Hi, I am an empirical macroeconomist with research interests in monetary economics and international macroeconomics. My current work examines the impact of unconventional monetary policies on the real and financial economy. I am also interested in understanding how households form expectations about macroeconomic aggregates.

You can download my job market paperLink opens in a new window here.

For more information on my research, please visit my personal websiteLink opens in a new window.

References: Christine BraunLink opens in a new window, Ana GalvaoLink opens in a new window, Giovanni RiccoLink opens in a new window

Research

Working papers

What explains the stock market's response to QE policy? Evidence from a decomposition of the S&P500 indexLink opens in a new window (Job market paper)

Abstract: This paper analyses the effects of Quantitative easing (QE) on the US stock market by decomposing the S&P500 index into two components, its risk-neutral fundamental value, and the equity premium. The causal effects of QE are identified by using a state-of-the-art IV that is based on high-frequency price revisions of the medium-long end of the yield curve, triggered by FOMC policy announcements. The IV is constructed by controlling for both information and risk premia shocks to identify QE policy shocks. Findings from a Structural Vector Autoregression (SVAR) model suggest that a QE policy shock increases the stock index, due to a rise in the risk-neutral fundamental component and a fall in the equity premium component. Both components display persistence, with the equity premium response declining gradually over a period of two years.

Work in progress

• Monetary transmission to financial markets in the Euro AreaLink opens in a new window 

Abstract: This paper examines the impact of monetary policy and risk premium shocks on financial markets in the Euro Area using an event study approach. The measure for shocks are obtained using factors extracted from high frequency surprises in financial market data that are orthogonal to information shocks - conventional policy, forward guidance (FG), quantitative easing (QE) and country risk factor, the latter being specific to Euro Area sovereign bond markets. I find that all factors impact risk-free and sovereign bond yields. The QE factor has the largest impact on exchange rates. The risk factor has a significant impact on Italian and Spanish bonds, along with the biggest effect on the stock index among all factors. The effect of each factor differs in its persistence based on the maturity of sovereign bonds. The FG and QE factor had a greater effect, and for longer, in other asset classes of the financial market.

• The role of labor markets in household inflation expectations (with Christine Braun and Gavin Hassall) (slides available on request)

Abstract: This paper investigates whether households utilize experiences and expectations of their own labour market outcomes to predict aggregate inflation expectations. To examine this, we calibrate the learning process of households using the New York Fed Survey of Consumer Expectations in a DSGE search model with imperfect information. Preliminary results suggest that households form aggregate inflation expectations by utilizing information from goods prices but do not update it in response to revisions in their expected labour market outcomes. We study the implication of the lack of updating in a simulation exercise. In comparison to a model with optimal learning, output gap between perfect and imperfect information is more volatile when the estimated learning process is calibrated to the data.

• Monetary policy signals and shocks in the Euro Area (with Lucrezia Reichlin, Giovanni Ricco and Emanuele Savini)

Abstract: High frequency surprises in financial markets data are a popular choice for constructing an instrument to identify the effects of monetary policy shocks. However, these surprises are a combination of monetary policy, information and risk premium shocks which may lead to empirical puzzles. In this paper, we show how to isolate monetary policy shocks using high frequency surprises of data from the Euro Area. We control for information shocks using the information set of market participants and then extract four factors with a structural interpretation - target, forward guidance, quantitative easing, and country risk factor. Using these factors as external instruments in a Structural Vector Autoregression model, we demonstrate that isolating monetary policy shocks eliminates empirical puzzles in impulse response functions. Results for policy shocks suggest that target and QE shocks were equally effective in achieving the desired effect on inflation and output. In addition, shocks to country risk premium negatively impacted Italian industrial production and the European stock market.

• Spillover effects of Euro Area monetary policy (with Giovanni Ricco and Emanuele Savini)

Abstract: This study examines the spillover effects of quantitative easing policy of the European Central Bank to the Western African Economic Monetary Union (WAEMU). The peg of the common currency against the Euro allows us to focus on the demand and financial channel of international transmission. We estimate Bilateral vector autoregression (BVAR) models consisting of national macroeconomic and financial data at monthly frequency. Median results for WAEMU suggest that an expansionary shock boosts output, prices and the stock market. While currency is fixed against the Euro, it depreciates against the US dollar and improves the trade balance of the block.

Teaching

2020-22: EC9A2 Advanced MacroeconomicsLink opens in a new window

2018-20: EC201 MacroeconomicsLink opens in a new window 

2019-20: EC226 Introductory econometricsLink opens in a new window