Details about Andrea Carriero

Access statistics for papers by Andrea Carriero.

Last updated 2024-10-26. Update your information in the RePEc Author Service.

Short-id: pca105

Working Papers

2024

1. Macroeconomic Forecasting with Large Language Models
   Papers, arXiv.org
2. Specification Choices in Quantile Regression for Empirical Macroeconomics
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in Working Papers, Federal Reserve Bank of Cleveland (2022) View citations (2)

2023

3. Blended Identification in Structural VARs
   BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2022)
   See also Journal Article Blended identification in structural VARs, Journal of Monetary Economics, Elsevier (2024) (2024)
4. Shadow-rate VARs
   Discussion Papers, Deutsche Bundesbank

2022

5. Addressing COVID-19 outliers in BVARs with stochastic volatility
   Discussion Papers, Deutsche Bundesbank View citations (23)
   See also Journal Article Addressing COVID-19 Outliers in BVARs with Stochastic Volatility, The Review of Economics and Statistics, MIT Press (2024) (2024)
6. Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   See also Journal Article Capturing Macro‐Economic Tail Risks with Bayesian Vector Autoregressions, Journal of Money, Credit and Banking, Blackwell Publishing (2024) (2024)
7. Expectations and term premia in EFSF bond yields
   Working Papers, European Stability Mechanism
8. Generalizing the Max Share Identification to multiple shocks identification: an Application to Uncertainty
   School of Economics Discussion Papers, School of Economics, University of Surrey View citations (1)
9. Macro Uncertainty in the Long Run
   BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy
   See also Journal Article Macro uncertainty in the long run, Economics Letters, Elsevier (2023) View citations (2) (2023)
10. Macroeconomic Forecasting in a Multi-country Context
    Working Papers, Federal Reserve Bank of Cleveland View citations (3)
    See also Journal Article Macroeconomic forecasting in a multi‐country context, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2022) View citations (1) (2022)
11. Measuring Uncertainty and Its Effects in the COVID-19 Era
    Working Papers, Federal Reserve Bank of Cleveland View citations (1)

2019

12. Assessing International Commonality in Macroeconomic Uncertainty and Its Effects
    Working Papers, Federal Reserve Bank of Cleveland View citations (4)
    Also in Working Papers (Old Series), Federal Reserve Bank of Cleveland (2018) View citations (3)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2019) View citations (4)
    See also Journal Article Assessing international commonality in macroeconomic uncertainty and its effects, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2020) View citations (22) (2020)

2018

13. Endogenous Uncertainty
    Working Papers (Old Series), Federal Reserve Bank of Cleveland View citations (4)
14. The global component of inflation volatility
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area View citations (13)
    See also Journal Article The global component of inflation volatility, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2022) View citations (10) (2022)

2016

15. Have Standard VARs Remained Stable Since the Crisis?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (7)
    Also in Working Paper, Norges Bank (2014) View citations (14)
    Working Papers (Old Series), Federal Reserve Bank of Cleveland (2014) View citations (9)
    See also Journal Article Have Standard VARS Remained Stable Since the Crisis?, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2017) View citations (29) (2017)
16. Large Vector Autoregressions with Stochastic Volatility and Flexible Priors
    Working Papers (Old Series), Federal Reserve Bank of Cleveland View citations (13)
17. Measuring Uncertainty and Its Impact on the Economy
    Working Papers (Old Series), Federal Reserve Bank of Cleveland View citations (10)
    Also in BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy (2016) View citations (28)
    See also Journal Article Measuring Uncertainty and Its Impact on the Economy, The Review of Economics and Statistics, MIT Press (2018) View citations (140) (2018)
18. UK term structure decompositions at the zero lower bound
    Working papers, Banque de France View citations (2)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2015) View citations (4)
    See also Journal Article UK term structure decompositions at the zero lower bound, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2018) View citations (10) (2018)

2015

19. A Shrinkage Instrumental Variable Estimator for Large Datasets
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2008)
    See also Journal Article A SHRINKAGE INSTRUMENTAL VARIABLE ESTIMATOR FOR LARGE DATASETS, L'Actualité Economique, Société Canadienne de Science Economique (2015) (2015)
20. Large Vector Autoregressions with Asymmetric Priors
    Working Papers, Queen Mary University of London, School of Economics and Finance View citations (22)
21. Structural Analysis with Multivariate Autoregressive Index Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (4)
    See also Journal Article Structural analysis with Multivariate Autoregressive Index models, Journal of Econometrics, Elsevier (2016) View citations (23) (2016)

