Giovanni Ricco

US business cycles since 1900, examined through a multivariate trend-cycle model consistent with a New Keynesian economy, reveal robust reduced-form regularities between slack, prices and unemployment. Once long-term trends are accounted for, a single common cycle underlies output, unemployment, prices, inflation expectations and the policy rate, and behaves as a demand cycle. The slope of inflation on unemployment is -1.08 over the century, against -0.40 in the raw data, and

Journal of International Economics, May 2026 Article: 104259 Volume: Volume 161 US monetary policy impacts global economic conditions, with tightenings causing recessions worldwide. We employ a state-of-the-art identification of monetary policy shocks and a comprehensive dataset encompassing 30 advanced and emerging economies to estimate the international spillover effects of US monetary policy. We report the existence of a novel transmission channel, mediated by commodity an

with Refet Gürkaynak and Mahmut İpek We identify monetary policy shocks by the People’s Bank of China (PBoC) using high-frequency intraday movements in copper futures traded on the London Metal Exchange. Leveraging the strong link between copper prices and Chinese economic activity, we construct a novel market-based measure of unexpected monetary policy news around PBoC announcements. An event-study framework quantifies the immediate market response, while a structural VAR

Formed in the aftermath of the Franc Zone, the West African Economic and Monetary Union offers a rare setting to examine monetary transmission in an understudied corner of the Trilemma -- operating under a hard peg to the euro and binding capital controls. This study analyses how domestic monetary shocks propagate internally and how the WAEMU is affected by external spillovers from the European Central Bank and the Federal Reserve. Using monthly national data and bilateral VA

Two explanations exist for the output and price puzzles arising from the identification of monetary policy shocks with high-frequency...

[ CEPR wp ] with E. Savini and A. Tuteja This study examines high-frequency market responses to ECB policy announcements, providing...

We study the impact of foreign exchange interventions during periods of tight credit constraints. Expanding on the Gabaix and Maggiori...

Four factors drive the high-frequency impact of monetary policy announcements in South Africa: affecting short-, mid-, and long-term...

We extend the SVAR-IV (Proxy-SVAR) method to handle noninvertible and nonrecoverable shocks, providing tests for recoverability and...

Draft August 2024 We propose a novel deep neural net framework -- that we refer to as Deep Dynamic Factor Model (D2FM) --, to encode the...

This GitHub Repository contains time series at monthly frequency of the high-frequency instruments for monetary policy and information...

This chapter has been prepared for the Research Handbook of Inflation (Edward Elgar Publishing). It explores semi-structural time series...