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Laurent Ferrara

Laurent Ferrara

 

Laurent Ferrara is Head of the International Macroeconomics Division at the Banque de France in Paris, in charge of the outlook and macroeconomic forecasting for advanced economies, as well as global policy issues such as exchange rates, commodities or global imbalances. He is also involved in academics and has been appointed Adjunct Professor of Economics at the University of Paris Nanterre in September 2011 and is Director of the International Institute of Forecasters.

Dr. Ferrara holds a PhD in Applied Mathematics from the University of Paris North (2001) and a Research Habilitation in Economics from the University of Paris 1 – Panthéon – Sorbonne (2007). His academic research mainly focuses on international macro and finance, macroeconomic forecasting, non-linear modelling and business cycle analysis. He published more than 50 papers in international and national academic journals, chapters in books, as well as book on time series analysis and forecasting. He is also an associate editor of the International Journal of Forecasting.

https://laurent-ferrara.org/ ; @FerraraLaurent

 

Diploma

Research Habilitation in Economics (University Paris 1, Panthéon Sorbonne, 2007), PhD in Econometrics (University Paris 13, 2000),

Current Position

Head of International Macroeconomics Division (DGEI-DCPM-SEMSI), Adjunct Professor of Economics at University Paris Nanterre.

Previous Position

Deputy Head of International Macroeconomics Division (DGEI-DCPM-SEMSI), Forecaster and short-term analyst for France and Euro area (DGEI-DCPM-DIACONJ), Research Fellow CES - University Paris 1 (2007-2009), Adjunct Professor Ecole Normale Supérieure in Cachan (2005-2007), Economist at the Centre d'Observation Économique, Forecaster at RATP (Public transportation company in the Paris area, 1998-2000).

Research Interest

International macro and finance, Macroeconomic forecasting, Economic cycles.

Contact

Publications Rue de la Banque no. 61:

Uncertainty and macroeconomics: transmission channels and policy implications

  • Published on 04/27/2018
  • 5 pages
  • EN
  • PDF (515.42 KB)
Publications Rue de la Banque no. 56:

Does the Phillips curve still exist?

  • Published on 02/12/2018
  • 5 pages
  • EN
  • PDF (665.75 KB)
Publications Working Paper Series no. 661:

Global financial interconnectedness: A Non-Linear Assessment of the Uncertainty Channel

By Candelon Bertrand, Ferrara Laurent, Joëts Marc
  • Published on 01/25/2018
  • 47 pages
  • EN
  • PDF (2.72 MB)
Publications Working Paper Series no. 645:

Common Factors of Commodity Prices

By Delle Chiaie Simona, Ferrara Laurent, Giannone Domenico
  • Published on 09/26/2017
  • 40 pages
  • EN
  • PDF (2.46 MB)
Publications Quarterly Selection of Articles no. 45:

Spring 2017

By Ferrara Laurent, Lalliard Antoine, Gauthier Germain, Pappadà Francesco, Arrata William, Gautier Alexandre, Lopez Pierlauro, Rahmouni-Rousseau Imène, Girotti Mattia, Mojon Benoît, Szczerbowicz Urszula, Vari Miklos, Foucault Thierry, Devillers Corinne, Parra Ramirez Kevin, Berson Clémence, Malgouyres Clément, Ray Simon, Bureau Benjamin, Bürker Matthias, Libert Thibault
  • Published on 06/14/2017
  • 78 pages
  • EN
  • PDF (1.67 MB)
Publications Rue de la Banque no. 44:

Explaining the recent slump in investment: the role of expected demand and uncertainty

By Bussière Matthieu, Ferrara Laurent, Milovich Juliana
  • Published on 06/01/2017
  • 3 pages
  • EN
  • PDF (469.07 KB)
Publications Working Paper Series no. 625:

Can Fiscal Budget-Neutral Reforms Stimulate Growth? Model-Based Results

  • Published on 04/14/2017
  • 35 pages
  • EN
  • PDF (493.62 KB)
Publications Rue de la Banque no. 23:

