Main research interests
Identification of econometric models (identification through heteroskedasticity, set identification, local identification)
Time series econometrics (non stationarity, cointegration, structural change)
Modelling of financial contagion
Applied macroeconomics (public debt management, privatization)
Recent Working Papers / work in progress
- "Locally- but not Globally-identified SVARs", submitted, 2025 (with T. Kitagawa). (pdf)
- "Macroeconomic Spillovers of Weather Shocks across U.S. States", submitted, 2025 (with A. Bastianin and G. Moramarco). (pdf)(Appendix)
- "Partially identified heteroskedastic SVARs", mimeo, 2024 (with A. Bastianin, T. Kitagawa and E. Mirto). (pdf)
- "SVARs with breaks: Identification and inference", mimeo, 2025 (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)