WorldCat Identities

Reichlin, Lucrezia

Overview
Works: 88 works in 338 publications in 2 languages and 1,139 library holdings
Genres: Conference proceedings 
Roles: Editor, Honoree
Classifications: HD57, 332.46
Publication Timeline
Key
Publications about  Lucrezia Reichlin Publications about Lucrezia Reichlin
Publications by  Lucrezia Reichlin Publications by Lucrezia Reichlin
Most widely held works by Lucrezia Reichlin
Trends and cycles in labour productivity in the major OECD countries by Giuseppe Nicoletti ( Book )
19 editions published between 1992 and 1993 in English and held by 180 WorldCat member libraries worldwide
This paper uses a multivariate generalisation of the Beveridge and Nelson methodology to model trends and cycles of business-sector labour productivity in the major OECD countries. The method implies that the trend is the long-term forecast of productivity, given all available information; the cycle is thus interpreted as the total excess growth that one would forecast beyond "normal" rates of productivity (see Evans and Reichlin, 1992). Multivariate trends in productivity were estimated including series that Granger-cause and, possibly, are cointegrated with productivity. The corresponding cycles were compared with those generated by the Hodrick-Prescott filter and with the business-cycle dating of the OECD. The stability and predictive properties of the Beveridge-Nelson and Hodrick-Prescott trends were compared. Finally, the estimated productivity gaps were used as proxies for capacity utilisation in econometric models of price formation in order to assess their empirical
The role of money : money and monetary policy in the twenty-first century : fourth ECB Central Banking Conference, 9-10 November 2006 by ECB Central Banking Conference ( Book )
10 editions published in 2008 in English and German and held by 113 WorldCat member libraries worldwide
This volume presents several contributions from the 4th ECB central banking conferencefocusing on the practical experience concerning monetary policy in the 21st centuryof central banks and on lessons from history
Forecasting using a large number of predictors: is Bayesian regression a valid alternative to principal components? : [... presented at the 8th Bundesbank spring conference (May 2006) on "New developments in Economic Forecasting"] by Christine de Mol ( Book )
16 editions published in 2006 in English and held by 65 WorldCat member libraries worldwide
This paper considers Bayesian regression with normal and doubleexponential priors as forecasting methods based on large panels of time series. We show that, empirically, these forecasts are highly correlated with principal component forecasts and that they perform equally well for a wide range of prior choices. Moreover, we study the asymptotic properties of the Bayesian regression under Gaussian prior under the assumption that data are quasi collinear to establish a criterion for setting parameters in a large cross-section
Business cycles in the Euro area by Domenico Giannone ( )
12 editions published between 2008 and 2009 in English and held by 50 WorldCat member libraries worldwide
This paper shows that the EMU has not affected historical characteristics of member countries' business cycles and their cross-correlations. Member countries which had similar levels of GDP per-capita in the seventies have also experienced similar business cycles since then and no significant change associated with the EMU can be detected. For the other countries, volatility has been historically higher and this has not changed in the last ten years. We also find that the aggregate euro area per-capita GDP growth since 1999 has been lower than what could have been predicted on the basis of historical experience and US observed developments. The gap between US and euro area GDP per capita level has been 30% on average since 1970 and there is no sign of catching up or of further widening
The Euro area business cycle : stylized facts and measurement issues ( Book )
7 editions published in 2004 in English and held by 38 WorldCat member libraries worldwide
Nowcasting GDP and inflation : the real time informational content of macroeconomic data release by Domenico Giannone ( Book )
11 editions published between 2005 and 2006 in English and held by 38 WorldCat member libraries worldwide
This paper formalizes the process of updating the nowcast and forecast on output and inʻation as new releases of data become available. The marginal contribution of a particular release for the value of the signal and its precision is evaluated by computing "news" on the basis of an evolving conditioning information set. The marginal contribution is then split into what is due to timeliness of information and what is due to economic content. We find that the Federal Reserve Bank of Philadelphia surveys have a large marginal impact on the nowcast of both inflation variables and real variables and this effect is larger than that of the Employment Report. When we control for timeliness of the releases, the effect of hard data becomes sizeable. Prices and quantities affect the precision of the estimates of inʻation while GDP is only affected by real variables and interest rates
