Michele Modugno

Board of Governors of the Federal Reserve System

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

21

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SSRN CITATIONS
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Top 5,598

in Total Papers Citations

137

CROSSREF CITATIONS

100

Scholarly Papers (21)

1.
Downloads 600 ( 54,880)
Citation 46

Now-Casting and the Real-time Data Flow

ECB Working Paper No. 1564
Number of pages: 55 Posted: 12 Aug 2013
European Central Bank, Centre for Economic Policy Research (CEPR), Board of Governors of the Federal Reserve System and London Business School
Downloads 594 (54,951)
Citation 4

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Macroeconomic News, Macroeconomic Forecasting, Real-Time Data, Mixed Frequency, State Space Models

Now-Casting and the Real-Time Data Flow

CEPR Discussion Paper No. DP9112
Number of pages: 54 Posted: 28 Sep 2012
European Central Bank, Centre for Economic Policy Research (CEPR), Board of Governors of the Federal Reserve System and London Business School
Downloads 6 (756,769)
Citation 21
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Dynamic factor model, High-Dimensional Data, Macroeconomic forecasting, Macroeconomic News, Mixed-Frequency, Real-Time Data, State-Space Models

The Forecasting Power of International Yield Curve Linkages

ECB Working Paper No. 1044
Number of pages: 32 Posted: 04 May 2009
Michele Modugno and Kleopatra Nikolaou
Board of Governors of the Federal Reserve System and European Central Bank (ECB)
Downloads 112 (297,062)

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Yield curve forecast, Dynamic factor model, EM algorithm, International linkages

The Forecasting Power of International Yield Curve Linkages

ECORE Discussion Paper No. 2007/98
Number of pages: 22 Posted: 05 Mar 2008
Michele Modugno and Kleopatra Nikolaou
Board of Governors of the Federal Reserve System and European Central Bank (ECB)
Downloads 89 (346,662)
Citation 2

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Yield curve forecast, Dynamic factor model, EM algorithm, International linkages

3.

Financial Vulnerabilities, Macroeconomic Dynamics, and Monetary Policy

FEDS Working Paper No. 2016-055
Number of pages: 54 Posted: 15 Jul 2016
David Aikman, Andreas Lehnert, Nellie Liang and Michele Modugno
Bank of England - Monetary Assessment and Strategy Division, Board of Governors of the Federal Reserve System, Brookings Institution and Board of Governors of the Federal Reserve System
Downloads 124 (274,877)
Citation 4

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Financial stability and risk, Monetary policy, Credit

4.

The Importance of Updating: Evidence from a Brazilian Nowcasting Model

FEDS Working Paper No. 2014-94
Number of pages: 24 Posted: 25 Nov 2014
Daniela Bragoli, Luca Metelli and Michele Modugno
Università Cattolica del Sacro Cuore, Bank of Italy and Board of Governors of the Federal Reserve System
Downloads 122 (278,222)
Citation 11

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Nowcasting, updating, dynamic factor model

5.

Low Frequency Effects of Macroeconomic News on Government Bond Yields

FEDS Working Paper No. 2014-52
Number of pages: 37 Posted: 10 Aug 2014
Carlo Altavilla, Domenico Giannone and Michele Modugno
European Central Bank (ECB), Centre for Economic Policy Research (CEPR) and Board of Governors of the Federal Reserve System
Downloads 97 (325,585)
Citation 8

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Macroeconomic announcements, treasury bond yields

6.

Maximum Likelihood Estimation of Factor Models on Data Sets with Arbitrary Pattern of Missing Data

ECB Working Paper No. 1189
Number of pages: 47 Posted: 25 May 2010
Marta Banbura and Michele Modugno
European Central Bank and Board of Governors of the Federal Reserve System
Downloads 93 (336,746)
Citation 16

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Factor Models, Forecasting, Large Cross-Sections, Missing data, EM algorithm

A Global Trade Model for the Euro Area

ECB Working Paper No. 1986
Number of pages: 39 Posted: 07 Feb 2017
Antonello D'Agostino, Michele Modugno and Chiara Osbat
European Stability Mechanism, Board of Governors of the Federal Reserve System and European Central Bank (ECB)
Downloads 39 (523,569)

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euro area, trade, factor models, news, now-cast, conditional forecast

A Global Trade Model for the Euro Area

FEDS Working Paper No. 2015-013, http://dx.doi.org/10.17016/FEDS.2015.013
Number of pages: 35 Posted: 19 Apr 2015
Michele Modugno and Chiara Osbat
Board of Governors of the Federal Reserve System and European Central Bank (ECB)
Downloads 27 (592,976)
Citation 1

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euro area trade, forecast, scenario analysis

A Global Trade Model for the Euro Area

FEDS Working Paper No. 2015-013
Number of pages: 35 Posted: 07 Apr 2015
Antonello D'Agostino, Chiara Osbat and Michele Modugno
European Stability Mechanism, European Central Bank (ECB) and Board of Governors of the Federal Reserve System
Downloads 20 (643,442)

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euro area trade, forecast, scenario analysis

8.

Unspanned Macroeconomic Factors in the Yield Curve

FEDS Working Paper No. 2014-57
Number of pages: 49 Posted: 23 Aug 2014
Laura Coroneo, Domenico Giannone and Michele Modugno
University of York - Department of Economics and Related Studies, Centre for Economic Policy Research (CEPR) and Board of Governors of the Federal Reserve System
Downloads 85 (353,543)
Citation 21

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Yield curve, government bonds, factor models, forecasting

9.

