Published Articles 

Discussion of The Role of Creditor Seniority in Europe’s Sovereign Debt Crisis (by Sven Steinkamp and Frank Westermann), Economic Policy, 29 (79), 2014


Working Papers 

Real Interest Rates and Productivity in Small Open Economies, with Tommaso Monacelli and Luca Sala (March 2019) - submitted (Previous versions: CEPR Working Paper DP12808 and BdF Working Paper 704)
Abstract: In emerging market economies (EMEs), capital inflows are associated to productivity booms. However, the experience of advanced small open economies (AEs), like the ones of the Euro Area periphery, points to the opposite, i.e., capital inflows lead to lower productivity, possibly due to capital misallocation. We measure capital flow shocks as (exogenous) variations in (world) real interest rates. We show that, in the data, the misallocation narrative fits the evidence only for AEs: lower real interest rates lead to lower productivity in AEs, whereas the opposite holds for EMEs. We build a business cycle model with firms' heterogeneity, financial imperfections and endogenous productivity. The model combines a misallocation effect, stemming from capital inflows, with an original sin effect, whereby capital inflows, via a real exchange rate appreciation, affect the borrowing ability of the incumbent, marginally more productive firms. The estimation of the model reveals that a low trade elasticity combined with high (low) firms' productivity disperions in EMEs (AEs) are crucial ingredients to account for the different effects of capital inflows across groups of countries. The relative balance of the misallocation and the original sin effect is able to simultaneously rationalize the evidence in both EMEs and AEs.

Can Fiscal Budget-Netural Reforms Stimulate Growth? Model-Based Results
, with Matthieu Bussière, Laurent Ferrara and Michel Juillard (February 2019) - submitted (Previous version: BdF Working Paper 625)
AbstractThis paper focuses on growth enhancing budget-neutral fiscal reforms, i.e. changes in the compositions of government revenues and spending that stimulate GDP growth while keeping the ratio of the fiscal budget to GDP constant. To this aim, we present simulation results using a multi-country DSGE model with three large economic regions, the US, the euro area and the rest of the world. The model features constrained and unconstrained non-Ricardian households and a detailed government sector; its multi-country nature allows investigating cross-country spillovers. The paper focuses on the most growth-friendly budget-neutral fiscal measures: (i) an incomplete fiscal devaluation (ii) a rise in government investment compensated by a fall in government consumption and (iii) a rise in government investment compensated by a rise in consumption and labor taxes. Dampening or amplifying effects due to coordination across policies (monetary and fiscal) and across economic regions are also considered. Three main results stand out. First, an increase in government investment financed by rising less distortionary taxes appears to be an effective growth-friendly budget neutral reform. It generates both short- and long-run GDP growth and improves fiscal sustainability. Second, benefits and costs of budget-neutral reforms are not equally distributed across agents, giving rise to a policy trade-off between growth and distributional consequences. Unresponsive monetary policy, as in a liquidity trap, has important consequences for this trade-off in the short run. Third, budget-neutral reforms do not have large cross-border trade spillovers; however, reforms coordinated across all countries in periods of accommodative monetary policy do have amplified domestic effects. 

The European Monetary Union and Imbalances. Is it an Anticipation Story? (April 2018) - Revision requested at Review of Economic Dynamics (Previous version: BdF Working Paper 501) - Online Appendix (available upon request) 
AbstractThis paper investigates the sources of the current account imbalances experienced within the EMU before the Great Recession by assessing the role played by anticipated shocks. It starts by documenting that since 1996, and so before the actual introduction of the euro, countries in the euro area periphery running the largest current account (CA) deficits were also the ones with real exchange rates appreciating and output growing faster than trend. Then, in order to understand the causes of these patterns, it develops and estimates a small open economy DSGE model which encompasses a variety of possible unanticipated and anticipated shocks. Two are the main findings. First, anticipated reductions in international borrowing costs are the most important source of the observed CA imbalances. Second, anticipated shocks account for almost two thirds of the fluctuations of the CA and for one half of those of the real exchange rate.

What's News in International Business Cycles (June 2017 - new version coming soon)
Abstract: The role of news shocks in international business cycles is first evaluated using a structural factor-augmented VAR model (FAVAR). An international FAVAR model is shown to be necessary to recover the correct news shocks, except the US, without incurring in the `non-fundamentalness' problem. Then, a standard two-country, two-good real business cycle model, featuring news shocks, investment adjustment costs and variable wealth elasticity of the labor supply is used to match and explain the empirical evidence. News shocks are only marginal drivers of international business cycles synchronization.


