Last Updated: Sep 2, 2018
"When Creativity Strikes: News Shocks and Business Cycle Fluctuations" Silvia Miranda-Agrippino, Sinem Hacioglu Hoke, and Kristina Bluwstein, August 2018
Suggested Citation: Centre for Macroeconomics, Discussion Paper n. 2018-23
ABSTRACT We use monthly US utility patent applications to construct an external instrument for identification of technology news shocks in a rich-information VAR. Technology diffuses slowly, and affects total factor productivity in an S-shaped pattern. Responsible for about a tenth of economic fluctuations at business cycle frequencies, the shock elicits a slow, but large and positive response of quantities, and a sluggish contraction in prices, followed by an endogenous easing of the monetary stance. The ensuing economic expansion substantially anticipates any material increase in TFP. Technology news are strongly priced-in in the stock market on impact, but measure of consumers' expectations take sensibly longer to adjust, consistent with a New-Keynesian framework with nominal rigidities, and featuring informationally constrained agents.
"Uncertain Kingdom: Nowcasting GDP and its Revisions" Nikoleta Anesti, Ana Galvão, and Silvia Miranda-Agrippino, August 2018
Suggested Citation: Centre for Macroeconomics, Discussion Paper n. 2018-24
ABSTRACT We design a new econometric framework to nowcast data subject to revisions, and use it to predict UK GDP growth in real-time. To this aim, we assemble a novel dataset of monthly and quarterly indicators featuring over ten years of real-time data vintages. In the Release-Augmented DFM (or RA-DFM) successive monthly estimate of GDP for the same quarter are treated as correlated observables in a Dynamic Factor Model (DFM) that also includes a large number of mixed-frequency predictors. The framework allows for a simple characterisation of the stochastic process for the revisions as a function of the observables, and permits a detailed assessment of the contribution of the data flow in informing (i) forecasts of quarterly GDP growth; (ii) the evolution of forecast uncertainty; and (iii) forecasts of revisions to early released GDP data. RA-DFM predictions have information about the latest GDP releases above and beyond that contained in the statistical office's earlier estimates; and are commensurate with those of professional forecasters. Data on production and labor market, subject to large publication delays, account for most of the forecastability of the revisions.
REAL-TIME MIXED-FREQUENCY UK DATABASE: DOWNLOAD
RA-DFM CODE: *coming soon*
"Identification with External Instruments in Structural VARs under Partial Invertibility" Silvia Miranda-Agrippino and Giovanni Ricco, April 2018 (updated draft)
Suggested Citation: OFCE Sciences Po, Working Paper n. 24 06/2018
ABSTRACT This paper discusses the conditions for identification with external instruments in Structural VARs under partial invertibility. We observe that in this case the shocks of interest and their effects can be recovered using an external instrument, provided that a condition of limited lag exogeneity holds. This condition is weaker than that required for LP-IV, and allows for recoverability of impact effects also under VAR misspecification. We assess our claims in a simulated environment, and provide an empirical application to the relevant case of identification of monetary policy shocks.
"Bayesian Vector Autoregressions" Silvia Miranda-Agrippino and Giovanni Ricco, March 2018
Suggested Citation: Oxford Research Encyclopedia of Economics and Finance, Oxford University Press, forthcoming
Draft prepared for the forthcoming Oxford Research Encyclopedia of Economics and Finance, Oxford University Press
ABSTRACT This article reviews Bayesian inference methods for Vector Autoregression models, commonly used priors for economic and financial variables, and applications to structural analysis and forecasting.
ABSTRACT In the presence of information frictions, commonly used instruments for the identification of monetary policy disturbances combine the true policy shock with information about the state of the economy to which the central bank endogenously reacts. This paper shows that information effects can give rise to the empirical puzzles reported in the literature, and proposes a new high-frequency identification of monetary policy shocks that accounts for informational rigidities. We employ this identification in a novel flexible econometric method robust to misspecifications that bridges between VARs and Local Projections, and assess the model dependence of our results. Findings show that a monetary tightening is unequivocally contractionary, with no evidence of either price or output puzzles.
"US Monetary Policy and the Global Financial Cycle" Silvia Miranda-Agrippino and Hélène Rey, 2015 (revised February 2018, previously "World Asset Markets and the Global Financial Cycle") R&R at REStud
Suggested Citation: NBER, Working Paper n. 21722
ABSTRACT We analyze the workings of the “Global Financial Cycle”. We study the effects of monetary policy of the United States, the center country of the international monetary system, on the joint dynamics of the domestic business cycle and inter- national financial variables such as global credit growth, cross-border credit flows, global banks leverage and risky asset prices. One global factor, driven in part by US monetary policy, explains an important share of the variance of returns of risky assets around the world. We find evidence of large financial spillovers from the hegemon to the rest of the world.
"Unsurprising Shocks: Information, Premia, and the Monetary Transmission" Silvia Miranda-Agrippino, 2016 (revised August 2017 - first version 2015)
Suggested Citation: Bank of England, Working Paper n. 626
MEDIA: The surprise in monetary surprises: a Tale of Two Shocks (Bank Underground Post) WSJ Pro Central Banking
ABSTRACT This article studies the information content of monetary surprises, i.e. the reactions of financial markets to monetary policy announcements. We find that monetary surprises are predictable by past information, and can incorporate anticipatory effects. Surprises are decomposed into monetary policy shocks, forecast updates, and time-varying risk premia, all of which can change following the announcements. Hence, their use as identification devices is not warranted, and can have strong qualitative and quantitative implications for the estimated responses of variables to the shocks. We develop new measures for monetary policy shocks, independent of central banks’ forecasts and unpredictable by past information.
"Nowcasting China" Domenico Giannone, Silvia Miranda-Agrippino and Michele Modugno, 2013
ABSTRACT In this paper we construct a synthetic indicator to monitor and summarise the informational content of the Chinese macroeconomic data flow. The index is optimally extracted in real-time from a heterogeneous set of dat, published at different frequencies and in a non-synchronous fashion, that we select to best represent the Chinese economy. We evaluate the forecasting ability of the index in nowcasting Chinese real GDP in real time. We find that the forecast implied by our index are at least as accurate as market forecasts and outperform forecasts implied by other existing indices. Furthermore, our index-based forecasts are continuously updated and thus timelier than forecasts implied by other existing indices or produced by international institutions, including the IMF and the OECD.
MEDIA: Interview at CIRANO Montréal
WORK IN PROGRESS
"Bayesian Direct Methods" (with Giovanni Ricco)
"Monetary and Fiscal Policy and the Term Structure of Expectations and Risk" (with Andrea Tamoni)
"Funding Flows and Credit in Carry Trade Economies" (2013, with Hélène Rey), RBA Annual Conference Volume in Alexandra Heath & Matthew Lilley & Mark Manning (ed.), Liquidity and Funding Markets Reserve Bank of Australia.