Research

Publications

• “Labour-at-risk” (2024), joint Vasco Botelho and Andrea Renzetti. Accepted to European Economic Review.

• “A mixed frequency BVAR for the euro area labour market ” (2023), joint with Agostino Consolo and Catalina Martínez Hernández. Oxford Bulletin of Economics and Statistics, Vol. 85(5), 1048-1082.

• “Forecasting daily electricity prices with monthly macroeconomic variables” (2023), joint with Francesco Ravazzolo and Luca, Rossini. Economic Modelling, Vol. 120.

• “The shale oil revolution and the global supply curve” (2023), joint with Livio Stracca. Journal of Applied Econometrics, Vol. 38(3), 370-387. 

• “Forecasting the Covid-19 recession and recovery: lessons from the financial crisis” (2022), joint with Massimiliano Marcellino and Dalibor Stevanovic. International Journal of Forecasting, Vol. 38(2), 596-612. 

• “MIDAS models and MA components” (2019), joint with Massimiliano Marcellino and Dalibor Stevanovic. Journal of Applied Econometrics, Vol. 34, 688– 706. 

• "Using low frequency information for predicting high frequency variables" (2018), joint with Pierre Guerin and Massimiliano Marcellino. International Journal of Forecasting, Vol. 34(4), 774-787. 

• “Uncertainty through the lenses of a mixed-frequency Bayesian panel Markov switching model” (2018), joint with Roberto Casarin, Massimiliano Marcellino and Francesco Ravazzolo.  Annals of Applied Statistics. Vol. 12, 2559-2586 .

• “Labor supply factors and economic fluctuations” (2018), joint with Francesco Furlanetto and Antoine Lepetit. International Economic Review, Vol. 59(3), 1491-1510. 

• “Assessing the predictive ability of sovereign default risk on exchange rates” (2018), joint with Francesco Ravazzolo and Barbara Sadaba. Journal of International Money and Finance, Vol. 81, 242-264.

• “Explaining the time-varying effects of oil market shocks on US stock returns” (2017), joint with Pierre Guerin and Massimiliano Marcellino, Economics Letters, Volume 155, 84-88.

• "Density forecasts with MIDAS models" (2017), joint with Knut Are Aastveit and Francesco Ravazzolo, Journal of Applied Econometrics, Volume 32(4), 783-801.

• “A daily indicator of economic conditions” (2017), joint with Valentina Aprigliano, Gianluigi Mazzi, Massimiliano Marcellino and Fabrizio Venditti, International Journal of Computational Economics and Econometrics, Volume 7, 43-63.

• "Mixed frequency structural VARs" (2016), joint with Massimiliano Marcellino, Journal of the Royal Statistical Society – Series A, Volume 179(2), 403-425.

• "Markov-switching mixed frequency vector autoregression models" (2015), joint with Pierre Guerin and Massimiliano Marcellino, International Journal of Forecasting, Volume 31, 692-711.

• “U-MIDAS: MIDAS regressions with unrestricted lag polynomials” (2015), joint with Massimiliano Marcellino and Christian Schumacher, Journal of the Royal Statistical Society - Series A, Volume 178(1), 57-82.

• “Mixed-frequency structural models: identification, estimation, and policy analysis” (2014), joint with Massimiliano Marcellino, Journal of Applied Econometrics, Volume 29(7), 1118-1144.

• “A Comparison of mixed frequency approaches for nowcasting euro area macroeconomic aggregates” (2014), joint with Massimiliano Marcellino, International Journal of Forecasting, Volume 3, 554-568.

• “Mixed-frequency vector autoregressive models” (2013), joint with Eric Ghysels and Massimiliano Marcellino, Advances in Econometrics, Volume 32, 247-272.

Working papers:

• “Explaining deviations from Okun´s Law” (2022), joint with Francesco Furlanetto. ECB Working Papers, 2699.

• “The financial accelerator mechanism: does frequency matter?” (2021), joint with Paolo Gelain and Massimiliano Marcellino. ECB Working Papers, 2637.

• “Forecasting commodity currencies: the role of fundamentals with short-lived predictive content” (2015), joint with Francesco Ravazzolo and Pinho J. Ribeiro. Norges Bank Working Papers, 2015/14.

• “A Survey of econometric methods for mixed-frequency data” (2013), joint with Massimiliano Marcellino, Norges Bank Working Papers, 2013/06.

Work in progress: 

• “The euro area labour market: and yet, it moves!” (2024), joint Agostino Consolo. 

Policy notes: 

• "Drivers of employment growth in the euro area after the pandemic – a model-based perspective", joint with Agostino Consolo. ECB Economic Bulletin Box, published as part of the ECB Economic Bulletin, Issue 4/2024.

• “Labour at risk”, joint Vasco Botelho and Andrea Renzetti. SUERF policy brief, 9 November 2023.

• “High oil prices and missing Russian and shale oil supply”, joint with Livio Stracca. Voxeu, 11 August 2022.

• “Evolution of the ECB’s analytical framework” (2021), contributing author. ECB Occasional Papers, 277. 

• “Digitalisation: channels, impacts and implications for monetary policy in the euro area” (2021), contributing author. ECB Occasional Papers, 266. 

• “The impact of the COVID-19 pandemic on the euro area labour market”, joint with Robert Anderton, Vasco Botelho, Agostino Consolo, António Dias da Silva, Matthias Mohr and Lara Vivian. ECB Economic Bulletin Article, published as part of the ECB Economic Bulletin, Issue 8/2020.

• “Forecasting the Covid-19 recession and recovery: lessons from the financial crisis”, joint with Massimiliano Marcellino and Dalibor Stevanovic. Voxeu, 28 September 2020.

• “Regional labour market developments during the great financial crisis and subsequent recovery”, joint with Vasco Botelho and Lara Vivian. ECB Economic Bulletin Box, published as part of the ECB Economic Bulletin, Issue 4/2020.

• “Short-time work schemes and their effects on wages and disposable income”, joint with António Dias Da Silva, Maarten Dossche, Ferdinand Dreher and Gerrit Koester. ECB Economic Bulletin Box, published as part of the ECB Economic Bulletin, Issue 4/2020.