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Working papers
Work in progress
The Dismal Cross: Public Debt and Productivity in Italy during the Great Recession
with Efrem Castelnuovo, Aristotelis Margaris and Lorenzo Mori
Draft coming soon
Abstract
We investigate the drivers of the Italian debt/GDP ratio with a state-of-the-art VAR model able to separate permanent vs. transitory demand and supply shocks. We find permanent supply shocks to be the number one driver of the evolution of real GDP growth and the debt-to-GDP ratio during and in the aftermath of the Great Recession. We document a positive and significant correlation between such shocks and a measure of total factor productivity, and interpret such shocks as negative productivity shocks. We then run a cross- country comparison and document the heterogeneous contribution of productivity shocks to debt-to-GDP dynamics at an international level - a lower impact is detected in countries whose aggregate productivity has grown relatively more. Our results support the call by the Draghi (2024) report on the necessity of investing in innovation to boost productivity and ensure public debt sustainability.
We investigate the drivers of the Italian debt/GDP ratio with a state-of-the-art VAR model able to separate permanent vs. transitory demand and supply shocks. We find permanent supply shocks to be the number one driver of the evolution of real GDP growth and the debt-to-GDP ratio during and in the aftermath of the Great Recession. We document a positive and significant correlation between such shocks and a measure of total factor productivity, and interpret such shocks as negative productivity shocks. We then run a cross- country comparison and document the heterogeneous contribution of productivity shocks to debt-to-GDP dynamics at an international level - a lower impact is detected in countries whose aggregate productivity has grown relatively more. Our results support the call by the Draghi (2024) report on the necessity of investing in innovation to boost productivity and ensure public debt sustainability.
Pandemic Inflation: Demand Shocks and Supply Slopes
Draft coming soon
Abstract
The ongoing debate on the drivers of pandemic inflation has yet to yield a consensus on the relative roles of demand and supply shocks. Using Bayesian structural VAR with sign restrictions, I assess their respective contributions and find that demand forces play a predominant role. To explore the mechanisms behind this result, I estimate the slope of the Phillips Curve within a bivariate VAR framework which uncovers a surprisingly steep slope. I finally perform a counterfactual analysis, proposing the Phillips Multiplier as an additional identification restriction, to combine with classical sign restrictions, in order to reduce the width of the identified set of impulse responses with plausible AS curve slope. I find a sensibly larger contribution of supply disturbances which account for 66% of the inflation observed during the peak of 2022:Q4.
The ongoing debate on the drivers of pandemic inflation has yet to yield a consensus on the relative roles of demand and supply shocks. Using Bayesian structural VAR with sign restrictions, I assess their respective contributions and find that demand forces play a predominant role. To explore the mechanisms behind this result, I estimate the slope of the Phillips Curve within a bivariate VAR framework which uncovers a surprisingly steep slope. I finally perform a counterfactual analysis, proposing the Phillips Multiplier as an additional identification restriction, to combine with classical sign restrictions, in order to reduce the width of the identified set of impulse responses with plausible AS curve slope. I find a sensibly larger contribution of supply disturbances which account for 66% of the inflation observed during the peak of 2022:Q4.
Research Assistant projects
European Central Bank
Disentangling Monetary Policy, Central Bank Information, and FED Response to News Shocks
CEPR Discussion Paper No. 19923, 2025
Active support on coding and estimation.
Robustness checks to assess the consistency of the results of the baseline model.
Supervisors: Marek Jarocinski and Peter Karadi
Robustness checks to assess the consistency of the results of the baseline model.
Supervisors: Marek Jarocinski and Peter Karadi
University of Padua
The Dismal Cross: Public Debt and Productivity in Italy during the Great Recession
Efrem Castelnuovo, Marco Lami, Aristotelis Margaris and Lorenzo Mori
Retrieval of Italian macroeconomic data to build a long historical dataset for estimation.
Coding and estimation of a Bayesian VAR identified with long-run zero and sign restrictions.
Active research involvement to identify the main drivers behind Italy’s productivity slowdown.
Supervisor: Efrem Castelnuovo
Coding and estimation of a Bayesian VAR identified with long-run zero and sign restrictions.
Active research involvement to identify the main drivers behind Italy’s productivity slowdown.
Supervisor: Efrem Castelnuovo
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