Three essays in empirical macroeconomics

This thesis presents three empirical contributions on relevant topics for monetary policy in the Euro Area. In the first chapter, I study macroeconomic tail risks in the EA by constructing conditional distributions of expected GDP growth and inflation and estimating the GDP-at-risk and the Inflation-at-risk. The time variance of the tails differs considerably, and asymmetries in the balance of risks are accompanied by a weak synchrony of GDP-at-risk estimates between member states, especially during crises; upside risks to inflation appear more synchronous. Results have mixed implications for monetary policy, as the weak synchrony of business cycles during crises indicates a possible failure of a criterion for optimal currency areas; on the contrary, the coordination of upside risks to prices is an enhancing factor for a common monetary policy. In the second chapter, I investigate the evolution of the natural rate (r*) in the EA in the last twenty-five years. The estimation of r* is performed by extracting the trend component of real rates from the risk-free yield curve, finding a marked drop around the Great Financial Crisis and a partial recovery after 2021. The r* trend is decomposed into two components, capturing “quantity” imbalances between savings and investments and “quality” effects concerning the availability of safe assets, finding the former to be main driver of r*. In the third chapter, I study the heterogeneity of monetary policy transmission to financial markets, focusing on the reaction of high-ESG stocks in the EA. The analysis combines a study at stock level and one on portfolios constructed by assuming different degrees of ESG-awareness. Results hint at a stronger sensitivity of high-ESG stocks and portfolios to MP shocks, particularly for securities issued by financial companies, and suggest that the price of these assets can be particularly sensitive to unexpected events in the financial markets.