Laurent Ferrara
Refereed Journal Articles
« Comments on: Examining the quality of early GDP component estimates », International Journal of Forecasting, 2013 (forthcoming).
« Evaluation of regime switching models for real-time business cycle analysis of the euro area, » (joint with Monica Billio, Dominique Guégan and Gian Luigi Mazzi), Journal of Forecasting, 2013 (forthcoming).
« Financial variables as leading indicators of GDP growth: Evidence from a MIDAS approach during the Great Recession » (joint with Clément Marsilli), Applied Economics Letters, vol. 20, n°3, pp. 233-237, 2013.
« Testing the number of factors: An empirical assessment for forecasting purposes » (joint with Karim Barhoumi and Olivier Darné), Oxford Bulletin of Economics and Statistics, vol. 75, n°1, pp. 64-79, 2013.
« The way out of recessions: Evidence from a bounce-back augmented threshold regression » (joint with Frederique Bec and Othman Bouabdallah), International Journal of Forecasting, 2013 (forthcoming).
« Macro-financial linkages and business cycles: A factor-probit approach » (joint with Christophe Bellégo), Economic Modelling, vol. 29, pp. 1793-1797, 2012.
« Monthly GDP forecasting using bridge models: Comparison from the supply and demand sides for the French economy » (joint with Karim Barhoumi, Olivier Darné and Bertrand Pluyaud), Bulletin of Economic Research, 2012 (forthcoming).
« Identification of slowdowns and accelerations for the euro area economy » (joint with Olivier Darné), Oxford Bulletin of Economics and Statistics, vol. 73, n°3, pp. 335-364, 2011.
« Are disaggregate data useful for factor analysis in forecasting French GDP? » (joint with Karim Barhoumi and Olivier Darné), Journal of Forecasting, vol. 29, n°1-2, pp. 132-144, 2010.
« GDP nowcasting with ragged-edge data: A semi-parametric modelling » (joint with Dominique Guégan and Patrick Rakotomarolahy), Journal of Forecasting, vol. 29, n°1-2, pp. 186-199, 2010.
« Testing fractional order of long memory processes: a Monte Carlo study » (joint with Dominique Guégan and Zhiping Lu), Communications in Statistics: Simulation and Computation, vol. 39, n°4, pp. 795-806, 2010.
« A system for dating and detecting turning points in the euro area » (joint with Jacques Anas, Monica Billio and Gian Luigi Mazzi), Manchester School, vol. 76, n°5, pp. 549-577, 2008.
« Business surveys modelling with Seasonal-Cyclical Long Memory models » (joint with Dominique Guégan), Economics Bulletin, vol. 3, n°29, pp. 1-10, 2008.
« Point and interval nowcasts of the euro area IPI », Applied Economics Letters, vol. 14, n°2, pp. 115-120, 2007.
« Detection of the industrial business cycle using SETAR models » (joint with Dominique Guégan), Journal of Business Cycle Measurement and Analysis, vol. 2, n°3, pp. 353-372, 2005.
« Turning points detection: The ABCD approach and two probabilistic indicators » (joint with Jacques Anas), Journal of Business Cycle Measurement and Analysis, 2004.
« A three-regime real-time indicator for the US economy », Economics Letters, vol. 81, n°3, pp. 373-378, 2003.
« Forecasting with k-factor Gegenbauer processes: Theory and applications » (joint with Dominique Guégan), Journal of Forecasting, vol. 20, pp. 581-601, 2001.
Refereed Journal Articles (french)
« Une revue de la littérature des modèles à facteurs dynamiques » (joint with Karim Barhoumi and Olivier Darné), Economie et Prévision, 2013 (forthcoming).
« Les variables financières sont-elles utiles pour anticiper la croissance économique ? Quelques évidences économétriques », Revue Economique, vol. 61, n°3, pp. 645-656, 2010.
« Caractérisation et datation des cycles économiques en zone euro », Revue Economique, vol. 60, n°3, pp. 703-712, 2009.
« Un indicateur du cycle d’accélération pour la France » (joint with Marie Adanero-Donderis and Olivier Darné), Economie et Prévision, 2009.
« Un outil d’évaluation de la localisation des entreprises industrielles » (joint with Alain Henriot), Economie Internationale, n°99, pp. 91-112, 2004.
Books
« Analyser les Séries Chronologiques avec S-Plus » (joint with Dominique Guégan), Presses Universitaires de Rennes, 2002.
Book chapters
« A turning point chronology for the Euro-zone classical and growth cycle » (joint with Jacques Anas, Monica Billio and Marco Lo Duca), in Growth and Cycle in the Euro-zone, edited by Gian Luigi Mazzi and Giovanni Savio, Palgrave-MacMillan, 2007.
« Euro-zone business cycle analysis with multivariate Markov-Switching models » (joint with Jacques Anas, Monica Billio and Marco Lo Duca), in Growth and Cycle in the Euro-zone, edited by Gian Luigi Mazzi and Giovanni Savio, Palgrave-MacMillan, 2007.
« Comparison of parameter estimation methods in cyclical long memory time series » (joint with Dominique Guégan), in Developments in Forecast Combination and Portfolio Choice, edited by C. Dunis, J. Moody and A. Timmermann, Wiley, 2001.
