Details about Michele Lenza
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Last updated 2024-10-08. Update your information in the RePEc Author Service.
Short-id: ple337
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Working Papers
2024
- Density forecasts of inflation: a quantile regression forest approach
Documents de Travail de l'Insee - INSEE Working Papers, Institut National de la Statistique et des Etudes Economiques 
Also in Working Paper Series, European Central Bank (2023) View citations (4)
CEPR Discussion Papers, C.E.P.R. Discussion Papers (2023)
- Do we need firm data to understand macroeconomic dynamics?
Working Paper Series, Sveriges Riksbank (Central Bank of Sweden)
2021
- Economic predictions with big data: the illusion of sparsity
Working Paper Series, European Central Bank View citations (58)
Also in Staff Reports, Federal Reserve Bank of New York (2018) View citations (21)
CEPR Discussion Papers, C.E.P.R. Discussion Papers (2017) View citations (28)
Liberty Street Economics, Federal Reserve Bank of New York (2018) View citations (21)
See also Journal Article Economic Predictions With Big Data: The Illusion of Sparsity, Econometrica, Econometric Society (2021) View citations (57) (2021)
- How Does Monetary Policy Affect Income and Wealth Inequality? Evidence from Quantitative Easing in the Euro Area
CEPR Discussion Papers, C.E.P.R. Discussion Papers
Also in Working Paper Series, European Central Bank (2018) View citations (76)
See also Journal Article How does monetary policy affect income and wealth inequality? Evidence from quantitative easing in the euro area, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2024) View citations (3) (2024)
- Nowcasting with Large Bayesian Vector Autoregressions
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (5)
Also in Working Paper Series, European Central Bank (2020) View citations (12)
See also Journal Article Nowcasting with large Bayesian vector autoregressions, Journal of Econometrics, Elsevier (2022) View citations (17) (2022)
2020
- How to Estimate a VAR after March 2020
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (156)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2020) View citations (140)
Working Paper Series, European Central Bank (2020) View citations (135)
- What's up with the Phillips Curve?
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (14)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2020) View citations (5)
Liberty Street Economics, Federal Reserve Bank of New York (2020) View citations (4)
Working Paper Series, European Central Bank (2020) View citations (5)
See also Journal Article What's Up with the Phillips Curve?, Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution (2020) View citations (5) (2020)
2019
- Interbank rate uncertainty and bank lending
Working Paper Series, European Central Bank View citations (10)
- Mind the gap: a multi-country BVAR benchmark for the Eurosystem projections
Working Paper Series, European Central Bank View citations (18)
See also Journal Article Mind the gap: A multi-country BVAR benchmark for the Eurosystem projections, International Journal of Forecasting, Elsevier (2019) View citations (15) (2019)
- Money, credit, monetary policy and the business cycle in the euro area: what has changed since the crisis?
Working Paper Series, European Central Bank View citations (21)
Also in Staff Reports, Federal Reserve Bank of New York (2019) View citations (10)
See also Journal Article Money, Credit, Monetary Policy, and the Business Cycle in the Euro Area: What Has Changed Since the Crisis?, International Journal of Central Banking, International Journal of Central Banking (2019) View citations (20) (2019)
2018
- Priors for the long run
Working Paper Series, European Central Bank View citations (13)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2016) View citations (12)
Staff Reports, Federal Reserve Bank of New York (2017) View citations (4)
See also Journal Article Priors for the Long Run, Journal of the American Statistical Association, Taylor & Francis Journals (2019) View citations (42) (2019)
2016
- An inflation-predicting measure of the output gap in the euro area
Working Paper Series, European Central Bank View citations (16)
See also Journal Article An Inflation‐Predicting Measure of the Output Gap in the Euro Area, Journal of Money, Credit and Banking, Blackwell Publishing (2018) View citations (84) (2018)
2015
- Nowcasting Business Cycles: a Bayesian Approach to Dynamic Heterogeneous Factor Models
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (11)
See also Chapter Nowcasting Business Cycles: A Bayesian Approach to Dynamic Heterogeneous Factor Models, Advances in Econometrics, Emerald Group Publishing Limited (2016) View citations (18) (2016)
2014
- Conditional Forecasts and Scenario Analysis with Vector Autoregressions for Large Cross-Sections
Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (22)
Also in Working Paper Series, European Central Bank (2014) View citations (19)
CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) View citations (19)
See also Journal Article Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections, International Journal of Forecasting, Elsevier (2015) View citations (121) (2015)
- The Financial and Macroeconomic Effects of OMT Announcements
Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (136)
Also in CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy (2014) View citations (132)
Working Paper Series, European Central Bank (2014) View citations (135)
CEPR Discussion Papers, C.E.P.R. Discussion Papers (2014) View citations (125)
See also Journal Article The Financial and Macroeconomic Effects of the OMT Announcements, International Journal of Central Banking, International Journal of Central Banking (2016) View citations (111) (2016)
2013
- Corporate finance and economic activity in the euro area