Work in Progress

Questioning the Puzzle: Fiscal Policy, Real Exchange Rate and Inflation, with Laurent Ferrara and Luca Metelli and Filippo Natoli (April 2019) 
The paper re-investigates the effects of government spending shocks on the real exchange rate, inflation and the trade balance. We find that an increase in government spending appreciates the real exchange rate, increases inflation and induces a trade balance deficit. The difference with previous puzzling results lies in the identification of fiscal shocks: embedding a narrative approach in a proxy-SVAR over a sufficiently large sample is what makes the difference. Empirical results are then shown to be consistent with an estimated standard small open economy model, for a broad range of variables.

Uncertainty Spillovers, with Menzie Chinn and Laurent Ferrara (in progress - May 2018)

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Non Peer-Reviewed Publications: 

Costs and Consequences of a Trade War: a Structural Analysis, Rue de la Banque, Banque de France, issue 72 (2018). Summary published in Voxeu, BdF Blog, Reuters, FT, Les Echos and Bloomberg

What Caused Current Account Imbalances in Euro Area Periphery countries?, Rue de la Banque, Banque de France, issue 31 (2016). 

10 Anni di Moneta Unica in Europa
, Osservatorio Monetario 3/2011 – Laboratory of Monetary Analysis, Chapters 1&2 (Italian), Università Cattolica del Sacro Cuore, Milan 

Central Bank Independence, 
Accountability and Transparency: A Global Perspective, by Arnone, Laurens and Segalotto. Contribution to Chapter 5. IMF Series, Palgrave MacMillan, London, 2009

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 Paper Discussions (Presentations and data)

Discussion of Public boost and private drag: government policy and the equilibrium real interest rate in advanced economies by Lukasz Rachel and Lawrene H. Summers - 4th BoE - BdF Workshop, Banque of England, London, 7 December 2018

Discussion of Nobody Wins: Protectionism and (Un)employment in a Model-Based Analysis by P. Jacquinot, M. Lozej and M. Pisani - ESCB Cluster 2 - Banque de France, Paris, 8 November 2018

 of Inclusive Banking, Financial Regulation and Bank Performance: Cross-Country Evidence by  M. Mostak Ahamed, Shirley J. Ho, Sushanta Mallick, and Roman Matousek - 
22nd International Conference on Macroeconomic Analysis and International Finance, Rethymno, 24-26 May 2018

 of International Credit Supply Shocks by Ambrogio Cesa-Bianchi, Andrea Ferrero and Alessandro Rebucci - 
16th WORKSHOP Macroeconomic Dynamics: Theory and Applications, Catholic University, Milano, 21 December 2017

Discussion of What Determines Financial Development? Bayesian Model Averaging Evidence by  Roman Horvath, Eva Horvatova, and Maria Siranova - 21st International Conference on Macroeconomic Analysis and International Finance, Rethymno, 26 May 2018

 of Taste for Variety in a Two-Country Model by Antoine Le Riche, Teresa Lloyd-Braga and Leonor Modesto 
- T2M 2017, Catolica Lisbon School of Business and Economics, Lisbon, 16 March 2017

Discussion of Asset Bubbles and Global Imbalances by Daisuke Ikeda and Toan Phan
- 2nd BoE - BdF Workshop, Banque of England, London, 25 November 2016

Discussion of Business Cycles in Commodity Economies
by Drago Bergholt and Vegard H. Larsen - 1st Norges Bank - Banque de France Workshop, Banque de France, Paris, 22 April 2016

Discussion of External Imbalances, Gross Capital Flows and Sovereign Debt Crises
by Sergio de Ferra - 14th WORKSHOP Macroeconomic Dynamics: Theory and Applications, Bocconi University, Milano, 21 December 2015

Discussion of The Distributional Consequences of Large Devaluations by Javier Cravino and Andrei A. Levchenko - Workshop on Recent Developments in Exchange Rate Economics, Banque de France, Paris, 29 June 2015

Discussion of Macroeconomic Volatility and External Imbalances by Alessandra Fogli e Fabrizio Perri - 12th WORKSHOP Macroeconomic Dynamics: Theory and Applications, Johns Hopkins University SAIS Europe, Bologna, 20 December 2013 - data used

Discussion of The role of creditor seniority in Europe’s sovereign debt crisis by Sven Steinkamp and Frank Westermann - 58th Economic Policy Panel – Bank of Lithuania, Vilnius, 25-26 October 2013 - data used

Daniele Siena,
Mar 17, 2014, 1:30 AM
Daniele Siena,
Mar 17, 2014, 1:31 AM