Home

Search database
Insert profile

Contact
Login

    Partner Search profiles

Show all
Search

 Albania
 Argentina18 
 Austria31 
 Belarus
 Belgium104 
 Bosnia and Herzegovina
 Brasil
 Bulgaria23 
 Chile
 China
 Colombia
 Croatia17 
 Cyprus
 Czech Republic10 
 Denmark11 
 Dominican Republic
 Ecuador
 Egypt16 
 Estonia18 
 Faroe Islands
 Finland11 
 France70 
 Germany71 
 Greece59 
 Hungary17 
 Iceland22 
 India
 Indonesia
 Ireland75 
 Israel26 
 Italy105 
 Kazakhstan
 Korea
 Latvia
 Lithuania
 Luxembourg
 Malta
 FYROM - Rep. of Macedonia
 Malaysia
 Mexico24 
 Moldova
 Montenegro
 Netherlands15 
 Norway13 
 Peru
 Poland25 
 Portugal63 
 Romania12 
 Russia12 
 Serbia
 Slovenia19 
 Slovak Republic28 
 South Africa11 
 Spain133 
 Sweden
 Switzerland30 
 Taiwan23 
 Turkey83 
 Ukraine
 United Kingdom153 
 Uruguay
 USA
 Uzbekistan
 Other
 Total1455 
Prepare for printing
Università di Milano-Bicocca
Economics

 Contact details
Contact personProfessor Claudio Morana 
StreetPiazza Ateneno Nuovo 
Address Milano - 20126 (Italy) 
Phone00393479773303 
EmailShow Email
Webhttp://dipeco.economia.unimib.it/Persone/morana/
 Organisation details
Employees (in Depart.)26-50 
Organisation TypeSecondary or higher education establishment 
 Research Focus

 Fields of activities:
» Economics

 Brief description of your activity focus
macroeconomics, international money and finance, energy economics, econometrics

 Details about Expertise / Competences / Technologies
Macroeconomics
International Money and Finance
Econometrics
Energy Economics