Occasional Paper Series, European Central Bank View citations (19)
2012
- Money, Credit, Monetary Policy and the Business Cycle in the Euro Area
Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (52)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012) View citations (55)
- Prior Selection for Vector Autoregressions
Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (106)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012) View citations (86)
Working Paper Series, European Central Bank (2012) View citations (85)
NBER Working Papers, National Bureau of Economic Research, Inc (2012) View citations (93)
See also Journal Article Prior Selection for Vector Autoregressions, The Review of Economics and Statistics, MIT Press (2015) View citations (483) (2015)
- The ECB and the Interbank Market
Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (97)
Also in Working Paper Series, European Central Bank (2012) View citations (95)
CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012) View citations (103)
See also Journal Article The ECB and the Interbank Market, Economic Journal, Royal Economic Society (2012) View citations (97) (2012)
2011
- Market freedom and the global recession
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (74)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2010) View citations (44)
Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2010) View citations (41)
See also Journal Article Market Freedom and the Global Recession, IMF Economic Review, Palgrave Macmillan (2011) View citations (80) (2011)
- Non-standard monetary policy measures and monetary developments
Working Paper Series, European Central Bank View citations (52)
Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2010) View citations (9)
Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2010) View citations (9)
CEPR Discussion Papers, C.E.P.R. Discussion Papers (2010) View citations (18)
2010
- Monetary policy in exceptional times
Working Paper Series, European Central Bank View citations (254)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2010) View citations (257)
See also Journal Article Monetary policy in exceptional times, Economic Policy, CEPR, CESifo, Sciences Po (2010) View citations (214) (2010)
- Prior Selection for Bayesian VARs
2010 Meeting Papers, Society for Economic Dynamics View citations (1)
- Short-Term Inflation Projections: a Bayesian Vector Autoregressive approach
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (68)
Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2010) View citations (63)
See also Journal Article Short-term inflation projections: A Bayesian vector autoregressive approach, International Journal of Forecasting, Elsevier (2014) View citations (92) (2014)
2009
- Business Cycles in the Euro Area
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (60)
Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2008) View citations (55)
NBER Working Papers, National Bureau of Economic Research, Inc (2008) View citations (63)
See also Chapter Business Cycles in the Euro Area, NBER Chapters, National Bureau of Economic Research, Inc (2010) View citations (85) (2010)
Journal Article Business cycles in the euro area, Research Bulletin, European Central Bank (2009) View citations (42) (2009)
- The Feldstein-Horioka Fact
Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (29)
Also in Working Paper Series, European Central Bank (2008) View citations (10)
CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) View citations (12)
NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations (16)
See also Journal Article The Feldstein-Horioka Fact, NBER International Seminar on Macroeconomics, University of Chicago Press (2010) View citations (19) (2010)
Chapter The Feldstein-Horioka Fact, NBER Chapters, National Bureau of Economic Research, Inc (2010) View citations (19) (2010)
2008
- Explaining the Great Moderation: it is not the shocks
Working Paper Series, European Central Bank View citations (120)
Also in ULB Institutional Repository, ULB -- Universite Libre de Bruxelles (2008) View citations (110)
CEPR Discussion Papers, C.E.P.R. Discussion Papers (2007) View citations (13)
See also Journal Article Explaining The Great Moderation: It Is Not The Shocks, Journal of the European Economic Association, MIT Press (2008) View citations (106) (2008)
2007
- Essays on monetary policy, saving and investment
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
- Monetary policy and core inflation
Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank View citations (1)
Also in Working Paper Series, European Central Bank (2007) View citations (1)
Journal Articles
2024
- How does monetary policy affect income and wealth inequality? Evidence from quantitative easing in the euro area
Journal of Applied Econometrics, 2024, 39, (5), 746-765 View citations (3)
See also Working Paper How Does Monetary Policy Affect Income and Wealth Inequality? Evidence from Quantitative Easing in the Euro Area, CEPR Discussion Papers (2021) (2021)
2023
- Forecasting euro area inflation with machine-learning models
Research Bulletin, 2023, 112 View citations (1)
- Inflation and wage growth since the pandemic: A comment
European Economic Review, 2023, 158, (C)
2022
- How to estimate a vector autoregression after March 2020
Journal of Applied Econometrics, 2022, 37, (4), 688-699 View citations (68)
- Nowcasting with large Bayesian vector autoregressions
Journal of Econometrics, 2022, 231, (2), 500-519 View citations (17)
See also Working Paper Nowcasting with Large Bayesian Vector Autoregressions, CEPR Discussion Papers (2021) View citations (5) (2021)
2021
- Economic Predictions With Big Data: The Illusion of Sparsity
Econometrica, 2021, 89, (5), 2409-2437 View citations (57)
See also Working Paper Economic predictions with big data: the illusion of sparsity, Working Paper Series (2021) View citations (58) (2021)
2020
- What's Up with the Phillips Curve?
