\u201cThe Expectations Hypothesis of the Term Structure in the Philippines: An Empirical Note (2001-2017)\u201d

This paper provides a first assessment about the Expectations Hypothesis of the Term Structure (EHTS) in the Philippines. In line with the EHTS, there is strong support for cointegration between interest rates at different maturities, while no significant risk premium components are detected. However, the \u201csymmetry\u201d restriction, assuming equi-proportional yields movements, is strongly rejected. Finally, there is strong evidence of unidirectional causality from short to long-term interest rates. The main policy implications are that: (a) monetary policy should be mainly focused on the management of longer term maturities; (b) monetary policy should rely on interest rates smoothing, in order to prevent potentially destabilizing effects

Regime-Shifts, Multicointegration and Fiscal Sustainability: Further Evidence on Poland (1999-2015)

This paper reassesses the sustainability of fiscal policy in Poland, extending the analysis of Tronzano (forthcoming) to a multicointegration test allowing for regime shifts. The empirical evidence strongly rejects the existence of multicointegration, thus suggesting that Poland\u2019s fiscal process is unsustainable in a stochastic environment. In line with my previous research and other recent applied literature on Poland, the main policy implications are twofold. First, a prosecution of the ongoing fiscal consolidation process is needed. Second, the above process should be implemented introducing a systematic response of fiscal policy to contingent disequilibria in public debt

"Safe-Haven Assets, Financial Crises and Macroeconomic Variables: Evidence from the Last Two Decades (2000-2018)"

This paper focuses on three \u201csafe-haven\u201d assets (gold, oil and the Swiss Franc) and examines the impact of recent financial crises and some macroeconomic variables on their returns comovements during the last two decades. All financial crises produced significant increases in conditional correlations between these asset returns, thus revealing consistent portfolio shifts from more traditional towards safer financial instruments during turbulent periods. The world equity risk premium stands out as the most relevant macrovariable affecting returns comovements, while also economic policy uncertainty indicators exerted significant effects. Overall, this evidence points out that gold, oil and the Swiss currency played an important role in global investors\u2019 portfolio allocation choices, and that these assets preserved their essential \u201csafe-haven\u201d properties during the period examined

Structural Breaks and the Expectations Hypothesis of the Term Structure: Some Empirical Evidence for the Philippines (2001-2017)

This paper extends the empirical investigation of Tronzano (2018 b), applying a cointegration test allowing for a structural break in the long-run equilibrium relationship. In line with Tronzano (2018 b), the null hypothesis of absence of cointegration is strongly rejected for all interest rates maturities, while a significant structural break is detected at the end of 2008. A decrease in risk premium components is documented after the 2008 structural break, while the \u201csymmetry\u201d restriction is only supported after this regime-shift. Overall, the policy prescriptions from this analysis are in line with those outlined in Tronzano (2018 b), supporting a monetary policy strategy based on interest rate smoothing

\u201cDoes the Expectations Hypothesis of the Term Structure Hold in Korea after the Asian Financial Crisis ? Some Empirical Evidence (1999 - 2017)\u201d

This paper explores the validity of the Expectations Hypothesis of the Term Structure (EHTS) in Korea after the 1997/1998 Asian financial crisis. In line with the EHTS, one common stochastic trend is found in the term structure of interest rates, although the validity of the \u201csymmetry\u201d restriction is rejected. Moreover, significant liquidity premia and a causal relationship from long to short-term interest rates are documented. The main policy implications are that monetary policy should be implemented in a gradual manner, and putting greater emphasis on the expectations channel through which agents anticipate its future path

Using machine learning to assess public policies: a real case study for supporting SMEs development in Italy

In recent years, several initiatives have been taken by governments to support investments in small and medium-sized enterprises. The aim is to foster their access to finance, and thus enhance their competitiveness. This paper investigates, through artificial intelligence, the socio-economic effects of these financial instruments on the performance and business continuity of the beneficiary companies. Moreover, this paper illustrates how artificial intelligence can support public decision-makers in creating and deploying regional policies. This study is a part of the collaboration among Arisk Srl and some policy-makers of the Regional Government of Piedmont (Italy)