"The impact of COVID‐19 on international tourism flows to Italy: Evidence from mobile phone data"(2023), The World Economy, Wiley Blackwell, vol. 46(5), pages 1378-1407, May.
(with C. Doria and G. Oddo)
"The performance of household-held mutual funds: evidence from the euro-area" (2023), with R. Santioni. Bank of Italy's Working Papers, 1426.
Media coverage: published on VoxEU.org, November 14, 2022 and covered by Il Sole 24 Ore,"I fondi comuni venduti al retail sono più costosi e meno remunerativi" (by Antonio Criscione), 18 Novembre 2023 (only in Italian).
"Beyond the Surface: Open-Ended Funds’ Investor Base and their Portfolio Allocation" , with R. Gallo, T. Makinen and F. Palazzo (Draft available upon request)
We examine how investor composition shapes mutual fund resilience to liquidity shocks. In May 2018, a surge in Italian government bond yields prompted large redemptions from Italian insurance companies, a major source of long-term capital for some European bond funds. Despite minimal exposure to Italian assets, affected funds faced an exogenous, performance-unrelated liquidity shock driven by insurers’ capital constraints. Outcomes hinged on the investor base: funds with more long-term investors attracted similar investors, contained net outflows, and de-risked; those with more short-term investors (e.g., other funds) drew only short-term capital, suffered persistent outflows, and increased risk-taking. Results suggest a sorting mechanism in which long-term investors avoid funds with high short-term investor shares to reduce expected outflow costs under stress. These dynamics highlight how investor composition interacts with market shocks, shaping both portfolio choices and the flow-performance relationship.
"More Trade, more portfolio investment?" (Draft available upon request)
The empirical literature on international portfolios finds a striking association between bilateral equity holdings and bilateral trade flows. Common explanations usually stress the information spillover effects from trade tries, but it remains unclear whether the relevant information conveyed concerns specifically the firms or industries involved in the exchange or the trading partners' economies in general. To shed light on this question, the paper uses the Securities Holdings Statistics (SHSS), a confidential security-level database on portfolio of investors at the country-sector for the euro area to estimate a financial gravity equation at the country-industry level. Results indicate that cross-border equity portfolios are not tilted relatively more towards the specific industries with which trade ties are stronger, except for the household sector, suggesting that the information conveyed by trade relationships that is really relevant for foreign investors mostly involves the geographical dimension.
"Through the Looking-Glass: Nowcasting Cross-Border Financial Flows with Central Bank Balance Sheet Data", with M. Pietrunti. (Draft available upon request)
It is important for policy makers to monitor cross-border financial flows, but they are hard to track in real time. In the new era of excess central bank liquidity, we show that the inclusion of central bank balance sheet data in the predictors' set generally increases the forecast accuracy of nowcasting models of cross-border financial flows. Taking portfolio flows and banks' net foreign borrowing in Italy as an illustrative case-study, we construct a pseudo out-of-sample nowcasting exercise for these targets using a variety of statistical techniques (from penalised regressions to random forests). Regardless the technique, there is a forecasting improvement that stems from the enhanced ability to capture abnormal deviations of capital flows from their historical mean.
Tax avoidance via intragroup lending", with N. Accoto and F. Daniele (Draft coming soon)
Intragroup lending can be used to shift profits in low tax jurisdictions to minimize the tax liability of multinational groups. We provide novel evidence on the extent of profit shifting via intragroup lending in Italy. Our findings show that firms are more likely to take on more foreign related-party debt compared to non-related party debt when the multinational group they belong to has affiliates in low-tax jurisdictions, and that the interest rate paid on related-party debt tends to be higher than the interest rate paid to non-related counterparties. The fact that the disproportionate reliance on internal borrowing from countries listed as tax havens is particularly common among firms with higher EBITDA and spare interest deductibility capacity confirms the importance of tax motivations. Finally, we provide a quantification of the amount of corporate tax dodged via intragroup lending in Italy during 2013-2022.
"Trade in low-carbon technology products: macro and micro evidence for Italy" (2024), Bank of Italy's Occasional Papers, 882.
(with G. Oddo and S. Federico)
"In search of Russia’s foreign assets", VoxEU.org, 10 January, 2023.
(with E. Cocozza, F. Corneli, M. Savini Zangrandi)
Media coverage: covered by Financial Times, "Examining Russia’s unsanctioned cash pile"(by Martin Sandbu), 7 March 2023.
"Methodological issues in the estimation of current account imbalances" (2020), Journal of Economic and Social Measurement, 45(3–4), 255–294.
(with C. Giordano)
"Looking through cross-border positions in investment funds: evidence from Italy" (2019), IFC Bulletins chapters, in: Bank for International Settlements (ed.), Are post-crisis statistical initiatives completed?, volume 49, Bank for International Settlements.
(with S. Federico and A. Felettigh)
"Two tales of foreign investor outlfows: Italy in 2011-2012 and 2018" (2019), Bank of Italy's Occasional Papers, 535.
(with S. Federico)
"Unwinding external stock imbalances? The case of Italy's net international investment position," (2018) Bank of Italy's Occasional Papers, 446.
(with S. Federico and E. Tosti.)