Equity Flows in Uncertain Times: the Role of Heterogeneous Information [JMP]
with Francesco Beraldi and Chenping Yang
Presented at Italian Econometric Association and Bank of Italy (Side WEEE 2024), University of Naples PhD Workshop 2024, Boston College, Sveriges Riksbank, University of Turin, HEC Paris, Uppsala University, Bank of Italy, Crest Paris.
We study the role of information heterogeneity in determining capital flows during the global financial cycle. When global uncertainty increases, investors retrench toward their home country and the United States. We build a model of portfolio choice and information acquisition with varying learning costs across countries. Our model replicates the global financial cycle’s stylized facts and has new predictions for forecasting accuracy, which we test using micro forecast data. Domestic forecasters better predict their own country’s economic outcomes, especially with increased global uncertainty. However, the US is an exception, where domestic forecasters do not outperform foreign institutions.
Customer Capital and the Aggregate Effect of Short-Termism
with Marco Errico and Luigi Pollio
Presented at the Spring 2023 GLMM BC-BU, at the Federal Reserve Bank of Boston, at the IEA, at the Midwest Macro Meeting (Fall 2023) and at the Econometric Society Conference (Fall 2023), Dynare Conference (2025).
Managers face strong pressure to meet analysts’ earnings forecasts, but the effects on firms and consumers are ambiguous. In the data, firms that just meet earnings forecasts raise markups by 1.3 percent and report weaker customer sentiment than those that just miss, consistent with short-term incentives distorting both short-run pricing decisions and long-run customer acquisition. We develop a dynamic general equilibrium model with heterogeneous firms and endogenous customer accumulation, where short-term incentives emerge endogenously as an optimal mechanism to discipline managers’ private benefit. We estimate that short-termism leads the average firm to raise markups by 20 basis points and annual profits by 1.2 percent. Consumers experience a 7-basis-point annual increase in consumption and a 1.2 per-cent gain in lifetime utility, as income effects outweigh the welfare costs of higher prices.
The Propagation of Environmental Risk Through Production Networks: Borrowing Cost Effects
with Elisa Luciano
Presented at the HEC Brown Bag Seminar Series and at the 6th Bank of Italy-LTI Conference, June 2025.
This paper examines how changes in sector-level CO2 emissions affect corporate borrowing costs. Using firm-level financial data from Compustat merged with EPA emissions data (2012-2023), we construct industry-level environmental growth rate. Panel regressions with firm and year fixed effects show that higher emissions are associated with increased interest rates, especially in carbon-intensive sectors. We interpret these findings through a theoretical production network model, where environmental shocks propagate via input linkages. Our results suggest that transition risks are priced into corporate debt markets, highlighting the financial relevance of climate exposure and the role of supply chain structure.
Market Structure and the Pass-Through of Import Price Shocks
with Mathias Klein
Presented at Boston College, Sveriges Riksbank, Collegio Carlo Alberto.
Central Banks and the Wage-Price Spiral Conflict
with Michele Boldrin
Bank Risk Taking under Secular Stagnation
with J. Christina Wang