Journal Publications

• The global transmission of U.S. monetary policy (with Riccardo Degasperi and Giovanni Ricco)
  Journal of International Economics, 161, May 2026. Bank of Italy WP Abstract
  Abstract: Fed's decisions affect global economic conditions, with tightenings leading to widespread recessionary effects. Using a state-of-the-art identification strategy, a dataset covering 30 economies, and techniques for constructing empirical counterfactuals, we show that commodity and oil prices play a critical role in propagating US monetary policy to global headline inflation, generating predominantly deflationary effects. We refer to this novel mechanism as the 'commodity price channel' of US monetary policy.

Working Papers

• Global-to-UK SVAR (with Nikoleta Anesti, Ambrogio Cesa-Bianchi, Vania Esady, and Ida Hjortsø)
  Bank of England Macro Technical Paper No. 9, Oct 2026. BoE Macro Technical Paper
• Nowcasting Economic Activity with Fat Tails and Outliers New draft coming soon!
  Current ver. RCEA 2026 Abstract
  Abstract: The COVID-19 presented macroeconomic models with unique challenges, marked by extreme outliers in economic data. This paper extends dynamic factor models by explicitly incorporating outliers, moving beyond conventional data screening practices. The methodological contribution includes introducing fat tails and outliers multiplicatively into innovation volatility, and two distinct approaches for modeling outliers are presented to address large jumps. Empirical findings demonstrate that outlier-augmented models consistently outperform benchmark models in point and density forecasting, with the most significant improvements observed in nowcasting horizons. Incorporating outliers becomes particularly crucial during major crises, enhancing forecasting accuracy by 44% compared to the benchmark. The uniform mixture approach is found to be more robust than the student-t models, as it targets extreme variations without disrupting the smoothness of the stochastic volatility process. Overall, this paper enhances macroeconomic modeling by explicitly addressing outliers, improving forecasting accuracy, and providing insights into economic dynamics during and after major crises like the COVID-19 pandemic.
• Risk Factors in International Capital Flows
  R&R at Macroeconomic Dynamics Current ver. Abstract
  Abstract: This paper explores the predictive relationship between financial indicators and gross capital flows – inflows and outflows – to emerging markets, with a focus on tail events. Using a dynamic factor model, I extract three indicators of commonality across a large set of financial indicators that capture global, emerging market, and country-specific conditions, respectively. I employ the factors in a quantile regression framework to explore the relationships between risk factors and capital flows to emerging economies. I report three main findings. First, I document evidences of asymmetric and nonlinear relationships between the global factor and both inflows and outflows. The asymmetric relationship is more muted for outflows. Second, the emerging market-specific factor delivers additional predictability for future inflows, while the country-specific factor has a minor role. Third, contrary to inflows, outflows show a strong correlation only with the US factor. This predictive signal is most evident during the Global Financial Crisis. These patterns hold for both in-sample and out-of-sample analyses.

Work in Progress

• A Simple Framework for Identifying Oil Shocks in Real Time
• Identifying US Government Spending Shocks: It's All About the Information Flow (with Giovanni Ricco)
  Draft available upon request
• Yen Circles Back: Spillovers and Spillbacks from Japanese Monetary Policy