Working papers

Risk Aversion and the Response of the Macroeconomy to Uncertainty Shocks (with L. Bretscher and A. Hsu)

Level and Volatility Shocks to Fiscal Policy: Term Structure Implications (with L. Bretscher and A. Hsu)

The scale of predictability (with F. Bandi, B. Perron and C. Tebaldi). This paper was briefly circulated under the title “Economic uncertainty and predictability”. [Appendix]

A persistence-based Wold-type decomposition for stationary time series (with F. Ortu, F. Severino  and C. Tebaldi)

The Dynamics of Expected Returns: Evidence from Multi-Scale Time Series Modeling (with D. Bianchi)

Implications of Predictability Across Horizons for Asset Pricing Models (with C. Favero, F. Ortu and H. Yang).

The horizon of systematic risk: a new beta representation (with F. Bandi). The paper was previously circulated under the titles``Business-cycle consumption risk and asset prices.''

Horizon-specific macroeconomic risks and the cross-section of expected returns (with M. Boons)