NEW Working Paper
The Role of Firm Heterogeneity for the Transmission of Aggregate Shocks. with M.Lenza (ECB), G. Pagano Giorgianni (La Sapienza) and E.Savoia (Risksbank) [DRAFT COMING SOON]
We study whether firm-level heterogeneity helps explain U.S. macroeconomic fluctuations in response to aggregate shocks. Using quarterly Compustat and CRSP data from 1985 to 2024, 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.
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)