Essays in Empirical Macroeconomics

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.