Working Papers

1. The Macroeconomic Implications of Financial Volatility: The Role of Uncertainty and Risk Aversion. Working Paper. 2021. Currently under review. Link

Abstract: Financial volatility shocks can either be due to a physical change in risk, that is an uncertainty shock, or changes in agents preferences towards risk, that is a risk aversion shock. I identify these two shocks in a proxy SVAR setting using set identification. In particular, I use volatility events and a narrative approach to develop two new proxies that can be used jointly to identify exogenous variations in uncertainty and risk aversion. I find that the Great Financial Crisis is more associated with risk aversion shocks and that the COVID recession coincides with large uncertainty shocks.

Work in progress

1. CIP and UIP deviations in Switzerland. Work in progress.
2. A Dynamic Factor Model to forecast Swiss GDP. Work in progress