Research

Job Market Paper 

It is All About Demand and Supply: a Dualistic View of the Euro Area Business Cycle (with Davide Brignone) [link]

Abstract: We study the nature of Euro Area business cycle drivers. We build an extensive dataset of quarterly time series covering EA aggregates and the most important country members. We find that two shocks are enough to explain the majority of EA aggregates variability, and we show that those two cyclical shocks can be interpreted as a demand-side and a supply-side shocks. Additionally, we (i) document a high synchronization in the responses to such shocks across the different EA members, (ii) provide a demand-supply historical decomposition of the EA variables, with a particular focus to the recent inflation surge and (iii) study the reasons behind the flattening of the EA Phillips’ Curve. On this topic, results find that the EA Phillips curve is alive, and point to a flattening of the curve to a stricter mandate of the monetary policy stance towards inflation targeting.

Working Papers

• "Robust Impulse Responses using External Instruments: the Role of Information" (with Davide Brignone and Alessandro Franconi) - [arXive]

• "Evidence on the Confounding Nature of the Main Business Cycle Driver" (with Davide Brignone) - [SSRN]

Work in Progress

• "Local fiscal multipliers in a data-scarce environment: The effectiveness of government spending across Italian regions" (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)

Publications

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