Paolo Giordani, Ph.D.
Research Department
Sveriges Riksbank
SE 103 37 Stockholm, Sweden
Phone: +46 8 787 0498
Fax : +46 8 210531
"E-mail:"
Fields
Bayesian econometrics, forecasting, exchange rates.
Education
Ph.D., Economics, Stockholm School of Economics, 2001
M.Sc., Economics, Universitat Pompeu Fabra, 1988
M.A., Political Sciences, University of Pisa, 1998.
Work in Progress
“Efficient Bayesian inference for multiple change-point and mixture innovation models”, with Robert Kohn. Sveriges Riksbank Working Paper No. 196, May 2006.
“Reconsidering the role of money for output, prices and interest rates”, with Giovanni Favara.
“A simple, fast and efficient semiparametric method for linear and generalized linear models”, with Robert Kohn, in progress.
“Dynamic mixture models for volatility”, with Robert Kohn and Dick van Dijk, in progress.
“Adaptive Markov Chain Monte Carlo Algorithms for State-Space and Nonparametric Models” with Robert Kohn, in progress.
“Tests of the Term Structure of Interest Rates Hypothesis and Structural Breaks”, with George Bulkley, in progress.
Publications in refereed journals
“A Unified Approach to Nonlinearity, Structural Change and Outliers,” with Robert Kohn and Dick van Dijk, forthcoming in Journal of Econometrics.
“Is there evidence of pessimism and doubt in subjective distributions? Implications for the equity premium puzzle”, Journal of Economic Dynamics and Control, 2006, 30, 1027-1043.
“A Cautionary Note on Robust Estimation of Threshold Models,” Journal of Forecasting, 2006.
“An Alternative Explanation of the Price Puzzle", 2004, Journal of Monetary Economics, 51, 1271-1296.
“Solution of Macromodels with Hansen-Sargent Robut Policies: Some Extensions,” with Paul Söderlind, Journal of Economic Dynamics and Control, 2004, 28, 2367-2397.
“A VAR Evaluation of New Keynesian Models of a Small Open Economy", 2004, Oxford Bulletin of Economics and Statistics, 66, 713-734.
“Inflation Forecast Uncertainty,” with Paul Söderlind, European Economic Review, 2003, 47 (6), 1037-1059.
“On Modeling the Effects of Inflation Shocks: Comments and Some Further Evidence,” Contributions to Macroeconomics, 3,1.
Teaching
Applied Econometrics, Master course, University of New South Wales, 2003-2005.
Macroeconomic Analysis, PhD course, University of New South Wales, 2003-2005.