Research
Myopic behavior in macroeconomic models: Empirical evidence from the US (with S. Hohberger, B. Pataracchia, and M.Ratto) (link to paper) (submitted)
We explore the empirical implications of myopic behaviour as a form of bounded rationality in an estimated medium-scale macroeconomic dynamic stochastic general equilibrium (DSGE) model and provide a comprehensive and agnostic analysis of the macroeconomic implications when households and firms beliefs deviate from rational expectations as in Gabaix (2020). The estimation on US data proposes a strong preference towards cognitive discounting. Our analysis suggests a (i) significant improvement of the overall model fit and forecast performance, (ii) more stimulative fiscal policy, (iii) uncertainty-like demand shocks where private consumption and investment co-move, and (iv) less powerful monetary policy. Notably, our empirical results support the presence of rational price setters.
Expectation-driven Wealth Effects (ECB Young Economists' Competition Finalist, ERMAS Association Prize best paper) (link to paper) (video presentation) (submitted)
Departures from full-information rational expectation models give rise to equity-wealth effects that generate inefficient cyclical fluctuations. I propose a theory in which belief-driven asset price cycles influence investors’ perceived real wealth and subsequently aggregate demand via the equity-wealth channel. Optimal monetary policy sets interest rates depending on the stance of the stock market and isolates the real economy from financial cycles. A quantitative model estimated on US data reveals that i) increasing interest rates by 0.12% for every 100% rise in stock prices accomplishes this goal ii) responding non-linearly only when capital gains exceed 7% delivers similar welfare benefits.
Working Papers
Heterogeneous Expectations and Stock Market Cycles (with Pau Belda and Janko Heineken) (link to draft)
Sentimental Discount Rate Shocks (link to draft, Updated Draft 2024)
Work in progress
Foundations of Disagreement ( with Albert Marcet)
Solving Models with Heterogeneous Subjective Beliefs via D-PEA (with Pau Belda)
The Expectation Channel of Monetary Policy Shocks
Heterogeneous Expectations, Learning and Inflation Dynamics
Evaluating Optimal Monetary Rules (with Luca Onorante and Marco Ratto)
Contributions to European Economic Policy
Ph.D Thesis: Essays in Asset Pricing, Monetary Policy and Expectations
Pre-doctoral publications:
"Eastern Europe In The World Economy: A Global Var Analysis", Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 5-26, September 2015 (with Moisa Altar and Adam-Nelu Altar Samuel)
"The Systematic Component of Monetary Policy in Open Economy SVARs", Central Bank Journal of Law and Finance, vol. 4, no. 2, 2017 (with Moisa Altar and Onundur Pall Ragnarsson)