if this message does not display correctly, click here | Table of Contents Cosimo Petracchi, University of Rome Tor Vergata - Department of Economics and Finance Ranieri Dugo, University of Rome Tor Vergata - Department of Economics and Finance
Giacomo Giorgio, University of Tor Vergata
Paolo Pigato, University of Rome Tor Vergata - Department of Economics and Finance Luisa Corrado, University of Rome Tor Vergata Department of Economics and Finance
Stefano Grassi, University of Rome, Tor Vergata, Faculty of Economics, Department of Economics and Finance
Aldo Paolillo, University of Rome Tor Vergata
Francesco Ravazzolo, Free University of Bozen-Bolzano, BI Norwegian Business School - Department of Data Science and Analytics | |
CEIS: CENTRE FOR ECONOMIC & INTERNATIONAL STUDIES
Furio Camillo Rosati - Director "The Macro Neutrality of Exchange-Rate Regimes in the presence of Exporter-Importer Firms" 
CEIS Working Paper No. 580 COSIMO PETRACCHI, University of Rome Tor Vergata - Department of Economics and Finance
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I characterize exchange-rate regime breaks for thirty countries between 1960 and 2019, and I establish that while they affect the volatilities of nominal and real exchange rates they do not change the volatilities of other real macroeconomic variables (output, consumption, investment, and net exports). is is true even in countries in which exports and imports represent a large component of gross domestic product. I propose a model with exporter-importer firms which matches the behavior of nominal and real exchange rates and real macroeconomic variables across exchange-rate regimes, even for economies in which the sum of exports and imports exceeds gross domestic product. "The Multivariate Fractional Ornstein-Uhlenbeck Process"
CEIS Research paper No 581 RANIERI DUGO, University of Rome Tor Vergata - Department of Economics and Finance
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GIACOMO GIORGIO, University of Tor Vergata
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PAOLO PIGATO, University of Rome Tor Vergata - Department of Economics and Finance Starting from the notion of multivariate fractional Brownian Motion introduced in [F. Lavancier, A. Philippe, and D. Surgailis. Covariance function of vector self-similar processes. Statistics & Probability Letters, 2009] we define a multivariate version of the fractional Ornstein-Uhlenbeck process. This multivariate Gaussian process is stationary, ergodic and allows for different Hurst exponents on each component. We characterize its correlation matrix and its short and long time asymptotics. Besides the marginal parameters, the cross correlation between onedimensional marginal components is ruled by two parameters. We consider the problem of their inference, proposing two types of estimator, constructed from discrete observations of the process. We establish their asymptotic theory, in one case in the long time asymptotic setting, in the other case in the infill and long time asymptotic setting. The limit behavior can be asymptotically Gaussian or non-Gaussian, depending on the values of the Hurst exponents of the marginal components. The technical core of the paper relies on the analysis of asymptotic properties of functionals of Gaussian processes, that we establish using Malliavin calculus and Stein's method. We provide numerical experiments that support our theoretical analysis and also suggest a conjecture on the application of one of these estimators to the multivariate fractional Brownian Motion. "Energy Shocks, Pandemics and the Macroeconomy"
CEIS Working Paper No. 582 LUISA CORRADO, University of Rome Tor Vergata Department of Economics and Finance
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STEFANO GRASSI, University of Rome, Tor Vergata, Faculty of Economics, Department of Economics and Finance
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ALDO PAOLILLO, University of Rome Tor Vergata
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FRANCESCO RAVAZZOLO, Free University of Bozen-Bolzano, BI Norwegian Business School - Department of Data Science and Analytics
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This work studies the turbulent confluence of two major events-the COVID-19 pandemic and the Russian invasion of Ukraine-both of which caused significant disruptions in global energy demand and macroeconomic variables. We propose and estimate a two-sector Dynamic Stochastic General Equilibrium model that incorporates both crude and refined energy sources, thus combining together the multifaceted dynamics of the energy sector, where crude elements like oil, coal, and gas are intertwined with other production components. The model describes the transmission of energy shocks through complementarities in production and consumption, as a mechanism that amplifies the fluctuations of the business cycle. We find that the impact of price shocks on oil, coal, and gas accounts for 32% of the increase in the general price level between 2021:Q1 and 2022:Q4, and that oil and gas price shocks contributed most significantly. Finally, we discuss the case in which energy shocks can be Keynesian supply shocks. | | ^top
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