Nowcasting Business Cycles: A Bayesian Approach to Dynamic Heterogeneous Factor Models

FEDS Working Paper No. 2015-066, http://dx.doi.org/10.17016/FEDS.2015.066
Number of pages: 25 Posted: 26 Aug 2015
European Stability Mechanism, Centre for Economic Policy Research (CEPR), European Central Bank (ECB) and Board of Governors of the Federal Reserve System
Downloads 79 (369,306)

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Business Cycles, Current Economic Conditions, Dynamic Factor Models, Dynamic Heterogeneity, Nowcasting, Real Time

10.

Nowcasting Inflation Using High Frequency Data

ECB Working Paper No. 1324
Number of pages: 24 Posted: 15 Apr 2011
Michele Modugno
Board of Governors of the Federal Reserve System
Downloads 65 (410,839)

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Factor Models, Forecasting, Inflation, Mixed Frequencies

11.
Downloads 63 (417,551)
Citation 20

An Area-Wide Real-Time Database for the Euro Area

ECB Working Paper No. 1145
Number of pages: 122 Posted: 26 Jan 2010
Centre for Economic Policy Research (CEPR), European Central Bank (ECB), European Central Bank and Board of Governors of the Federal Reserve System
Downloads 59 (437,477)
Citation 17

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real-time, euro area, revisions, database

An Area-Wide Real-Time Database for the Euro Area

CEPR Discussion Paper No. DP7673
Number of pages: 119 Posted: 08 Feb 2010
Centre for Economic Policy Research (CEPR), European Central Bank (ECB), European Central Bank and Board of Governors of the Federal Reserve System
Downloads 4 (773,879)
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database, euro area, real-time, revisions

12.

Nowcasting Turkish GDP and News Decomposition

FEDS Working Paper No. 2016-044
Number of pages: 39 Posted: 25 May 2016
Michele Modugno, Baris Soybilgen and Ege Yazgan
Board of Governors of the Federal Reserve System, Istanbul Bilgi University - Department of Economics and Istanbul Bilgi University
Downloads 59 (431,205)
Citation 2

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Developing economy, dynamic factor model, emerging market, gross domestic product, news, nowcasting

13.

Monetary Policy Uncertainty and Monetary Policy Surprises

FEDS Working Paper No. 2020-032 https://doi.org/10.17016/FEDS.2020.032
Number of pages: 34 Posted: 18 May 2020
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Hong Kong Monetary Authority
Downloads 36 (526,948)
Citation 1

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Monetary policy surprises; Monetary policy uncertainty; Interest rates; Primary dealers

Sowing the Seeds of Financial Imbalances: The Role of Macroeconomic Performance

FEDS Working Paper No. 2020-028 https://doi.org/10.17016/FEDS.2020.028
Number of pages: 29 Posted: 18 May 2020
Elena Afanasyeva, Sam Jerow, Seung Jung Lee and Michele Modugno
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 19 (650,942)

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Economic performance; Nonfinancial leverage; Financial imbalances; Financial stability; VARs; Sign restrictions; Narrative; Forecasting

Sowing the Seeds of Financial Imbalances: The Role of Macroeconomic Performance

FEDS Working Paper No. 2020-028
Number of pages: 29 Posted: 16 May 2020
Elena Afanasyeva, Sam Jerow, Seung Jung Lee and Michele Modugno
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 8 (739,799)
Citation 1

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Non-financial Leverage, Financial Imbalances, Financial Stability, Forecasting, VAR, Sign Restrictions, Narrative

Sowing the Seeds of Financial Imbalances: The Role of Macroeconomic Performance

FEDS Working Paper No. 2020-28
Number of pages: 29 Posted: 14 Jun 2021
Elena Afanasyeva, Sam Jerow, Seung Jung Lee and Michele Modugno
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 6 (756,769)

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15.

A Nowcasting Model for Canada: Do U.S. Variables Matter?

FEDS Working Paper No. 2016-036
Number of pages: 34 Posted: 02 May 2016
Daniela Bragoli and Michele Modugno
Università Cattolica del Sacro Cuore and Board of Governors of the Federal Reserve System
Downloads 27 (576,599)

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Nowcasting, Updating, Dynamic Factor Model

16.

The Information Content of Stress Test Announcements

FEDS Working Paper No. 2021-12
Number of pages: 20 Posted: 14 Jun 2021
Luca Guerrieri and Michele Modugno
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 4 (742,056)

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17.

Back to the Present: Learning About the Euro Area Through a Now-Casting Model

International Finance Discussion Paper No. 1313
Number of pages: 46 Posted: 14 Jun 2021
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Centre for Economic Policy Research (CEPR) and Board of Governors of the Federal Reserve System
Downloads 3 (750,182)

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18.

Macroeconomic News and Stock Prices over the FOMC Cycle

FEDS Notes No. 2020-10-14-1 https://doi.org/10.17016/2380-7172.2745
Posted: 21 Oct 2020
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

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19.

The Relationship between Macroeconomic Overheating and Financial Vulnerability: A Quantitative Exploration

FEDS Notes No. 2018-10-12-3
Posted: 10 Oct 2018 Last Revised: 02 Oct 2020
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

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20.

The Relationship between Macroeconomic Overheating and Financial Vulnerability: A Narrative Investigation

FEDS Notes No. 2018-10-12-2
Posted: 10 Oct 2018 Last Revised: 02 Oct 2020
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

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21.

Monetary Policy Surprises and Monetary Policy Uncertainty

FEDS Notes No. 2018-05-18
Posted: 06 Jun 2018 Last Revised: 25 Jun 2020
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Hong Kong Monetary Authority

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