Research
Note: underlined text refers to links
Note: underlined text refers to links
Real Activity and Uncertainty Shocks: The Long and the Short of It, with Mathias S. Krogh. Last draft (Appendix). Working Paper. SUERF Policy Brief No. 848(Long-term Uncertainty: Does it Matter for the Business Cycle?). Revise and Resubmit at International Economic Review
The Inflation Uncertainty Amplifier, with E. Castelnuovo and Laust L. Særkjær. CESifo WP. SUERF Policy Brief No. 1170.
Monetary Policy Shocks and Narrative Restrictions: Rules Matter, with E. Castelnuovo and Laust L. Særkjær. Draft
Delayed Overshooting Puzzle: Does Systematic Monetary Policy Matter? , with E. Castelnuovo, Giovanni Primativo, and Giacomo Ranzato. Working Paper.
Sentiment Shocks, Stock Market Mispricing, and the Business Cycle, with Martin M. Andreasen and Laust L. Særkjær. [In progress]
Proxy Structural Vector Autoregressions: An Assessment under a Nonlinear World. [dormant]
Why Does Risk Matter More in Recessions than in Expansions? Implications for Monetary Policy, with M. M. Andreasen, G. Caggiano, and E. Castelnuovo. Journal of Monetary Economics, 2024, 143, article 103533. Draft. Appendix. Slides. Dummy to proxy financial uncertainty shocks here. Replication codes.
Uncertainty and Monetary Policy During the Great Recession, with E. Castelnuovo and G. Caggiano. International Economic Review, 2023, 64, 577-606. Paper & Appendix. Data and replication codes (including codes for estimating third-order approximated DSGE models in Dynare via an impulse response function matching procedure). Previous version "During Extreme Events", including results on COVID-19: CESifo Working Paper No. 8561 (September 2020).
The Impact of Pessimistic Expectations and the Effects of COVID-19-Induced Uncertainty in the Euro Area, with F. Ravenna and G. Züllig. Oxford Bulletin of Economics and Statistics, 2021, 83, 841-869. Paper & Appendix (December 2020). CEPR Discussion Paper 15321 (September 2020). Blog coverage: Econbrowser
Uncertainty and Monetary Policy in the US: A Journey into Non-Linear Territory, Economic Inquiry, 2021, 59, 1106-1128. Paper (January 2021, First Draft: March 2014), Appendix; [slides]. (codes available under request, soon available online).
Uncertainty Shocks and the Great Recession: Nonlinearities Matter, with G. Caggiano and E. Castelnuovo. Economics Letters, 2021, 198. Draft
Uncertainty-dependent Effects of Monetary Policy Shocks: A New Keynesian Interpretation, with E. Castelnuovo. Journal of Economic Dynamics and Control, 2018, 93, 277-296. CESifo W.P. Appendix.
Uncertainty and the Real Effects of Monetary Policy Shocks in the Euro Area, Economics Letters, 2018, 162, 177-181. Melbourne Institute W.P. (including Appendix). Last Draft, Appendix. Policy coverage: Speech by Prof. Claudia Buch, Deputy President of the Deutsche Bundesbank.
Estimating the Real Effects of Uncertainty Shocks at the Zero Lower Bound, with G. Caggiano and E. Castelnuovo. European Economic Review, 2017, 100, 257–272. Melbourne Institute W.P. (including Appendix). Data and replication codes. Policy coverage: OECD Economic Outlook, General Assessment of the Macroeconomic Situation (Chapter 1, November 2018)
Liquidity Traps and Large-Scale Financial Crises, with G. Caggiano, E. Castelnuovo, O. Damette and A. Parent. Journal of Economic Dynamics and Control, 2017, 81, 99-114. Melbourne Institute W.P (including Appendix).
The cost of Coronavirus Uncertainty: the High Returns to Clear Policy Plans, with F. Ravenna and G. Züllig. Australian Economic Review, 2020, 53 (3), 397-401. Here.
Macroeconomic Policies in Low Interest Rate Environment: Back to Keynes?, with E. Castelnuovo and G. Lim. Australian Economic Review, 2018, 51 (1), 70-86. Here.
A Short Review of the Recent Literature on Uncertainty, with E. Castelnuovo and G. Lim. Australian Economic Review, 2017, 50 (1), 68-78. Here.
Long-term Uncertainty: Does it Matter for the Business Cycle, with Mathias Krogh, SUERF Policy Brief Series, No. 848, April 2024. Here.
Uncertainty: Macroeconomic Effects and Policy Implications, with E. Castelnuovo, Melbourne Institute Policy Brief Series, Policy Brief No. 1/17. Here.
Why the Reserve Bank of Australia needs to talk about future interest-rate policy, The Conversation, March 19, 2018, with Efrem Castelnuovo and Bruce Preston. Here