Working Papers

• Monetary Policy Shocks: A New Hope — Job Market Paper
  Large Language Models and Central Bank Communication

  I develop a multi-agent LLM framework that processes Federal Reserve communications to construct narrative monetary policy surprises. By analyzing Beige Books and Minutes released before each FOMC meeting, the system generates conditional expectations that yield less noisy surprises than market-based measures. These surprises produce theoretically consistent impulse responses where contractionary shocks generate persistent disinflationary effects, and enable profitable yield curve trading strategies that outperform alternatives. By directly extracting expectations rather than cleaning surprises ex post, this approach demonstrates how multi-agent LLMs can implement narrative identification at scale without contamination in high-frequency measures.

  [Manuscript]
• Scoring in the Transition — with G. Bezzi, Max Croce, and G. Gigante
  Progress-based ESG scores to distinguish green from brown growth options

  We propose a novel methodology to assign scores in a model in which: (i) a firm has a valuable environmental growth option whose payoff is realized at the end of a transition period, (ii) the firm's CEO has private information on the growth option quality; and (iii) a fund manager must decide how much to invest in this firm under limited information. In this setting, a progress-oriented score improves the allocation of capital. In an application, we show that assessing a CEO's decarbonization plan helps the fund manager to disentangle good-quality (green) growth options from bad-quality (brown) growth options. In the data, an investment strategy that uses progress-based scores delivers a superior performance.

• The Scope of Scope 3 — with Max Croce, Nicolás Guíñez, Alejandra Inzunza-Méndez and Claudio Tebaldi
  Network-based measurement of emissions across international supply chains

  We propose a novel network-based methodology in order to measure emissions along complex international supply chains (SC). Using international data for 62,700 firms, we characterize SC-level emissions across countries and industries. Our methodology enables us to run counterfactual experiments and formulate granular forecasts about high-scope emissions with respect to many different scenarios such as maritime disruption, military conflicts, trade wars, revised carbon taxes.

• Monetary Policy in the COVID Era and Beyond — with Carlo A. Favero
  Comparing Fed and ECB policy rules before and after the pandemic

  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.

  [Manuscript]

Work in Progress

• Through a Glass, Darkly
  Strategic Information Transformation in Federal Reserve Communication
• Green DAOs for Brown Networks — with Max Croce, Nicolás Guíñez, Alejandra Inzunza-Méndez and Claudio Tebaldi
  Blockchain-based DAOs to internalize emission externalities in production networks

  We propose a novel model to think about networks with emission externalities. We consider a decentralized economy in which (i) emissions are not priced; and (ii) firms are subject to firm-specific borrowing constraints depending on their level of greenness. Greenness is measured by either looking at scope-1, scope-3 and embedded emissions. We show that this economy is highly inefficient. We then look at an economy in which: (i) a DAO borrows on behalf of the entire network allocates capital internally; (ii) all producers belonging to that DAO join a blockchain recording transaction of goods and emissions. We show that this setting replicates the first-best. Preliminary empirical results suggest that the welfare gains produced by a Green-DAO could be significant.

Published Papers

• Towards Data-Congruent Models of the Term Structure of Interest Rates — with Carlo A. Favero
  Econometric Reviews, 2025, 1–23

  Bond yields can be decomposed into two unobservable components: the expected sequence of short-term rates and term premia. The identification of these two components is crucial to understand bond pricing and the effect of monetary policy on the term structure of interest rates. This paper illustrates how M.H. Pesaran's prescription of congruency between the salient features of the data and the reduced form, explicitly derived from stochastic dynamic optimization, effectively facilitates the relevant decomposition. By examining the historical evolution of term structure models, we demonstrate that the chosen specifications have not consistently aligned with the data, presenting a missed opportunity. In fact, a data-congruent specification helps in improving forecasts of the dynamics of US short-term rates and generates stationary dynamics for the term premia.

