相关论文: Geopolitics, Geoeconomics, and Sovereign Risk: Dif…
Extreme political shocks may reshape economies not only through contemporaneous disruption but by altering beliefs about the distribution of future states. We study how such belief ruptures affect the cost of capital, expectations, and…
Global financial systems are undergoing strategic shifts as geopolitical tensions reshape international trade and payments. The United States (US)-China trade war, sanctions regimes, and rising concerns over the weaponization of financial…
This paper proposes a formal framework for reverse stress testing geopolitical risk in corporate credit portfolios. A joint macro-financial scenario vector, augmented with an explicit geopolitical risk factor, is mapped into stressed…
Understanding disaggregate channels in the transmission of monetary policy is of crucial importance for effectively implementing policy measures. We extend the empirical econometric literature on the role of production networks in the…
This paper investigates the transmission of funding liquidity shocks, credit risk shocks and unconventional monetary policy within the Euro area. To this aim, we estimate a financial GVAR model for Germany, France, Italy and Spain on…
We explore the international transmission of monetary policy and central bank information shocks originating from the United States and the euro area. Employing a panel vector autoregression, we use macroeconomic and financial variables…
No matter its source, financial- or policy-related, uncertainty can feed onto itself, inflicting the real economic sector, altering expectations and behaviours, and leading to identification challenges in empirical applications. The strong…
This paper investigates how economic shocks propagate and amplify through the input-output network connecting industrial sectors in developed economies. We study alternative models of diffusion on networks and we calibrate them using…
We use a FAVAR model with proxy variables and sign restrictions to investigate the role of the euro area's common output and inflation cycles in the transmission of monetary policy shocks. Our findings indicate that common cycles explain…
This paper examines the sign-dependent international spillovers of Federal Reserve and European Central Bank monetary policy shocks. Using a consistent high-frequency identification of pure monetary policy shocks across 44 advanced and…
This paper quantifies the international spillovers of US monetary policy by exploiting the high-frequency movement of multiple financial assets around FOMC announcements. I use the identification strategy introduced by Jarocinski & Karadi…
The current international landscape is turbulent and unstable, with frequent outbreaks of geopolitical conflicts worldwide. Geopolitical risk has emerged as a significant threat to regional and global peace, stability, and economic…
Why do capitalist economies recurrently generate crises whose severity is disproportionate to the size of the triggering shock? This paper proposes a structural answer grounded in the evolutionary geometry of production networks. As…
The DebtRank algorithm has been increasingly investigated as a method to estimate the impact of shocks in financial networks, as it overcomes the limitations of the traditional default-cascade approaches. Here we formulate a dynamical…
US-China trade tensions, the COVID-19 pandemic, and the Russia-Ukraine conflict have disrupted and reshaped global supply chains. Existing studies caution that these tensions may not meaningfully reduce U.S. dependence on China-linked…
This paper studies the transmission of US monetary policy shocks into Emerging Markets emphasizing the role of investment and financial heterogeneity. First, we use a panel SVAR model to show that a US interest tightening leads to a…
An economic system is an exemplar of a complex system in which all agents interact simultaneously. Interactions between countries have generally been studied using the flow of resources across diverse trade networks, in which the degree of…
This paper develops a continuous framework for analyzing financial contagion that incorporates both geographic proximity and interbank network linkages. The framework characterizes stress propagation through a master equation whose solution…
The increasing integration of world economies, which organize in complex multilayer networks of interactions, is one of the critical factors for the global propagation of economic crises. We adopt the network science approach to quantify…
Accurate macroeconomic forecasting has become harder amid geopolitical disruptions, policy reversals, and volatile financial markets. Conventional vector autoregressions (VARs) overfit in high dimensional settings, while threshold VARs…