Professors

Laurent FERRARA

Professor

Economie internationale, Macroéconomie, Prévision, Cycles, Modélisation économétrique

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Laurent FERRARA

Academy

Globalization

Research center

SKEMA Centre for Global Risks

Location

Paris

Discipline

Finance

Laurent Ferrara is full Professor of International Economics at the SKEMA Business School since September 2019. He was previously head of the International Macroeconomics Division at the Banque de France in Paris, in charge of the global macroeconomic outlook as well as global policy issues such as exchange rates, commodities or global imbalances. He is also giving lectures at the Paris School of Economics and at the University of Paris Nanterre where he is associated researcher at EconomiX, a CNRS research unit.

Laurent Ferrara has been elected in May 2022 at the Board of Directors of the International Institute of Forecasters, an international association aiming at bridging the gap between theory and applications in forecasting, where he is heading the Macro Forecasting section. He is also member of the Board of Directors of the French Economic Association (AFSE) where he is chairing the French business cycle dating committee. Laurent Ferrara is an associate editor of two leading academic journals: the International Journal of Forecasting and International Economics.

Pr. 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 economics, international finance, macroeconomic forecasting, non-linear econometric modelling and business cycle analysis. He published more than 50 papers in international and national academic journals, chapters in books, as well as 3 books on international macroeconomics, financial forecasting and time series modelling.

Education
2007
HDR en Economie, Université Paris 1 Panthéon-Sorbonne, France
2000
Ph.D. in Econometrics, Université Sorbonne Paris Nord, France
Experience
Full-time academic positions
Since 2019
Professor of Economics, SKEMA Business School, France
Other academic affiliations and appointments
2005 - 2007
Adjunct Professor, École normale supérieure de Cachan, France
Other professional experiences
2020 - 2024
Membre du comité directeur de l'AFSE, Association Française de Science Economique, France
2014 - 2019
Head of International Macro Division, Banque de France, France
2012 - 2020
Member of the Board of Directors, International Institute of Forecasters, United States of America
2010 - 2013
Deputy Head of International Macro Division, Banque de France, France
2007 - 2010
Economist-Researcher, Banque de France, France
Research grants, Awards and Honors
Research Grants
2021
Decision Making under Uncertainty
Professional activities
Other professional activities
Since 2024
Membre du jury
Other research activities
Senior or Associate Editor
Since 2021
International Economics
Since 2014
International Journal of Forecasting
Reviewer for:
Journal of International Economics, Journal of Applied Econometrics, Journal of Business and Economic Statistics
Organization of a conference or a research seminar
Since 2022
International Macro workshop, Banque de France, France
2022
DEMUR workshop, Aix-Marseille Université, France
2021
Workshop on inflation forecasting, SKEMA Business School, France
2020
Macroeconometrics workshop, Paris School of Economics, France
2020
Economic Forecasting at times of Covid-19, International Institute of Forecasters, United States of America
2019
1st Macroeconometrics workshop, Paris School of Economics, France
Affiliations
Since 2020
Member of the board of directors, Association Française de Science Economique
2012 - 2020
Member of the board of directors, International Institute of Forecasting
Other academic activities
Since 2023
Président du Jury du Prix Malinvaud, Association Française de Science Economique
2022
International Symposium on Forecasting, International Institute of Forecasters, United States of America
2022
AFSE Annual Conference, Association Française de Science Economique

