During the COVID-19 pandemic, economists have struggled to obtain reliable economic predictions, with standard models becoming outdated and their forecasting performance deteriorating rapidly. This paper presents two novelties that could be adopted by forecasting institutions in unconventional...

In response to the two waves of Covid-19 in 2020, the Italian government implemented a general lockdown in March, but geographically targeted policies during fall. We exploit this natural experiment to compare the effects of the two policies in a difference-in-differences design, leveraging a...

This paper develops Bayesian econometric methods for posterior inference in non-parametric mixed frequency VARs using additive regression trees. We argue that regression tree models are ideally suited for macroeconomic nowcasting in the face of extreme observations, for instance those produced...

We offer an applied approach to the double materiality assessment of environmental, social and governance (ESG) matters, which could serve as practical guidance to the 60K companies required by EU regulation (CSRD) to carry out this assessment. Focussing on the financial materiality of climate...

In a context where European stock prices have been trending upwards, one of the main concerns is that stocks perceived as more sustainable from an environmental, social and governance (ESG) perspective could be particularly exposed to exuberance. To shed some light on the magnitude of the...

This paper uses a stylized simulation model to assess the potential impact of transition risk on banks' balance sheets and establishes a basis for calibrating relevant macro-prudential instruments. We show that even in the short run, a fire-sale mechanism could amplify an initially contained...

When firm-level information is not available, the greenness of financial portfolios, in terms of alignment to the EU Taxonomy, and their exposure to climate-related transition risk need to be estimated with a top-down approach. We improve the accuracy of available estimates by providing...

A major gap exists between the conceptual suggestion of how much a nation should invest in science, innovation, and technology, and the practical implementation of what is done. We identify 4 critical challenges that must be address in order to develop an environment conducive to collaboration...

In November 2015, the European Commission adopted a legislative proposal to set up a European Deposit Insurance Scheme (EDIS), a single deposit insurance system for all bank deposits in the Banking Union. JRC was requested to quantitatively assess the effectiveness of introducing a single...

We construct a unique and comprehensive data set of 19 real-time daily macroeconomic indicators for 11 Eurozone countries, for the 5/11/2009{4/25/2013 period. We use this new data set to characterize the time-varying dependence of the cross-section of sovereign credit default swap (CDS) spreads...