Work in Progress:
Threshold Estimation in VAR and LP Under Proxy Identification Scheme, with Ankita Ghosh.
Mean and Variance Regimes in Threshold VARs: Theory and Regime-dependent Fiscal Multipliers (JMP).
Journal Articles:
Monetary Policy across Inflation Regimes, with Christian Matthes and Katerina Petrova (European Economic Review, 2025).
Does the effect of monetary policy depend on the prevailing level of inflation? In order to answer this question, we construct a parsimonious nonlinear time series model that allows for inflation regimes. We find that the effects of monetary policy are markedly different when year-over-year inflation exceeds 5.5 percent. Below this threshold, changes in monetary policy have a short-lived effect on prices, but no effect on the unemployment rate, giving a potential explanation for the recent ``soft-landing'' in the United States. Above this threshold, the effects of monetary policy surprises on both inflation and unemployment can be larger and longer lasting.
Presented at: UPF Econometrics' Students Seminar (2023), BSE Summer Forum - poster session (2023), University of Würzburg (2023), UPF-CREI Student Macro Lunch (2024), The RCEA International Conference in Economics, Econometrics, and Finance (2024), BSP 4th International Research Fair (2024), 2024 CEBRA Annual Meeting.
Working Papers:
A New Approach to Fiscal Multipliers: Time Variation and High Frequency Shocks, with Atsushi Inoue and Barbara Rossi.
This paper makes two main contributions to the literature. The first contribution is to propose a time-varying panel local projections estimator. The second contribution is to construct a new
dataset of county-level government spending shocks in US data, available at several frequencies, including monthly, quarterly, and yearly frequencies at the most disaggregated county-level data, as well as daily frequencies at the aggregate national level. We use the proposed panel local projection estimator as well as the new dataset to shed light on the time-varying effects of fiscal policy shocks at a very disaggregated level.
An Estimated Open-economy DSGE Model for the Spanish Economy with Fiscal and Monetary Policy, with Davide Debortoli, Carlos Herrero, Elena Morales, Leandro Navarro and Ana Serrano.
This paper presents MEGAIReF, a medium-scale estimated dynamic stochastic general equilibrium (DSGE) model for the Spanish economy. The model describes a small open economy with heterogeneous households —Ricardian and Hand-to-Mouth— nominal rigidities in price and wage setting, and real rigidities such as monopolistic competition, investment adjustment costs, and a frictional labor market giving rise to unemployment dynamics. It also incorporates a banking sector with financial intermediation frictions, generating a financial accelerator mechanism. In addition, MEGAIReF features a comprehensive fiscal block encompassing multiple expenditure categories — public consumption, public investment, and public employment— as well as a detailed specification of revenue instruments, including taxes on consumption, labor income, and personal and corporate income. All fiscal instruments respond endogenously to macroeconomic conditions through a set of estimated fiscal rules. The model is estimated with Bayesian methods using data for Spain and the Euro area.