Research

Bayesian inferential techniques, time series models, structural VAR models, mixture models and their applications, econometric forecasting, estimation of DSGE models, state-space models, applied macroeconometrics and financial econometrics.

Current research projects

“The term structure of the natural rate of interest,” with O. Tristani (ECB).
“Identification and recoverability of latent variables in state space models,” with T. Drautzburg (Philadelphia Fed) and A. Stella (FRB).
“Multivariate regime-switching models for risk assessment in macroeconomics,” with Roberta Colavecchio (BCL).
“Density forecast combinations using clustering,” with P. Arora (Ashoka University).
“Measuring US output gap using sectoral data,” with M. Gonzalez-Astudillo (FRB).
“Trends and cycle in labor market outcome disparities in the US,” with L. Moyon (FRB) and C. Ramos (UCSD).
“Large Bayesian time varying parameter VAR models for macroeconomic forecasting,” joint with M. Lenza and D. Giannone.
“Measuring cross-country linkages with a panel trend-cycle model,” joint with M. Rossi and L. Petrella (Università di Roma “La Sapienza”).

Publications in refereed journals

2023. “Monetary Policy and Long Term Interest Rates,” with O. Tristani, Quantitative Economics, 14, 689–716.
2017. “Prediction with Several Macroeconomic Models,” with J. Geweke, Review of Economics and Statistics, 99, 912–925.
2017. “Mutual Funds Dynamics and Economic Predictors,” with R. Savona, Journal of Financial Econometrics, 15, 302–330.
2014. “Discussion of the paper: The Way Out of Recessions: A Forecasting Analysis for Some Euro Area Countries,” International Journal of Forecasting, 550–553.
2014. “Analysis of Variance for Bayesian Inference,” with J. Geweke, Econometric Reviews, 33, 270–288.
2013. “Money Growth and Inflation: A Regime Switching Approach,” with G. Fagan, Journal of International Money and Finance, 33, 118–145.
2013. “Entry in Pharmaceutical Submarkets: The Role of Submarket Concentration,” with L. Giorgetti, Applied Economics, 12, 1507–1518.
2013. “Entry in Pharmaceutical Submarkets: A Bayesian Panel Probit Analysis,” with M.L. Giorgetti, Journal of Applied Econometrics, 28, 667–701.
2012. “Prediction with Misspecified Models,” with J. Geweke, American Economic Review Papers and Proceedings, 102, 482–486.
2011. “Exact Likelihood Computations for Nonlinear DSGE Models with Heteroskedastic Innovations,” with O. Tristani, Journal of Economic Dynamics and Control, 35, 2167–2185.
2011. “Optimal Prediction Pools,” with J. Geweke, Journal of Econometrics, 164, 130–141.
2011. “Hierarchical Markov Normal Mixture Models with Applications to Financial Asset Returns,” with J. Geweke, Journal of Applied Econometrics, 26, 1–29.
2010. “Comparing and Evaluating Bayesian Predictive Distributions of Asset Returns,” with J. Geweke, International Journal of Forecasting, 26, 216–230.
2010. “Assessing ECB Credibility During the First Years of the Eurosystem: A Bayesian Empirical Investigation,” with M. Tronzano, The Manchester School, 78, 437–459.
2010. “Euro Area Inflation Persistence in an Estimated Nonlinear DSGE Model,” with O. Tristani, Journal of Economic Dynamics and Control, 34, 1837–1858.
2007. “Comparing Density Forecasts via Weighted Likelihood Ratio Tests,” with R. Giacomini, Journal of Business and Economic Statistics, 25(2), 177–190.
2004. “Profit Related Pay in Italy: A Microeconometric Analysis of the Determinants in a Sample of Manufacturing Companies,” with A. Del Boca, International Journal of Manpower, 5, 463–478.
2003. “Bayesian Inference in Cointegrated Systems,” Research in Economics, 57, 287–314.
2003. “What Goes Up Sometimes Stays Up: Shocks and Institutions as Determinants of Unemployment Persistence,” with M. Serati, Scottish Journal of Political Economy, 50, 440–470.
2002. “BVAR Models and Forecasting: A European Quarterly Model for the EMU-11,” with M. Serati, Statistica, LXII(1), 51–70.
1999. “Forecasting Cointegrated Series with BVAR Models,” with M. Serati, Journal of Forecasting, 18(7), 463–476.
1997. “The Transmission Mechanism Among Italian Interest Rates,” with M. Cesura, C. Giannini and M. Seghelini, Statistica, LVIII(1), 25–50.
1995. “Bayesian Analysis of Integration at Different Frequencies in Quarterly Data,” Giornale degli Economisti e Annali dell’Economia, July–September, 303–341.

