Research

Publications (in refereed journals)

1. Oil price shocks in real time (with Andrea Gazzani and Giovanni Veronese), 2024, Journal of Monetary Economics, forthcoming.

2. "Measuring financial conditions via equal weights averaging" (with Alina Bobasu and Simone Arrigoni), 2022, IMF Economic Review, forthcoming.

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

4. "Strategic interactions and price dynamics in the global oil market" (with Irma Alonso and Virginia Di Nino), 2021, Energy Economics, forthcoming.

5. "Price dividend ratio and long-run stock returns: a score driven state space model" (with Davide Delle Monache and Ivan Petrella), 2020, Journal of Business & Economic Statistics, DOI: 10.1080/07350015.2020.1763805

6. "The Fundamental of Safe Assets" (with Maurizio Habib and Livio Stracca), 2020, Journal of International Money and Finance, Vol. 102, April, 102-119.

   1. 1. • See Voxeu summary here.

7. "Large Time-Varying Parameter VARs: a non parametric approach" (with George Kapetanios and Massimiliano Marcellino), 2019, Journal of Applied Econometrics , Vol. 34, Issue 7, November/December, 1027-1049. 

8. ."Short term inflation forecasting: the M.E.T.A. approach" (with Giacomo Sbrana and Andrea Silvestrini), 2017, International Journal of Forecasting, Vol. 33, Issue 4, 1065-1081. 

9. "A daily indicator of economic growth for the euro area" (with Valentina Aprigliano, Claudia Foroni, Massimiliano Marcellino, Gianluigi Mazzi), 2017, International Journal of Computational Economics and Econometrics, Vol. 7, No 1/2.

10. "Common faith or parting ways? A time varying parameter factor analysis of euro area inflation" (with Davide Delle Monache and Ivan Petrella), 2015, Advances in Econometrics, (35), on Dynamic Factor Models, Edited by Eric Hillebrand and Siem Jan Koopman.

11. "The time varying effect of oil price shocks on euro-area exports" (with Marianna Riggi), October 2015, Journal of Economic Dynamics and Control, Elsevier, Vol. 59, 75-94. 

12. "Short-term GDP forecasting with a mixed-frequency dynamic factor model with stochastic volatility" (with Mario Porqueddu and Massimiliano Marcellino), January 2016, Journal of Business & Economic Statistics, 34:1, 118-127.

13. "Failing to Forecast Low Inflation and Phillips Curve Instability: A Euro-Area Perspective" (with Marianna Riggi), Spring 2015, International Finance, Wiley, vol. 18(1), 47–68.

14. "Forecasting economic activity with targeted predictors" (with Guido Bulligan and Massimiliano Marcellino), January-March 2015, International Journal of Forecasting, Elsevier, vol. 31(1), 188-206.

15. "Do food commodity prices have asymmetric effects on euro-area inflation?" (with Mario Porqueddu), September 2014, Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(4).

16. "From oil to consumer energy prices: How much asymmetry along the way?", 2013, Energy Economics, Elsevier, vol. 40(C), 468-  473.

17. "Forecasting inflation and tracking monetary policy in the euro area, does national information help?" (with Riccardo Cristadoro and Giuseppe Saporito), June 2013, Empirical Economics, Springer, Vol. 44(3), 1065-1086.

18. "Inflation convergence and divergence within the EMU" (with Fabio Busetti, Lorenzo Forni and Andrew Harvey), International Journal of Central Banking, June 2007, Vol. 3(2), 95-121.

Working Papers/In Progress

1.  Global Financial Markets and Oil Price Shocks in Real Time (with Giovanni Veronese), 2020,  available at SSRN: https://ssrn.com/abstract=3577551 or http://dx.doi.org/10.2139/ssrn.3577551

2. "The Global Capital Flows Cycle, structural drivers and transmission channels", with Maurizio Michael Habib, 2019, ECB Working Paper Series, 2280. 

   1. 1. • Download our series of Global Risk here. 

         • See Voxeu summary here.

3. "Adaptive State Space models with applications to the business cycle and financial stress" (with Davide Delle Monache and Ivan Petrella), 2016, CEPR Discussion Paper 11599, C.E.P.R. Discussion Papers.

4. "The financial stability dark side of monetary policy" (with Piergiorgio Alessandri and Antonio Conti), 2016, BCAM Working Papers 1601, Birkbeck Centre for Applied Macroeconomics.

Other publications

1. "An indicator of macro-financial stress for Italy" (with Arianna Miglietta), 2019, Bank of Italy Occasional Papers,  No 497.

2. "A risk dashboard for the Italian economy" (with Fancesco Columba and Alberto Maria Sorrentino), 2019, Bank of Italy Occasional Papers, No 425.

3. The benefits and costs of adjusting bank capitalisation: evidence from euro area countries,  (with various authors) , 2019, ECB Working Paper Series, No 2261 / April 2019.

4. "Wages and Prices in Italy during the Crisis, the firm's perspective" (with Francesco D’Amuri, Silvia Fabiani, Roberto Sabbatini, Raffaele Tartaglia Polcini, Eliana Viviano and Roberta Zizza), 2015, Bank of Italy Occasional Papers, No. 289.

5. "Surprise! Euro area inflation has fallen" (with Marianna Riggi), 2014, Bank of Italy Occasional Papers No. 237.

6. "Energy Markets and the Euro Area Macroeconomy", 2012, ECB Occasional Papers No. 113.