Currently, I am PhD candidate in Economic Analysis at the UAB. My research is focused on anticipation in monetary policy, in order to disentangle its contributions to aggregate fluctuations.
Research interests:
Times series, Monetary policy, Macroeconometrics, Fiscal Policy, Fiscal Spillover, Government Spending Shock, Time-Varying coefficients VAR.
Job Market Paper: (download here)
" Monetary News, Surprises and the Macroeconomy." (slides here)
In this paper we investigate the effects of anticipated and unanticipated monetary policy shocks. Building on standard new-Keynesian theory we present a model with news and we find that monetary foresight leads to non-fundamentalness. To emend this problem, we propose two alternative solutions. One is based on dynamic identification and the other relies on expanding the information set of the econometrician with market expectations. Through model simulations we show that non-invertibility is especially detrimental when the MA roots are close to zero. Also, we show that data is informationally sufficient to identify the unanticipated disturbance alone.
We bring forward empirical evidence that news are a relevant channel of the monetary transmission mechanism accounting in between 25 and 50% of the overall policy effects. Consistently with the theory, a monetary tightening generates humped-shaped responses of GDP, consumption and investment and a fall in prices. Interestingly, aggregate variables adjust even before the announced policy shift actually happens. Accordingly, we testify anticipated feedback effects on the interest rate, via the policy rule. Our results are robust to alternative proxies for market expectations, to different Cholesky ordering and to alternative identification strategies, relying on sign rather than zero restrictions.
Ongoin research:
"Measuring Fiscal Policy Spillovers in the Euro Area." With Luca Gambetti
We study fiscal policy coordination and fiscal policy spillovers in Germany, France Spain and Italy using a Time-Varying Coefficients VAR model for the period 1995-2014. While the four country- specific cycles share large commonalities, fiscal policy coordination across countries, measured as the time-varying correlation between government spending growth, is very low. Country-specific government spending shocks generate significant effects on the remaining countries. International spillovers are especially strong in the medium run and during the financial crisis. Also, we find heterogeneous and asymmetric response to spending across countries