Meet the Researchers
Matteo Luciani
[email protected]
Education
- Ph.D., Economics, University of Rome "La Sapienza", 2010
- M.A., Economics, University of Southern California, 2005
- B.A., Economics, University of Rome TRE, 2004
- Non Stationary Dynamic Factor Models
- Real Time Forecasting
Principal Economist
Board of Governors of the Federal Reserve System
2024 - presentPrincipal Economist
Amazon.com
2022 - 2024Principal Economist
Board of Governors of the Federal Reserve System
2019 - 2021Senior Economist
Board of Governors of the Federal Reserve System
2015 - 2019Postdoctoral Researcher
Université libre de Bruxelles
2010 - 2015
- Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm
Matteo Barigozzi and Matteo Luciani
Finance and Economics Discussion Series (2024)
https://doi.org/10.17016/FEDS.2024.086 - Common and Idiosyncratic Inflation
Hie Joo Ahn and Matteo Luciani
Finance and Economics Discussion Series (2024)
https://doi.org/10.17016/FEDS.2020.024r1 - Inferential theory for generalized dynamic factor models
Matteo Barigozzi, Marc Hallin, Matteo Luciani, and Paolo Zaffaroni
Journal of Econometrics (2024)
https://doi.org/10.1016/j.jeconom.2023.02.003 - Lessons from Nowcasting GDP across the World
Danilo Cascaldi-Garcia, Matteo Luciani, and Michele Modugno
International Finance Discussion Papers (2023)
https://doi.org/10.17016/IFDP.2023.1385 - Measuring the Output Gap using Large Datasets
Matteo Barigozzi and Matteo Luciani
Review of Economics and Statistics (2023)
https://doi.org/10.1162/rest_a_01119 - Relative prices and pure inflation since the mid-1990s
Hie Joo Ahn and Matteo Luciani
Finance and Economics Discussion Series (2021)
https://doi.org/10.17016/FEDS.2021.069 - Large-Dimensional Dynamic Factor Models: Estimation of Impulse-Response Functions with I(1) Cointegrated Factors
Matteo Barigozzi, Marco Lippi, and Matteo Luciani
Journal of Econometrics (2021)
https://doi.org/10.1016/j.jeconom.2020.05.004 - Quantifying the COVID-19 Effects on Core PCE Price Inflation
Matteo Luciani
FEDS Notes (2021)
https://doi.org/10.17016/2380-7172.2875 - Common and Idiosyncratic Inflation
Matteo Luciani
Finance and Economics Discussion Series (2020)
https://doi.org/10.17016/FEDS.2020.024 - Cointegration and Error Correction Mechanisms for Singular Stochastic Vectors
Matteo Barigozzi, Marco Lippi, and Matteo Luciani
Econometrics (2020)
https://doi.org/10.3390/econometrics8010003 - Oil Price Pass-Through into Core Inflation
Cristina Conflitti and Matteo Luciani
Energy Journal (2019)
https://doi.org/10.5547/01956574.40.6.ccon
See also » FRB Working Paper (2017) - Comparing Two Measures of Core Inflation: PCE Excluding Food & Energy vs. the Trimmed Mean PCE Index
Matteo Luciani and Riccardo Trezzi
FEDS Notes (2019)
https://doi.org/10.17016/2380-7172.2390 - Do National Account Statistics Underestimate US Real Output Growth?