Nowcasting global economic growth

  • EN
  • PDF (401.9 KB)
Publications Quarterly Selection of Articles no. 42:

Summer 2016

By Cayssials Jean-Luc, Ranvier Martial, Ferrara Laurent, Istrefi Klodiana, Berson Clémence, Malgouyres Clément, Roux Sébastien, Ninlias Elodie, Torre Ghjuvanni
  • EN
  • PDF (1.54 MB)
Publications Working Paper Series no. 571:

Explaining the Recent Slump in Investment: the Role of Expected Demand and Uncertainty

By Bussière Matthieu, Ferrara Laurent, Milovich Juliana
  • EN
  • PDF (1.26 MB)
Publications Quarterly Selection of Articles no. 36:

Winter 2014

By Gwenaëlle Fegar, Bachellerie Adeline, Ferrero Guillaume, Feller Jean-Baptiste, Carlino Laurent, Lefilliatre Dominique, Maravalle Alessandro, De la Serve Marie-Elisabeth, Verdugo Gregory, Ferrara Laurent, Sestieri Giulia
  • EN
  • PDF (3.16 MB)
Publications Working Paper Series no. 515:

Nowcasting global economic growth: A factor-augmented mixed-frequency approach

  • EN
  • PDF (664.57 KB)
Publications Working Paper Series no. 454:

Forecasting growth during the Great Recession: is financial volatility the missing ingredient ?

By Ferrara Laurent, Marsilli Clément, Ortega Juan-Pablo
  • EN
  • PDF (929.11 KB)
Publications Working Paper Series no. 430:

Dynamic Factor Models: A review of the Literature (in French)

By Barhoumi Karim, , Ferrara Laurent
  • FR
  • PDF (713.44 KB)
Publications Working Paper Series no. 383:

Macroeconomic forecasting during the Great Recession: The return of non-linearity ?

By Ferrara Laurent, Marcellino Massimiliano, Mogliani Matteo
  • EN
  • PDF (935.26 KB)
Publications Working Paper Series no. 360:

The European way out of recession

By Bec Frédérique, Bouabdallah Othman, Ferrara Laurent
  • EN
  • PDF (1.21 MB)
Publications Quarterly Selection of Articles no. 24:

Winter 2011

By Chai Flavia, Nguyen Dinh Bang, Kremp Elisabeth, Servant François, Couleaud Nathalie, Delamarre Frédéric, Mauro Léa, De Sèze Nicolas, Bardy Romain, Marchand Aurélie, Loridant Paul, Raoult-Texier Béatrice, Jacolin Luc, Moulonguet Julien, Ferrara Laurent, Bussière Matthieu, Towbin Pascal
  • EN
  • PDF (2.13 MB)
Publications Working Paper Series no. 321:

The possible shapes of recoveries in Markov-switching models

By Bec Frédérique, Bouabdallah Othman, Ferrara Laurent
  • EN
  • PDF (378.42 KB)
Publications Quarterly Selection of Articles no. 17:

Spring 2010

By Horny Guillaume, Montornès Jérémi, Sauner-Leroy Jacques-Bernard, Tarrieu Sylvie, De Bandt Olivier, Ferrara Laurent, Vigna Olivier, Chauvin sophie, Golitin Valérie, Nivat Dominique, Topiol Agnès
  • EN
  • PDF (1.05 MB)
Publications Working Paper Series no. 275:

Common business and housing market cycles in the Euro area from a multivariate decomposition

By Ferrara Laurent, Koopman Siem jan
  • EN
  • PDF (303.87 KB)
Publications Working Paper Series no. 269:

Housing cycles in the major euro area countries

By Âlvarez Luis.J, Bulligan Guido, Cabrero Alberto, Ferrara Laurent, Stahl Harald
  • EN
  • PDF (557.55 KB)
Publications Working Paper Series no. 268:

Cyclical relationships between GDP and housing market in France: Facts and factors at play

  • EN
  • PDF (361.44 KB)
Publications Working Paper Series no. 259:

Forecasting Euro-area recessions using time-varying binary response models for financial.

