I have research interests in Macroeconomics, Monetary Economics and Applied Econometrics.
I have research interests in Macroeconomics, Monetary Economics and Applied Econometrics.
A Survey-Based Measure of Asymmetric Macroeconomic Risk in the Euro Area
(with S. Boni, M. Iseringhausen and K. Theodoridis)
European Economic Review, Forthcoming.
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]
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]
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
Journal of Applied Econometrics, vol. 33(6), pages 853-873, September 2018. - Technical Appendix . [link to WP version]
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]
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]
(with L. Juvenal)
Journal of Applied Econometrics, June/July 2015, vol. 30(4), pages 621-649. [link to WP version]
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]
The Anatomy of Emerging-Market Business Cycles: Global Financial Shocks and Supply-Like Transmission
(with L. Gambetti, A. Pollastri and E. Santoro)
Technical Change and the Distribution of Firm Growth
(with R. Distante and E. Santoro)