Research

Research interests:

Publications:

Sovereign default risk and credit supply: Evidence from the euro area (2020)

Journal of International Money and Finance, 2020 (Open Access)

Abstract:  Did sovereign default risk affect macroeconomic activity through  firms' access to credit during the European sovereign debt crisis? I investigate this question by applying a panel vector autoregression model for Italy, Spain, Portugal, and Ireland and singling out sovereign risk shocks using sign restrictions. The results suggest that decline in the creditworthiness of the sovereign contributed to a decline private lending and economic activity in several euro-area member countries by reducing the value of banks' assets and crowding out private lending. 

Working papers:

Macroeconomic Effect of Uncertainty and Financial Shocks: a non-Gaussian VAR approach (Feb 2022)

Abstract: The Great Recession highlighted the role of financial and uncertainty shocks as drivers of business cycle fluctuations. However, the fact that uncertainty shocks may affect economic activity by tightening financial conditions makes empirically distinguishing these shocks difficult. This paper examines the macroeconomic effects of the financial and uncertainty shocks in the United States in an SVAR model that exploits the non-normalities of the time series to identify the uncertainty and the financial shock. The results show that macroeconomic uncertainty and financial shocks seem to affect business cycles independently as well as through dynamic interaction. Uncertainty shocks appear to tighten financial conditions, whereas there appears to be no causal relationship between financial conditions and uncertainty. Moreover, the results suggest that uncertainty shocks may have persistent effects on output and investment that last beyond the business cycle. 


Inflation Dynamics of Financial Shocks  (May 2020)

Abstract:  We study the effects of financial shocks on the United States economy by using a Bayesian structural vector autoregressive (SVAR) model that exploits the non-normalities in the data. We use this method to uniquely identify the model and employ inequality constraints to single out financial shocks. The results point to the existence of two distinct financial shocks that have opposing effects on inflation, which supports the idea that financial shocks are transmitted to the real economy through both demand and supply side channels.