2014

22. No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (4)
    See also Journal Article No‐arbitrage priors, drifting volatilities, and the term structure of interest rates, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2021) View citations (1) (2021)
23. Tracing Out Capital Flows: How Financially Integrated Banks Respond to Natural Disasters
    Working Papers (Old Series), Federal Reserve Bank of Cleveland View citations (15)

2013

24. Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (10)
    Also in Working Papers (Old Series), Federal Reserve Bank of Cleveland (2012) View citations (3)
    See also Journal Article Realtime nowcasting with a Bayesian mixed frequency model with stochastic volatility, Journal of the Royal Statistical Society Series A, Royal Statistical Society (2015) View citations (76) (2015)
25. The Impact of Uncertainty Shocks under Measurement Error. A Proxy SVAR Approach
    Working Papers, Queen Mary University of London, School of Economics and Finance View citations (8)
    See also Journal Article The Impact of Uncertainty Shocks under Measurement Error: A Proxy SVAR Approach, Journal of Money, Credit and Banking, Blackwell Publishing (2015) View citations (101) (2015)

2012

26. Common Drifting Volatility in Large Bayesian VARs
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (36)
    Also in Working Papers (Old Series), Federal Reserve Bank of Cleveland (2012) View citations (24)
    Economics Working Papers, European University Institute (2012) View citations (36)
    See also Journal Article Common Drifting Volatility in Large Bayesian VARs, Journal of Business & Economic Statistics, Taylor & Francis Journals (2016) View citations (132) (2016)

2011

27. Bayesian VARs: Specification Choices and Forecast Accuracy
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (46)
    Also in Working Papers (Old Series), Federal Reserve Bank of Cleveland (2011) View citations (10)
    See also Journal Article Bayesian VARs: Specification Choices and Forecast Accuracy, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2015) View citations (125) (2015)
28. How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?
    Post-Print, HAL View citations (29)
    See also Journal Article How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?, Journal of Econometrics, Elsevier (2011) View citations (34) (2011)

2010

29. Forecasting Government Bond Yields with Large Bayesian VARs
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (10)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2010) View citations (6)

2009

30. Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models
    Economics Working Papers, European University Institute View citations (5)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009) View citations (5)
    See also Journal Article Forecasting large datasets with Bayesian reduced rank multivariate models, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2011) View citations (74) (2011)

2008

31. Forecasting Exchange Rates with a Large Bayesian VAR
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (4)
    Also in Working Papers, Queen Mary University of London, School of Economics and Finance (2008)
    Economics Working Papers, European University Institute (2008)
    See also Journal Article Forecasting exchange rates with a large Bayesian VAR, International Journal of Forecasting, Elsevier (2009) View citations (151) (2009)
32. Forecasting with Dynamic Models using Shrinkage-based Estimation
    Working Papers, Queen Mary University of London, School of Economics and Finance View citations (2)

2007

33. A Bayesian Framework for the Expectations Hypothesis. How to Extract Additional Information from the Term Structure of Interest Rates
    Working Papers, Queen Mary University of London, School of Economics and Finance View citations (1)
34. A Comparison of Methods for the Construction of Composite Coincident and Leading Indexes for the UK
    Working Papers, Queen Mary University of London, School of Economics and Finance View citations (9)
    See also Journal Article A comparison of methods for the construction of composite coincident and leading indexes for the UK, International Journal of Forecasting, Elsevier (2007) View citations (14) (2007)
35. A Simple Test of the New Keynesian Phillips Curve
    Working Papers, Queen Mary University of London, School of Economics and Finance
    See also Journal Article A simple test of the New Keynesian Phillips Curve, Economics Letters, Elsevier (2008) View citations (10) (2008)
36. Forecasting Large Datasets with Reduced Rank Multivariate Models
    Working Papers, Queen Mary University of London, School of Economics and Finance View citations (4)
37. Forecasting the Yield Curve Using Priors from No Arbitrage Affine Term Structure Models
    Working Papers, Queen Mary University of London, School of Economics and Finance View citations (3)
    See also Journal Article FORECASTING THE YIELD CURVE USING PRIORS FROM NO‐ARBITRAGE AFFINE TERM STRUCTURE MODELS, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2011) View citations (14) (2011)
38. Monitoring the Economy of the Euro Area: A Comparison of Composite Coincident Indexes
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (1)
39. Sectoral Survey-based Confidence Indicators for Europe
    Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University View citations (4)
    See also Journal Article Sectoral Survey‐based Confidence Indicators for Europe, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2011) View citations (7) (2011)

