PhD Candidate, Department of Economics

Contact Information

Department of Economics
Northwestern University
2211 Campus Drive
Evanston, IL 60208

Phone: +12244108996

federicopuglisi@u.northwestern.edu

Personal Website | CV

 

 

Education

Ph.D. Economics, Northwestern University, 2023 (expected)
M.A., Economics, Northwestern University, 2018
M.Sc. Financial Economics (QTEM Degree), HEC Lausanne, Monash University, LUISS Guido Carli, 2016
B.A., Economics and Management,  LUISS Guido Carli, 2013

Primary Fields of Specialization

Macroeconomics, Monetary Policy and Financial Intermediation

Secondary Fields of Specialization

Applied Time-Series

Curriculum Vitae

Download Vita (PDF)[Github Link]

Job Market Paper

 “State-Dependent Pass-Through from Monetary Policy to Lending Rates”[Github Link][Slides Link]

Abstract: The efficacy of monetary policy depends crucially on the extent to which bank lending rates respond to changes in policy rates. This paper documents that this response is state-dependent. I show empirically that the key state variable is the skewness of the cross-sectional distribution of lending rates across banks prior to the change in the policy rate. High initial skewness leads to a stronger response of (i) bank lending rates and (ii) economic activity to monetary policy. I develop a model of imperfect competition among banks that accounts for this empirical finding. A key feature of the model is that borrowers face search and switching frictions. A higher degree of dispersion among lending rates increases borrowers’ expected returns to search. In these circumstances, strategic behaviour by banks leads to higher responsiveness of lending rates to policy rate changes. Through this channel, the model can also reconcile my finding that conventional monetary policy has stronger effects on economic activity the more skewness there is in bank lending rates.

Published Papers

Expectation-Driven Cycles and the Changing Dynamics of Unemployment with Antonello D’Agostino, Caterina Mendicino

Journal of Money, Credit and Banking, February 2022

Abstract: This paper provides new evidence on the role of expectations for the change in unemployment dynamics over time. We show that unanticipated changes in expectations display large and persistent effects on the unemployment rate in the 2007–09 downturn, contributing to maintain unemployment high well after the most recent recession. We also find that the changes in the autocorrelation of the unemployment rate and its correlation with inflation generated by unanticipated changes in unemployment expectations help to rationalize the pattern observed in the data in the post-1990 recessions.

Israel’s Fiscal Prospects in the Post-COVID-19 Era [Policy Note] with Martin Eichenbaum

Bank of Israel: Monetary Policy in a period of price stability, May 2022

Abstract: We reassess the fiscal position of the Israeli and U.S. governments and argue that Israel faces three potential challenges: high debt-to-gdp ratio after COVID, modest rise in forecasted government bond yields and effect of tail events on government budget sustainability. To buy partial insurance against these tail events, Israel needs to return to its pre- COVID-19 policy of lengthening the average maturity of government debt.

Working Papers

“Policy Rate Shocks Beyond Zero”  [Draft available upon request] with Caterina Mendicino, Juan F. Rubio-Ramirez and Dominik Supera

Presented at SED 2022 Annual Meeting SCE 2022 Annual Meeting, SAET 2022 Annual Conference, 24th Central Bank Macroeconomic Modelling Workshop, 11th RCEA Money-Macro-Finance conference, Warsaw International Economic Meeting, RCEA 3rd Warsaw Money-Macro-Finance Conference

Abstract: This paper shows that the aggregate effects of policy rate shocks on economic and banking activity do not exhibit significant differences when policy rates are above or below zero. We use a suit of VAR models in conjunction with macroeconomic, financial and banking data for the Eurozone. Policy rate cuts below zero significantly improve borrowing conditions for non-financial corporations and are also passed onto depositors by banks. The easing in bank lending conditions, however, does not translate into higher systemic financial risk in the banking sector, reflecting positive effects on the financial soundness of banks and non-financial corporations. Moreover, both corporate and household deposit rates respond with the same sign and magnitude to policy rate shocks. Yet, we find state-dependency in the way banks respond to policy rate cuts below zero: the pass-through of policy rate shocks to lending rates is increasing in the initial level of the deposit rate.

