Publications

Publications in refereed journals

• Aprigliano, Valentina, Emiliozzi, Simone, Guaitoli, Gabriele, Luciani, Andrea, Marcucci, Juri, and Monteforte, Libero, (2022), "The power of text-based indicators in forecasting Italian economic activity", International Journal of Forecasting, forthcoming, https://doi.org/10.1016/j.ijforecast.2022.02.006 

• Angelico, Cristina, Marcucci, Juri, Miccoli, Marcello, and Quarta Filippo, (2022), "Can we measure inflation expectations using Twitter?", Journal of Econometrics, Volume 228, Issue 2, June, Pages 259-277, https://doi.org/10.1016/j.jeconom.2021.12.008. 

• D'Amuri, Francesco and Marcucci, Juri, (2017), "The Predictive Power of Google Searches in Forecasting US Unemployment", International Journal of Forecasting, October-December, 33(4), 801-816

Awarded the Best Paper Award for papers published in the International Journal of Forecasting during 2016-2017.

Motivation for the award: "... your paper was groundbreaking by introducing Google search to economic forecasting. It falls right at the intersection between macroeconomic forecasting and the big-data approach that is gaining much attraction in the field of applied forecasting. A simple internet-search based indicator poses a high hurdle to standard forecasting and this represents a new stylized fact that applied macroeconomists will need to take into account. ..." 

Web Appendix (with unpublished results)

• Busetti, Fabio and Marcucci, Juri, (2013), "Comparing forecast accuracy: a Monte Carlo investigation", International Journal of Forecasting January-March, 29(1), 13-27

Web Appendix (with detailed size and power results on all simulations)

• Metghalchi, Massoud, Yung-Ho, Chang and Marcucci, Juri, (2012), "Are Moving Average Trading Rules Profitable? Evidence from the European Stock Markets'', Applied Economics, 44(12), 1539-1559.

• Marcucci, Juri and Quagliariello, Mario, (2009), "Asymmetric Effects of the Business Cycle on Bank Credit Risk", Journal of Banking and Finance, September, 33(9), 1624-1635.

• Metghalchi, Massoud, Chang, Yung-Ho and Marcucci, Juri, (2008) "Is the Swedish Stock Market Efficient? Evidence from some simple trading rules", International Review of Financial Analysis, 17(3), 475-490.

• Marcucci, Juri and Quagliariello, Mario, (2008), "Is Bank Portfolio Riskiness Procyclical? Evidence from Italy using a Vector Autoregression", Journal of International Financial Markets, Institutions & Money, February, 18(1), 46-63.

• Lotti, Francesca and Marcucci, Juri, (2007), "Revisiting the Empirical Evidence on Firms' Money Demand", Journal of Economics and Business, January-February, 59(1), 51-73.

• Engle, Robert F. and Marcucci, Juri, (2006), "A Long Run Pure Variance Common Features Model for the Common Volatilities of the Dow Jones", May, Journal of Econometrics, 132(1), 7-42.

• • Marcucci, Juri, (2005), "Forecasting Stock Market Volatility with Regime-Switching GARCH Models", Studies in Nonlinear Dynamics and Econometrics, Vol. 9, Issue 4, Art. 6.

MRS-GARCH Matlab code (updated January 2011)

Other Publications

• Laviola, Sebastiano, Marcucci, Juri, and Quagliariello, Mario, (2006), "Stress Testing Credit Risk: Experience from the Italian FSAP"}, BNL Quarterly Review, September 2006, Vol. LIX, n. 238, 269-291.

• Lotti, Francesca, and Marcucci, Juri, (2004), ``La domanda di liquidita' delle imprese statunitensi: una analisi panel'' (Corporate Liquidity Demand in the US: Evidence from Panel Data), L'Industria, April-June 2004, n. 2, 403-418.

• Marcucci, Juri, and Quagliariello, Mario, (2008), "Credit risk and business cycle over different regimes", Bank of Italy, Working paper n. 670.