Research

Publications

• “The Vector Error Correction Index Model: Representation, Estimation and Identification”, with Gianluca Cubadda The Econometrics Journal, 2024, 27(1), 126-150 [link]

Working Papers

• “It is All About Demand and Supply: a Dualistic View of the Euro Area Business Cycle”, with Davide Brignone. Bank of England Staff Working Paper No. 1124 - [link] Sumbitted

• “The Size and Uncertainty of Government Spending Multipliers in Italian Regions”, with Giuseppe Cavaliere and Luca Fanelli. Quaderni - Working Paper DSE N° 1216 - [link]

• “Robust Impulse Responses using External Instruments: the Role of Information”, with Davide Brignone and Alessandro Franconi. arXiv:2307.06145 - [link]

• “Evidence on the Confounding Nature of the Main Business Cycle Driver”, with Davide Brignone.  Available at SSRN No. 4104745 - [link]

Work in Progress

• “Global factors for local shocks in a data-scarce environment: with an application to regional fiscal multipliers in Italy”, with Giuseppe Cavaliere and Luca Fanelli

• “Anatomy of a Cycle: What are the Sources of Financial Fluctuations?”, with Davide Brignone and Luca Gambetti

• “Adaptive Estimation and Identification of the Heteroskedastic Vector Error Correction Index Model”, with Gianluca Cubadda

• “Structural Analysis with the Matrix Autoregressive Index Model”, with Andrea Renzetti

• “The Speed of Macroeconomic Risks”, with Fabio Franceschini