Work in Progress

“Central Bank Liquidity Shocks” with Martina Jasova, Caterina Mendicino and Dominik Supera

Abstract: What are the effects of shocks to central bank liquidity injections? The elevated endogeneity of central bank liquidity provision makes answering this question very challenging empirically. This paper tackles this challenge by constructing a novel external instrument based on granular data on ECB and Private Market Repo quotes. We show that Central Bank Liquidity shocks in the Euro-Area had significant and beneficial effects on many Macro and Financial Outcomes, including GDP, Unemployment, Systemic Risk, Sovereign Debt, and Credit Spreads. Compared to conventional monetary policy shocks, they tend to transmit throughout the yield curve, flatten its slope, and allow for more targeted regional interventions. These results suggest that shocks to central bank liquidity injections might be a valuable addition to conventional policy rate shocks going forward as a means of fine-tuning and direct intervention in targeted troubled areas of the economy.

The Contribution of Cooperative Credit Banks to financial stability over the business cycle

Presented at EURICSE 13th International Conference 2022

Abstract: Do different bank business models contribute differently to the financial stability of a country? Yes, especially during recessions. We compile a novel dataset, matching balance sheet data on the universe of Italian credit institutions with an extensive set of economic indicators at the nation, region, and provincial level. We construct and analyze two measures of financial stability and a new measure aimed at capturing “liquidity stability”. The results show that Cooperative Banks exhibit, on average, higher financial stability than Commercial Banks, mainly due to lower cash flow volatility, with a significant non-linearity: Cooperative Banks’ financial stability deteriorates significantly less than Commercial Banks’ one during recessions but improves at the same rate after. Being differently exposed to the trade-off screening/monitoring vs. diversification, the cooperative bank business model plays a relevant and complementary role in the stability of a country’s financial system.

“Startup Exit and the Macroeconomy” with Jane Olmstead-Rumsey

Abstract: Motivated by the perceived increase in mergers & acquisition (M&A) activity in recent years, there is a growing debate on the effect of M&A, and technology mergers in particular, on the innovation activity of startups. We address these issues by compiling a rich dataset matching the universe of M&A transactions since 1990 with firm-level patent data. Our preliminary results show no evidence of a secular trend in the aggregate number or volume of M&A transactions from 2000 onward. However, over the last three decades, (i) the share of horizontal mergers (firms in the same industry) fell from 48% to 37% and (ii) the share of deals involving high-tech targets increased from 20% to 60% of total volume. We identify and document a third margin of firm growth (external ideas with internal capital deployment), especially relevant for platform-based firms, in addition to the conventional internal (in-firm R&D and capital deployment) and external margins (asset acquisition through M&A). Motivated by this evidence, we build a theoretical model to study the special nature of platform-based firms’ M&A and its effect on new firms’ innovation intensity and direction. Finally, we study the effects of a policy that bans acquisitions by platform-based firms.

“Are Recursive Neural Networks Useful for Macroeconomic Forecasting?” with Carl Hallman and Emre Enes Yavuz

Abstract: We horse-race a Bayesian VAR with hierarchical priors, one of the state of the art macroeconomic forecasting models, with different neural networks. These include a simple RNN, a GRU, and a mixed GRU-VAR. We find that any sufficiently flexible, and well regularized model has similar forecasting performance as the Bayesian VAR. We find that our GRU-VAR easily outperforms the BVAR in forecasts that go further than one step.

Teaching

Teaching Assistant at Northwestern University, Evanston, IL USA

  • Econ 337: “Economics of State & Local Government” (Fall 2018)

  • Econ 201: “Introduction to Macroeconomics” (Fall 2019; Winter 2019, 2020)

  • Econ 311: “Macroeconomics” (Spring 2019, 2020)

Reference on teaching: Prof. Mark Witte (mwitte@northwestern.edu), Director of Undergraduate Studies at Northwestern University.

References

Prof. Martin Eichenbaum (Committee Chair)

Prof. Giorgio Primiceri

Prof. Lawrence J. Christiano

Caterina Mendicino