Peer-reviewed journal articles

FERRARA, L., KARADIMITROPOULOU, A. and TRIANTAFYLLOU, A. (2024). Oil jump tail risk as a driver of inflation dynamics. Journal of Commodity Markets, 36, pp. 100434.
BERMPEI, T., FERRARA, L., KARADIMITROPOULOU, A. and TRIANTAFYLLOU, A. (2024). Commodity currencies revisited: The role of global commodity price uncertainty. Journal of International Money and Finance, 145, pp. 103096.
FERRARA, L. and SIMONI, A. (2023). When are Google data useful to nowcast GDP? An approach via pre-selection and shrinkage. Journal of Business and Economic Statistics, 41(4), pp. 1188-1202.
AVIAT, A., BEC, F., DIEBOLT, C., DOZ, C., FERRAND, D., FERRARA, L. ... PIONNIER, P.A. (2023). Les cycles économiques de la France: une datation de référence. Revue Economique, 74(2023/2), pp. 5-52.
BUSSIÈRE, M., CHINN, M., FERRARA, L. and HEIPERTZ, J. (2022). The new Fama puzzle. IMF Economic Review, 70(3), pp. 451-486.
FERRARA, L. and YAPI, J. (2022). Measuring exchange rate risks during periods of uncertainty. International Economics, 170, pp. 202-212.
DELLE CHIAIE, S., FERRARA, L. and GIANNONE, D. (2022). Common factors of commodity prices. Journal of Applied Econometrics, 37(3), pp. 461-476.
FERRARA, L., MOGLIANI, M. and SAHUC, J.G. (2022). High-frequency monitoring of Growth-at-Risk. International Journal of Forecasting, 38(2), pp. 582-595.
FERRARA, L., METELLI, L., NATOLI, F. and DANIELE, S. (2021). Questioning the puzzle: Fiscal policy, real exchange rate and inflation. Journal of International Economics, 133, pp. 103524.
CANDELON, B., FERRARA, L. and JOETS, M. (2021). Global financial interconnectedness: a non-linear assessment of the uncertainty channel. Applied Economics, 53(25), pp. 2865-2887.
FERRARA, L. and MARSILLI, C. (2019). Nowcasting global economic growth: A factor-augmented mixed-frequency approach. World Economy, 42(3), pp. 846-875.
CHINN, M., FERRARA, L. and GIACOMINI, R. (2018). Impact of uncertainty shocks on the global economy. Journal of International Money and Finance, 88, pp. 209-211.
FERRARA, L. and GUERIN, P. (2018). What are the macroeconomic effects of high-frequency uncertainty shocks? Journal of Applied Econometrics, 33(5), pp. 662-679.
CHARLES, A., DARNÉ, O. and FERRARA, L. (2018). Does the Great Recession imply the end of the Great Moderation? International evidence. Economic Inquiry, 56(2), pp. 745-760.
FERRARA, L. and BELLEGO, C. (2017). Forecasting euro area recessions by combining financial information. International Journal of Computational Economics and Econometrics, 7(1-2), pp. 78-94.
BARHOUMI, K., DARNÉ, O. and FERRARA, L. (2016). A World Trade Leading Index (WTLI). Economics Letters, 146, pp. 111-115.
FERRARA, L., MARCELLINO, M. and MOGLIANI, M. (2015). Macroeconomic forecasting during the Great Recession: The return of non-linearity? International Journal of Forecasting, 31(3), pp. 664-679.
AMÉLIE, C., DARNÉ, O., DIEBOLT, C. and FERRARA, L. (2015). A new monthly chronology of the US industrial cycles in the prewar economy. Journal of Financial Stability, 17, pp. 3-9.
BEC, F., BOUADALLAH, O. and FERRARA, L. (2015). Comparing the shapes of recoveries: France, the UK and the US. Economic Modelling, 44, pp. 327-334.
FERRARA, L., CHINN, M. and MIGNON, V. (2014). Explaining US Employment Growth after the Great Recession: The role of Output-Employment Non-linearities. Journal of Macroeconomics, 42, pp. 118-129.
BEC, F., BOUADALLAH, O. and FERRARA, L. (2014). The way out of recessions: Evidence from a bounce-back augmented threshold regression. International Journal of Forecasting, 30(3), pp. 539-549.
FERRARA, L., MARSILLI, C. and ORTEGA, J.P. (2014). Forecasting growth during the Great Recession: is financial volatility the missing ingredient? Economic Modelling, 36, pp. 44-50.
FERRARA, L. and VAN DIJK, D. (2014). Forecasting the business cycle. International Journal of Forecasting, 30, pp. 517-519.
FERRARA, L., BILLIO, M., GUEGAN, D. and MAZZI, G.L. (2013). Evaluation of regime-switching models for real-time business cycle analysis of the euro area. Journal of Forecasting, 32(7), pp. 577-586.
FERRARA, L. (2013). Comments on: “Examining the quality of early GDP component estimates”. International Journal of Forecasting, 29(4), pp. 751-753.
BARHOUMI, K., DARNÉ, O. and FERRARA, L. (2013). Testing the number of factors: An empirical assessment for forecasting purposes. Oxford Bulletin of Economics and Statistics, 75(1), pp. 64-79.
FERRARA, L. and MARSILLI, C. (2013). Financial variables as leading indicators of GDP growth: Evidence from a MIDAS approach during the Great Recession. Applied Economics Letters, 20(3), pp. 233-237.
BARHOUMI, K., DARNÉ, O. and FERRARA, L. (2012). Une revue de la littérature des modèles à facteurs dynamiques. Economie et Prévision, 199, pp. 51-77.
BARHOUMI, K., DARNÉ, O., FERRARA, L. and PLUYAUD, B. (2012). Monthly GDP forecasting using bridge models: Application for the french economy. Bulletin of Economic Research, 64(s1), pp. 53-70.
BELLEGO, C. and FERRARA, L. (2012). Macro-financial linkages and business cycles: A factor-augmented probit approach. Economic Modelling, 29(5), pp. 1793-1797.
DARNÉ, O. and FERRARA, L. (2011). Identification of slowdowns and accelerations for the euro area economy;. Oxford Bulletin of Economics and Statistics, 73(3), pp. 335-364.
BARHOUMI, K. and FERRARA, L. (2010). Are disaggregate data useful for forecasting French GDP with dynamic factor models ? Journal of Forecasting, 29(1-2), pp. 132-144.
FERRARA, L. (2010). Les variables financières sont-elles utiles pour anticiper la croissance économique ? Quelques évidences économétriques. Revue Economique, 61(3), pp. 645-655.
FERRARA, L., GUEGAN, D. and RAKOTOMAROLAHY, P. (2010). GDP nowcasting with ragged-edge data: a semi-parametric modeling. Journal of Forecasting, 29(1-2), pp. 186-199.
ADANERO-DONDERIS, M., DARNÉ, O. and FERRARA, L. (2009). Un indicateur probabiliste du cycle d'accélération pour l'économie française. Economie et Prévision, 189, pp. 95-114.
FERRARA, L. (2009). Caractérisation et datation des cycles économiques en zone Euro. Revue Economique, 60(3), pp. 703-712.
FERRARA, L. and GUEGAN, D. (2008). Business surveys modelling with Seasonal-Cyclical Long Memory models. Economics Bulletin, 3, pp. 1-10.
FERRARA, L. (2003). A three-regime real-time indicator for the US economy. Economics Letters, 81(3), pp. 373-378.
FERRARA, L. and GUEGAN, D. (2001). Forecasting with k-factor Gegenbauer processes: Theory and applications. Journal of Forecasting, 20(8), pp. 581-601.

