Working papers
Bank beliefs and firm lending: evidence from the Italian loan-level data, with Paolo Farroni
We use a novel loan-level dataset containing borrower-specific probability of default to estimate a structural learning model where bankers endowed with diagnostic expectations receive noisy signal about firms’ fundamentals and assess their creditworthiness. We find that: (i) intermediaries tend to overreact to both micro news and macro signals; (ii) the degree of overreaction is heterogeneous among banks; (iii) overreacting bankers lower (raise) interest rates more than rational ones, increase (decrease) loan size; and (iii) the probability of issuing a new loan rises (falls) when bankers receive positive (negative) signals.
Work in Progress
Local weather and global food prices
The Business Confidence Channel of Fiscal Policy, with Marco Bellifemine and Adrien Couturier
Wage-price spiral: from macro to micro, with Nicolò Gnocato and Andrea Miola
On hold
Bankers expectations and monetary policy, with Simone Auer
This paper investigates bank lending expectations through the Bank Lending Survey and how they react to monetary policy announcements.
First, we assess whether the belief formation process of banks respects the full-information-rational-expectations paradigm through testing forecast errors predictability.
Second, we study the reaction of bankers' beliefs to the ECB monetary policy announcements. Results confirm error predictability in banks' beliefs and amplification of beliefs' distortion when monetary policy announcements are perceived as pure monetary shocks. We also describe the mechanism underlying empirical findings through a macro model with risky debt and non-rational expectations showing that monetary policy innovations can amplify credit dynamics through diagnostic expectations of the lenders.