NBER International Seminar on Macroeconomics by International Seminar on Macroeconomics ( Book )
1 edition published in 2008 in English and held by 33 WorldCat member libraries worldwide
Dynamic common factors in large cross-sections by Mario Forni ( Book )
10 editions published between 1995 and 1996 in English and held by 31 WorldCat member libraries worldwide
Does information help recovering structural shocks from past observations? by Domenico Giannone ( Book )
12 editions published in 2006 in English and held by 30 WorldCat member libraries worldwide
This paper asks two questions. First, can we detect empirically whether the shocks recovered from the estimates of a structural VAR are truly structural? Second, can the problem of nonfundamentalness be solved by considering additional information? The answer to the first question is yesʺ and that to the second is under some conditionsʺ
A quasi maximum likelihood approach for large approximate dynamic factor models by Catherine Doz ( Book )
11 editions published in 2006 in English and held by 29 WorldCat member libraries worldwide
This paper considers quasi-maximum likelihood estimations of a dynamic approximate factor model when the panel of time series is large. Maximum likelihood is analyzed under different sources of misspecification: omitted serial correlation of the observations and cross-sectional correlation of the idiosyncratic components. It is shown that the effects of misspecification on the estimation of the common factors is negligible for large sample size (T) and the cross-sectional dimension (n). The estimator is feasible when n is large and easily implementable using the Kalman smoother and the EM algorithm as in traditional factor analysis. Simulation results illustrate what are the empirical conditions in which we can expect improvement with respect to simple principle components considered by Bai (2003), Bai and Ng (2002), Forni, Hallin, Lippi, and Reichlin (2000, 2005b), Stock and Watson (2002a,b)
Explaining the great moderation : it is not the shocks by Domenico Giannone ( Book )
11 editions published between 2007 and 2008 in English and held by 27 WorldCat member libraries worldwide
This paper shows that the explanation of the decline in the volatility of GDP growth since the mid-eighties is not the decline in the volatility of exogenous shocks but rather a change in their propagation mechanism
A measure of comovement for economic variables : theory and empirics by Christophe Croux ( Book )
9 editions published in 1999 in English and held by 27 WorldCat member libraries worldwide
National policies and local economies : Europe and the United States by Mario Forni ( Book )
8 editions published in 1997 in English and held by 25 WorldCat member libraries worldwide
Information, forecasts and measurement of the business cycle by Observatoire français des conjonctures économiques ( Book )
7 editions published between 1992 and 1993 in English and held by 25 WorldCat member libraries worldwide
Tracking greenspan : systematic and unsystematic monetary policy revisited by Domenico Giannone ( Book )
8 editions published in 2002 in English and held by 22 WorldCat member libraries worldwide
NBER International Seminar on Macroeconomics 2009 by International Seminar on Macroeconomics ( Book )
1 edition published in 2010 in English and held by 22 WorldCat member libraries worldwide
Openings the black box : structural factor models versus structural VARs by Mario Forni ( Book )
6 editions published in 2003 in English and held by 21 WorldCat member libraries worldwide
Factor models in large cross-sections of time series by Lucrezia Reichlin ( Book )
7 editions published between 2002 and 2003 in English and Undetermined and held by 21 WorldCat member libraries worldwide
Segmented trends and nonstationary time series by Peter Rappoport ( Book )
5 editions published in 1987 in English and German and held by 19 WorldCat member libraries worldwide
Monetary policy in real time by Domenico Giannone ( Book )
8 editions published between 2004 and 2005 in English and Undetermined and held by 19 WorldCat member libraries worldwide
 
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Audience level: 0.71 (from 0.47 for Forecastin ... to 0.93 for The Euro a ...)
Alternative Names
Reichlin, L.
Languages
English (175)
German (2)
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