Phone: +44 20 7882 8050
Office hours: I am away on research so will not have office hours, if you need to contact me I am available by email.
Econometrics and Quantitative Methods
Andrea Carriero is a Professor of Economics at Queen Mary University of London.
His research interests are in applied Macroeconometrics, empirical macroeconomics, and financial econometrics.
Andrea is working on the econometric analysis of the term structure of interest rates and on forecasting and structural modelling with large datasets.
He is a consultant for HM Treasury Debt Management Office and has been an intern in the Monetary Policy Strategy division of the ECB. He has done consulting work for HM Treasury Debt Management Office, Banca Intesa, the Central Bank of the Czech Republic, and the Central Bank of Estonia.
My current research is supported by ERSC grant no. ES.K010611.1
- Carriero, A., Clark, T., and Marcellino, M. (2014), "Real-Time Nowcasting with a Bayesian mixed frequency model with stochastic volatility" , Journal of the Royal Statistical Society (series A), forthcoming
- Carriero, A., Mumtaz, H., and Theophilopoulou, A. (2014) “Macroeconomic Information, Structural Change, and the Prediction of Fiscal Aggregates”, International Journal of Forecasting, forthcoming
- Carriero, A. Clements, M. Galvao, A. (2014) "Bayesian Multivariate vintage-based VARs"”, International Journal of Forecasting, forthcoming
- Carriero, A., Kapetanios, G. and Marcellino, M., (2014) “A Shrinkage Instrumental Variable Estimator for Large Datasets”, L'Actualité Économique, forthcoming
- Carriero, A., Clark, T., G. and Marcellino, M. (2012) Bayesian VARs: specification choices and forecast accuracy, Journal of Applied Econometrics, forthcoming. Available as CEPR Discussion Paper no. 8273 link
- Carriero, A., Kapetanios, G. and Marcellino, M. (2012) Forecasting government bond yields with large Bayesian vector autoregressions, Journal of Banking and Finance, 36: 2026-2047 link
- Carriero A., (2011), Forecasting the Yield Curve Using Priors from No Arbitrage Affine Term Structure Models, International Economic Review. 52: 425-459 link
- Carriero, A., Giacomini, R. (2011), How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?, Journal of Econometrics, Volume 164, Issue 1, Pages 21-34 link
- Carriero, A, Kapetanios, G. and Marcellino, M. (2011), Forecasting large datasets with Bayesian reduced rank multivariate models. Journal of Applied Econometrics, 26: 735--761. link
- Carriero, A. and Marcellino, M. (2011), Sectoral Survey-based Confidence Indicators for Europe. Oxford Bulletin of Economics and Statistics, 73: 175--206. link
- Carriero, A., Kapetanios, G., Marcellino, M. (2009), Forecasting Exchange Rates with a Large Bayesian VAR, International Journal of Forecasting 25, 400-417. link
- Carriero A., (2008), “A simple test of the New Keynesian Phillips Curve”, Economics Letters, Vol 100 pp 241-244. link
- 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 link
- 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. link
- 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. link
- 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. link