Domenico Giannone

Biographic Data

ID5736040
NAMEDomenico Giannone
GIVEN NAMESDomenico
FAMILY NAMEGiannone
SIGNATUREGIANNONE D
AFFILIATIONSUniversité Libre de Bruxelles
ORCID0000-0003-3850-2586
VERIFIEDYes
TOTAL WORKS10
TOTAL CITATIONS8
WORKS AS AUTHOR10
WORKS AS EDITOR0
FIRST PUBLICATION YEAR2006
LATEST PUBLICATION YEAR2022
H-INDEX1

  • Common factors of commodity prices

    Open AccessSimona Delle Chiaie, Laurent Ferrara et al.ARTICLEJournal of Applied Econometrics2022

    In this paper, we extract latent factors from a large cross‐section of commodity prices, including fuel and non‐fuel commodities. We decompose each commodity price series into a global (or common) component, block‐specific components, and a purely idiosyncratic component. We find that the bulk of the fluctuations in commodity prices are well summarized by a single global factor. This global factor is closely related to fluctuations in global econ…

  • Vulnerable Growth

    Tobias Adrian, Nina Boyarchenko et al.ARTICLEAmerican Economic Review2019

    We study the conditional distribution of GDP growth as a function of economic and financial conditions. Deteriorating financial conditions are associated with an increase in the conditional volatility and a decline in the conditional mean of GDP growth, leading the lower quantiles of GDP growth to vary with financial conditions and the upper quantiles to be stable over time. Upside risks to GDP growth are low in most periods while downside risks …

  • Unspanned Macroeconomic Factors in the Yield Curve

    Open AccessLaura Coroneo, Domenico Giannone et al.ARTICLEJournal of Business and Economic…2016

    In this article, we extract common factors from a cross-section of U.S. macro-variables and Treasury zero-coupon yields. We find that two macroeconomic factors have an important predictive content for government bond yields and excess returns. These factors are not spanned by the cross-section of yields and are well proxied by economic growth and real interest rates

  • Prior Selection for Vector Autoregressions

    Domenico Giannone, Michele Lenza et al.ARTICLEThe Review of Economics and…2015

    Vector autoregressions (VARs) are flexible time series models that can capture complex dynamic interrelationships among macroeconomic variables. However, their dense parameterization leads to unstable inference and inaccurate out-of-sample forecasts, particularly for models with many variables. A solution to this problem is to use informative priors in order to shrink the richly parameterized unrestricted model toward a parsimonious naıve benchma…

  • An Area-Wide Real-Time Database for the Euro Area

    Domenico Giannone, Jérôme Henry et al.ARTICLEThe Review of Economics and…2012

    This paper describes how we constructed a real-time database for the euro area. The database covers more than 200 series regularly published in the European Central Bank Monthly Bulletin, as made available to the Governing Council members for their first monthly meeting. We study the properties of the real-time data flow and data revisions in the euro area, also providing comparisons with the United States and Japan. We illustrate how revisions c…

  • 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