Labor productivity is more procyclical in OECD countries with lower employment volatility. To capture this new stylized fact, we propose a business cycle model with employment adjustment costs, variable hours and labor effort. We show that, in our model with variable effort, greater labor market...

Assessing the role of uncertainty shocks as a driver of business cycle fluctuations is challenging because spikes in uncertainty often coincide with news about economic fundamentals. To tackle this problem, we exploit daily data to identify uncertainty shocks that (i) impact the VXO volatility...

This paper proposes a novel methodology, the Bridge Proxy-SVAR, which exploits high-frequency information for the identification of the Vector Autoregressive (VAR) models employed in macroeconomic analysis. The methodology is comprised of three steps: (I) identifying the structural shocks of...

We analyze the impact of the shock to energy prices induced by the war in Ukraine on the financial performance of the major European firms listed in the Eurostoxx 600 index. We find that equity returns (CDS spread) decreased (increased) more substantially for firms characterized by high energy...

We analyze the impact of the shock to energy prices induced by the war in Ukraine on the financial performance of the major European firms listed in the Eurostoxx 600 index. We find that equity returns (CDS spread) decreased (increased) more substantially for firms characterized by high energy...

We compare different approaches to constructing financial condition indices (FCIs) for major emerging market economies (EMEs). We further test whether measures of web-search intensity for keywords related to financial tensions can complement the information content of traditional financial...

We study the implications of benchmark indexing for emerging economies by focusing on the inclusion of Chinese A-shares in the MSCI EM index. Making use of a rich dataset on fund allocations and flows between 2015 and 2020, we document an escalating weight of Chinese exposure in mutual funds and...

China has become a major player in the global economy. The analysis, based on a new and original database of Chinese macroeconomic surprises, shows the significant impact that these surprises have on equity markets worldwide, as well as on commodity prices, on the US nominal effective exchange...

Using data from a broad panel of countries at a weekly frequency, we find that local natural disasters have significant effects on global portfolio flows. First, when disasters strike, international investors reduce their net flows to equity mutual funds exposed to affected countries. This only...

We study the impact of widening energy price differentials induced by the war in Ukraine on the returns of European and US firms. Using several measures of firms’ energy exposure we show that return differentials between EU and US firms significantly widened after the outbreak of the war in...