By Bellégo Christophe, Ferrara Laurent
  • EN
  • PDF (509.49 KB)
Publications Working Paper Series no. 239:

Identification of slowdowns and accelerations for the euro area economy.

By Darné Olivier, Ferrara Laurent
  • EN
  • PDF (522.28 KB)
Publications Working Paper Series no. 232:

Are disaggregate data useful for factor analysis in forecasting French GDP?

By Barhoumi Karim, Darné Olivier, Ferrara Laurent
  • EN
  • PDF (150.9 KB)
Publications Working Paper Series no. 224:

Business surveys modelling with Seasonal-Cyclical Long Memory models

By Ferrara Laurent, Guégan Dominique
  • EN
  • PDF (273.51 KB)
Publications Quarterly Selection of Articles no. 13:

Autumn 2008

By Brunhes-Lesage Véronique, Darné Olivier, Barhoumi Karim, Ferrara Laurent, Pluyaud Bertrand, Rouvreau Béatrice, Coudert Virginie, Pouvelle Cyril, Rocher Emmanuel, Pelletier Adeline
  • EN
  • PDF (3.01 MB)
Publications Working Paper Series no. 222:

Monthly forecasting of French GDP: A revised version of the OPTIM model.

By Barhoumi Karim, Brunhes-Lesage Véronique, Darné Olivier, Ferrara Laurent, Pluyaud Bertrand, Rouvreau Béatrice
  • EN
  • PDF (611.57 KB)
Publications Working Paper Series no. 187:

Two probabilistic cyclical turning point indicators for the French economy (in French)

By Adanero-donderis Marie, Darné Olivier, Ferrara Laurent
  • EN
  • PDF (515.57 KB)
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Articles

