Seminars

Seminars at LUISS and EIEF

PhD Student seminars at LUISS

2019-05-22

Valentino Masucci

Newspaper coverage of economic policy uncertainty and stock market volatility

According to Pastor and Veronesi (2013) and Kelly et al. (2016), Economic Policy Uncertainty (EPU) affects financial market volatility. Could newspaper coverage of EPU have a role in these fluctuations? Indeed, scholars have found evidence about the impact of news media on investors’ activity (e.g. Engelberg and Parsons, 2011; Peress, 2014). Using the VIX and an instrument for the daily (newspaper based) EPU index by Baker et al. (2016), the answer to the question above seems positive.

Luca Gallorini

The effect of trademarks on firms’ performance: encouraging the development of high quality products or fostering monopoly?

Innovation and product introduction are recognised as important sources for productivity growth. Firms protect their technologies by relying on intellectual property rights (IP). The rationale for IPs are both ex ante (incentives to innovate or maintain quality/reputation) and ex post (potential monopoly power and adverse effects for competition). Among IP, trademarks are the ones which have been less studied so far. In this paper, using the comprehensive USPTO Trademark Case Files Dataset matched to Compustat, I want to explore the role of trademarks for firms’ strategies and industry dynamics: do trademarks incentivize firms to offer better-quality products and maintain quality or they help to maintain market power hurting competition?  To try to shed light on this question, I am going to rely on two Trademark Law reforms (FTDA and TDRA) as source of exogenous variation for my diff-in-diff strategy.

Chiara Felli

Fiscal Rules

I study optimal fiscal rules in an environment in which governments with quasi-hyperbolic discounting can not only accumulate debt, but also default on it. The optimal fiscal rule balances commitment to repay debt and flexibility to react to shocks. The possibility of default introduces two forces: 1) better insurance and 2) discipline through market prices. On the one hand, since debt is non-state contingent, default can be used to complete the markets and improve insurance. Since equilibrium prices reflect default risk, the cost of debt is increasing in its level, thereby attenuating the incentives to accumulate debt. A benevolent planner could prefer looser fiscal rules, letting the markets impose discipline. On the other hand, hyperbolic discounting could lead to excessive default, which might imply stricter fiscal rules. Preliminary results indicate that optimal fiscal rules are looser than in economies without default risk, emphasizing the role of the disciplining effect of market prices.


2019-05-29

Fabiana Sabatini

Sovereign tensions and bank lending: what role for the bank balance sheet channel and the liquidity channel?

This paper assesses the adverse impact that sovereign tensions exert on the amount of credit granted by Italian banks to firms, by disentangling between two main channels of transmission: the bank balance sheet channel and the liquidity channel. Specifically, the paper focuses on the effects of a sudden increase in the Italian sovereign debt risk on bank credit supply by analysing granular bank-firm level data over the period 2015-2019. The identification of the two channels exploits the accounting method used by Italian banks to quantify the holdings of government bonds in their portfolios (either at fair value or at amortised cost). This approach is further complemented by instrumenting the amount of government bonds held at fair value with the variations in accounting portfolios that occurred after the change in the international accounting principles, that occurred in January 2018 with the implementation of IRFS 9. Preliminary results suggest that the adverse effect of sovereign tensions on credit supply mainly works through a negative impact on the capitalization of banks.

Giovanni Rillo

Bank-Sovereign Doom Loop in the Eurozone

Systemic Risk, defined as the potential risk of a single financial institution to the whole credit system, has become one of the major concern of the governments and policy makers. In the EU this issue is handled by the EBA (European Bank Authority) that, among other functions, has to ensure the orderly functioning and integrity of financial markets and the stability of the financial system in the EU. This is done by means of ‘stress tests’ that on regular time spans, analyze banks’ balance sheets as to monitor the safeness of the institution. One of the potential drawback of this method is that it is based on low frequency data, and then it is performed once every two years. The aim of this work is then trying to find a methodology which allows to supervise and monitor different institutes using high frequency data (Government bonds’ returns). We have then tried to highlight relevant factors that explain banks’ performances, and then to evaluate the systemic risk of this replicated institute.

Alessandro Franconi

Fiscal Adjustment Plans in Good Times and in Bad: Theory and Evidence

Recent empirical evidence suggests that fiscal consolidation plans based upon spending cuts are much less costly in terms of short run output losses than those based on tax hikes. Plans are different from shocks that has been used in the literature, since fiscal plans track more closely the dynamics of real-world fiscal adjustments adopted by parliament. Following Ramey and Zubairy (2018), I employ an augmented Threshold Vector Autoregressive (TVAR-X) model to investigate whether the effect of fiscal consolidation plans in the United States, identified through the narrative approach by Karamysheva (2016), differ conditional on being in a high- versus low-unemployment state of the economy over the period 1978:Q1-2012:Q4.