Housing prices are subject to boom and bust episodes with long-lasting deviation from fundamentals. By considering a present value housing price model under noisy information, I study the macroeconomic implications of movements in housing prices related (news) and not related (noise) to future...

Labor productivity is more procyclical in OECD countries with lower employment volatility. To capture this new stylized fact, we propose a business cycle model with employment adjustment costs, variable hours and labor effort. We show that, in our model with variable effort, greater labor market...

Assessing the role of uncertainty shocks as a driver of business cycle fluctuations is challenging because spikes in uncertainty often coincide with news about economic fundamentals. To tackle this problem, we exploit daily data to identify uncertainty shocks that (i) impact the VXO volatility...

This paper proposes a novel methodology, the Bridge Proxy-SVAR, which exploits high-frequency information for the identification of the Vector Autoregressive (VAR) models employed in macroeconomic analysis. The methodology is comprised of three steps: (I) identifying the structural shocks of...

The impact that informed and uninformed agents have on market prices is crucial for informational issues in financial markets. Informed trades are associated with institutional operators while uninformed trades are executed on behalf of retail investors. Using high-frequency data from Euronext...

The impact that informed and uninformed agents have on market prices is crucial for informational issues in financial markets. Informed trades are associated with institutional operators while uninformed trades are executed on behalf of retail investors. Using high-frequency data from Euronext...

Using more than a decade of firm-level data on U.S. oil producers’ hedging portfolios, we document for the first time a strong positive link between net worth and hedging in the oil producing sector. We exploit as quasi-natural experiments two similarly dramatic oil price slumps, in 2008 and...