Research
Research
F. Giovanardi, M. Kaldorf (2025). Pro-Cyclical Emissions, Real Externalities, and Optimal Monetary Policy. European Economic Review (179), 105124.
[PAPER][Bundesbank Discussion Paper 04/2025]
Abstract: We study optimal monetary policy in an analytically tractable New Keynesian DSGE-model with an emission externality. Empirically, emissions are strongly pro-cyclical and output in the flexible price equilibrium over-reacts to productivity shocks, relative to the efficient allocation. At the same time, output under-reacts relative to the flexible price allocation due to sticky prices. Therefore, it is not optimal to simultaneously stabilize inflation and to close the natural output gap, even though this would be feasible. Real externalities affect the LQ-approximation to optimal monetary policy and we extend the analysis of Benigno and Woodford (2005) to inefficient flexible price equilibria. For central banks with a dual mandate, optimal monetary policy places a larger weight on output stabilization and targets a non-zero natural output gap, implying a higher optimal inflation volatility.
F. Giovanardi, M. Kaldorf, L. Radke, and F. Wicknig (2023). The Preferential Treatment of Green Bonds. Review of Economic Dynamics (51), pages 657-676.
Abstract: We study the preferential treatment of green bonds in the central bank collateral framework as a climate policy instrument within a DSGE model with climate and financial frictions. In the model, green and carbon-emitting conventional firms issue defaultable corporate bonds to banks that use them as collateral, subject to haircuts determined by the central bank. A haircut reduction induces firms to increase bond issuance, investment, leverage, and default risk. Collateral policy solves a trade-off between increasing collateral supply, adverse effects on firm risk-taking, and subsidizing green investment. Optimal collateral policy is characterized by a haircut gap of 20 percentage points, which increases the green investment share and reduces emissions. However, welfare gains fall well short of what can be achieved with optimal carbon taxes. Moreover, due to elevated risk-taking of green firms, preferential treatment is a qualitatively imperfect substitute of Pigouvian taxation on emissions: if and only if the optimal emission tax can not be implemented, optimal collateral policy features a preferential treatment of green bonds.imated belief shock in the DSGE model is indeed akin to confidence.
L. Forni, F. Fortuna, E. Giarda, F. Giovanardi, and D. Panarello (2025). The Green Buildings Directive: a Quantification of its Costs and Benefits for Two Italian Regions. Journal of Housing Economics (68), 102057.
[PAPER]
Abstract: The building sector is responsible for a significant portion of greenhouse gas (GHG) emissions in Europe. Thus, achieving 2050 net-zero emissions targets necessitates the decarbonisation of the sector. This paper assesses the monetary costs, based on current technologies, of meeting the intermediate targets for 2030 and 2033 outlined in the EU Energy Performance of Buildings Directive (EPBD). The analysis focuses on two Italian regions with an ageing building stock and demonstrates that these costs are substantial. We employ open-source microdata on Energy Performance Certificates (EPCs) for the Lombardy and Piedmont regions, which provide information on dwellings’ energy class and recommendations of the necessary retrofits to reach a higher energy class, as well as CO2 emissions and energy consumption. We estimate a total expenditure of €118.9 billion to take Lombardy’s and Piedmont’s residential stock to at least energy class D, which is 20.2% of the two regions’ GDP and 5.6% of Italy’s GDP. Understanding the balance of costs and benefits is crucial to evaluate the economic incentives for homeowners to adopt energy efficiency measures. Households are estimated to save yearly €3.3 billion in lower energy bills in the two regions, and CO2-equivalent emissions are estimated to drop annually by 6.9 million tons. While homeowners may internalise the private benefits, they are unlikely to account for the social benefits in terms of lower emissions. As a result, achieving the EPBD targets is likely to require public subsidies.
L. Forni, F. Fortuna, E. Giarda, F. Giovanardi, and D. Panarello (2025). A Quantification of the Costs and Benefits of the 'Green Buildings' in Two Italian Regions. Chapter in "Sustainability, Innovation and Digitalization: Statistical Measurement for Economic Analysis of Housing Economics", Enzo Albani Edizioni.
[BOOK]
Abstract: This paper assesses the monetary costs and benefits of meeting the targets for 2030 and 2033 outlined in the Energy Performance of Buildings Directive (EPBD). We employ open-source microdata on Energy Performance Certificates (EPCs) for the Lombardy and Piedmont regions, which provide information on dwellings' energy class and recommendations of the necessary retrofits to reach a higher energy class, as well as CO2 emissions and energy consumption. We estimate a total expenditure of €118.9 billion to take Lombardy's and Piedmont's residential stock to at least energy class D, which is 20.2% of the two regions' GDP and 5.6% of Italy's GDP. Households are estimated to save yearly €3.3 billion in lower energy bills in the regions, and CO2-equivalent emissions are estimated to drop annually by 6.9 million tons.
Climate Change and the Macroeconomics of Bank Capital Regulation, joint with M. Kaldorf. R&R at Journal of Monetary Economics.
[Bundesbank Discussion Paper 13/2024]
Abstract: This paper proposes a quantitative multi-sector DSGE model with bank failure and firm default to study the interactions between bank regulation and climate policy. Households value the liquidity of deposits, which are protected by deposit insurance. Banks collect deposits and issue equity to extend defaultable loans to clean and fossil energy firms. Bank capital regulation affects liquidity provision to households, bank risk-taking, and loan supply across sectors. Using a calibrated version of the model, we obtain four results: first, fossil penalizing capital requirements can be discarded as climate policy instrument, since their effect on sector-specific investment is quantitatively negligible in general equilibrium. Second, Ramsey-optimal capital requirements in response to a tax-induced clean transition decline to counteract negative loan demand effects. Third, differentiated capital requirements are only necessary if banks are not perfectly diversified across sectors. Fourth, nominal rigidities induce a temporary tightening of capital requirements if the transition is inflationary and, thus, spurs a boom on the loan market.
Firm-level Data Extraction from Coroporates' Non-Financial Reports, joint with L. Bacchini, M. Cimino, F. Giuglini, A. Lanza, M. Penza, L. Prosperi, L. Zicchino, S. Zucchiatti.
[SSRN]
Abstract: We present a novel algorithm to extract a set of 26 ESG Key Performance Indicators (KPIs) from corporate Non-Financial Reports (NFRs) using a two-step LLM-based pipeline. First, a sparse retrieval model identifies relevant text for each KPI; then, tailored prompts guide a Large Language Model to extract structured data. Tested on a sample of European and Italian NFRs, the method achieves 86% accuracy with strong precision. Case studies on emissions and circular economy indicators highlight differences in disclosure across sectors and compare extracted KPIs with data from commercial data sources. The approach enables scalable, cost-effective ESG data extraction and supports the development of harmonized firm-level sustainability datasets.
Confidence, House Prices and Financial Frictions, joint with F. Amodeo
(Draft coming soon)
Abstract: What share of the fluctuations in real estate prices cannot be rationalized by the most commonly imputed economic factors? How much should we care about the "animal spirits", intended as exogenous fluctuations in agents' beliefs, when studying the origination of financial crises? The goal of this paper is to assess the role of confidence in understanding the boom-bust dynamics of credit and house prices in the United States, with a focus on the Great Financial Crisis.
The Role of Green Bonds for the Green Transition
Confidence and Heterogeneity: Evidence from a HANK Model
Extracting Macroeconomic Beliefs from Financial Markets