  • What are the macroeconomic effects of high-frequency uncertainty shocks?, Journal of Applied Econometrics, forthcoming (with P. Guérin, 2018)
  • Impact of uncertainty shocks on the global economy, Journal of International Money and Finance, forthcoming (with M.D. Chinn and R. Giacomini, 2018)
  • Does the Great Recession imply the end of the Great Moderation? International evidence¸ Economic Inquiry, forthcoming (with A. Charles and O. Darné, 2018)
  • Nowcasting global economic growth: A factor-augmented mixed-frequency approach, The World Economy, forthcoming (with C. Marsilli, 2018)
  • Forecasting euro area recessions by combining financial information, International Journal of Computational Economics and Econometrics, forthcoming (with C. Bellégo, 2017)
  • A world trade leading index, Economics Letters, 146, 111-115 (with K. Barhoumi and O. Darné, 2016)
  • Macroeconomic forecasting during the Great Recession: the return of non-linearity?, International Journal of Forecasting, 31, 664-679 (with M. Marcellino and M. Mogliani, 2015)
  • A new monthly chronology of the US industrial cycles in the prewar economy, Journal of Financial Stability, 17, 3-9 (with A. Charles, O. Darné, C. Diebolt, 2015)
  • Comparing the shapes of recoveries: France, the UK and the US, Economic Modelling, 44, 327-335, January 2015 (with F. Bec and O. Bouabdallah, 2015).
  • Explaining US Employment Growth after the Great Recession: The role of Output-Employment Non-linearities, Journal of Macroeconomics, 42, 118-129 (with M.D. Chinn and V. Mignon, 2014)
  • Forecasting the business cycle, International Journal of Forecasting, 30, 3, 517-519 (with D. van Dijk, 2014)
  • The way out of recessions: Evidence from a bounce-back augmented threshold regression, International Journal of Forecasting, 30, 3, 539-549 (with F. Bec and O. Bouabdallah, 2014)
  • Forecasting growth during the Great Recession: is financial volatility the missing ingredient?, Economic Modelling, 36 (C), 44-50 (with J.-P. Ortega and C. Marsilli, 2014)
  • Dynamic factor models: A review of the literature, Journal of Business Cycle Management and Analysis, 2013, 2, 73-107 (with K. Barhoumi and O. Darné, 2013)
  • Comments on: Examining the quality of early GDP component estimates, International Journal of Forecasting, 29, 751-753 (2013)
  • Evaluation of regime-switching models for real-time business cycle analysis of the euro area, Journal of Forecasting, 32, 7, 577-586(with M. Billio, D. Guégan and G.L. Mazzi, 2013)
  • Testing the number of factors: An empirical assessment for forecasting purposes, Oxford Bulletin of Economics and Statistics, 75, 1, 64-79 (with K. Barhoumi and O. Darné, 2013)
  • Financial variables as leading indicators of GDP growth: Evidence from a MIDAS approach during the Great Recession, Applied Economics Letters, 20, 3, 233-237 (with C. Marsilli, 2013).
  • Une revue de la littérature des modèles à facteurs dynamiques, Economie et Prévision, No. 199, 2012/I, 51-77 (with K. Barhoumi and O. Darné, 2012)
  • Macro-financial linkages and business cycles: A factor-probit approach, Economic Modelling, 29, 1793-1797 (with C. Bellégo, 2012)
  • Monthly GDP forecasting using bridge models: Comparison from the supply and demand sides for the French economy, Bulletin of Economic Research, 64, s53-s70 (with K. Barhoumi, O. Darné and B. Pluyaud, 2012)
  • Identification of slowdowns and accelerations for the euro area economy, Oxford Bulletin of Economics and Statistics, 73, 3, 335-364 (with O. Darné, 2011)
  • Testing fractional order of long memory processes: a Monte Carlo study, Communications in Statistics – Simulation and Computation, 39, 4, 795-806 (with D. Guégan and Z. Lu, 2010)
  • Les variables financières sont-elles utiles pour anticiper la croissance économique ? Quelques évidences économétriques, Revue Economique, Vol. 61, No. 3, pp.645-656(2010)
  • Nowcasting Euro area GDP with ragged-edge data: A semi-parametric approach, Journal of Forecasting, Vol. 29, No. 1-2, pp. 186-199 (with D. Guégan and P. Rakotomarolahy, 2010)
  • Are disaggregate data useful for forecasting French GDP with dynamic factor models ?Journal of Forecasting, Vol. 29, No. 1-2, pp. 132-144 (with K. Barhoumi and O. Darné, 2010)
  •  Un indicateur probabiliste du cycle d’accélération pour l’économie française, Economie et Prévision, No. 189, pp. 93-114 (with M. Adanero-Donderis and O. Darné, 2009)
  • Caractérisation et datation des cycles économiques en zone Euro, Revue Economique, Vol. 60, No. 3, pp. 703-712 (2009).
  • A system for dating and detecting turning points in the euro area, The Manchester School, Vol. 76, No. 5, pp. 549-577 (with J. Anas, M. Billio and G.-L. Mazzi, 2008)
  • Business surveys modelling with Seasonal-Cyclical Long Memory models, Economics Bulletin,  Vol. 3, No. 29, pp. 1-10 (with D. Guégan, 2008)
  • Point and interval nowcasts of the euro area IPI, Applied Economics Letters, Vol. 14, No. 2, pp. 115-120 (2007)
  • Detection of the industrial business cycle using SETAR models, Journal of Business Cycle Measurement and Analysis, Vol. 2, No. 3, pp. 353-372. (with D. Guégan, 2005).
  • Turning points detection: The ABCD approach and two probabilistic indicators, Journal of Business Cycle Measurement and Analysis, Vol. 1, No. 2, pp. 1-36. (with J. Anas, 2004)
  • Un outil d’évaluation de la localisation des entreprises industrielles, Economie Internationale, No. 99, pp. 91-112(with A. Henriot, 2004).
  • A three-regime real-time indicator for the US economy, Economics Letters, Vol. 81, No. 3, pp. 373-378. (2003)
  • Forecasting with k-factor Gegenbauer processes: Theory and applications, Journal of Forecasting, Vol. 20, pp. 581-601. (with D. Guégan, 2001)
  • Analyse d'intervention et prévisions. Problématique et applications à des données de la RATP, Revue de Statistique Appliquée, Vol. XLVIII, No. 2, p.55-72. (with D. Guégan, 2000)

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Updated on: 06/12/2018 10:55