Ricerc@Sapienza

In the aftermath of the Global Financial Crises a large part of macro-econometricians posed the argument that the main national aggregates can mislead the identification of shocks that are policy-relevant, and that their 'true' effects are often masked in linear models. In the last decade the research has put in place two main strategies that address these issues: One embraces the identification of reduced-form macro models through both IVs (Stock and Watson, 2018), proxy variables (Caldara and Herbst, 2019), and granular IVs (Gabaix, 2020). The latter see aggregate fluctuations as the result of idiosyncratic source of variations that can be exploited to retrieve structural shocks, and whose effects are sizeable at a macroeconomic level. The second strategy envisages the use of a non-linear models that allow to study the impact of those shocks in different regimes of the economy (Cogley and Sargent, 2001; Auerbach and Gorodnichenko, 2012, to name a few) or in different countries (Canova et al. 2007). This project combines these two strategies with the aim of studying three main recent challenges for the applied macroeconomic research: (1) the interplay between monetary and macro-prudential policies; (2) shocks related to climate-change; (3) the asymmetric macro effects of the pandemic Covid-19. These questions of general interest are possibly the main one that policy makers, particularly central banks, are called to face over the next years. By mean of a solid empirical evidence, the goal of the project is to outline 'new' sources of macroeconomic instability that the ECB should take care in fulfilling her policy mandate.