2004

40. Financial Factors, Macroeconomic Information and the Expectations Theory of the Term Structure of Interest Rates
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (11)
    Also in Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University (2004) View citations (13)
    Computing in Economics and Finance 2004, Society for Computational Economics (2004) View citations (6)
    See also Journal Article Financial factors, macroeconomic information and the Expectations Theory of the term structure of interest rates, Journal of Econometrics, Elsevier (2006) View citations (26) (2006)

Journal Articles

2024

1. Addressing COVID-19 Outliers in BVARs with Stochastic Volatility
   The Review of Economics and Statistics, 2024, 106, (5), 1403-1417
   See also Working Paper Addressing COVID-19 outliers in BVARs with stochastic volatility, Discussion Papers (2022) View citations (23) (2022)
2. Blended identification in structural VARs
   Journal of Monetary Economics, 2024, 146, (C)
   See also Working Paper Blended Identification in Structural VARs, BAFFI CAREFIN Working Papers (2023) (2023)
3. Capturing Macro‐Economic Tail Risks with Bayesian Vector Autoregressions
   Journal of Money, Credit and Banking, 2024, 56, (5), 1099-1127
   See also Working Paper Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions, CEPR Discussion Papers (2022) (2022)

2023

4. Macro uncertainty in the long run
   Economics Letters, 2023, 225, (C) View citations (2)
   See also Working Paper Macro Uncertainty in the Long Run, BAFFI CAREFIN Working Papers (2022) (2022)

2022

5. Macroeconomic forecasting in a multi‐country context
   Journal of Applied Econometrics, 2022, 37, (6), 1230-1255 View citations (1)
   See also Working Paper Macroeconomic Forecasting in a Multi-country Context, Working Papers (2022) View citations (3) (2022)
6. Nowcasting tail risk to economic activity at a weekly frequency
   Journal of Applied Econometrics, 2022, 37, (5), 843-866 View citations (11)
7. The global component of inflation volatility
   Journal of Applied Econometrics, 2022, 37, (4), 700-721 View citations (10)
   See also Working Paper The global component of inflation volatility, Temi di discussione (Economic working papers) (2018) View citations (13) (2018)

2021

8. No‐arbitrage priors, drifting volatilities, and the term structure of interest rates
   Journal of Applied Econometrics, 2021, 36, (5), 495-516 View citations (1)
   See also Working Paper No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates, CEPR Discussion Papers (2014) View citations (4) (2014)
9. Using time-varying volatility for identification in Vector Autoregressions: An application to endogenous uncertainty
   Journal of Econometrics, 2021, 225, (1), 47-73 View citations (17)

2020

10. Assessing international commonality in macroeconomic uncertainty and its effects
    Journal of Applied Econometrics, 2020, 35, (3), 273-293 View citations (22)
    See also Working Paper Assessing International Commonality in Macroeconomic Uncertainty and Its Effects, Working Papers (2019) View citations (4) (2019)

2019

11. A comprehensive evaluation of macroeconomic forecasting methods
    International Journal of Forecasting, 2019, 35, (4), 1226-1239 View citations (33)
12. Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors
    Journal of Econometrics, 2019, 212, (1), 137-154 View citations (129)

2018

13. Measuring Uncertainty and Its Impact on the Economy
    The Review of Economics and Statistics, 2018, 100, (5), 799-815 View citations (140)
    See also Working Paper Measuring Uncertainty and Its Impact on the Economy, Working Papers (Old Series) (2016) View citations (10) (2016)
14. UK term structure decompositions at the zero lower bound
    Journal of Applied Econometrics, 2018, 33, (5), 643-661 View citations (10)
    See also Working Paper UK term structure decompositions at the zero lower bound, Working papers (2016) View citations (2) (2016)

2017

15. Have Standard VARS Remained Stable Since the Crisis?
    Journal of Applied Econometrics, 2017, 32, (5), 931-951 View citations (29)
    See also Working Paper Have Standard VARs Remained Stable Since the Crisis?, CEPR Discussion Papers (2016) View citations (7) (2016)

2016

16. Common Drifting Volatility in Large Bayesian VARs
    Journal of Business & Economic Statistics, 2016, 34, (3), 375-390 View citations (132)
    See also Working Paper Common Drifting Volatility in Large Bayesian VARs, CEPR Discussion Papers (2012) View citations (36) (2012)
17. Structural analysis with Multivariate Autoregressive Index models
    Journal of Econometrics, 2016, 192, (2), 332-348 View citations (23)
    See also Working Paper Structural Analysis with Multivariate Autoregressive Index Models, CEPR Discussion Papers (2015) View citations (4) (2015)