Books, chapters, and other publications (17)

2025. “Underlying Inflation: An Ensemble Averaging Approach,” with T. Berge and S. Smith, FEDS Note 3756, March 2025.
2025. “Monetary Aggregates and Inflation: A New View on an Old Relationship,” with R. Colavecchio, Chapter 9 of Research Handbook of Inflation (G. Ascari and R. Trezzi, eds.), Edward Elgar, forthcoming; also Working Paper 195, January 2023, Central Bank of Luxembourg.
2013. “Fundamentals and Contagion in the Euro Area Sovereign Crisis,” with O. Tristani, in Advances in Latent Variables (E. Brentari and M. Carpita, eds.), Vita e Pensiero, Milan (Proceedings, SIS 2013 Conference).
2011. “The Euro Area Sovereign Crisis: Monitoring Spillovers and Contagion,” with O. Tristani, ECB Research Bulletin 14, Autumn 2011.
2010. “A Money Based Early Warning Signal of Risks to Price Stability,” with G. Fagan, in L. Papademos and J. Stark (eds.), Enhancing Monetary Analysis, European Central Bank, Frankfurt.
2010. “Enhancing Monetary Analysis,” with A. Beyer and M. Lenza, ECB Research Bulletin 11.
2007. “Particle Filters for Markov Switching Stochastic Correlation Models,” with R. Casarin, Proceedings of the SIS 2007 Intermediate Conference “Risk and Prediction,” Venice, Cleup, Padua, 305–316.
2007. “La Valutazione Econometrica del Rischio di Default su un Campione di Imprese Bresciane,” with R. Miniaci, in P. Panteghini and C. Teodori (eds.), L’Impatto di Basilea II sulle Imprese Bresciane, CCIA di Brescia.
2006. “Aspetti Congiunturali e Previsioni di Lungo Periodo,” Ch. 3, in D. Feliziani, E. Marelli, M. Regini, M. Samek Ludovici, R. Semenza (eds.), Trasformazioni e Tendenze del Mercato del Lavoro in Provincia di Varese, Franco Angeli, Milano, 96–116.
2005. “Alternative Time-Varying Parameter Specifications for Bayesian VAR Models,” with L. Federico, in M. Mazzoli and F. Arcelli (eds.), Atti della Prima Lezione “Mario Arcelli”, Rubbettino, 13–65.
2004. “Elementi di Econometria,” Edumond, Mondadori, Milano.
2003. “Unemployment Persistence in Italy: An Econometric Analysis with Multivariate Time Varying Parameter Models,” with M. Serati, Le Basi Quantitative della Politica Economica, CIDE–Bank of Italy Conference, 127–169.
2003. “Effetti Aggregati della Tassazione sul Mercato del Lavoro: Un’Analisi Econometrica,” with M. Serati, in E. Bonzani, R. Levaggi, P. Panteghini (eds.), Temi di Fiscalità Internazionale, Franco Angeli, 59–75.
2002. “Le Tendenze della Domanda e dell’Offerta di Lavoro,” with C. Trecroci, in E. Marelli, G. Tosini (eds.), Trasformazioni e Tendenze del Mercato del Lavoro in Provincia di Brescia, Quaderni di Brescia&Impresa, 49–80.
1999. “EU-11: Un Modello Previsivo Trimestrale,” with C. Giannini, P. Guida, E. Lizzoli, M. Serati, L. Stanca, Collana Studi del Credito Italiano, n.8.
1998. “Structural VAR Analysis” (with M. Seghelini), in R. Mosconi, MAximum Likelihood COintegration Analysis of Linear Models: The Theory and Practice of Cointegration in RATS, Cà Foscarina, Venice.
1997. “Topics in Structural VAR Econometrics,” with Carlo Giannini, 2nd edition, Springer, New York.

Unpublished work & theses

2010. “EMU and the Adjustment to Asymmetric Shocks: The Case of Italy,” with N. Giammarioli and L. Stracca, ECB Working Paper Series no. 1128.
2007. “Simulation Based Filtering for Nonlinear DSGE Models: Problems and Solutions,” with O. Tristani, presented at the CEF conference, Montreal, June 2007.
1997. “Tecniche BVAR per la Costruzione di Modelli Previsivi Mensili e Trimestrali,” with M. Serati and C. Giannini, Temi di Discussione n. 302, Banca d’Italia.
1995. “Bayesian Inference on Non-Stationary Data,” Ph.D. thesis, Department of Economics, University of Warwick.
1994. “The Italian Monetary Market: Transmission Mechanisms and the Rational Expectation Hypothesis in the Term Structure,” Ph.D. thesis, University of Pavia.