arXiv subjects

Graziano Moramarco

Publications and source records attributed to Graziano Moramarco.

5 recordsLinked to original sources

arXiv2025

Macroeconomic Spillovers of Weather Shocks across U.S. States

We estimate the short-run effects of weather-related disasters on local economic activity and cross-border spillovers that operate through economic linkages between U.S. states. To this end, we use emergency declarations triggered by natural disasters and estimate their effects using a monthly Global Vector Autoregressive (GVAR) model for U.S. states. Impulse responses highlight the nationwide effects of weather-related disasters that hit individual regions. Taking into account economic linkages between states allows capturing much stronger spillovers than those associated with mere spatial proximity. The results underscore the importance of geographic heterogeneity for impact evaluation and the critical role of supply-side propagation mechanisms.

econ.EM↗

arXiv2025

Factor Network Autoregressions

We propose a factor network autoregressive (FNAR) model for time series with complex network structures. The coefficients of the model reflect many different types of connections between economic agents ("multilayer network"), which are summarized into a smaller number of network matrices ("network factors") through a novel tensor-based principal component approach. We provide consistency and asymptotic normality results for the estimation of the factors, their loadings, and the coefficients of the FNAR, as the number of layers, nodes and time points diverges to infinity. Our approach combines two different dimension-reduction techniques and can be applied to high-dimensional datasets. Simulation results show the goodness of our estimators in finite samples. In an empirical application, we use the FNAR to investigate the cross-country interdependence of GDP growth rates based on a variety of international trade and financial linkages. The model provides a rich characterization of macroeconomic network effects as well as good forecasts of GDP growth rates.

econ.EM↗

arXiv2024

Regime-Switching Density Forecasts Using Economists' Scenarios

We propose an approach for generating macroeconomic density forecasts that incorporate information on multiple scenarios defined by experts. We adopt a regime-switching framework in which sets of scenarios ("views") are used as Bayesian priors on economic regimes. Predictive densities coming from different views are then combined by optimizing objective functions of density forecasting. We illustrate the approach with an empirical application to quarterly real-time forecasts of U.S. GDP growth, in which we exploit the Fed's macroeconomic scenarios used for bank stress tests. We show that the approach achieves good accuracy in terms of average predictive scores and good calibration of forecast distributions. Moreover, it can be used to evaluate the contribution of economists' scenarios to density forecast performance.

econ.EM↗

arXiv2024

Financial-cycle ratios and medium-term predictions of GDP: Evidence from the United States

Using a large quarterly macroeconomic dataset for the period 1960-2017, we document the ability of specific financial ratios from the housing market and firms' aggregate balance sheets to predict GDP over medium-term horizons in the United States. A cyclically adjusted house price-to-rent ratio and the liabilities-to-income ratio of the non-financial non-corporate business sector provide the best in-sample and out-of-sample predictions of GDP growth over horizons of one to five years, based on a wide variety of rankings. Small forecasting models that include these indicators outperform popular high-dimensional models and forecast combinations. The predictive power of the two ratios appears strong during both recessions and expansions, stable over time, and consistent with well-established macro-finance theory.

econ.EM↗

arXiv2023

Funding liquidity, credit risk and unconventional monetary policy in the Euro area: A GVAR approach

This paper investigates the transmission of funding liquidity shocks, credit risk shocks and unconventional monetary policy within the Euro area. To this aim, we estimate a financial GVAR model for Germany, France, Italy and Spain on monthly data over the period 2006-2017. The interactions between repo markets, sovereign bonds and banks' CDS spreads are analyzed, explicitly accounting for the country-specific effects of the ECB's asset purchase programmes. Impulse response analysis signals marginally significant core-periphery heterogeneity, flight-to-quality effects and spillovers between liquidity conditions and credit risk. Simulated reductions in ECB programmes tend to result in higher government bond yields and bank CDS spreads, especially for Italy and Spain, as well as in falling repo trade volumes and rising repo rates across the Euro area. However, only a few responses to shocks achieve statistical significance.

econ.EM↗