Andrea Carriero

Andrea Carriero
Reader

Room number: E302
Tel: +44 20 7882 8050
Fax: +44 20 8983 3580
Email: a.carriero@qmul.ac.uk
Office hours: Thursday 17:00-19:00

Research keywords: Applied Econometrics, Financial Econometrics, Forecasting, Large Datasets, Term Structure

Andrea's research interests are in applied macroeconometrics and financial econometrics.
He is working on the econometric analysis of the term structure of interest rates and on forecasting and structural modelling with large datasets.
He has been an intern in the Monetary Policy Strategy division of the ECB and has done consulting work for Banca Intesa, the Central Bank of the Czeck Republic, and the Central Bank of Estonia.



Selected publications

  • Carriero, A., Kapetanios, G. and Marcellino, M. (in press). Forecasting government bond yields with large Bayesian vector autoregressions. Journal of Banking and Finance
  • Carriero, A., Giacomini, R. (2011). How useful are no-arbitrage restrictions for forecasting the term structure of interest rates? Journal of Econometrics, 164, 21-34
  • Carriero, A., Kapetanios, G. and Marcellino, M. (2011). Forecasting large datasets with Bayesian reduced rank multivariate models. Journal of Applied Econometrics 26, 735-761.
  • Carriero A., (2011). Forecasting the Yield Curve Using Priors from No Arbitrage Affine Term Structure Models. International Economic Review 52, 425-459
  • Carriero, A., Marcellino, M. (2011). Sectoral Survey-based Confidence Indicators for Europe. Oxford Bulletin of Economics and Statistics 73, 175-206.
  • Carriero, A., Kapetanios, G., Marcellino, M. (2009). Forecasting Exchange Rates with a Large Bayesian VAR. International Journal of Forecasting 25, 400-417.
  • Carriero A., (2008). A simple test of the New Keynesian Phillips Curve. Economics Letters 100, 241-244.
  • Carriero, A., (2008). Forecasting Macroeconomic Data Using Multivariate Reduced Rank Models. Proceedings of the SIS (Italian Statistical Society) Scientific Meetings, XLIV Riunione Scientifica, 303-310.
  • Carriero, A., Marcellino, M. (2007). A comparison of methods for the construction of composite coincident and leading indexes for the UK. International Journal of Forecasting  23 219-236.
  • Carriero, A. (2006). Explaining US-UK Yield Differentials: a Reassessment of the Uncovered Interest Rate Parity in a Bayesian Framework. Oxford Bulletin of Economics and Statistics 68 879–899.
  • Carriero A., Favero C.A., Kaminska I. (2006). Financial factors, macroeconomic information and the Expectations Theory of the term structure of interest rates. Journal of Econometrics 127 339-358.