Research

Journal Articles

• Inferential Theory for Generalized Dynamic Factor Models, Journal of Econometrics, Vol. 239(2), 2024. (with M. Barigozzi, M. Hallin, and P. Zaffaroni)

• Measuring the Output Gap Using Large Datasets, Review of Economics and Statistics, Vol. 105, p. 1500-1514, 2023. (with M. Barigozzi)

• Large-Dimensional Dynamic Factor Models: Estimation of Impulse-Response Functions with I(1) Cointegrated Factors, Journal of Econometrics, Vol. 221, 455-482, 2021. (with M. Barigozzi and M. Lippi)

• Cointegration and Error Correction Mechanisms for Singular Stochastic Vectors, Econometrics Vol. 8(1), 2020. (with M. Barigozzi and M. Lippi)

• Oil price pass-through into core inflation, Energy Journal, Vol. 40, p. 221-247, 2019. (with C. Conflitti)

• Nowcasting Indonesia, Empirical Economics, Vol.55, p. 597-619, 2018. (with M. Pundit, A. Ramayandi, and G. Veronese)

• Systemic risk in the US: Interconnectedness as a circuit breaker, Economic Modelling, Vol. 71, p. 305-315, 2018. (with M. Dungey and D. Veredas)

• Surfing through the Global Financial Crisis: Systemic risk in Australia, Economic Record, Vol. 93, p. 1-19, 2017. (with M. Dungey, M. Matei, and D. Veredas)

• Estimating and Forecasting Large Panels of Volatilities with Approximate Dynamic Factor Models, Journal of Forecasting, Vol. 34, p. 163-176, 2015. (with D. Veredas)

• Monetary Policy, and the Housing Market: A Structural Factor Analysis, Journal of Applied Econometrics, Vol. 30, p. 199-218, 2015.

• Nowcasting Norway, International Journal of Central Banking, Vol. 10, p. 215-248, 2014. (with L. Ricci) 

• Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?, Oxford Bulletin of Economics and Statistics, Vol. 76, p. 693-714, 2014. (with M. Barigozzi and A. Conti)

• Forecasting with Approximate Dynamic Factor Models: the role of non-pervasive shocks, International Journal of Forecasting, Vol. 30, p. 20-29, 2014.

• The Determinants of Investment in Information and Communication Technologies, Economics of Innovation and New Technologies,  Vol. 20, p. 387-403, 2011. (with P. Guerrieri and V. Meliciani)

• A VAR Model for the Analysis of the Effects of Monetary Policy in the Euro Area, Rivista di Politica Economica, (RPE), Vol. 94, p. 175-214, 2004. 

Working Papers

• Measuring the Euro Area Output Gap, mimeo, 2024. (with M. Barigozzi and C. Lissona)

• Lessons from Nowcasting GDP across the World, International Finance Discussion Papers 1385, Board of Governors of the Federal Reserve System, 2023. (with D. Cascaldi-Garcia and M. Modugno)

• Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm, arXiv:1910.03821v4, 2022. (with M. Barigozzi)

• Relative prices and pure inflation since the mid-1990s, Finance and Economics Discussion Series 2021-069, Board of Governors of the Federal Reserve System, 2021. (with H.J. Ahn)

•  Common and idiosyncratic inflation, Finance and Economics Discussion Series 2020-024, Board of Governors of the Federal Reserve System, 2020.

• Quasi Maximum Likelihood Estimation of Non-Stationary Large Approximate Dynamic Factor Models, arXiv:1910.09841, 2019. (with M. Barigozzi)

• Uncertainty and Heterogeneity in Factor Models Forecasting, Bank of Italy Working Paper No. 923, 2013. (with L. Monteforte)

Chapter in books

• Large-Dimensional Dynamic Factor models in Real-Time: A Survey, in G. L. Mazzi and A. Ozyildirim, eds., Handbook on Cyclical Composite Indicators, Eurostat, 2017. 

Policy Briefs

• Quantifying the COVID-19 effects on core PCE price inflation, FEDS Notes, Board of Governors of the Federal Reserve System, February 25, 2021.

• Common and idiosyncratic inflation, FEDS Notes, Board of Governors of the Federal Reserve System, March 5, 2020.

• Comparing Two Measures of Core Inflation: PCE Excluding Food & Energy vs. the Trimmed Mean PCE Index, FEDS Notes, Board of Governors of the Federal Reserve System, August 2, 2019. (with R. Trezzi)

• Oil price pass-through into core inflation, FEDS Notes, Board of Governors of the Federal Reserve System, October 19, 2017. (with C. Conflitti)

• Una politica monetaria comune, ma effetti asimmetrici, lavoce.info, 8 Novembre 2013. (with M. Barigozzi and A. Conti)

• Googling Systemically Important Insurers, VoxEU, 22 April 2013. (with M. Dungey and D. Veredas)