Research

Main research interests

Time series econometrics (non stationarity, cointegration, structural change)

Identification of econometric models (identification through heteroskedasticity, set identification, local identification)

Modelling of financial contagion

Applied macroeconomics (public debt management, privatization)

Recent Working Papers / work in progress

- "Partially identified heteroskedastic SVARs", mimeo, 2024 (with A. Bastianin, T. Kitagawa and E. Mirto). (pdf)

- "SVARs with breaks: Identification and inference", mimeo, 2024 (with T. Kitagawa). (pdf)

- "Macroeconomic Spillovers of Weather Shocks across U.S. States", mimeo, 2024 (with A. Bastianin and G. Moramarco). (pdf)

- "Locally- but not Globally-identified SVARs", mimeo, 2022 (with T. Kitagawa). (pdf)

- "On global identification in structural vector autoregressions" Cemmap  Working Paper CWP40/20, 2020 (with T. Kitagawa)

- "Does it matter where monetary expansion originates from for international spillovers?", mimeo, 2020 (with A. Lambamu). (pdf)

- "Structure-based SVAR identification", mimeo, 2017 (with R. Lucchetti). (pdf)

- "Identification in structural VAR models with different volatility regimes", UNIMI - Research Papers in Economics, Business, and Statistics. Statistics and Mathematics. Working Paper 55. (pdf)