Research

Publications

• Why Does Risk Matter More in Recessions than in Expansions? Implications for Monetary Policy (with M. Andreasen, E. Castelnuovo and G. Pellegrino). Journal of Monetary Economics, forthcoming. Appendix. 

• Global Financial Uncertainty (with E. Castelnuovo). Journal of Applied Econometrics, 38(3): 432-449, 2023.

• Uncertainty and Monetary Policy during the Great Recession (with G. Pellegrino and E. Castelnuovo). International Economic Review, 64(2): 577-602, 2023. Working paper version.

• Are Fiscal Multipliers Estimated with Proxy SVARs Robust? (with G. Angelini, E. Castelnuovo, and L. Fanelli). Appendix, Oxford Bulletin of Economics and Statistics, 85(1): 95-122, 2023. Working paper version.

• Financial Uncertainty and Real Activity: The Good, the Bad, and the Ugly (with E. Castelnuovo, S. Delrio and R. Kima), European Economic Review, 136, July 2021. Appendix. Working paper version. Replication files.

• Uncertainty Shocks and the Great Recession: Nonlinearities Matter (with E. Castelnuovo and G. Pellegrino), Economics Letters, 198, January 2021.

• Uncertainty and Monetary Policy in Good and Bad Times: A Replication of the VAR Investigation by Bloom (2009) (with E. Castelnuovo and G. Nodari), Journal of Applied Econometrics, 2023. Working paper version. Link to longer working paper version here.

• The Global Effects of Covid-19-Induced Uncertainty (with E. Castelnuovo and Richard Kima), Economics Letters, 194, 2020. Working paper version.

• Economic Policy Uncertainty Spillovers in Booms and Busts (with E. Castelnuovo and J.M. Figueres), Oxford Bulletin of Economics and Statistics, 82(1): 125-155, 2020.

• Uncertainty Across Volatility Regimes (with G. Angelini, E. Bacchiocchi and L. Fanelli), Journal of Applied Econometrics, 34(3): 437-455, 2019. Working Paper version, Replication files.

• Risk-Management Driven Policy Rate Gaps (with E. Castelnuovo and G. Nodari), Economics Letters, 171: 235-238, 2018. Working Paper version.

• Estimating the Real Effects of Uncertainty Shocks at the Zero Lower Bound (with E. Castelnuovo and G. Pellegrino), European Economic Review, 100: 257-272, 2017. Working Paper version. Policy Impact: OECD. Media coverage: The Conversation. Selected for the Special Issue: Celebrating 50 Years of the European Economic Review.

• Liquidity Traps and Large Scale Financial Crises (with E. Castelnuovo, O. Damette, A. Parent, and G. Pellegrino), Journal of Economic Dynamics and Control, 81: 99-114, 2017. Working Paper version. Online Appendix.

• Economic Policy Uncertainty and Unemployment in the United States: A Nonlinear Approach (with E. Castelnuovo and J.M. Figueres), Economics Letters, 151: 31-34, 2017. (Among the top 1% of the most cited papers in Economics & Business since 2017, according to Web of Science) 

• Comparing Logit-Based Early Warning Systems: Does the Duration of Systemic Banking Crises Matter? (with P. Calice, G. Kapetanios, and L. Leonida), Journal of Empirical Finance, 37: 104-116, 2016.

• Estimating Fiscal Multipliers: News From a Nonlinear World (with E. Castelnuovo, V. Colombo and G. Nodari), Economic Journal, 125: 746-776, 2015. Media coverage: The Conversation, Royal Economic Society Media Briefings, VOXEU.

• Uncertainty Shocks and Unemployment Dynamics in U.S. Recessions (with E. Castelnuovo and N. Groshenny), Journal of Monetary Economics, 67: 78-92, 2014. Working Paper version. A short summary (in italian) in La Voce.

• Early Warning Systems and Banking Crises in Low-Income Countries: A Multinomial Logit Approach (with P. Calice and L. Leonida), Journal of Banking and Finance, 47: 258-269, 2014.

• Nelson-Plosser revisited: The ACF approach (with K. M. Abadir and G. Talmain), Journal of Econometrics, 175: 22-34, 2013. Here you can download the Matlab files, the dataset and the read me file.

• Multimodality in the Distribution of GDP and the Absolute Convergence Hypothesis (with L. Leonida), Empirical Economics, 44: 1203-1215, 2013.

• Fiscal and Financial Determinants of Eurozone Sovereign Spreads (with L. Greco), Economics Letters, 117: 774-776, 2012. Working Paper version.

• On the Dynamics of International Inflation (with E. Castelnuovo), Economics Letters, 112: 189-191, 2011.

• Are more data always better for factor analysis? Results for the euro area, the six largest euro area countries and the UK (with G. Kapetanios and V. Labhard), Journal of Forecasting, 30: 736-752, 2011. Working Paper version.

• International Output Convergence: Evidence from an AutoCorrelation Function Approach (with L. Leonida), Journal of Applied Econometrics, 24: 139-162, 2009.

• Globalization and labor market integration in late nineteenth and early twentieth century Asia (with G. Huff), Research in Economic History, 25: 255-318, 2007.

• Globalization, Immigration and Lewisian Elastic Labor in Pre-World War II Southeast Asia (with G. Huff), Journal of Economic History, 67: 33-68, 2007.

• A note on the empirics of the neoclassical growth model (with L. Leonida), Economics Letters, 94: 170-176, 2007.

Submissions/Work in progress

• Global Uncertainty (with E. Castelnuovo). Dataset. Estimated factors. Global uncertainty indicator (Figure). Policy brief: here. 

• Why Does Risk Matter More in Recessions than in Expansions? Implications for Monetary Policy (with M. Andreasen, E. Castelnuovo and G. Pellegrino). Appendix. Conditionally accepted at Journal of Monetary Economics

• Sectoral Employment Dynamics in Australia and the Covid-19 Pandemic (with H. Anderson, F. Vahid, and B. Wong), Australian Economic Review, 53(3): 402-414. Working paper version. Link to Monash Business School Impact article.

• Measuring Cross-Country Spillovers of Growth at Risk (with N. Bailey and L. Li) -- coming soon. AI generated podcast about it (this is crazy!).