Upcoming & Recent Talks

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IAAE 2018
Jun 26, 2018 9:00 AM
CEF 2018
Jun 19, 2018 9:00 AM
Governor's Workshop
May 31, 2018 12:30 PM

Recent Works

I compare the performance of the VAR impulse response function (IRF) estimator with the Jordà (2005) local projection (LP) methodology. I show by a Monte Carlo exercise that when the data generating process (DGP) is a well-specified vector autoregressive model (VAR), the standard estimator is a better alternative. However, in the general case in which the sample size is small, and the lag length of the model is misspecified, the local projection estimator is a competitive alternative to the standard VAR impulse response function estimator. Along the way, I highlight some lack in the local projection literature, which can lead to potential improvement in the estimation procedure.

Submited, 2018.

I assess and forecast the probability of deflation in the EA at different horizons using a binomial probit model. I select the best predictors among more than one-hundred variables adopting a two-step combinatoric approach and exploiting parallel computation in Julia language. I show that the best-selected variables coincide to those standardly included in a small New Keynesian model. Also, I assess the goodness of the models using three different loss functions: the Mean Absolute Error (MAE), the Root Mean Squared Error (RMSE) and the Area Under the Receiver Operating Characteristics (AUROC). The results are reasonably consistent among the three criteria. Finally, I compute an index averaging the forecast to assess the probability of being in a deflation state in the next two years. The index shows that having inflation above the 2% level before March 2019 is extremely unlikely.

Central Bank of Malta Working Paper, WP/01/2018, 2018.

We study the information flow from the ECB on policy dates since its inception, using tick data. We show that three factors capture about all of the variation in the yield curve but that these are different factors with different variance shares in the window that contains the rate decision announcement and the window that contains the press conference. We also show that the QE-related policy factor has been dominant in the recent period and that its effects have been very persistent on the long-end of the yield curve, with a half-life nearing two years. To carry out the analysis, we construct and describe the euro area Monetary Policy Event-Study Database. This database, which contains both daily and intraday asset price changes around the rate decision announcements as well as around press conferences, is a contribution on its own right and we expect it to be the standard in monetary policy research for the euro area.

Work in progress, 2018.

Work in Progress

. Fiscal Compact and Debt Consolidation Dynamics. CEIS Research Paper Series, Vol. 16, Issue 5, No. 436, 2018.

PDF

. Forecasting Deflation Probability in The EA: A Combinatoric Approach. Central Bank of Malta Working Paper, WP/01/2018, 2018.

PDF Slides

. Is Anything Predictable in Macroeconomic Surprises?. Work in Progress, 2018.

Coming Soon

. Measuring Euro Area Monetary Policy. Work in progress, 2018.

Coming Soon

Teaching

I teach the following courses at the University of Rome Tor Vergata:

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