Working Papers

Bayesian Local Projections

Accepted at Review of Economics and Statistics Code [GitHub] We propose a Bayesian approach to Local Projections that optimally addresses...

Trouble Every Day: Monetary policy in emerging economies, a study of South Africa

We present a comprehensive analysis of monetary policy in South Africa by employ- ing a state-of-the-art high-frequency identification....

The Global Transmission of U.S. Monetary Policy

New Working Paper (Jan 2022) US monetary policy shapes economic conditions globally due to the dominant role of the dollar in the world...

External Instrument SVAR Analysis for Noninvertible Shocks

We propose a novel external-instrument SVAR procedure to identify and estimate the impulse response functions, regardless of the shock...

Monitoring the Economy in Real-Time: Trends and Gaps in Real Activity and Prices

Paper on ArXiv A mixed-frequency semi-structural model is used for estimating unobservable quantities such as the output gap, the...

Identification with External Instruments in Structural VARs

Journal of Monetary Economics Volume 135, April 2023, Pages 1-19 IV methods have become the leading approach to identify the effects of...

Information and Policy Shocks in Monetary Surprises

The GitHub Repository contains time series at monthly frequency of the high-frequency instruments for monetary policy and information...

When is growth at risk?

Brookings Papers on Economic Activity Spring 2020 final draft [Link] Slides [PDF] Conference Draft [PDF] Replication code [Link] This...

A Model of the Fed’s View on Inflation

Accepted at the Review of Economics and Statistics Slides ECB-Cleveland Inflation Conference (May 2020) [PDF] New Draft (August 2020)...

Deep Dynamic Factor Models

Very First Draft [ArXiv] Slides: We propose a novel deep neural net framework -- that we refer to as Deep Dynamic Factor Model (D2FM)...

Financial Variables as Predictors of Real Growth Vulnerability

Slides for the 5th Annual Macroprudential Conference: Macroprudential, June 2019 in Eltville [PDF] Working Paper [PDF] We evaluate...

S. Miranda-Agrippino, G. Ricco - Unsurprising Shocks: Information, Premia, and the Monetary Transmis

Slides [PDF] Central banks’ decisions are a function of forecasts of macroeconomic fundamentals. Because private sector forecasts may...

G. Ricco - A New Identification of Fiscal Shocks Based on the Information Flow

Download [PDF] [ECB wp Series] Abstract: Can discretionary increases in government spending stimulate the economy? We answer this...

A. Caruso, L. Reichlin, G. Ricco - The Legacy Debt and the Joint Path of Public Deficit and Debt in

Download [PDF] [European Commission Discussion Paper] Abstract: This paper studies the joint dynamics of public debt and public deficit...