Non peer-reviewed journal articles

ANAS, J., BILLIO, M., FERRARA, L. and MAZZI, G.L. (2008). A system for dating and detecting turning points in the euro area. Manchester School, 76(5), pp. 549-577.

Book chapters

FERRARA, L., MARSILLI, C. and BANULESCU-RADU, D. (2020). Prévoir la volatilité d’un actif financier à l’aide d’un modèle à mélange de fréquences. In: Amélie Charles, Olivier Darné et Laurent Ferrara eds. Méthodes de Prévision en Finance. 1st ed. Economica.
FERRARA, L. and MAZZI, G.L. (2018). Parametric models for cyclical composite indicators. In: G.L. Mazzi (ed.). Handbook on cyclical composite indicators for business cycle analysis. 1st ed. European Union and United Nations, pp. 327-356.
FERRARA, L., ANAS, J., BILLIO, M., CARATI, L. and MAZZI, G.L. (2017). Cyclical composite indicators detecting turning points. In: Handbook on cyclical composite indicators for business cycle analysis. 1st ed. European Union and United Nations, pp. 357-398.
FERRARA, L. and KOOPMAN, S.J. (2010). Common business and housing markets cycles in the euro area from a multivariate decomposition. In: O. De Bandt, T. Knetsch, J. Peñalosa and F. Zollino eds. Housing Markets in Europe: A Macroeconomic Perspective. 1st ed. Berlin: Springer, pp. 105-128.
FERRARA, L., ALVARES, L., CABRERO, A., BULLIGAN, G. and STAHL, H. (2010). Housing cycles in the major euro area countries. In: O. De Bandt, T. Knetsch, J. Peñalosa and F. Zollino eds. Housing Markets in Europe: A Macroeconomic Perspective. 1st ed. Springer, pp. 85-103.
FERRARA, L. and VIGNA, O. (2010). Cyclical relationships between GDP and housing market in France: Facts and factors at play. In: O. De Bandt, T. Knetsch, J. Peñalosa and F. Zollino eds. Housing Markets in Europe: A Macroeconomic Perspective. 1st ed. Berlin: Springer, pp. 39-60.

