Research

I have research interests in Macroeconomics, Monetary Economics and Applied Econometrics.

Publications

Dividend Momentum and Stock Return Predictability: A Bayesian Approach

(with J. Antolin-Diaz and J. Rubio-Ramirez)

Review of Financial Studies, Forthcoming.

Aggregate Skewness and the Business Cycle

(with M. Iseringhausen and K. Theodoridis)

Review of Economics and Statistics, Forthcoming. [Skewness Index][link to WP version][SUERF Policy Brief]

Consumer Durables and Monetary Policy According to HANK

(with E. Holst Partsch and E. Santoro)

Journal of Monetary Economics, Volume 157, January 2026, 103883. [link to WP version]

The Predictive Content of U.S. Energy Information Administration Oil Market Forecasts

(with A. Garratt and Y. Zhang)

Energy Economics, Vol. 156, March, 2026. [link to WP version]

Inflation and Price Flexibility

(with E. Santoro and Y. Winkelmann)

European Economic Review, Vol. 178, 105056, 2025 [link to WP version]

Terms-of-Trade Shocks are Not all Alike

(with F. Di Pace and L. Juvenal) [DATA]

American Economic Journal: Macroeconomics, 2025, vol. 17(2), p. 24-64. [link to WP version][VOXEU Column]

Unveiling the Dance of Commodity Prices and the Global Financial Cycle

(with L. Juvenal) [DATA]

Journal of International Economics, 2024, vol. 150 (C) [link to WP version][VOXEU Column]

NBER Chapters, in: NBER International Seminar on Macroeconomics 2023, National Bureau of Economic Research.

Advances in Nowcasting Economic Activity: The Role of Heterogeneous Dynamics and Fat Tails

(with J. Antolin-Diaz and T. Drechsel)

Journal of Econometrics, 2024, vol. 238(2). [link to WP version][Presentation Slides] [30min virtual presentation]

Modeling and Forecasting Macroeconomic Downside Risk

(with D. Delle Monache and A. De Polis)

Journal of Business & Economic Statistics, 2024, vol. 42(3), pages 1010-1025. [link to WP version][SUERF Policy Brief]

Asymmetry and interdependence when evaluating U.S. Energy Information Administration forecasts

(with A. Garratt and Y. Zhang)

Energy Economics, 2023, vol. 121(C). [link to WP version]

Structural Scenario Analysis with SVARs

(with J. Antolin-Diaz and J. Rubio-Ramirez)

Journal of Monetary Economics, 2021, vol. 117(C), pages 798-815. [link to WP version]

Commodity Prices and Inflation Risk

(with A. Garratt)

Journal of Applied Econometrics, 2022, vol. 37(2), pages 392-414, March. [link to WP version]

Price Dividend Ratio and Long-Run Stock Returns: A Score Driven State Space Model

(with D. Delle Monache and F. Venditti)

Journal of Business & Economic Statistics, 2021, 39(4), 1054-1065. [link to WP version][VOXEU Column]

This paper received media coverage from Economics Observatory and The Economist

Leverage and Deepening Business Cycle Skewness

(with H. Jensen, S. Hove Ravn, and E. Santoro)

American Economic Journal: Macroeconomics, Jan. 2020, vol. 12(1), pages 245-281. [link to WP version]

We wrote a letter to the Financial Times summarizing the key insight of our paper

Bank Assets, Liquidity and Credit Cycles

(with F. Lubello and E. Santoro)

Journal of Economic Dynamics and Control, August 2019, vol. 105(C), pages 265-282. [link to WP version]

Efficient Matrix Approach for Classical Inference in State Space Models

(with D. Delle Monache)

Economics Letters, vol. 181, August 2019, Pages 22-27. [Codes] [link to WP version]

Risk Premia and Seasonality in Commodity Futures

(with C. Hevia and M. Sola)

Journal of Applied Econometrics, vol. 33(6), pages 853-873, September 2018. - Technical Appendix . [link to WP version]

The key insights from the paper have been summarised by Ralph Sueppel in the Systemic Risk and Systematic Value blog.

Monetary Policy with Sectoral Trade-offs

(with R. Rossi and E. Santoro)

Scandinavian Journal of Economics, vol. 121(1), pages 55-88, January 2019. - Technical Appendix [link to WP version]

Gibrat's Law and Quantile Regressions: an Application to Firm Growth

(with R. Distante and E. Santoro)

Economics Letters, vol. 164, March 2018, Pages 5-9. [link to WP version]

Tracking the Slowdown in Long-Run GDP Growth

(with J. Antolin-Diaz and T. Drechsel)

Review of Economics and Statistics, vol. 99(2), pages 343-356, May 2017. [link to WP version, link to Online Appendix][VOXEU Column]

This paper received media coverage from (among others) Daily Telegraph and Gavyn Davies FT Macro Blog

Adaptive Models and Heavy Tails with an Application to Inflation Forecasting

(with D. Delle Monache)

International Journal of Forecasting, Volume 33, Issue 2, April–June 2017, pages 482–501. [link to WP version]

Common faith or parting ways? A time varying parameter factor analysis of Euro Area inflation

(with D. Delle Monache and F. Venditti)