Brookings Papers on Economic Activity, 2020, 51, (1 (Spring)), 301-373 View citations (5)
See also Working Paper What's up with the Phillips Curve?, CEPR Discussion Papers (2020) View citations (14) (2020)
- Why has inflation in the United States been so stable since the 1990s?
Research Bulletin, 2020, 74
2019
- Mind the gap: A multi-country BVAR benchmark for the Eurosystem projections
International Journal of Forecasting, 2019, 35, (4), 1658-1668 View citations (15)
See also Working Paper Mind the gap: a multi-country BVAR benchmark for the Eurosystem projections, Working Paper Series (2019) View citations (18) (2019)
- Money, Credit, Monetary Policy, and the Business Cycle in the Euro Area: What Has Changed Since the Crisis?
International Journal of Central Banking, 2019, 15, (5), 137-173 View citations (20)
See also Working Paper Money, credit, monetary policy and the business cycle in the euro area: what has changed since the crisis?, Working Paper Series (2019) View citations (21) (2019)
- Priors for the Long Run
Journal of the American Statistical Association, 2019, 114, (526), 565-580 View citations (42)
See also Working Paper Priors for the long run, Working Paper Series (2018) View citations (13) (2018)
- Quantitative easing did not increase inequality in the euro area
Research Bulletin, 2019, 54 View citations (4)
2018
- An Inflation‐Predicting Measure of the Output Gap in the Euro Area
Journal of Money, Credit and Banking, 2018, 50, (6), 1189-1224 View citations (84)
See also Working Paper An inflation-predicting measure of the output gap in the euro area, Working Paper Series (2016) View citations (16) (2016)
- Measures of underlying inflation for the euro area
Economic Bulletin Articles, 2018, 4 View citations (21)
2017
- The national segmentation of euro area bank balance sheets during the financial crisis
Empirical Economics, 2017, 53, (1), 247-265 View citations (16)
2016
- How large is the output gap in the euro area
Research Bulletin, 2016, 24 View citations (2)
- The Financial and Macroeconomic Effects of the OMT Announcements
International Journal of Central Banking, 2016, 12, (3), 29-57 View citations (111)
Also in Research Bulletin, 2015, 22, 12-16 (2015) View citations (2)
See also Working Paper The Financial and Macroeconomic Effects of OMT Announcements, Working Papers ECARES (2014) View citations (136) (2014)
2015
- Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections
International Journal of Forecasting, 2015, 31, (3), 739-756 View citations (121)
See also Working Paper Conditional Forecasts and Scenario Analysis with Vector Autoregressions for Large Cross-Sections, Working Papers ECARES (2014) View citations (22) (2014)
- Prior Selection for Vector Autoregressions
The Review of Economics and Statistics, 2015, 97, (2), 436-451 View citations (483)
See also Working Paper Prior Selection for Vector Autoregressions, Working Papers ECARES (2012) View citations (106) (2012)
2014
- Short-term inflation projections: A Bayesian vector autoregressive approach
International Journal of Forecasting, 2014, 30, (3), 635-644 View citations (92)
See also Working Paper Short-Term Inflation Projections: a Bayesian Vector Autoregressive approach, CEPR Discussion Papers (2010) View citations (68) (2010)
2012
- The ECB and the Interbank Market
Economic Journal, 2012, 122, (564), F467-F486 View citations (97)
See also Working Paper The ECB and the Interbank Market, Working Papers ECARES (2012) View citations (97) (2012)
2011
- A Factor Model for Euro-area Short-term Inflation Analysis
Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2011, 231, (1), 50-62 View citations (6)
- Market Freedom and the Global Recession
IMF Economic Review, 2011, 59, (1), 111-135 View citations (80)
See also Working Paper Market freedom and the global recession, ULB Institutional Repository (2011) View citations (74) (2011)
- Revisiting the information content of core inflation
Research Bulletin, 2011, 14, 11-13 View citations (2)
2010
- Enhancing monetary analysis
Research Bulletin, 2010, 11, 2-6 View citations (4)
- Monetary policy in exceptional times
(Preventing deflation: Lessons from Japan’s experience in the 1990s)
Economic Policy, 2010, 25, (62), 295-339 View citations (214)
See also Working Paper Monetary policy in exceptional times, Working Paper Series (2010) View citations (254) (2010)
- The Feldstein-Horioka Fact
NBER International Seminar on Macroeconomics, 2010, 6, (1), 103 - 117 View citations (19)
See also Chapter The Feldstein-Horioka Fact, NBER Chapters, 2010, 103-117 (2010) View citations (19) (2010)
Working Paper The Feldstein-Horioka Fact, Working Papers ECARES (2009) View citations (29) (2009)
2009
- Business cycles in the euro area
Research Bulletin, 2009, 8, 5-7 View citations (42)
See also Chapter Business Cycles in the Euro Area, NBER Chapters, 2010, 141-167 (2010) View citations (85) (2010)
Working Paper Business Cycles in the Euro Area, CEPR Discussion Papers (2009) View citations (60) (2009)
- Monetary analysis and monetary policy in the euro area 1999-2006
Journal of International Money and Finance, 2009, 28, (7), 1138-1164 View citations (28)
2008
- Explaining The Great Moderation: It Is Not The Shocks
Journal of the European Economic Association, 2008, 6, (2-3), 621-633 View citations (106)
See also Working Paper Explaining the Great Moderation: it is not the shocks, Working Paper Series (2008) View citations (120) (2008)
Chapters
2024
- Forecasting inflation in the US and in the euro area
Chapter 9 in Handbook of Research Methods and Applications in Macroeconomic Forecasting, 2024, pp 218-245
2016
- Nowcasting Business Cycles: A Bayesian Approach to Dynamic Heterogeneous Factor Models
A chapter in Dynamic Factor Models, 2016, vol. 35, pp 569-594 View citations (18)
See also Working Paper Nowcasting Business Cycles: a Bayesian Approach to Dynamic Heterogeneous Factor Models, Board of Governors of the Federal Reserve System (U.S.) (2015) View citations (11) (2015)
2013
- Cross-border banking transactions in the euro area
A chapter in Proceedings of the Sixth IFC Conference on "Statistical issues and activities in a changing environment", Basel, 28-29 August 2012., 2013, vol. 36, pp 518-531 View citations (11)
2011
- MACROPRUDENTIAL POLICY AND MONETARY POLICY: SOME LESSONS FROM THE EURO AREA
Chapter 8 in Macroprudential Regulatory Policies The New Road to Financial Stability?, 2011, pp 103-119
2010
- Business Cycles in the Euro Area
A chapter in Europe and the Euro, 2010, pp 141-167 View citations (85)
See also Working Paper Business Cycles in the Euro Area, C.E.P.R. Discussion Papers (2009) View citations (60) (2009)
Journal Article Business cycles in the euro area, European Central Bank (2009) View citations (42) (2009)
- The Feldstein-Horioka Fact
A chapter in NBER International Seminar on Macroeconomics 2009, 2010, pp 103-117 View citations (19)
See also Working Paper The Feldstein-Horioka Fact, ULB -- Universite Libre de Bruxelles (2009) View citations (29) (2009)
Journal Article The Feldstein-Horioka Fact, University of Chicago Press (2010) View citations (19) (2010)
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