Monetary Policy, Information and Country Risk Shocks in the Euro Area
[ CEPR wp ] with E. Savini and A. Tuteja This study examines high-frequency market responses to ECB policy announcements, providing...
Foreign Exchange Interventions and Intermediary Constraints
We study the impact of foreign exchange interventions during periods of tight credit constraints. Expanding on the Gabaix and Maggiori...
A Hundred Years of Business Cycles and the Phillips Curve
This study investigates the business cycle dynamics of the U.S. economy since 1900 through a multivariate framework that imposes minimal...
Trouble Every Day: Monetary Policy in an Open Emerging Market
Four factors drive the high-frequency impact of monetary policy announcements in South Africa: affecting short-, mid-, and long-term...
The Global Transmission of U.S. Monetary Policy
New Working Paper (Sep 2024) US monetary policy impacts global economic conditions, with tightenings causing recessions worldwide. We...
External Instrument SVAR Analysis for Noninvertible Shocks
We extend the SVAR-IV (Proxy-SVAR) method to handle noninvertible and nonrecoverable shocks, providing tests for recoverability and...
Deep Dynamic Factor Models
Draft August 2024 We propose a novel deep neural net framework -- that we refer to as Deep Dynamic Factor Model (D2FM) --, to encode the...
Analysing inflation with semi-structural models
This chapter has been prepared for the Research Handbook of Inflation (Edward Elgar Publishing). It explores semi-structural time series...
Bayesian Local Projections
Accepted at Review of Economics and Statistics Code [GitHub] We propose a Bayesian approach to Local Projections that optimally addresses...
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)...
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 -Â 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...