28 Mag 2026
Sezione di Finanza Quantitativa
Seminars day: Central Banking and Macroeconomic Policy
Department of Mathematics, Politecnico di Milano
May 28, 2026, 14.30-17:00
Room B.5.3, 5th floor, building 14, Leonardo Campus
Edoardo Sala (Scuola Superiore Universitaria Sant’Anna)
Green R&D and its macroeconomic effects: a Local Projection application
Conducting structural analysis is crucial in economic research to identify causal relationships and inform policy. In climate and green macroeconomics, understanding the dynamic effects of public interventions requires appropriate empirical tools. The first part of this seminar will therefore introduce the main methods used in this field: Vector Autoregressive Models (VARs), Bayesian VARs, and Local Projections (LPs). An application of LP analysis will then be illustrated. As climate change intensifies, green R&D becomes increasingly critical, and public investment plays a potentially pivotal role. Using a panel local projection framework on a sample of OECD countries, this study investigates the impact of public R&D expenditures in the energy and green technology sector on a set of macroeconomic and labor market variables. Potential crowding-in and crowding-out dynamics between public and private investment are analyzed. Furthermore, fiscal multipliers are computed to assess overall policy transmission. The results provide evidence on how green R&D spending interacts with macroeconomic aggregates, offering insights into the state's role in fostering innovation.
Federico D’Amario (Bank of England)
From Data to Policy: How Central Banks use a VAR model.
This talk gives a brief overview of how monetary policy analysis is organised at the Bank of England, and then focuses on a main tool used for both forecasting and structural analysis: Vector Autoregressions. It covers unconditional and conditional forecasts (including nowcast-based ragged-edge conditioning) and three identification strategies — Cholesky, sign restrictions, and narrative sign restrictions — each illustrated with an example, including a labour demand–supply decomposition from the April 2026 Monetary Policy Report and an application to UK prudential capital shocks from D'Amario, De-Ramon and Francis (2026).
Claudio Barbieri (European Central Bank)
Econometric Methods for Financial Stability: Two Applications
This seminar presents two applications of quantitative methods to financial stability. The first part focuses on the synchronization of government bond yields in the euro area. Using tools from principal component analysis and random matrix theory, the paper studies whether sovereign bond markets move together over time, and how this co-movement changes during periods of financial stress. The main idea is that stronger synchronization can indicate more integrated markets and a smoother transmission of monetary policy, while weaker synchronization may signal fragmentation and instability.
The second part turns to bank stress tests and asks whether banks adjust their balance sheets strategically around these exercises. Stress tests are designed to improve transparency, discipline banks, and support financial stability. However, they may also create incentives for banks to temporarily modify their portfolios or capital ratios in anticipation of the test. The paper studies this issue using modern difference-in-differences methods, which allow us to compare treated and untreated banks over time while addressing some limitations of traditional econometric approaches.
Together, the two papers show how econometric methods can be used to study financial stability from different angles: first, by measuring the degree of integration and fragmentation in financial markets; second, by assessing how financial institutions respond to regulatory scrutiny. The seminar is intended to show not only the technical usefulness of quantitative methods, but also their role in answering policy-relevant questions about markets, banks, and systemic risk.
May 28, 2026, 14.30-17:00
Room B.5.3, 5th floor, building 14, Leonardo Campus
Edoardo Sala (Scuola Superiore Universitaria Sant’Anna)
Green R&D and its macroeconomic effects: a Local Projection application
Conducting structural analysis is crucial in economic research to identify causal relationships and inform policy. In climate and green macroeconomics, understanding the dynamic effects of public interventions requires appropriate empirical tools. The first part of this seminar will therefore introduce the main methods used in this field: Vector Autoregressive Models (VARs), Bayesian VARs, and Local Projections (LPs). An application of LP analysis will then be illustrated. As climate change intensifies, green R&D becomes increasingly critical, and public investment plays a potentially pivotal role. Using a panel local projection framework on a sample of OECD countries, this study investigates the impact of public R&D expenditures in the energy and green technology sector on a set of macroeconomic and labor market variables. Potential crowding-in and crowding-out dynamics between public and private investment are analyzed. Furthermore, fiscal multipliers are computed to assess overall policy transmission. The results provide evidence on how green R&D spending interacts with macroeconomic aggregates, offering insights into the state's role in fostering innovation.
Federico D’Amario (Bank of England)
From Data to Policy: How Central Banks use a VAR model.
This talk gives a brief overview of how monetary policy analysis is organised at the Bank of England, and then focuses on a main tool used for both forecasting and structural analysis: Vector Autoregressions. It covers unconditional and conditional forecasts (including nowcast-based ragged-edge conditioning) and three identification strategies — Cholesky, sign restrictions, and narrative sign restrictions — each illustrated with an example, including a labour demand–supply decomposition from the April 2026 Monetary Policy Report and an application to UK prudential capital shocks from D'Amario, De-Ramon and Francis (2026).
Claudio Barbieri (European Central Bank)
Econometric Methods for Financial Stability: Two Applications
This seminar presents two applications of quantitative methods to financial stability. The first part focuses on the synchronization of government bond yields in the euro area. Using tools from principal component analysis and random matrix theory, the paper studies whether sovereign bond markets move together over time, and how this co-movement changes during periods of financial stress. The main idea is that stronger synchronization can indicate more integrated markets and a smoother transmission of monetary policy, while weaker synchronization may signal fragmentation and instability.
The second part turns to bank stress tests and asks whether banks adjust their balance sheets strategically around these exercises. Stress tests are designed to improve transparency, discipline banks, and support financial stability. However, they may also create incentives for banks to temporarily modify their portfolios or capital ratios in anticipation of the test. The paper studies this issue using modern difference-in-differences methods, which allow us to compare treated and untreated banks over time while addressing some limitations of traditional econometric approaches.
Together, the two papers show how econometric methods can be used to study financial stability from different angles: first, by measuring the degree of integration and fragmentation in financial markets; second, by assessing how financial institutions respond to regulatory scrutiny. The seminar is intended to show not only the technical usefulness of quantitative methods, but also their role in answering policy-relevant questions about markets, banks, and systemic risk.
Michele Azzone
Aula B.5.3