Research
2025
- Job Market PaperIdentifying Unconditional Quantile Impulse Responses with an Application to Growth-at-RiskRobert Wojciechowski2025Slides coming soon
I introduce Generalized Quantile Local Projections (GQLP), a novel methodology for identifying structural quantile impulse responses. 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 in macroeconomics as unconditional quantiles correspond to actual economic episodes like recessions, while conditional quantiles lack a clear economic interpretation. 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. In a growth-at-risk application, I show that financial risk shocks have strongly asymmetric effects. Using timing restrictions for identification, I find that a one-standard-deviation credit shock reduces industrial production growth by 2 percentage points in the lower tail versus 0.5 percentage points at the median. GQLP reveals left-tail-to-median response ratios of four-to-one, double those found using conventional Quantile Local Projections, indicating that standard methods underestimate the effect of financial shock on downturns. These findings suggest that stabilizing financial conditions can help prevent painful recessions without sacrificing growth during expansions.
- ECB Working PaperUnlocking Growth? EU Investment Programmes and Firm PerformanceRobert Wojciechowski, Alessandro De Sanctis, Francesca Vinci, and Daniel Kapp2025
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.
- Working PaperNew Stylised facts on Firm and Productivity Dynamics2025
We analyze Swedish census data, which experienced a widespread increase in productivity dispersion (polarization), particularly pronounced in the services sector, and aligning with patterns observed in other developed economies during this period. Our main contribution is to decompose the contribution to polarization from different firm dynamic factors. Contrary to traditional narratives that an increase in polarization is driven by technology developments that make it more difficult to challenge the dominance of top firms, we find that productivity improvements among laggard firms, rather than further advances by industry leaders, drove the increased dispersion. This is particularly evident in the services sector, where the rise in polarization primarily stemmed from within-industry dynamics characterized by lower-productivity firms leapfrogging incumbent leaders, rather than from top firms pulling further ahead. Specifically, firms moving from the bottom to the top of the productivity distribution tended to replace incumbent firms that exhibited lower sales-weighted productivity, suggesting a more dynamic and competitive environment than previously understood.