Advances in Econometrics. Special issue on Dynamic Factor Models, 2016, 539-565. [link to WP version]

Loss Aversion and the Asymmetric Transmission of Monetary Policy

(with E. Gaffeo, D. Pfajfar and E. Santoro)

Journal of Monetary Economics, November 2014, vol. 68(C), pages 19-36. [link to WP version]

Speculation in the Oil Market

(with L. Juvenal)

Journal of Applied Econometrics, June/July 2015, vol. 30(4), pages 621-649. [link to WP version]

This paper received media coverage from (among others) The Washington Post’s Wonkblog: “Was Wall Street to blame for high oil prices?” (Oct. 2011) and “Are speculators to blame for soaring gas prices?” (Mar. 2012), The Huffington Post “Oil Prices Spike Exacerbated By Wall StreetSpeculation” (Mar. 2012), ABC News “Gas Prices Spiked By Speculators, Congressmen Claim” (Mar. 2012), San Francisco Chronicle "Wall Street speculation blamed for gas price spike" (Mar. 2012), The New York Times "The high cost of gambling on oil" (April 2012), Los Angeles Times “Obama proposes steps to curb oil market manipulation” (April 2012) and CBSNEWS “Obama calls for crackdown on oil speculation” (April 2012)
In addition, this paper has caught the attention of lawmakers. A joint letter from 68 members of the U.S. Congress and Senate cites our paper to urge immediate action by the Commodity Futures Trading Commission (Mar. 2012) and a group of senators cites our paper in a letter to the Attorney General to encourage the administration to crack down on oil speculation (April 2012)
This paper was commented by Lutz Kilian on Econbrowser. Click here for our response to Kilian.

Discretion vs. timeless perspective under Model-consistent Stabilization Objectives

(with R. Rossi and E. Santoro)

Economics Letters, vol. 122(1), January 2014, Pages 84–88. - Technical Appendix [link to WP version]

Aggregate Fluctuations and the Cross-sectional Dynamics of Firm Growth

(with S. Holly and E. Santoro)

Journal of the Royal Statistical Society: Series A, Vol. 176(2), February 2013, Pages 459-479. [link to WP version]

Inflation Dynamics and Real Marginal Costs: New Evidence from U.S. Manufacturing Industries

(with E. Santoro)

Journal of Economic Dynamics and Control, Volume 36, Issue 5, May 2012, Pages 779–794. [link to WP version]

Factor Demand Linkages, Technology Shocks and the Business Cycle

(with S. Holly)

Review of Economics and Statistics, Volume 94(4), pages 948-963, November 2012. [link to WP version]

Input-Output Interactions and Optimal Monetary Policy

(with E. Santoro)

Journal of Economic Dynamics and Control, Volume 35, Issue 11, November 2011, Pages 1817-1830 [Lead Article]

[link to WP version]

Working Papers

The Taming of the Skew: Asymmetric Inflation Risk and Monetary Policy

(with A. De Polis and L. Melosi)

Commodity Prices and Fiscal (Pro) Cyclicality

(with F. Di Pace and L. Juvenal)

Asset Market Participation, Redistribution, and Asset Pricing

(with F. S. Gaudio and E. Santoro)

Bond Risk Premia, Priced Regime Shifts, and Macroeconomic Fundamentals

(with C. Hevia and M. Sola)

Time-Varying Skewness and Momentum Crashes

(with D. Bianchi and A. De Polis)

A Survey-Based Measure of Asymmetric Macroeconomic Risk in the Euro Area

(with S. Boni, M. Iseringhausen and K. Theodoridis)

Technical Change and the Distribution of Firm Growth

(with R. Distante and E. Santoro)

Other

“External Shocks, Policy Buffers and Resilience” (with L. Juvenal). Chapter 3. in Latin American and Caribbean Macroeconomic Report: Resilience and Growth Prospects in a Shifting Global Economy. Inter American Development Bank.

"Measuring Macroeconomic Risk in the Euro Area with survey data" (with S. Boni, M. Iseringhausen and K. Theodoridis) SUERF Policy Brief

"Commodity prices and the global financial cycle" (with L. Juvenal) VOXEU column

"Unbalanced Macroeconomic Risk over the Business Cycle" (with M. Iseringhausen and K. Theodoridis) SUERF Policy Brief

"The dynamics of macroeconomic downside risk" (with D. Delle Monache and A. De Polis) SUERF Policy Brief

"The lasting effects of terms-of-trade shocks on business cycles" (with F. Di Pace and L. Juvenal) VOXEU column

"COVID-19 and the stock market: Long-term valuations" (with D. Delle Monache and F. Venditti) VOXEU column

"Tracking GDP when Long-Run Growth is Uncertain" (with J. Antolin-Diaz and T. Drechsel) VOXEU column

"Speculation in the oil market" (with L. Juvenal) Economic Synopses, Federal Reserve Bank of St. Louis

“When Oil Prices Jump, Is Speculation To Blame?” (with B. W. Fawley and L. Juvenal) The Regional Economist, Federal Reserve Bank of St. Louis, issue Apr 2012, pages 12-13

"Is there financial integration in the equity markets of the European Union?" (with C. Higson and S. Holly) Economics & Finance Research: An Open Access Journal. Vol 1, 31-41. 2013

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