« Forecasting financial time series with generalized long memory processes » (joint with Dominique Guégan), in Advances in Quantitative Asset Management, edited by C. Dunis, J. Moody and A. Timmermann, Kluwer, 2000.
Reports
« La compétitivité hors prix des biens sur le marché européen, in "Evolution Récente du Commerce Extérieur Français" », Report, CAE, Décembre, 2006.
Working Papers
« Macroeconomic forecasting during the Great Recession: The return of non-linearity? » (joint with Massimiliano Marcellino and Matteo Mogliani) CEPR Working Paper, n°DP9313, 2013
http://ideas.repec.org/p/bfr/banfra/383.html.
« Post-recession US employment through the lens of a non-linear Okun’s law » (joint with Menzie Chinn and Valérie Mignon) NBER Working Paper , n°19047, 2013
http://www.nber.org/papers/w19047.
« Post-recession US employment through the lens of a non-linear Okun’s law » (joint with Menzie Chinn and Valérie Mignon) EconomiX Working Paper, n°2013-12, 2013
http://economix.fr/fr/dt/2013.php?id=284.
« Post-recession US employment through the lens of a non-linear Okun’s law » (joint with Menzie Chinn and Valérie Mignon) CEPII Working Paper, n°2013-13, 2013
http://www.cepii.fr/PDF_PUB/wp/2013/wp2013-13.pdf.
« Une revue de la littérature des modèles à facteurs dynamiques » (joint with Karim Barhoumi and Olivier Darné) Banque de France Working Paper, n°430, 2013
http://ideas.repec.org/p/bfr/banfra/430.html.
« 1. Macroeconomic forecasting during the Great Recession: The return of non-linearity? » (joint with Massimiliano Marcellino and Matteo Mogliani) Banque de France Working Paper, n°383, 2012
http://ideas.repec.org/p/bfr/banfra/383.html.
« Financial variables as leading indicators of GDP growth: Evidence from a MIDAS approach during the Great Recession » (joint with Clément Marsilli) EconomiX Working Paper, n°2012-19, 2012
http://ideas.repec.org/p/drm/wpaper/2012-19.html.
« The European way out of recessions » (joint with Frederique Bec and Othman Bouabdallah) Banque de France Working Paper, n°360, 2012
http://econpapers.repec.org/paper/bfrbanfra/360.htm.
« A new monthly chronology of the US industrial cycles in the prewar economy » (joint with Amélie Charles, Olivier Darné and Claude Diebolt) EconomiX Working Paper, n°2011-27, 2011
http://econpapers.repec.org/paper/drmwpaper/2011-27.htm.
« The possible shapes of recovery in Markov-Switching models » (joint with Frederique Bec and Othman Bouabdallah) Banque de France Working Paper, n°321, 2011
http://ideas.repec.org/p/ema/worpap/2011-02.html.
« A factor-augmented probit model for business cycle analysis » (joint with Christophe Bellégo) EconomiX Working Paper, n°2010-14, 2010
http://economix.fr/pdf/dt/2010/WP_EcoX_2010-14.pdf.
« Common business and housing markets cycles in the euro area from a multivariate decomposition » (joint with Siem Jan Koopman) Banque de France Working Paper, n°275, 2010
http://ideas.repec.org/p/bfr/banfra/275.html.
« Cyclical relationships between GDP and housing market in France: Facts and factors at play » (joint with Olivier Vigna) Banque de France Working Paper, n°268, 2009
http://www.banque-france.fr/gb/publications/ner/1-268.htm.
« Forecasting euro area recessions using time-varying binary response models for financial variables » (joint with Christophe Bellégo) Banque de France Working Paper, n°259, 2009
http://ideas.repec.org/p/bfr/banfra/259.html.
« Housing cycles in the major euro area countries » (joint with Luis Alvarez, Guido Bulligan, Alberto Cabrero and Harald Stahl) Banque de France Working Paper, n°269, 2009
http://www.banque-france.fr/gb/publications/ner/1-269.htm.
« Identification of slowdowns and accelerations in the Euro area » (joint with Olivier Darné) CEPR Discussion Paper, n°7376, 2009
http://www.cepr.org/pubs/new-dps/dplist.asp?dpno=7376.
« A non-parametric method to assess the conditional nowcasted distribution of the Euro area IPI » (joint with Thomas Raffinot) CES Working Paper, n°2008.33, 2008
http://ces.univ-paris1.fr/cesdp/CESFramDP2008.htm.
« Testing fractional order of long memory processes : A Monte-Carlo study » (joint with Dominique Guégan and Zhiping Lu) CES Working Paper, n°2008.12, 2008
http://ces.univ-paris1.fr/cesdp/CESFramDP2008.htm.
« A turning point chronology for the Euro-zone classical and growth cycles » (joint with Jacques Anas, Monica Billio and Marco Lo Duca) University of Venice Ca’ Foscari, Department of Economics, WP, n°33, 2007
http://www.dse.unive.it/fileadmin/templates/dse/wp/Note_di_lavoro_2007/WP_DSE_AAVV_billio_33_07.pdf.
« Business cycle analysis with multivariate Markov-Switching models » (joint with Jacques Anas, Monica Billio and Marco Lo Duca) University of Venice Ca’ Foscari, Department of Economics, WP, n°32, 2007
http://www.dse.unive.it/fileadmin/templates/dse/wp/Note_di_lavoro_2007/WP_DSE_AAVV_billio_32_07.pdf.