  [Manuscript] [Online Appendix] [Published Version]

• Macroeconomic Uncertainty, the ECB Monetary Policy Stance and their Communication — with L. Bottazzi, C. Favero, F. Giavazzi, V. Guerrieri, G. Lorenzoni, T. Monacelli and A. Trigari
  European Parliament - Monetary Dialogue

  This paper assesses the ECB's monetary policy stance and communication amid declining inflation, persistent uncertainty, and renewed external risks. It documents how trade-policy shocks and global spillovers affect inflation surprises, highlights substantial cross-country inflation heterogeneity within the euro area, and shows that common shocks generate uneven national responses. Using a novel multi-agent LLM framework, it evaluates ECB communication, revealing strengths during active policy adjustments but gaps in addressing inflation dispersion and uncertainty communication.

  [PDF] [European Parliament Link]
• The Conduct of ECB Monetary Policy Under International Uncertainty — with L. Bottazzi, C. Favero, F. Giavazzi, T. Monacelli, V. Guerrieri and G. Lorenzoni
  European Parliament - Monetary Dialogue

  This paper examines ECB monetary policy amid rising international uncertainty. We focus on three global risks: renewed trade protectionism, euro appreciation, and US fiscal fragility. Using inflation forecasts and survey data, we evaluate the ECB's evolving policy framework. A potential US fiscal crisis poses risks but also creates an opportunity for Europe to supply a global safe asset. We argue that a European Debt Agency issuing common debt could mitigate contagion and enhance Europe's financial sovereignty. This document was provided by the Economic Governance and EMU Scrutiny Unit at the request of the Committee on Economic and Monetary Affairs (ECON) ahead of the Monetary Dialogue with the ECB President on 23 June 2025.

  [PDF] [European Parliament Link]
• Euro Area Risks Amid US Protectionism — with L. Bottazzi, C. Favero, F. Giavazzi, V. Guerrieri, G. Lorenzoni and T. Monacelli
  European Parliament - Monetary Dialogue

  Were the US to impose large and lasting tariffs on its imports from the EU, the effect on the euro area (EA) would be substantial and far-reaching. We expect the direct impact to be inflationary in the US and contractionary on EA aggregate demand and output. The indirect impact through an appreciation of the dollar (partly already occurred) tends to transfer inflation from the US to Europe. The ECB should be mindful that both deflationary and inflationary influences may ensue, and be ready to adjust monetary policy promptly if necessary to maintain price stability. This document was provided by the Economic Governance and EMU Scrutiny Unit at the request of the Committee on Economic and Monetary Affairs (ECON) ahead of the Monetary Dialogue with the ECB President on 20 March 2025.

  [PDF] [European Parliament Link]

2025/2026

2024/2025

2023/2024

2022/2023

Macroeconomics & Econometrics

• macro-toolkit

  Python toolkit for Local Projections and monetary policy shock analysis. Streamlined impulse response estimation with robust inference.

• Term Structure Models

  Implementation of ACM and Favero-Fernández-Fuertes term structure models. Companion code for the Econometric Reviews paper.

• VarKit

  Python implementation of Cesa-Bianchi's VAR-Toolbox. Modern API for Vector Autoregressive analysis, ported from the original MATLAB version.

• BVAR Impulse Responses

  Replication of Jarociński & Karadi (2020) BVAR impulse responses. Transparent foundation for analyzing high-frequency monetary policy surprises.

• Stock-Watson Interpolation

  Temporal disaggregation of quarterly GDP to monthly frequency using the Stock-Watson (2010) Kalman filter procedure.

AI-Powered Document Processing

• socr

  A unified OCR pipeline that orchestrates multiple vision models to reliably extract text and figures from academic papers. Uses cascading fallback with quality auditing to maximize accuracy at minimal cost. Built on top of dedicated engine CLIs I maintain: deepseek-ocr-cli mistral-ocr-cli gemini-ocr-cli glm-ocr-cli marker-ocr-cli

• arXiv MCP Server

  MCP server connecting LLMs to arXiv. Enables AI assistants to search, fetch, and analyze academic papers with citation tracking and bibliography export.

Data Collection & Processing

• Fama-French Data

  Scripts to download, clean, and manage datasets from the Fama-French data library. Handles formatting inconsistencies automatically.

• ConsensusEconomics

  Tools for processing and analyzing Consensus Economics datasets. Requires a valid subscription; no proprietary data included.

• Macroeconomic Data Handler

  Python package for fetching macroeconomic data from FRED and Fed Green Book Projections. LLM-powered variable lookup with AWS integration.