Francesco Roccazzella

Research Areas

Applied time-series econometrics in macroeconomics and finance

Forecasting combination and evaluation methods

Hobbies

Hiking & Road Cycling

Road Captain of Brussels Big Brackets Cycling Club

Hello!

I am Senior Research Economist at the National Bank of Belgium.

Despite having stepped away from my role as a university professor, I still genuinely enjoy writing about topics that sit at the crossroads of finance and macroeconomics, always through the slightly stubborn lens of a time‑series econometrician.

I specialize in forecasting in macroeconomics and finance applying time-series methods, and lately I’ve been especially intrigued by the econometrics of interdependence, studying the way local interconnection shapes broader macro‑dynamics in macroeconomics and finance. Words like factor models, Global Vector‑Autoregressions, and forecast combination and evaluation show up pretty often in both my current and past research.

From time to time, you’ll also find me at the Causal Inference Workshop organized by my former colleagues at the University of Lille and IESEG School of Management. This year we dove into DiD methods, stay tuned for next year’s topic.

My work has appeared in a handful of academic journals across different fields, ranging from operations research to international finance. Feel free to check out my research page for updates on current projects and a full list of published papers.

As for my background, I completed the European Doctoral Program in Quantitative Economics (EDP) at the Université catholique de Louvain, with Universitat Pompeu Fabra as a partner institution. Before starting my PhD, I earned an MSc in Finance and a BSc in Economics and Banking from the University of Siena, as well as an MSc in Money and Finance from the University of Ljubljana.

The usual disclaimer applies: the views expressed in my papers and presentations are my own and do not reflect those of the National Bank of Belgium or the Eurosystem.

Contact me at: francescoroccazzella93[at]gmail.com

Twitter, LinkedIn and google scholar links are here below

What's new?

Recent publications

New Policy Paper!

The pros and cons of sectoral macroprudential policy

2026, NBB Economic Review

joint with Thomas Lejeune (NBB) and Jolan Mohimont (NBB)

New Journal Publication!

On the Comovement of Contango and Backwardation Across Futures Commodity Markets

2026, The Journal of Futures Markets

joint with Angelo Luisi (Ghent University) and Athanasios Triantafyllou (AUDENCIA Business School)

Upcoming scheduled presentations of my work

Modeling Interdependent Assets: A Global Perspective, joint with Angelo Luisi (Ghent University)

41st meeting of the European Economic Association and the 77th European meeting of the Econometric Society, (Ireland, Dublin, August 2026)

Art Market Returns and Macro-Financial Conditions: A Network Approach, joint with Marie Blum (IESEG) and Marc Joets (IESEG)

42nd International Conference of the French Finance Association (AFFI) (Clermont-Ferrand, France, June 2026)