Matteo Barigozzi and Matteo Luciani
FEDS Notes (2018)
https://doi.org/10.17016/2380-7172.2116 - Systemic Risk in the US: Interconnectedness as a Circuit Breaker
Mardi Dungey, Matteo Luciani, and David Veredas
Economic Modelling (2018)
https://doi.org/10.1016/j.econmod.2017.10.004 - Nowcasting Indonesia
Matteo Luciani, Madhavi Pundit, Arief Ramayandi, and Giovanni Veronese
Empirical Economics (2018)
https://doi.org/10.1007/s00181-017-1288-4
See also » FRB Working Paper (2015) - Surfing through the GFC: Systemic Risk in Australia
Mardi Dungey, Marius Matei, Matteo Luciani, and David Veredas
Economic Record (2017)
https://doi.org/10.1111/1475-4932.12309 - Estimating and Forecasting Large Panels of Volatilities with Approximate Dynamic Factor Models
Matteo Luciani and David Veredas
Journal of Forecasting (2015)
https://doi.org/10.1002/for.2325 - Monetary Policy and the Housing Market: A Structural Factor Analysis
Matteo Luciani
Journal of Applied Econometrics (2015)
https://doi.org/10.1002/jae.2318 - Nowcasting Norway
Matteo Luciani and Lorenzo Ricci
International Journal of Central Banking (2014) - Forecasting with Approximate Dynamic Factor Models: The Role of Non-pervasive Shocks
Matteo Luciani
International Journal of Forecasting (2014)
https://doi.org/10.1016/j.ijforecast.2013.05.001 - Do Euro Area Countries Respond Asymmetrically to the Common Monetary Policy?
Matteo Barigozzi, Antonio M. Conti, and Matteo Luciani
Oxford Bulletin of Economics and Statistics (2014)
https://doi.org/10.1111/obes.12038 - The Determinants of Investment in Information and Communication Technologies
Matteo Luciani, Paolo Guerrieri, and Valentina Meliciani
Economics of Innovation and New Technology (2011)
https://doi.org/10.1080/10438599.2010.526313 - A VAR Model for the Analysis of the Effects of Monetary Policy in the Euro Area
Matteo Luciani
Rivista di Politica Economica (2004)
seminar
December 2023Federal Reserve Board
Common and idiosyncratic inflation
conference
December 202216th CSDA International Conference on Computational and Financial Econometrics, London, UK
Relative prices and pure inflation since the mid-1990s
conference
June 2022Annual Conference of the International Association for Applied Econometrics, London, UK
Relative prices and pure inflation since the mid-1990s
conference
June 2021North American Summer Meeting of the Econometric Society, virtual
Common and idiosyncratic inflation
conference
June 2021Annual Conference of the International Association for Applied Econometrics, virtual;
Common and idiosyncratic inflation
conference
May 2021ESCoE Conference on Economic Measurement, Virtual
Common and idiosyncratic inflation
seminar
March 2020University of Queensland
Measuring US aggregate output and output gap using large datasets
seminar
March 2020Reserve Bank of Australia
Common and idiosyncratic inflation
seminar
March 2020University of Sidney
Measuring US aggregate output and output gap using large datasets
seminar
February 2020Monash MacroFinance workshop, Monash University, Melbourne, Australia.
Measuring US aggregate output and output gap using large datasets
conference
February 2020University of Melbourne
Measuring US aggregate output and output gap using large datasets
conference
October 2019Real-time data analysis, methods, and applications. National Bank of Belgium
Measuring US aggregate output and output gap using large datasets
seminar
October 2019Bank of England
Common and idiosyncratic inflation
seminar
October 2019European Central Bank
Common and idiosyncratic inflation
conference
June 20196th Conference of the International Association for Applied Econometrics, Nicosia, Cyprus
Measuring US aggregate output and output gap using large datasets
conference
June 20196th RCEA Time Series Econometrics Workshop, Larnaca, Cyprus
Measuring US aggregate output and output gap using large datasets
conference
April 2019Panel Data Forecasting Conference, University of Southern California, Los Angeles, CA
Measuring US aggregate output and output gap using large datasets
seminar
December 2018Bank of Italy
Common and idiosyncratic inflation
conference
December 201812 th CSDA International Conference on Computational and Financial Econometrics, Pisa, Italy
Measuring US aggregate output and output gap using large datasets
seminar
October 2018University of Southern California, Los Angeles, CA
Measuring US aggregate output and output gap using large datasets
seminar
October 2018Federal Reserve Board
Common and idiosyncratic inflation
conference
