative in which the series is the sum of a nonstationary trend and a stationary cycle, and where the trend shows infrequent shifts. The paper proposes tests between the difference stationary, and segmented trends models a…