Last Updated: Mar 20, 2019
Silvia Miranda-Agrippino, Sinem Hacioglu Hoke, and Kristina Bluwstein, 2018 (✏️Revised February 2019)
Suggested Citation: Centre for Macroeconomics, Discussion Paper n. 2018-23
> > ♦️ D O W N L O A D S L I D E S ♦️ < <
ABSTRACT We use data on monthly patent applications to construct an external instrument for identification of technology news shocks in an information-rich 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, large and positive response of quantities, and a sluggish contraction of 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 into the stock market on impact, but measures of consumers expectations take sensibly longer to adjust, consistent with a New-Keynesian framework with nominal rigidities, and featuring informationally constrained agents.
Silvia Miranda-Agrippino and Giovanni Ricco, April 2018 (✏️revised December 2018)
Suggested Citation: OFCE Sciences Po, Working Paper n. 24 06/2018
ABSTRACT This paper discusses conditions for identification of structural shocks with external instruments in VARs, under partial invertibility. This is a very general condition, often of empirical relevance, and less stringent than the standard full invertibility, sometimes required for SVARs and LPs with controls. We show that in this case dynamic responses can be recovered provided that a condition of limited lead-lag exogeneity of the instrument holds. This condition allows the instrument to be contaminated by leads and lags other invertible shocks. We evaluate our results in a simulated environment and provide an empirical application to the case of monetary policy shocks.
Silvia Miranda-Agrippino and Hélène Rey, 2015 (✏️revised March 2019, previously "World Asset Markets and the Global Financial Cycle")
⭐️ R&R @ Review of Economic Studies ⭐️
Suggested Citation: NBER, Working Paper n. 21722
M E D I A: 🎥 IMF Mundell-Fleming Lectures: H. Rey (2014); B. Bernanke (2015) 📰 NY Times
ABSTRACT Using world aggregates, we find that US monetary policy shocks can induce positive comovements in the international financial variables that are expression of the “Global Financial Cycle.” Monetary contractions in the US are followed by significant deleveraging of global financial intermediaries, contractions in the provision of global domestic credit, and strong retrenchments of international credit flows. Countries that adopt a floating exchange rate regime are subject to similar financial spillovers. One global factor that explains an important share of the common variation of risky assets around the world decreases significantly after a US monetary tightening.
Silvia Miranda-Agrippino and Giovanni Ricco, 2017 (✏️revised November 2018)
⭐️ R&R @ AEJ:Macroeconomics ⭐️
Suggested Citation: Bank of England, Staff Working Paper n. 657
ABSTRACT Commonly used instruments for the identification of monetary policy disturbances are likely to combine the true policy shock with information about the state of the economy due to the information disclosed through the policy action. We show that this signalling effect of monetary policy can give rise to the empirical puzzles reported in the literature, and propose a new high-frequency instrument for monetary policy shocks that accounts for informational rigidities. We find that a monetary tightening is unequivocally contractionary, with deterioration of domestic demand, labor and credit market conditions, as well as of asset prices and agents’ expectations.
Silvia Miranda-Agrippino and Giovanni Ricco, March 2018
⭐️ Forthcoming @ ORE Economics & Finance ⭐️
Suggested Citation: Oxford Research Encyclopedia of Economics and Finance, Oxford University Press, forthcoming
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.
Nikoleta Anesti, Ana Galvão, and Silvia Miranda-Agrippino, August 2018
⭐️ R&R @ Journal of Business & Economic Statistics ⭐️
Suggested Citation: Centre for Macroeconomics, Discussion Paper n. 2018-24
M E D I A: 📰 Central Banking
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: > > D O W N L O A D < <
RA-DFM CODE: * C O M I N G S O O N *
Silvia Miranda-Agrippino, 2016 (✏️revised August 2017 - first version 2015)
Suggested Citation: Bank of England, Working Paper n. 626
M E D I A: 📰 The surprise in monetary surprises: a Tale of Two Shocks (Bank Underground Post) 📰 Wall Street Journal 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
M E D I A: 🎥 Interview at CIRANO Montréal
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.
W O R K I N P R O G R E S S
"Bayesian Direct Methods" (with Giovanni Ricco)
"Monetary and Fiscal Policy and the Term Structure of Expectations and Risk" (with Andrea Tamoni)
P U B L I C A T I O N S
"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.