June 20185th Conference of the International Association for Applied Econometrics, Montreal, Canada
Common Factors, Trends, and Cycles in Large Datasets
conference
June 201810th ECB Workshop on Forecasting Techniques, European Central Bank
Common Factors, Trends, and Cycles in Large Datasets
conference
June 2018Barcelona GSE Summer Forum, Workshop in Time Series Analysis in Macro and Finance, Universitat Pompeu Fabra
Common Factors, Trends, and Cycles in Large Datasets
conference
May 2018Inflation Day-Ahead Workshop, Cleveland Fed
Common and Idiosyncratic Inflation
conference
January 2018ASSA Meetings, Philadelphia, PA
Common Factors, Trends, and Cycles in Large Datasets
conference
December 2017Simposio of the Spanish Economic Association, Barcelona, Spain
Oil price pass-through into core inflation
conference
November 2017Central Bank Forecasting Conference, St. Louis, MO
Common Factors, Trends, and Cycles in Large Datasets
conference
August 201732nd Annual Congress of the European Economic Association, Lisbon, Portugal
Oil price pass-through into core inflation
conference
June 201723rd International Conference on Computing in Economics and Finance, Fordham University, New York City
Common Factors, Trends, and Cycles in Large Datasets
seminar
November 2016University of Pennsylvania, Philadelphia, PA
Non-Stationary Dynamic Factor Models for Large Datasets
conference
July 2016Workshop on Forecasting & Empirical Methods, NBER Summer Institute, Cambridge, MA
Non-Stationary Dynamic Factor Models for Large Datasets
conference
June 20163rd Conference of the International Association for Applied Econometrics, University of Milano-Bicocca, Italy
Non-Stationary Dynamic Factor Models for Large Datasets
conference
June 2016North American Summer Meetings of the Econometric Society, Philadelphia, PA
Non-Stationary Dynamic Factor Models for Large Datasets
conference
June 201650th Annual Conference of the Canadian Economics Association, University of Ottawa, Canada
Non-Stationary Dynamic Factor Models for Large Datasets
conference
May 2016Conference on Nowcasting in the Federal Reserve System, Nashville, TN
Nowcasting Indonesia
conference
December 2015European Winter Meetings of the Econometric Society, Bocconi University, Milan, Italy
Non-Stationary Dynamic Factor Models for Large Datasets
conference
December 20159th CSDA International Conference on Computational and Financial Econometrics, Senate House, University of London
Non-Stationary Dynamic Factor Models for Large Datasets
seminar
June 2015Asian Development Bank, Manila, Philippines
Nowcasting Indonesia
seminar
March 2015University of Antwerpen, Belgium
Monetary Policy and the Housing Market
seminar
February 2015Bilkent University, Turkey
Dynamic Factor Models, Cointegration, and Error Correction Mechanisms
seminar
February 2015Koc University, Turkey
Dynamic Factor Models, Cointegration, and Error Correction Mechanisms
seminar
February 2015Universite de Namur, Belgium
Dynamic Factor Models, Cointegration, and Error Correction Mechanisms
seminar
January 2015Federal Reserve Board
Dynamic Factor Models, Cointegration, and Error Correction Mechanisms
seminar
January 2015Bank of Italy
Dynamic Factor Models, Cointegration, and Error Correction Mechanisms
Conference Organization
2019 | Bank of Italy
CEBRA Workshop for Commodities and Macroeco- nomics
Member of the scientific committee
2018 | Pisa, Italy
CSDA International Conference on Computational and Financial Econometrics
Organizer of an invited session
2016 | Sevilla, Spain
CSDA International Conference on Computational and Financial Econometrics
Organizer of an invited session
2014 | Bilgi University, Istanbul, Turkey
Conference on Advances in Applied Macro-Finance and Forecasting
Member of the scientific committee
Referee
- Canadian Economic Journal
- Computational Statistics and Data Analysis
- Economics of Innovation and New Technology
- Empirical Economics
- Energy Economics
- International Journal of Central Banking
- International Journal of Forecasting
- Journal of Applied Econometrics
- Journal of Banking and Finance
- Journal of Business & Economic Statistics
- Journal of Econometrics
- Journal of Financial Econometrics
- Journal of Forecasting
- Journal of International Money and Finance
- Journal of Macroeconomics
- Journal of Money Credit and Banking
- Journal of the American Statistical Association
- Journal of the European Economic Association
- Macroeconomic Dynamics
- Oxford Bulletin of Economics and Statistics
- Quantitative Finance
- Review of Economics and Statistics
- Risk Journals
- Statistica Sinica