Home

News

• New paper published: "Measuring financial conditions via equal weights averaging" (with Alina Bobasu and Simone Arrigoni) has been accepted by the IMF Economic Review. In the paper we use quantile regressions to show that equal weights averaging works better than data reduction methods based on principal components or time varying coefficients. 

• New paper published: "The influence of OPEC+ on oil prices: a quantitative assessment" (with Dominic Quint), 2021, Energy Journal, forthcoming.

• New paper published; "Strategic interactions and price dynamics in the global oil market" (with Irma Alonso and Virginia Di Nino), 2021, Energy Economics, forthcoming

• On the 1st of October at the CEBRA workshop for Commodities and Macroeconomics I have discussed the paper "Does Drawing Down the U.S. Strategic Petroleum Reserve Help Stabilize Oil Prices?" by Kilian and Zhou.  You can find my discussion here. 

• New Blog post on VOXEU "COVID-19 and the stock market: Long-term valuations". The fast rebound of US stock prices following the Covid-19 shock has reignited discussions over ‘frothiness’ in stock markets. This column examines how asset prices are affected by drastic shocks to the real economy, and what factors drive this relationship. Evidence from a long-term perspective shows that the fall in r-star, the equilibrium real rate of interest, is largely responsible for high stock market valuations. 

[LINK to the Blog] 

• New Blog post on Econbrowser "Global financial markets and oil price shocks in real time", we analyze recent oil market developments through the lens of a high frequency structural model of the oil market. Despite a price war between Russia and Saudi Arabia, most of the oil price action in the time of Covid is due to the demand for oil, plausibly related to containment measures. Based on a new paper with Giovanni Veronese (Banca d'Italia), June 2020. 

[LINK to the Blog]  [LINK to the WP]

• New paper published "Price Dividend Ratio and Long-Run Stock Returns: A Score-Driven State Space Model ", with Ivan Petrella (WBS) and Davide Delle Monache (Banca d'Italia) is now on the Journal of Business & Economic Statistics, April 2020.  The paper shows that stock valuations in the US have a secular trend. This is due to a persistent fall in expected stock returns, while expected dividend growth is roughly stable. The fall of R-star explains most of the rise in valuations. 

[LINK to the journal ]  [LINK to the WP]

• New Blog post on VOXEU "Saving economic data from Covid-19", with Claudia Biancotti, Alfonso Rosolia and Giovanni Veronese (all Banca d'Italia), April 2020.  The COVID-19 lockdown will negatively impact businesses and households around the world not only through its direct effects on economic activity and employment, but also indirectly by the disrupting the flow of crucial information. This column suggests some channels through which national statistical institutes and other public agencies, private data brokers, and Big Tech companies can harness the full potential of their access to data. 

[LINK to the Blog] 

• New Blog post on VOXEU that summarizes our research the paper "The fundamentals of safe assets", with Maurizio Habib and Livio Stracca, March 2020.  Low political and institutional risk of issuing countries and the relative size of the debt market foster a safe asset status, with the latter factor – size – reflecting the special role of the US in providing a large, deep and liquid market for government bonds. Inertia – whether the bond behaved as a safe asset in the past – is also important, partially explaining self fulfilling crises in sovereign debt markets. 

[LINK to the Blog]

• New paper published "The fundamentals of safe assets", with Maurizio Habib (ECB) and Livio Stracca (ECB) is now on the International Journal of Money and Finance,  Jan 2020. We study what makes government bonds a safe asset. Building on a sample of monthly changes in government bond yields in 40 advanced and emerging countries, we analyse the sensitivity of yields to country specific fundamentals interacted with changes in global risk (VIX). We find that inertia (whether the bond behaved as a safe asset in the past) and good institutions foster a safe asset status, while the size of the debt market is also significant, reflecting the special role of the US. The safe asset status does not appear to depend on whether the change in global risk is driven by financial shocks rather than by US monetary policy.  

 [LINK to the journal]

• New Blog post on VOXEU that summarizes our research the paper "The global capital flows cycle: structural drivers and transmission channels", with Maurizio Habib, July 2019. There is a global cycle in capital flows that is intimately connected to global risk. This column argues that, contrary to common wisdom, US monetary policy is not the only factor, or even the main factor, behind global risk and this global cycle. Financial shocks matter more than US monetary policy. Domestic policies may still mitigate the cycle of global capital flows at the country level. 

[LINK to the Blog]  [LINK to the Paper]