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Author:Luciani, Matteo 

Working Paper
Nowcasting Indonesia

We produce predictions of the current state of the Indonesian economy by estimating a dynamic factor model on a dataset of eleven indicators (also followed closely by market operators) over the time period 2002 to 2014. Besides the standard difficulties associated with constructing timely indicators of current economic conditions, Indonesia presents additional challenges typical to emerging market economies where data are often scant and unreliable. By means of a pseudo-real-time forecasting exercise we show that our model outperforms univariate benchmarks, and it does comparably with ...
Finance and Economics Discussion Series , Paper 2015-100

Discussion Paper
Common and Idiosyncratic Inflation

In this note, we disentangle changes in prices due to economy-wide (common) shocks from changes in prices due to idiosyncratic shocks.
FEDS Notes , Paper 2020-03-05

Working Paper
Scenario Synthesis and Macroeconomic Risk

We introduce methodology to bridge scenario analysis and model-based risk forecasting, leveraging their respective strengths in policy settings. Our Bayesian framework addresses the fundamental challenge of reconciling judgmental narrative approaches with statistical forecasting. Analysis evaluates explicit measures of concordance of scenarios with a reference forecasting model, delivers Bayesian predictive synthesis of the scenarios to best match that reference, and addresses scenario set incompleteness. This underlies systematic evaluation and integration of risks from different scenarios, ...
Finance and Economics Discussion Series , Paper 2025-036

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