2015

18. A SHRINKAGE INSTRUMENTAL VARIABLE ESTIMATOR FOR LARGE DATASETS
    L'Actualité Economique, 2015, 91, (1-2), 67-87
    See also Working Paper A Shrinkage Instrumental Variable Estimator for Large Datasets, Working Papers (2015) (2015)
19. Bayesian VARs: Specification Choices and Forecast Accuracy
    Journal of Applied Econometrics, 2015, 30, (1), 46-73 View citations (125)
    See also Working Paper Bayesian VARs: Specification Choices and Forecast Accuracy, CEPR Discussion Papers (2011) View citations (46) (2011)
20. Forecasting with Bayesian multivariate vintage-based VARs
    International Journal of Forecasting, 2015, 31, (3), 757-768 View citations (11)
21. Macroeconomic information, structural change, and the prediction of fiscal aggregates
    International Journal of Forecasting, 2015, 31, (2), 325-348 View citations (1)
22. Realtime nowcasting with a Bayesian mixed frequency model with stochastic volatility
    Journal of the Royal Statistical Society Series A, 2015, 178, (4), 837-862 View citations (76)
    See also Working Paper Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility, CEPR Discussion Papers (2013) View citations (10) (2013)
23. The Impact of Uncertainty Shocks under Measurement Error: A Proxy SVAR Approach
    Journal of Money, Credit and Banking, 2015, 47, (6), 1223-1238 View citations (101)
    See also Working Paper The Impact of Uncertainty Shocks under Measurement Error. A Proxy SVAR Approach, Working Papers (2013) View citations (8) (2013)

2012

24. Forecasting government bond yields with large Bayesian vector autoregressions
    Journal of Banking & Finance, 2012, 36, (7), 2026-2047 View citations (56)

2011

25. FORECASTING THE YIELD CURVE USING PRIORS FROM NO‐ARBITRAGE AFFINE TERM STRUCTURE MODELS
    International Economic Review, 2011, 52, (2), 425-459 View citations (14)
    See also Working Paper Forecasting the Yield Curve Using Priors from No Arbitrage Affine Term Structure Models, Working Papers (2007) View citations (3) (2007)
26. Forecasting large datasets with Bayesian reduced rank multivariate models
    Journal of Applied Econometrics, 2011, 26, (5), 735-761 View citations (74)
    See also Working Paper Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models, Economics Working Papers (2009) View citations (5) (2009)
27. How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?
    Journal of Econometrics, 2011, 164, (1), 21-34 View citations (34)
    See also Working Paper How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?, Post-Print (2011) View citations (29) (2011)
28. Sectoral Survey‐based Confidence Indicators for Europe
    Oxford Bulletin of Economics and Statistics, 2011, 73, (2), 175-206 View citations (7)
    See also Working Paper Sectoral Survey-based Confidence Indicators for Europe, Working Papers (2007) View citations (4) (2007)

2009

29. Forecasting exchange rates with a large Bayesian VAR
    International Journal of Forecasting, 2009, 25, (2), 400-417 View citations (151)
    See also Working Paper Forecasting Exchange Rates with a Large Bayesian VAR, CEPR Discussion Papers (2008) View citations (4) (2008)

2008

30. A simple test of the New Keynesian Phillips Curve
    Economics Letters, 2008, 100, (2), 241-244 View citations (10)
    See also Working Paper A Simple Test of the New Keynesian Phillips Curve, Working Papers (2007) (2007)

2007

31. A comparison of methods for the construction of composite coincident and leading indexes for the UK
    International Journal of Forecasting, 2007, 23, (2), 219-236 View citations (14)
    See also Working Paper A Comparison of Methods for the Construction of Composite Coincident and Leading Indexes for the UK, Working Papers (2007) View citations (9) (2007)

2006

32. Explaining US–UK Interest Rate Differentials: A Reassessment of the Uncovered Interest Rate Parity in a Bayesian Framework*
    Oxford Bulletin of Economics and Statistics, 2006, 68, (s1), 879-899 View citations (8)
33. Financial factors, macroeconomic information and the Expectations Theory of the term structure of interest rates
    Journal of Econometrics, 2006, 131, (1-2), 339-358 View citations (26)
    See also Working Paper Financial Factors, Macroeconomic Information and the Expectations Theory of the Term Structure of Interest Rates, CEPR Discussion Papers (2004) View citations (11) (2004)