Research

Research interests

Macroeconometrics, Time Series Econometrics, Applied Macroeconomics

Recent working papers

• Ivalid proxies and volatility changes (joint with Giovanni Angelini and Luca Neri) arXiv: 2403.08753, https://arxiv.org/abs/2403.08753

•  Is time an illusion? A bootstrap Likelihood Ratio approach to testing shock transmission delays in DSGE models (joint with Giovanni Angelini and Marco Sorge), CSEF Working Paper no. 653, here

In progress

• A test for relevance and exogeneity in proxy-SVAR

• Local fiscal multipliers in a data-scarse environment: the effectiveness of fiscal spending for Italian regions (joint with Giuseppe Cavaliere and Marco Mazzali)

• A preliminary draft of my teaching slides , course Structural Macroeconometrics  HERE  

Selected publications

• An identification and testing strategy for Proxy-SVARs with weak proxies (joint with Giovanni Angelini and Giuseppe Cavaliere), JOURNAL OF ECONOMETRICS, 2024 Volume 238 (2), 105604,  link

• Sovereign spreads and unconventional monetary policy in the Euro Area: A tale of three shocks (with Antonio Marsi), EUROPEAN ECONOMIC REVIEW, 2022, Volume 150: link   ;  Working paper version here ; Supplementary Material here 

• Are fiscal multipliers estimated with proxy-SVAR robust? (with Giovanni Angelini, Giovanni Caggiano and Efrem Castelnuovo), OXFORD BULLETIN OF ECONOMICS AND STATISTICS, Volume 85(1), 95-122,  link 

• Bootstrap inference and diagnostic in state space models: with applications to dynamic macro models (with Giovanni Angelini and Giuseppe Cavaliere), JOURNAL OF APPLIED ECONOMETRICS, Volume 37(1), 3-22 , link

-Exogenous uncertainty and the identification of Structural Vector Autoregression with external instruments (with G. Angelini) JOURNAL OF APPLIED ECONOMETRICS, 2019, 34(6), 951-971   link

- Uncertainty across volatility regimes (with G. Angelini, E. Bacchiocchi, G. Caggiano), JOURNAL OF APPLIED ECONOMETRICS 2019,  34(3),  437-455. link

- Give me a break! Identification and estimation of the macroeconomics effects of monetary policy shocks in the U.S. (with E. Bacchiocchi and E. Castelnuovo), MACROECONOMIC DYNAMICS, 2018, 22(6), 1613-1651. link

- Co-integration rank determination in partial systems using information criteria (with G. Cavaliere and L. De Angelis) OXFORD BULLETIN OF ECONOMICS AND STATISTICS, 2018, 80, 65-89.

- Indeterminate forecast accuracy under indeterminacy (with M.M. Sorge), JOURNAL OF MACROECONOMICS, 2017, 53, 57-70.

- Misspecification and expectations correction in New-Keynesian DSGE models (with G. Angelini),  OXFORD BULLETIN OF ECONOMICS AND STATISTICS, 2016, 78, 623-649.

- Identification in Structural Vector Autoregressive models with structural changes: an application to U.S. monetary policy (with E. Bacchiocchi),  OXFORD BULLETIN OF ECONOMICS AND STATISTICS, 2015, 66, 771-779.

- Monetary policy indeterminacy and identification failure in the U.S.: Results from a robust test (with E. Castelnuovo), JOURNAL OF APPLIED ECONOMETRICS, 2015, 30, 857-1010. 

- Frequentist evaluation of small-scale DSGE models (with G. Bårdsen), JOURNAL OF BUSINESS AND ECONOMIC STATISTICS, 2015, 33, 307-322.

- Determinacy, indeterminacy and dynamic misspecification in linear rational expectations models, JOURNAL OF ECONOMETRICS, 2012, 170, 153-163. 

- Simulation-based tests of forward-looking models under VAR learning dynamics (with G. Palomba), JOURNAL OF APPLIED ECONOMETRICS, 2011, 26, 762-782.

- Speed of adjustment in cointegrated systems (with P. Paruolo),  JOURNAL OF ECONOMETRICS, 2010, 158, 141-150. 

- Testing the New Keynesian Phillips curve through Vector Autoregressive models: Results from the Euro area, OXFORD BULLETIN OF ECONOMICS AND STATISTICS, 2008, 70, 53-66. 

- International dynamic risk sharing (with G. Cavaliere and A. Gardini), JOURNAL OF APPLIED ECONOMETRICS, 2008, 23, 1-16.

- Present value relations, Granger non-causality and VAR stability, ECONOMETRIC THEORY, 2007, 23, 1254-1260.

- Multi-equational linear quadratic adjustment cost models with rational expectations and cointegration, JOURNAL OF ECONOMIC DYNAMICS AND CONTROL, 2006, 30, 445-456. 

-Dynamic adjustment cost models with forward-looking behaviour, ECONOMETRICS JOURNAL, 2006, 9, 23-47.

- Testing the purchasing power parity through I(2) cointegration techniques (with E. Bacchiocchi), JOURNAL OF APPLIED ECONOMETRICS, 2005, 20, 749-770.

- A new approach for estimating and testing the Linear Quadratic Adjustment Cost model under rational expectations and I(1) variables,  JOURNAL OF ECONOMIC DYNAMICS AND CONTROL, 2002, 26, 117-139. 

- A cointegrated VECM demand system for meat in Italy (with M. Mazzocchi), APPLIED ECONOMICS, 2002, 34, 1593-1605.