Research

Publications

[Paper, Online Appendix, Software, CREATES WP (2022)]

Working papers 

[arXiv:2403.08753]
Abstract: When in proxy-SVARs the covariance matrix of VAR disturbances is subject to exogenous, permanent, nonrecurring breaks that generate target impulse response functions (IRFs) that change across volatility regimes, even strong, exogenous external instruments can result in inconsistent estimates of the dynamic causal effects of interest if the breaks are not properly accounted for. In such cases, it is essential to explicitly incorporate the shifts in unconditional volatility in order to point-identify the target structural shocks and possibly restore consistency. We demonstrate that, under a necessary and sufficient rank condition that leverages moments implied by changes in volatility, the target IRFs can be point-identified and consistently estimated. Importantly, standard asymptotic inference remains valid in this context despite (i) the covariance between the proxies and the instrumented structural shocks being local-to-zero, as in Staiger and Stock (1997), and (ii) the potential failure of instrument exogeneity. We introduce a novel identification strategy that appropriately combines external instruments with "informative" changes in volatility, thus obviating the need to assume proxy relevance and exogeneity in estimation. We illustrate the effectiveness of the suggested method by revisiting a fiscal proxy-SVAR previously estimated in the literature, complementing the fiscal instruments with information derived from the massive reduction in volatility observed in the transition from the Great Inflation to the Great Moderation regimes. 
[latest version, SSRN id:3911041]
Abstract: This paper introduces a novel approach for estimating  heterogeneous-agent macroeconomic models adding information from micro data. The methodology applies to both panels and repeated cross sections, with applications to a wide class of dynamic structural models used in macroeconomics. The routine involves the estimation of dynamic moments over subgroups of the cross-sectional dimension of agents. Micro moments differ from each other in the informative content that they carry for point estimation of the structural parameters. For instance, variability of moments over the cross-sectional distribution of households' wealth contain relevant information for the correct estimation of the subjective discount rate. However, data from the cross section are not relevant for the identification of a technology shock. 
[latest version]
Abstract: We document the effects  of uncertainty shocks on firm-level employment of high- and low-skilled labor. To investigate the potential effects of uncertainty on employment growth, we use that different industries are differentially exposed to a number of aggregate shocks. We use this fact to identify industry-specific uncertainty shocks. We show that while  low-skilled labor growth is negatively affected by uncertainty shocks on impact, high-skill labor growth is not. Our dynamic approach shows that high-skill labor falls with a lag. Low-skilled labor shows similar dynamics, with the effect of uncertainty being strongest one year after impact.  Our results highlight that the labor misallocation effects ascribed to uncertainty shocks seem to affect low-skilled labor most and that there is persistence in the effects. We contextualize our empirical findings within a heterogeneous firm model with high- and low-skill labor inputs and heterogenous labor adjustment costs.

Work in progress

Dissertation