NEW Working Paper
The Role of Firm Heterogeneity for the Transmission of Aggregate Shocks, with Michele Lenza, Giuseppe Pagano Giorgianni and Ettore Savoia,
Sveriges Riksbank Working Paper Series 465.
We study whether firm-level heterogeneity helps explain U.S. macroeconomic fluctuations in response to aggregate shocks. Using quarterly Compustat and CRSP data from 1986 to 2025, we construct two revenue-based statistics inspired by the Melitz (2003) model: the average firm and the marginal near-default firm. These statistics summarize key features of the firm distribution. We augment a Bayesian VAR with these measures and compare its performance to a standard aggregate VAR and to a functional VAR that incorporates the full cross-sectional distribution of firm revenues. We find that firm-level heterogeneity contains information not captured by aggregate variables. Including the two statistics allows the VAR to closely replicate the impulse responses obtained using the functional VAR and improves out-of-sample forecast accuracy. These findings are robust to a replication using UK data.
Nonlinearities with de-anchored inflation expectations, with Mirela Miescu (Lancaster University) and Stefano Fasani (Lancaster University) - SSRN Working Paper, (forthcoming International Economic Review).
Belief Distortions and Uncertainty about Inflation, with Giuseppe Pagano Giorgianni (Sapienza University), Valeria Patella (Sapienza University), Lorenza Rossi (Lancaster University) - SSRN Working Paper, Slides, submitted
CESIfo Working paper 12209-2025 Download
Patent Pending or Patent Granted? How Green Innovation News Shapes the Economy, with Aikaterini Delligiani
Labour Share Decline and Productivity Slowdown: A Micro-Macro Analysis of the Spain Economy, (2023). with Francesca Crucitti
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What Drives Downside Risk? Asymmetries in Shocks vs. Economic Transmission, with Domenico Giannone (International Monetary Fund), Lorenza Rossi (Lancaster University) (coming soon)