PUBLICATIONS IN ACADEMIC JOURNALS

1) - I Modelli Lineari Simultanei in Econometria: Sviluppi di Metodo, Annali della Fondazione Luigi Einaudi,
Vol. XXIX, 1995, pp.115-47.
2) - Substitution Possibilities for Energy in the Italian Economy: A General to Specific Econometric
Analysis, Giornale degli Economisti, 1998, pp.325-58.
3) - Computing Value at Risk with High Frequency Data (with Beltratti, A.), Journal of Empirical
Finance,1999, 6, 431-55.
4) - Measuring Core Inflation in Italy (with Bagliano F.C.), Giornale degli Economisti, 1999, 58, 301-28.
5) - Modelling Evolving Long-Run Relationships: An Application to the Italian Energy Market, Scottish
Journal of Political Economy, 2000, 47(1), pp. 72-93.
6) - Regulatory Uncertainty and Share Price Volatility: The Water Industry’s Periodic Price Review (with
Sawkins, J.), Journal of Regulatory Economics, 2000, 17(1), pp. 87-100.
7) - Central Bank Interventions and Exchange Rates: An Analysis with High Frequency Data, (with Beltratti,
A.), Journal of International Financial Markets, Institutions and Money, 2000, 10, 349-62.
8) - A Semi-Parametric Approach to Short-Run Oil Price Forecasting, Energy Economics, 2001, 23/3, 325-
38.
9) - Deterministic and Stochastic Methods for Estimation of Intra-day Seasonal Components with High
Frequency Data (with Beltratti, A.), Economic Notes, 2001, 30(2), 205-34.
10) - The Effects of the Introduction of the Euro on the Volatility of European Stock Markets (with
Beltratti, A.), Journal of Banking and Finance, 2002, 26(10), 2047-2064.
11) - Core Inflation in the Euro Area (with F.C. Bagliano e R. Golinelli), 2001, Applied Economics Letters,
2002, 9, 353-357.
12) - An Empirical Investigation of Long-Run Growth in the UK, Structural Change and Economic Dynamics,
2002, 13(1), 49-70.
13) - Stock Market Reaction to Regulatory Price Review in the English and Welsh Water Industry (with
Sawkins, J.), 2002, Journal of Regulatory Economics, 22(2), 185-204.
14) - IGARCH Effects: an Interpretation, Applied Economics Letters, 2002, 9, 745-748.
15) - SuperExogeneity and Forecasting Energy Demand with High and Low Frequency Data (with
McAvinchey, I.D.), Rivista Internazionale di Scienze Sociali, 2002, 4, 361-87.
16) - Common Persistent Factors in Inflation and Excess Nominal Money Growth and a New Measure of
Core Inflation, Studies in Non Linear Dynamics and Econometrics, 2002, 6(3), art.3.
- Erratum: Common Persistent Factors in Inflation and Excess Nominal Money Growth and a New Measure
of Core Inflation, Studies in Non Linear Dynamics and Econometrics, 2002, 6(3), art.5.
17) - A Common Trends Model of UK Core Inflation (with F.C. Bagliano), Empirical Economics, 2003, 28, 157-
72.
18) - Measuring US Core Inflation: a Common Trends Approach (with F.C. Bagliano), Journal of
Macroeconomics, 2003, 25, 197-212.
19) - Long-Run Growth and Income Distribution: Evidence from Italy and the US, Giornale degli Economisti,
2003, 62(2), 171-210.
20) - The Japanese Stagnation: an Assesment of the Productivity Slowdown Hypothesis, Japan and the
World Economy, 2004, 16, 193-211.
21) - Monetary Policy and the Stock Market in the Euro Area (with Nuno Cassola), Journal of Policy
Modeling, 2004, 26(3), 387-99.
22) -Structural Change and Long Range Dependence in Volatility of Exchange Rates: Either, Neither or
Both? (with Beltratti, A.), Journal of Empirical Finance, 2004, 11, 629-58.
23) - Frequency Domain Principal Components Estimation of Fractionally Cointegrated Processes, Applied
Economic Letters, 2004, 11, 837-42.
24) - Some Frequency Domain Properties of Fractionally Cointegrated Processes, Applied Economics
Letters, 2004, 11, 891-94.
25) - Stock Market Volatility of Regulated Industries: an Empirical Assessment (with J. Sawkins),
Portuguese Economic Journal, 2004, 3(3), 189-204.
26) - Regional Convergence in Italy: 1951-2000, Giornale degli Economisti, 2004, 63(2), 139-60.
27) - The Japanese Deflation: Has It Had Real Effects? Could It Have Been Avoided?, Applied Economics,
2005, 37, 1337-52.
28) - Frequency Domain Principal Components Estimation of Fractionally Cointegrated Processes: Some
New Results and an Application to Stock Market Volatility, Physica A, 2005, 335, 165-175.
29) - Statistical Benefits of Value at Risk with Long Memory (with A. Beltratti), Journal of Risk, 2005, 7(4).
30) - Breaks and Persistency: Macroeconomic Causes of Stock Market Volatility (with A. Beltratti), Journal
of Econometrics, 2006, 131, 151-177.
31) - Structural Breaks and Common Factors in the Volatility of the Fama-French Factor Portolios (with A.
Beltratti), 2006, Applied Financial Economics, 16, 1-15.
32) - A Small Scale Macroeconometric Model for the Euro-12 Area, 2006, Economic Modelling, 23(3), 391-
426.
33) - The Price Stability Oriented Monetary Policy of the ECB: an Assessment, Applied Economics, 2006,
38, 2007-2020.
34) - Volatility of Interest Rates in the Euro Area: Evidence from High Frequency Data, (with N. Cassola),
2006, European Journal of Finance, 12, 529-52.
35) - Estimating Long Memory in the Mark-Dollar Exchange Rate with High Frequency Data (with A.
Beltratti), 2006, Applied Financial Economics Letters, 6, 361-64.
36) - Inflation and Monetary Dynamics in the US: A Quantity-Theory Approach, (with F.C. Bagliano), 2007,
Applied Economics, 39(2), 229-244.
37) - A Structural Common Factor Approach to Core Inflation Estimation and Forecasting, 2007, Applied
Economics Letters, 14, 163-169.
38) - Does the Stock Market Affect Income Distribution ? Some Empirical Evidence for the US (with A.
Beltratti), 2007, Applied Economics Letters, 14, 99-104.
39) Structural Approach to Bidding in the Main Refinancing Operations of the Eurosystem (with N. Cassola
and C. Ewerhart), 2007, Journal of Financial Transformation, 19, 81-90.
40) - The End of the Japanese Stagnation: An Assessment of the Policy Solutions, 2007, Quantitative and
Qualitative Analysis in Social Sciences, 1(1), 43-62.
41) - Estimating, Filtering and Forecasting Realized Betas, 2007, The Journal of Financial Forecasting, 1, 83-
111.
42) - Factor Demand Modelling: the Theory and the Practice, 2007, Applied Mathematical Sciences, 1 (31),
1519-1549.
43) - Multivariate Modelling of Long Memory Processes with Common Components, 2007, Computational
Statistics and Data Analysis, 52, 919-934.
44) - Comovements in International Stock Markets (with A. Beltratti), 2008, Journal of International
Financial Markets Institutions and Money, 18, 31-45.
45) Factor Vector Autoregressive Estimation: A New Approach (with F.C. Bagliano), 2008, Journal of
Economic Interaction and Coordination, 3, 15-23.
46) - International Stock Markets Comovements: the Role of Economic and Financial Integration, 2008,
Empirical Economics, 35, 333-359.
47) - Aggregate Hedge Funds Flows and Returns (with A. Beltratti), 2008, Applied Financial Economics, 18,
1755-1764.
48) - Net Inflows and Time-Varying Alphas: The Case of Hedge Funds (with A. Beltratti), 2008, Quantitative
and Qualitative Analysis in Social Sciences, 2(3), 67-94.
49) - Medium-term Macroeconomic Determinants of Exchange Rate Volatility, 2008, Journal of Financial
Transformation, 25, 55-64.
50) - Modelling Short-Term Interest Rate Spreads in the Euro Money Market (with Nuno Cassola), 2008,
International Journal of Central Banking, 4, 1-39.
51) - An Omnibus Noise Filter, 2009, Computational Statistics, 24, 459-479.
52) - International Macroeconomic Dynamics: A Factor Vector Autoregressive Approach (con F.C.
Bagliano), 2009, Economic Modelling, 26, 432-444.
53) - On the Macroeconomic Causes of Exchange Rate Volatility, 2009, International Journal of
Forecasting, 25, 328-350.
54) - Realized Betas and the Cross-Section of Expected Returns, 2009, Applied Financial Economics, 19,
1371-1381.
55) - Modeling Long Memory and Structural Breaks in Conditional Variances: An Adaptive FIGARCH
Approach (with R.T. Baillie), 2009, Journal of Economic Dynamics and Control, 33, 1577-1592.
56) - International house prices and macroeconomic fluctuations (with A. Beltratti), 2010, Journal of
Banking and Finance, 34, 535-545.
57) - Comovements in Volatility in the Euro Money Market (with Nuno Cassola), 2010, Journal of
International Money and Finance, 29, 525-39.
58) - Permanent and Transitory Dynamics in House Prices and Consumption: Some Implications for the
Real Effects of the Financial Crisis (with F.C. Bagliano), 2010, Applied Financial Economics, 20, 151-170
59) - Business Cycle Comovements in the G-7: Common Shocks or Common Trasmission Mechanisms? (with
F.C. Bagliano), 2010, Applied Economics, 42, 2327-2345.
60) - Realized mean-variance efficient portfolio selection and euro area stock market integration, 2010,
Applied Financial Economics, 20, 989-1001.
61) - The Great Recession: US dynamics and spillovers to the world economy, Journal of Banking and
Finance, in press.
 Research Activities

