Research

Research & replications

Research is my own work on macroeconomic forecasting, beginning with my Master’s thesis. Replications rebuild published papers in empirical macroeconomics from the raw data, estimates and figures included, and check every result against the original.

  1. ρ\rhoCorrelation
  2. λ\lambdaEigenvalues
  3. vvEigenvectors
  4. FFMarket factors

Research

Ongoing work of my own.

Giordani (2026) · Master's thesis

Nowcasting U.S. GDP with a Mixed‑Frequency Dynamic Factor Model with Student‑t Errors

Do heavy-tailed shocks improve the nowcast of U.S. GDP growth? A Student‑t dynamic factor model, scored week by week against four Bayesian VARs and the New York Fed Staff Nowcast over 2007–2025.

Dynamic factor models Student-t errors Bayesian VARs NY Fed Staff Nowcast
Open

Replications

Published papers, rebuilt from the data and checked against the originals.

Christiano, Eichenbaum & Evans (2005)

Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy

How U.S. output, prices and wages respond to a monetary policy shock: the VAR evidence of Christiano, Eichenbaum and Evans (2005).

VAR Cholesky identification Bootstrap Monetary policy
Open Bauer & Swanson (2023)

A Reassessment of Monetary Policy Surprises and High-Frequency Identification

Are high-frequency monetary policy surprises really exogenous? Predictability, orthogonalization and a proxy SVAR, after Bauer and Swanson (2023).

High-frequency identification Proxy SVAR Wild bootstrap
Open Adrian, Boyarchenko & Giannone (2019)

Vulnerable Growth

How financial conditions move the left tail of future GDP growth: quantile regressions and skewed-t densities, after Adrian, Boyarchenko and Giannone (2019).

Quantile regression Skewed t Growth-at-Risk Density forecasts
Open