Working Papers

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...

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...

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...

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 tech...

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...

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 r...

Slides [PDF]

Central banks’ decisions are a function of forecasts of macroeconomic fundamentals. Because private sector forecasts may not be aligned to central banks’ forecasts, what markets labe...

June 28, 2016

Download [PDF] [ECB wp Series]

Abstract: Can discretionary increases in government spending stimulate the economy? We answer this question by taking into account both the information flow on fiscal...

Download [PDF] [European Commission Discussion Paper]

Abstract:  This paper studies the joint dynamics of public debt and public deficit in the euro area for the period 1981-2013 and compute proje...

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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...

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 l...

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 budgé...

Approved for publication in the forthcoming Economics and Finance Oxford Research Encyclopedia edited by Jonathan Hamilton by Oxford University Press [Warwick wp]

Updated version:
BVARs: Estimation [Oxford Research Encyclopedia] [PDF]
BVARs: Applications [Oxford Re...

[French] La Revue de l’OFCE, January 2018 [Link] [PDF]

[English] La Revue de l’OFCE, September 2018 [Link] 

This article presents some recent theoretical and empirical contributions to the macroeconomic literature that challenge the perfect information hypothesis. By tak...

Download [PDF] [Online Appendix]

Journal of Monetary Economics Volume 90, October 2017, Pages 13-27 [Link]

Abstract: Using a large Bayesian VAR, we approximate the flow of information received by economic agents to investigate the effects of changes to government purcha...

Dowload [JME] [ECB wp] [Appendix]

Journal of Monetary Economics, Volume 82, September 2016, Pages 107-118
Bloomberg Quint

Abstract: This paper investigates the influence of fiscal policy communication on the propagation of government spending shocks. We propose a new i...

Nuclear Physics B Volume 845, Issue 2, 11 April 2011, Pages 190-211 [Link]

The AdS/hydrodynamics correspondence provides a 1–1 map between large wavelength features of AdS black branes and conformal fluid flows. In this note we consider boundaries between nonrelativisti...

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© 2018 by Giovanni Ricco.

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