Marsi, Antonio
(2020)
Essays in Empirical Macroeconomics, [Dissertation thesis], Alma Mater Studiorum Università di Bologna.
Dottorato di ricerca in
Economics, 32 Ciclo. DOI 10.48676/unibo/amsdottorato/9525.
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Abstract
In the first chapter I analyze the predictability of European stock returns, using a large set of stock-level predictors and several machine learning algorithms. The analysis suggests monthly returns are hardly predictable. In the second and third chapters monetary policy in the Euro Area is studied in a core-periphery perspective. First, I study the effects of the quantitative easing on the convenience yield on safe German bonds. I identify a contractionary component of the QE related to the induced increase in the scarcity of German bonds. In the last chapter I identify a novel shock, necessary to fully characterize monetary policy in the Euro Area, using high-frequency variations of asset prices around ECB press conferences. This shock generates from the ECB having a direct role in driving expectations about the credit/redenomination risk of peripheral countries’ debt and have tangible effects on Euro Area economy.
Abstract
In the first chapter I analyze the predictability of European stock returns, using a large set of stock-level predictors and several machine learning algorithms. The analysis suggests monthly returns are hardly predictable. In the second and third chapters monetary policy in the Euro Area is studied in a core-periphery perspective. First, I study the effects of the quantitative easing on the convenience yield on safe German bonds. I identify a contractionary component of the QE related to the induced increase in the scarcity of German bonds. In the last chapter I identify a novel shock, necessary to fully characterize monetary policy in the Euro Area, using high-frequency variations of asset prices around ECB press conferences. This shock generates from the ECB having a direct role in driving expectations about the credit/redenomination risk of peripheral countries’ debt and have tangible effects on Euro Area economy.
Tipologia del documento
Tesi di dottorato
Autore
Marsi, Antonio
Supervisore
Dottorato di ricerca
Ciclo
32
Coordinatore
Settore disciplinare
Settore concorsuale
Parole chiave
Monetary Policy, Proxy SVARs, Machine Learning
URN:NBN
DOI
10.48676/unibo/amsdottorato/9525
Data di discussione
19 Ottobre 2020
URI
Altri metadati
Tipologia del documento
Tesi di dottorato
Autore
Marsi, Antonio
Supervisore
Dottorato di ricerca
Ciclo
32
Coordinatore
Settore disciplinare
Settore concorsuale
Parole chiave
Monetary Policy, Proxy SVARs, Machine Learning
URN:NBN
DOI
10.48676/unibo/amsdottorato/9525
Data di discussione
19 Ottobre 2020
URI
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