Job Market Paper
A Structural Approach to Growth-at-Risk
I introduce generalized quantile local projections (GQLP), a novel methodology for identifying structural quantile impulse responses that explicitly distinguishes treatment from control variables. Unlike existing methods that estimate conditional quantile effects, GQLP identifies causal effects on unconditional quantiles while still exploiting controls for identification. This distinction is crucial for studying growth-at-risk, as unconditionally low growth rates correspond to actual downturns rather than merely periods of disappointing growth performance relative to prevailing conditions. I develop a general simulation algorithm to recover true structural quantile responses in analytically intractable models. I conduct Monte Carlo experiments demonstrating that GQLP successfully recovers structural quantile impulse responses, whereas conventional conditional quantile methods can yield misleading conclusions in the presence of control variables even when the true structural shock is observed. Applying GQLP to study the effects of financial shocks on U.S. industrial production growth, I find that both credit risk and volatility shocks have substantially larger impacts on downside risk than on median or upside outcomes. A one-standard-deviation financial shock reduces the 10th quantile of growth by approximately 1.5-2 percentage points compared to only 0.5 percentage points for median growth. These asymmetric effects suggest that stabilizing financial conditions can help prevent painful recessions without sacrificing growth during expansions.
Working Papers
Assessing the Impact of European Investement Programmes: a Firm-level Analysis of Cohesion Funds and the RRF
Co-authors: Alessandro De Sanctis, Daniel Kapp, Francesca Vinci Romana
This study evaluates the effectiveness of EU Cohesion Policy as an investment programme, employing a novel dataset that links firm-level data from Orbis with project-level information from the Kohesio database. It focuses on two key questions: (1) Which firms receive EU funding? (2) How does receiving EU funding affect firm performance? By applying a logit model and a local projection difference-in-differences approach, we provide new insights into the allocation mechanisms of EU Cohesion Policy funds and their firm-level impact. Our findings show that funding tends to be allocated to firms that already perform relatively well, and that firms receiving EU funding experience a persistent productivity increase of approximately 3% after 4 years, with smaller and more financially constrained firms experiencing relatively greater improvements. Moreover, funding targeting SME investment tends to enhance firm performance disproportionately more than other categories, whereas projects directed the green transition appear comparatively less beneficial.
Work in Progress
New Stylised facts on Firm and Productivity Dynamics
Co-authors: Andrea Caggese, Madalena Gaspar, Carolina Villegas-Sanchez