DEFAP Graduate School in Public Economics

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2 RESEARCH GROUP IN MACROECONOMICS AND MACRO-FINANCIAL ECONOMETRICS 2

3 The macro & macro-finance econometrics group covers a broad spectrum of research topics which could be grouped in two areas: Macroeconomic modeling Empirical macro-finance modeling 3

4 1. Macroeconomic modelling: issues Monetary and fiscal policy in the presence of frictions on the goods market (market power and price rigidity: Colciago) on the labour market (wage rigidity, unionization, search and matching: Colciago, Piccirilli) on financial markets rule of thumb consumers and limited asset market participation (Colciago, Tirelli) financial fragility/instability -- e.g. firms leverage, households mortgage exposure, banks capital structure (Assenza, Delli Gatti, Dia, Grazzini, Santoro) Central banking, monetary and financial stability (Lossani, Tirelli) Exchange rate regimes and macroeconomic performance in advanced and emerging markets (E. Colombo, Lossani) 4

5 1. Macroeconomic modelling: issues The impact of the distribution of heterogeneous agents (e.g. firms size and leverage) on macroeconomic performance and on the effectiveness of monetary and fiscal policy (Assenza, Colciago, Delli Gatti, Grazzini, Longaretti, Santoro) Departures from rationality in expectations formation in the presence of heterogeneous agents and their impact on macroeconomic performance: heuristic switching (Assenza) rational beliefs (Motolese, Nielsen) 5

6 1. Macroeconomic modelling: issues The impact of dispersed information on macroeconomic outcomes (Femminis, L. Colombo): When the action an agent depends on other agents actions (there is strategic complementarity) the flow of information is important not only to take actions but also to forecast other agents decision. Hence information acquisition influences information levels, actions and the overall efficiency of the macroeconomy. Macroeconomic models with stochastic rationing (Weinrich) Energy and the macroeconomy (Manera, Morana) International trade, fiscal policy and the macroeconomy (Moriconi) 6

7 1. Macroeconomic modelling: toolkits The most preferred theoretical framework is (New Keynesian) dynamic stochastic general equilibrium (e.g. Femminis, Tirelli, Colciago, Santoro) Some researchers are also developing macroeconomic models based on heterogeneous agents (agent based models) and network models (e.g. Assenza, Delli Gatti, Grazzini) 7

8 2. Empirical Macro-Finance The recent financial turmoil has reminded of the strong linkage between financial markets and the real economy. Financial crises may lead to deep recession and depression: recent examples are the Japanese economy; more recent example are some countries in the euro area, PIIGS in particular. Globalization and financial integration have led to strong interdependence across developed economies, as well as developed and emerging countries: a local crisis may become global. 8

9 2. Empirical Macro-Finance The quest for financial stability has stimulated various fields of study: The macro-finance interface: - how macro conditions determine asset prices - how asset prices determine macro conditions RM (Albonico, Colciago, Colombo, Morana, Paccagnini, Santoro, Tirelli) investigates these issues by means of - DSGE models with limited asset market participation, financial variables and shadow economics. - Large scale macroeconometric models with endogenous expectations, global and multi-country linkages and spillovers, macro-financial interactions. 9

10 2. Empirical Macro-Finance Early warning indicators of macro-financial risk: - how prediction accuracy of macro-financial risk can be improved? RM (Albonico, Colciago, Colombo, Liberati, Morana, Paccagnini, Tirelli, Zappa) investigates these issues by - studying the theoretical underpinnings of macroprudential policy; - studying financial linkages through network analysis; - constructing early warning indicators of incoming economic and financial distress, based on: - persistence analysis (long memory/breaks, cofeature); - real and financial divergence and convergence measures; - FAVAR and nonlinear models; DSGE/Bayesian Methods. 10

11 2. Empirical Macro-Finance Commodity/energy markets ad the macroeconomy: - what is the role of financial speculation in determining commodity prices? - what is driving commodity prices: demand or supply conditions? - what are the real effects of oil price shocks? RM investigates these issues via ARMA-GARCH/FAVAR modeling of the linkage between (Manera, Morana, Pelagatti): - spot commodity prices and future market speculative pressure measures; - spot commodity prices and macroeconomic conditions, once controlled for supply factors; - oil price shocks and macro conditions. 11

12 Members Coordinators: Domenico Delli Gatti (Macro, ABM) Claudio Morana (Macro-Fin E trics) Research team (Università Bicocca, Università Cattolica): 1. Alice Albonico (UB: Macroeconomics, DSGE) 2. Tiziana Assenza (UC: Macroeconomics, ABM) 3. Andrea Colciago (UB: Macroeconomics, DSGE) 4. Emilio Colombo (UB: Macroeconomics, Macro-Fin E trics) 5. Domenico Delli Gatti (UC: Macroeconomics, ABM) 6. Enzo Dia (UB: Macroeconomics, Macro-Fin E trics) 7. Gianluca Femminis (UC: Macroeconomics, Information ) 12

13 Members 8. Massimo Giovannini (UC: Macroeconomics,ABM) 9. Alessandro Gobbi (UC: Macroeconomics, DSGE,ABM) 10.Jakob Grazzini (UC: Macroeconomics,ABM) 11.Caterina Liberati (UB: Financial Networks) 12.Riccarda Longaretti (UB: Macroeconomics) 13.Marco Lossani (UC: Macroeconomics) 14.Matteo Manera (UB: Energy, Macro-Fin E trics) 15.Andrea Monticini (UC: Macroeconomics, Macro-Fin E trics) 16.Claudio Morana (UB: Macroeconomics, Macro-Fin E trics) 17.Maurizio Motolese (UC: Macroeconomics) 18. Carsten Nielsen (UC: Macroeconomics,) 13

14 Members (cont.) 16. Alessia Paccagnini (UB: Macroeconomics,Macro-Fin E trics) 17. Matteo Pelagatti (UB: Macroeconomics, Macro-Fin E trics) 18. Giulio Piccirilli (UC: Macroeconomics, DSGE) 19. Emiliano Santoro (UC: Macroeconomics, DSGE) 20. Patrizio Tirelli (UB: Macroeconomics, DSGE) 21. Gerd Weinrich (UC: Macroeconomics,) 22. Paola Zappa (UB: Financial Networks) 14