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Andrea Falconio
Statistics
- Division
Banking Supervision Data
- Current Position
-
Supervisor
- Fields of interest
-
Financial Economics,Mathematical and Quantitative Methods
- Education
- 2012-2016
PhD Economics, Università Politecnica delle Marche, Italy
- 2011-2012
MSc Finance, University of Essex, United Kingdom
- Professional experience
- 2023-
Supervisor - Banking Supervision Data Division, European Central Bank
- 2022-2023
Economist - Business Cycle Analysis Division, European Central Bank
- 2020-2022
Supervisor - Banking Supervision Data Division, European Central Bank
- 2019-2020
Supervisor - Risk Analysis Division, European Central Bank
- 2015-2019
Research Analyst - Banking Supervision Data Division, European Central Bank
- 25 September 2020
- WORKING PAPER SERIES - No. 2470Details
- Abstract
- We study the macroeconomic consequences of financial shocks and increase in economic risk using a quantile vector autoregression. Financial shocks have a negative, but asymmetric impact on the real economy: they substantially increase growth at risk, but have limited impact on upside potential. The impact of financial shocks is explained away after controlling for economic risk (measured by the interquantile range). The effects are economically relevant. Bad economic environment, characterized by negative real and financial shocks, has a highly skewed impact on business cycle fluctuations, leading to a peak reduction of monthly industrial production by more than 2%. In comparison, positive real and financial shocks in a good economic environment have limited effect on upside potential of the economy.
- JEL Code
- C32 : Mathematical and Quantitative Methods→Multiple or Simultaneous Equation Models, Multiple Variables→Time-Series Models, Dynamic Quantile Regressions, Dynamic Treatment Effect Models, Diffusion Processes
C53 : Mathematical and Quantitative Methods→Econometric Modeling→Forecasting and Prediction Methods, Simulation Methods
E32 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→Business Fluctuations, Cycles
E44 : Macroeconomics and Monetary Economics→Money and Interest Rates→Financial Markets and the Macroeconomy
- 4 October 2016
- WORKING PAPER SERIES - No. 1968Details
- Abstract
- This paper investigates the relation between monetary conditions and the excess returns arising from currency carry trades. The results indicate that carry trade average return, Sharpe ratio and downside risk differ substantially across monetary conditions before the onset of the financial crisis in 2008. Specifically, expansive policy shifts in the US result in a decrease in inter-national risk aversion, which in turn leads to a compression in currency risk premia and higher carry trade returns. By contrast, Fed monetary policy is not able to affect international risk aversion and carry trade returns during the crisis and Zero Lower Bound (ZLB) period, when the economic recession reduced the propensity of investors to take on risk exposures.
- JEL Code
- F31 : International Economics→International Finance→Foreign Exchange
G15 : Financial Economics→General Financial Markets→International Financial Markets
E52 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Monetary Policy
- 2023
- Review of International Economics