This paper proposes a piecewise-linear Kalman filter (PKF) to estimate DSGE models with occasionally binding constraints. This method expands the set of models suitable for nonlinear estimation. It straightforwardly handles missing data, non-singularity (more shocks than observed time series),...

Using data on institutional investors' bond holdings, we investigate the resilience of green bonds to the COVID-19 shock in a difference-in-differences framework. We find that during the COVID outbreak green bonds experience lower sales, on average, while in normal times no significant...

The COVID-19 pandemic led to a sharp contraction of economic activity in the euro area (and worldwide). Its anatomy differs strongly from other crises in recent history. We analyse the short-term economic effects of the COVID-19 shock through the lens of an estimated DSGE model. We augment the...

This paper investigates the role of timely delivery in international competition. Using a demand-side, industry-specific measure of time-sensitivity, we assess the effect of Chinese competition on the export performance of Eastern European transition economies into Western European (EU15)...

This paper explores the role of green innovation in attracting venture capital (VC) financing. We use a unique dataset that matches information on VC transactions, companies' balance sheet variables and data on patented innovation at the firm level over the period 2008-2017. Taking advance of a...

How financial investors may react to policy events related to sustainability and climate change mitigation in particular, is a key question with implications for sustainable finance and financial stability. We address this question by carrying out a multi-period difference-in-difference approach...

We develop the first top-down method to estimate the greenness of financial portfolios, in terms of alignment to the EU Taxonomy for sustainable activities. We also develop a method to estimate, at the same time, the portfolio exposure to climate transition risk. We provide sector-level,...

This paper studies the evolution of the greenium, i.e. a risk premium linked to firms' greenness and environmental transparency, based on individual stock returns. We estimate an asset pricing model with time-varying risk premia, where the greenium is associated to a priced 'greenness and...

What has been the impact of the Comprehensive Assessment (CA) carried out by the ECB on banks' resilience? Implementing a difference-indifference approach, we analyse a non-risk based measure defined as the ratio of Tier 1 capital over total assets of European banks' balance sheets during the...

This study sheds light on the effect of restrictive policies, such as screening mechanisms, on mergers and acquisitions (M&A) flows into EU Member States in the period 2011-2018, by implementing an augmented gravity model. The results show that different restrictive measures affect cross-border...