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RESEARCH

My research interests are in the areas of empirical asset pricing, the links between financial markets and the business cycle, and quantitative macroeconomics.

You can find my full CV at the bottom of this page. 


WORK IN PROGRESS AND WORKING PAPERS

  • Even Worse than You Thought: The Impact of Government Debt on Aggregate Investment and Productivity (joint with S. Salotti). PDF ***NEW***
  • Multifactor Risk Loadings and Abnormal Returns under Uncertainty and Learning. PDF ***September 2010***
  • How do Alphas and Betas Move? Uncertainty, Learning and Time Variation in Risk Loadings. PDF ***latest version July 2010***
  • Funding Conditions, Asset Prices and Macroeconomic Dynamics: Some U.S. Evidence (joint with M. Vassalli). PDF ***January 2011***
  • Uncertainty about fundamentals and the co-variation of international stock returns. ***coming soon***
  • Business Cycle and Stock Market Volatilities: Are They Related? (with R. Casarin). PDF ***October 2007***
  • Fiscal and Monetary Policy Interactions in a New-Keynesian Model with Liquidity Constraints (with A. Muscatelli and P. Tirelli). PDF ***older paper***

SELECTED PUBLISHED WORK

  • 2012, Macroeconomic Instability and the Phillips Curve in Italy (with A. Del Boca, M. Fratianni and F. Spinelli). Economia Politica - Journal of Analytical and Institutional Economics, 2012(1).
  • 2010, Monetary Policy Regime Shifts: New Evidence from Time-Varying Policy Rules (with M. Vassalli). Economic Inquiry, 48(4).
  • 2010, The Phillips curve and the Italian Lira: 1861-1998 (with A. Del Boca, M. Fratianni and F. Spinelli). North American Journal of Economics and Finance, 21(2).
  • 2008, The lira's purchasing power from Italy's unification to the single European currency (with F. Spinelli). The Journal of European Economic History, 37 (2-3).
  • 2007, Macroeconomic Shocks, Structural Change and Real Exchange Rates: Evidence from Historical Data (with A. Muscatelli and F. Spinelli). Journal of International Money and Finance, 26.
  • 2006, Maastricht: New and Old Rules (with F. Spinelli). Open Economies Review, 17.
  • 2004, Fiscal and Monetary Policy Interactions: Empirical Evidence and Optimal Policy using a Structural New Keynesian Model. (with A. Muscatelli and P. Tirelli). Journal of Macroeconomics, Volume 26, Issue 2, June.
  • 2004, Monetary and Fiscal Policy Interactions over the Cycle: Some Empirical Evidence (with A. Muscatelli and P. Tirelli). In R. Beetsma, C. Favero, A. Missale, V.A. Muscatelli, P. Natale and P. Tirelli (eds.), Monetary Policies, Fiscal Policies, and Labour Markets. Macroeconomic Policymaking in the EMU. Cambridge University Press, Cambridge, United Kingdom.
  • 2003, Monetary Policy on the Road to EMU: the Dominance of External Constraints on Domestic Objectives (with A. Muscatelli and P. Tirelli). Annales d'Economie et de Statistique, vol.67-68, ADRES, INSEE, Paris.
  • 2002, Central bank goals, institutional change and monetary policy: Evidence from the United States and United Kingdom. (with A. Muscatelli), in L. Mahadeva, P. Sinclair and G. Stern (eds.), Monetary Transmission in Diverse Economies. Cambridge University Press.
  • 2002, Does institutional change really matter? Inflation targets, central bank reform and interest rate policy in the OECD countries (with A. Muscatelli and P. Tirelli). The Manchester School, vol. 70 (4).
  • 2000, The Information Content of M3 for Future Inflation in the Euro Area (with J.L. Vega). Review of World Economics (Weltwirtschaftliches Archiv), vol. 138(1), 2002. Previously circulated as European Central Bank Working Paper #33.
  • 2000, Monetary Policy Rules, Policy Preferences, and Uncertainty: Recent Empirical Evidence (with A. Muscatelli). Journal of Economic Surveys, vol. 14:5, pp. 597-627.
  • 2000, The impact of economic and monetary union on cohesion (with A. Muscatelli). European Commission, Regional Development Studies #35. Brussels.


OTHER PUBLICATIONS

  • 2012, Quantitative Essays in Italian Monetary History (with A. Muscatelli, M. Fratianni and F. Spinelli). Franco Angeli, Milan.
  • 2010, Brescia 1687: a déjà-vu of Islamic finance? (with F. Spinelli). Forthcoming, Journal of European Economic History.
  • 2008, Norme antiusura, prestiti e tassi d'interesse a Brescia, 1425-1789 (with G. Belotti and F. Spinelli). In F. Spinelli and C. Trecroci (eds.), Saggi di Storia Monetaria, Franco Angeli, Milano.
  • 2006, Come Cambia la Politica Monetaria: Una Proposta di Analisi. In B. Cavalletti, A. Fossati (eds.), Temi di Finanza Pubblica. Analisi di Politiche per lo Sviluppo dell'Economia. Franco Angeli, Milan.
  • 2005, Business Cycles, Macroeconomic Policies, and Capital Markets. Franco Angeli, Milan.
  • 2004, Le determinanti del tasso di sconto in Italia negli anni 1876-1913: un'analisi empirica e documentale (with F. Spinelli). Economia Italiana, n. 2, 2004. Also published in English in Review of Economic Conditions in Italy, N°3.
  • 2004, Investimenti socialmente responsabili, sviluppo sostenibile e economia di mercato. In AA.VV., Lavoro e Legame Sociale, Franco Angeli, Milano.
  • 2004, Introduzione alla problematica del cambio della lira italiana: 1861-1998 (with A. Muscatelli and F. Spinelli). Mimeo, Università di Brescia, april 2001. Forthcoming in L. Paganetto (a cura di), Una Governance per l'Italia in Europa. Il Mulino-CEIS.
  • 2003, Do macroeconomic policies matter for the euro? Some empirical evidence on monetary and fiscal policy interactions over the cycle. In A. Santagostino (ed.), Europe: Reunification, Enlargement, Single Currency. Edizioni CLUB, Brescia.
  • 2003, Deficit di Bilancio, Ciclo Economico e Politiche Monetarie in Alcuni Paesi OCSE e Aliquote Medie Effettive nei Paesi OCSE (con Paolo M. Panteghini). In Bonzani, E., R. Levaggi, P.M. Panteghini (eds.), Tematiche di Fiscalità Internazionale. Franco Angeli.
  • 2002, Le tendenze dell'offerta e della domanda di lavoro (con G. Amisano). In E. Marelli e G. Tosini (a cura di), Trasformazioni e Tendenze del Mercato del Lavoro in Provincia di Brescia. Quaderni di Brescia & Impresa, #4.
  • 2001, What Did Monetary Policy Do? Rules, Uncertainty and Structural Change in Actual Interest-Rate Policies. Gruppo Editoriale Delfo, Brescia.
Last update: 26 July 2010
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CARMINE TRECROCI,
Mar 1, 2010 6:30 AM