About Me

I'm PhD student in Finance at Bocconi University. My background is in Mathematics (Bachelor at the Universidad Autonoma de Madrid) and Mathematical Finance (MSc at the University of Manchester). I have been working in Macro-Finance (specifically in Monetary Policy) and Fin-Tech applications to the Supply Chain. I'm also interested in Large Language Models (LLMs) and their applications to Financial Economics. I am pretty open to collaborations, discussions and critical feedback.

Research

Working Papers

  • Monetary Policy in the COVID Era and Beyond: The Fed vs the ECB — with Carlo A. Favero

    This study examines monetary policy during and post-COVID by analysing innovative rules based on data from before the pandemic. It models fluctuating monetary policy rates using a stochastic trend, linking potential output growth, demographic age distribution, and inflation expectations to the prevailing interest rate trends in both the US and the Eurozone. The cyclical variations in short-term rates are associated with monetary policy through the conventional Taylor rule indicators. Whilst the standard model is robust for the US both in and out of sample, the Eurozone displays less consistent in-sample results and marked deviations in out-of-sample tests. Addressing the ECB's concerns about bond market fragmentation doesn't yield better results. Instead, a model in which the ECB follows the US example with caution and delay proves more effective.

  • Modelling the Term Structure with Trends in Yields and Cycles in Excess Returns — with Carlo A. Favero

    This paper proposes an Affine Macro Term Structure model in which yields are drifting, sharing a common stochastic trend driven by the drift in short-term (monetary policy) rates and excess returns are stationary as the compensation for risk is driven by the cycles in yields. We apply the approach to US data and compare the empirical results from the new specification with those obtained from standard Affine Term Structure models. The cycle-trend decomposition-based Affine Term Structure model produces much better forecasts of the dynamics of yields and, consequently, different and stationary dynamics for the term premia.

Teaching

I have been a teaching assistant since the course 2022/2023. This year I will be lecturer as well. Below you can find the detailed information:

Courses a.y. 2024/2025

Courses a.y. 2023/2024

Courses a.y. 2022/2023

Contact