Guest editor of a journal special issue

FERRARA, L. and SHENG, S.X. (2022). Economic forecasting in times of Covid-19. International Journal of Forecasting, 38(2), pp. 527-528.

Books and book editor

FERRARA, L., CHARLES, A. and DARNÉ, O. [Eds] (2020). Méthodes de Prévision en Finance. Economica, 216 pages.
FERRARA, L., HERNANDO, I. and MARCONI, D. (2018). International Macroeconomics in the Wake of the Global Financial Crisis. Springer, 312 pages.
FERRARA, L. and GUEGAN, D. (2002). Analyser les séries chronologiques avec S-Plus : Une approche paramétrique. Presses Universitaires de Rennes, 147 pages.

Conference presentations

FERRARA, L. (2021). High frequency monitoring of Growth-at-Risk. In: European Commission Conference on Big Data. Milan.
FERRARA, L. (2021). High frequency monitoring of Growth-at-Risk. In: European Central Bank, Forecasting Conference. Frankfurt.
FERRARA, L. (2021). High frequency monitoring of Growth-at-Risk. In: AFSE (Annual conference French Economic Association). Lille.
FERRARA, L. (2021). High frequency monitoring of Growth-at-Risk. In: Computational Economics and Finance. Tokyo (Virtual).
FERRARA, L. (2021). High frequency monitoring of Growth-at-Risk. In: OFCE seminar. Paris.
FERRARA, L., SAHUC, J.G. and MOGLIANI, M. (2020). Real-time high frequency monitoring of Growth-at-Risk. In: Workshop on Economic Forecasting at times of Covid-19. Washington.
FERRARA, L. (2020). Business cycle dynamics after the Great Recession: An extended Markov-Switching Dynamic Factor Model. In: International Symposium on Forecasting. Rio.
FERRARA, L. (2019). Business cycle dynamics after the Great Recession: An extended Markov-Switching Dynamic Factor Model. In: Conference on Forecasting at Central Banks, Bank of Canada. Ottawa.
FERRARA, L. (2019). Business Cycle Dynamics after the Great Recession: An Extended Markov-Switching Dynamic Factor Model. In: Real-time data Workshop. Brussels.
FERRARA, L. and SIMONI, A. (2019). When are Google data useful to nowcast GDP? An approach via pre-selection and shrinkage. In: International Symposium on Forecasting. Thessaloniki.
FERRARA, L. and SIMONI, A. (2019). When are Google data useful to nowcast GDP? An approach via pre-selection and shrinkage. In: OECD Workshop on Time Series Methods. Paris.

Faculty research seminar presentations

FERRARA, L. (2021). Business cycle dynamics after the Great Recession: An extended Markov-Switching Dynamic Factor Model. In: University of Piraeus seminar. Piraeus.
FERRARA, L. (2020). Business cycle dynamics after the Great Recession: An extended Markov-Switching Dynamic Factor Model. In: University Paris Nanterre Seminar. Nanterre.
FERRARA, L. (2020). Business cycle dynamics after the Great Recession: An extended Markov-Switching Dynamic Factor Model. In: Essex Business School Seminar. London.

Press and social media

FERRARA, L. (2022). The Surprising Drop in French Economic Activity. Econbrowser.
FERRARA, L., SAHUC, J.G. and MOGLIANI, M. (2022). High-frequency macroeconomic risk measures in the wake of the war in Ukraine. VoxEU.
FERRARA, L. (2021). The Covid-19 recession in France: The trough is behind us, but let’s stay vigilant. VoxEU, France.
FERRARA, L. (2021). Dating business cycles in France: A reference chronology. VoxEU.
FERRARA, L., BUSSIÈRE, M., CHINN, M. and HEIPERTZ, J. (2018). The new Fama puzzle. VoxEU.