Associate Professor at University of Warwick

Chercheur Associé at OFCE - Sciences 
CEPR Research Affiliate

ERSA International Research Fellow

MRes/PhD in Economics (London Business School)

PhD in Physics (Pisa University)

MSc in Economics (LUISS)

Email: ​,

Tel:            +44 (0)24 76574817

Office:        2.116

My profile on Google Scholar and IDEAS 

Advanced Macroeconomics


Advanced Econometrics

Recent Works

First Draft [ArXiv]

We propose a novel deep neural net framework -- that we refer to as Deep Dynamic Factor Model (D2FM) --, to encode the information available, from hundreds of macroeconomic and financial time-series into a handful of unobserved latent states. While similar in spirit to traditional dynamic factor models (DFMs), differently from those, this new class of models allows for nonl...

Accepted at the Review of Economics and Statistics

Slides ECB-Cleveland Inflation Conference (May 2020) [PDF

New Draft (June 2020) [PDF], CEPR Discussion Paper [Link]

A view often expressed by central banks is that three components matter for inflation dynamics: a trend anchored by long-run expectations, a cycle connecting nominal and real variables, and energy prices. This paper proposes...

New Draft (Apr 2020) [PDF] and slides [PDF]

This paper discusses conditions for identification of structural shocks with external instruments in VARs, under partial invertibility. This is a very general condition, often of empirical relevance, and less stringent than the standard full invertibility, sometimes required for SVARs and LPs with controls. We show that in this case dynamic respons...

Working Paper [PDF] Online Appendix [PDF]

This paper studies the transmission of US monetary shocks across the globe by employing a high-frequency identification of policy shocks and large VAR techniques, in conjunction with a large macro-financial dataset of global and national indicators covering both advanced and emerging economies. Our identification controls for the information effects of...

Prepared for the Spring 2020 edition of the Brookings Papers on Economic Activity [Link]

Slides [PDF] Conference Draft [PDF]

This paper empirically evaluates the potentially non-linear nexus between financial indicators and the distribution of future GDP growth, using a rich set of macroeconomic and financial variables covering 13 advanced economies. We evaluate the out-of-sample performance in...

Slides for the 5th Annual Macroprudential Conference: Macroprudential, June 2019 in Eltville [PDF]

Working Paper [PDF]

We evaluate whether financial conditions can be used to predict risks of recessions and study their relation with real economic conditions. We focus on two financial condition indicators for the US: (i) the Chicago Fed’s NFCI that captures shifts in financial spreads and m...

Final paper and replica codes published on AEJ:macro (Forthcoming) [Link]

Monetary Policy Instrument [.xlsx]

Last version of the Working Paper [PDF] [Online Appendix]

[BoE wp] [OFCE wp]

Commonly used instruments for the identification of monetary policy disturbances are likely to combine the true policy shock with information about the state of the economy due to the information disclosed throug...

European Economic Review, Volume 119, October 2019 [Link]

Accepted Draft [PDF] Replica Code [ZIP] Working Paper [CEPR wp]

Article on Vox `The financial origin of the euro area fiscal wound'  [Link]

Billet de blog pour l'OFCE (FR) `L’origine financière de la blessure budgétaire de la zone euro [Link]

This paper highlights the anomalous characteristics of the Euro Area `twin crises' by contrasting...

December 15, 2018

Slides [PDF]

Discussion Slides for Corsetti, Lafarguette, Mehl – ‘Fast Trading and the Virtue of Entropy: Evidence from the Foreign Exchange Market', prepared for the 8th Workshop on Exchange rates at Banque de France, Paris 14 December 2018.

September 17, 2018

Slides [PDF]

Discussion Slides: Cieslak and Schrimpf - `Non Monetary News in Central Bank Communication', prepared for the Bank of Canada Central Bank Communications Conference, Ottawa 13-14 September 2018.

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© 2018 by Giovanni Ricco.

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