 EU Framework Programme related activities:
» Strengthening policy coherence & coordination in Europe
» Socio-economic development trajectories
» Interactions & interdependences between world regions
» Conflicts, peace and human rights
» How indicators are used in policy
» Developing better indicators for policy
» Wide socio-economic foresight on key challenges
» Focused thematic foresight

 Project participation
 
Project #1
Project TypeNational
FunctionCoordinator
Project TitleFundamental and speculative determinants of real oil prices
Specific Themeoil price, econometrics
 
Project #2
Project TypeNational
FunctionCoordinator
Project TitleMacroeconomic Fluctuations, economic policy and financial asset prices
Specific Thememacroeconomics, finance, econometrics
 
Project #3
Project TypeOther (International)
FunctionCoordinator
Project TitleEuro area money markets during the financial crisis
Specific Thememonetary policy, econometrics
 
Project #4
Project TypeOther (International)
FunctionCoordinator
Project TitleEuro area money markets
Specific Thememonetary policy, econometrics
 
Project #5
Project TypeOther (International)
FunctionCoordinator
Project TitleEuro area core inflation
Specific Thememonetary policy, econometrics
 
Project #6
Project TypeOther (International)
FunctionCoordinator
Project TitleFinancial stability in the euro area
Specific Thememonetary policy, econometrics

 International and national projects beyond EU Framework Programme
SCIENTIFIC CONSULTANCY AND RESEARCH FELLOWHISPS:
- 2010 – 2011 Fondazione ENI Enrico Mattei, Milano
- 2010 Cerved Group – Centrale dei Bilanci, Torino
- 2008 European Central Bank, Directorate General Research
- 2005 European Central Bank, Monetary Policy Strategy Division
- 2004 European Central Bank, Monetary Policy Stance Division
- 2003 European Central Bank, Monetary Policy Stance Division
- 2003 European Central Bank, Monetary Policy Strategy Division


PARTECIPTION TO GOVERNEMENT FUNDED RESEARCH PROJECTS
- 2005 PRIN: New directions in the theoretical and empirical modeling of inflation.
National coordinator: F.C. Bagliano (University of Torino).
- 2007 PRIN: Financial, credit and labour markets in business cycle models for the analysis of economic
policy. Theory and empirics. National coordinator: C.A. Favero (Bocconi University)
- 2009 - PRIN: Macroeconomic Fluctuations, economic policy and financial asset prices (local coordinator).
National coordinator: C.A. Favero (Bocconi University).


PARTECIPTION TO LOCALLY FUNDED RESEARCH PROJECTS
- 2008 CRT Foundation: Technological Innovation in Finance

 Partner Search Profiles
  • 01-01-1970 |

  •  Further Information

     Inserted / Updated
    2011-01-24 / 2011-11-05

    Contact Disclaimer Adminlogin

    Copyright (2015 - 2019) - Net4Society Research Directory