International Trade, Monetary and Financial Macroeconomics, and Econometrics

Research focus

The Peer review has evaluated this group as Average

Belong to this group of research those members of the department whose research and teaching activity is mainly focused on general and international economics, economic policy, and econometrics. The unifying feature is a common background in economics and a prevailing interest in analysing how economic system works and interact, how markets behave, and in using both theoretical analysis and quantitative methods in their studies. The research group activity is focused on three main areas: international trade, monetary and financial macroeconomics, and theoretical and applied econometrics.

RESEARCH ACTIVITY IN INTERNATIONAL TRADE
The group of researchers dealing with international trade works mainly along three lines of research, closely connected: 1) the study of the patterns of international specialisation of countries and their evolution as a consequence of the new forms of internationalisation; 2) the process of economic integration between countries, with special reference to the European enlargement; 3) the relationship between economic growth and openness. In particular in the last few years they were involved in research projects examining how international fragmentation of production in its various forms is changing the characteristics of the specialisation of countries and the nature of trade patterns. The relationship between international fragmentation of production, productivity and competitiveness was analysed testing empirically whether the dynamics of export (both in value and volume terms) and the specialisation is correlated to the extended use of international outsourcing of intermediate goods and services. This relationship was analysed for a number of European countries, including both old and new members. Ongoing research - A first research program focuses more specifically on Italy. This work wants to assess the effects that the use of different forms of internationalisation is producing on the Italian production structure and which are the foreseeable changes of the Italian model of specialisation. - A second research program focuses further on the process of integration between the old EU members and the new members belonging to the CEECs. The eastward delocalization of production from EU15 countries brought along new technologies, capital and organisational skills, that transformed the CEECs’ economies. The research wants to assess which further changes are likely to take place as the increasing convergence of the new member states of 13 the EU toward the income levels and the technological level of the rest of Europe will further change the specialisation of countries within the EU. RESEARCH ACTIVITY IN MONETARY AND FINANCIAL MACROECONOMICS This area of research monitors new tendencies of the evolution of financial systems and monetary policies with focus on central banks behaviour. Three are the main themes developed in these years: 1. credit market imperfections as a consequence of asymmetric information in borrower-lending relationships and their effects on monetary policy; 2. the monetary policy transmission mechanism with a special focus on the credit channel; 3. the role of financial markets and asset prices in the conduct of monetary policy and financial stability as one of the central bank’s primary objective. Ongoing research - We want to incorporate the balance sheet channel in a New Keynesian setting of optimal monetary policy introducing financial fragility in the IS curve through the role of households financial structure on consumption. - We want to estimate an optimal reaction function for the central bank derived in the presence of both a stabilisation and a smoothing objective in the loss function in order to check its empirical fit. Moreover, we want to recover central bank preferences in order to understand the relative importance policymakers placed on output, interest rate stabilisation and interest rate smoothing relative to inflation stabilisation and to see if there are signs of a shift from an inflation to a profit cycle in central bank preferences.

RESEARCH ACTIVITY IN THEORETICAL AND APPLIED ECONOMETRICS
Three are the main themes developed in these years: 1. multivariate analysis of non stationary economic time series: development of new models in the class of Vector Auto Regressive models; within such class, specific attention is given to modelling structural breaks, modelling I(2) processes, developing new tools for dynamic analysis; application of VAR models for monetary policy analysis (optimal control) and business cycle analysis; 2. microeconometrics: multivariate dynamic models for discrete dependent variables; 3. financial econometrics: multivariate generalisation of ACD (Autoregressive Conditional Duration) models, with applications to the analysis of ultra-high frequency data from the stock market. Econometric implications of Markowitz portfolio theory. 14 Ongoing research - Optimal monetary policy based on estimated cointegrated Vector Autoregressive Models; - Asset allocation based on multivariate GARCH models; - Relationships among prices and traded volumes in Quote driven and Order driven Stock markets.

Dipartimento di afferenza

Dipartimento di Ingegneria Gestionale (DIG)

Docenti afferenti

Full Professors
Salvatore Baldone
Rocco Mosconi
GianGiacomo Nardozzi
Fabio Sdogati
Associate Professors
Lucia Tajoli
Assistant Professors
Anna Florio