Undesired monetary policy effects in a bubbly world

Stock market bubbles arise as a joint monetary and financial phenomenon. We assess the potential of monetary policy in mitigating the onset of bubbles by means of a Markov-switching Bayesian Vector Autoregression model estimated on US 1960-2019 data. Bubbles are detected and dated from the regime-specific interplay among asset prices, fundamental values, and monetary policy shocks. We rationalize the empirical evidence with an Overlapping Generations model, able to generate a bubbly scenario with shifts in monetary policy, and where agents form beliefs over transition dynamics. By matching the VAR impulse responses, we find that procyclicality and financial instability align with high equity premia and the presence of asset price bubbles. Monetary policy tightening, by increasing real rates, is ineffective in deflating bubble episodes

Procedure di record linkage in epidemiologia: uno studio multicentrico italiano, Record-linkage procedures in epidemiology: an italian multicentre study

Abstract Objective: to compare record linkage (RL) procedures adopted in several Italian settings and a standard probabilistic RL procedure for matching data from electronic health care databases. Design: two health care archives are matched: the hospital discharges (HD) archive and the population registry of four Italian areas. Exact deterministic, stepwise deterministic techniques and a standard probabilistic RL procedure are applied to match HD for acute myocardial infarction (AMI) and diabetes mellitus. Sensitivity and specificity for RL procedures are estimated after manual review. Age and gender standardized annual hospitalization rates for AMI and diabetes are computed using different RL procedures and compared

Differences in access to coronary care unit among patients with acute myocardial infarction in Rome: old, ill, and poor people hold the burden of inefficiency

BACKGROUND: Direct admission to Coronary Care Unit (CCU) on hospital arrival can be considered as a good proxy for adequate management in patients with acute myocardial infarction (AMI), as it has been associated with better prognosis. We analyzed a cohort of patients with AMI hospitalized in Rome (Italy) in 1997–2000 to assess the proportion directly admitted to CCU and to investigate the effect of patient characteristics such as gender, age, illness severity on admission, and socio-economic status (SES) on CCU admission practices. METHODS: Using discharge data, we analyzed a cohort of 9127 AMI patients. Illness severity on admission was determined using the Deyo's adaptation of the Charlson's comorbidity index, and each patient was assigned to one to four SES groups (level I referring to the highest SES) defined by a socioeconomic index, derived by the characteristics of the census tract of residence. The effect of gender, age, illness severity and SES, on risk of non-admission to CCU was investigated using a logistic regression model (OR, CI 95%). RESULTS: Only 53.9% of patients were directly admitted to CCU, and access to optimal care was more frequently offered to younger patients (OR = 0.35; 95%CI = 0.25–0.48 when comparing 85+ to >=50 years), those with less severe illness (OR = 0.48; 95%CI = 0.37–0.61 when comparing Charlson index 3+ to 0) and the socially advantaged (OR = 0.81; 95%CI = 0.66–0.99 when comparing low to high SES). CONCLUSION: In Rome, Italy, standard optimal coronary care is underprovided. It seems to be granted preferentially to the better off, even after controversial clinical criteria, such as age and severity of illness, are taken into account

Sentiments in sovereign risk crises: a set-identified Markov-switching approach

Since the 2011-12 sovereign debt crisis many euro-area countries have experienced economic slowdown and deflation, in a period with large government debt overhang. This scenario creates the conditions for financial market distress, with sovereign spreads surges and large fluctuations in agents' expectations. This article investigates the historical determinants of Italian sovereign risk, using a Markov-switching VAR on 1990-2018 data. It aims to identify the triggers of sovereign crises and study fundamental versus regime-dependent sentiment drivers. The latter become relevant during a crisis regime, when a negative sentiment shock triggers adverse macro effects and sharp increases in sovereign spreads. Debt, supply and demand shocks are expansionary and unable to explain episodes of sovereign risk surges, neither during normal nor during crisis times. Counterfactual simulations demonstrate the role of regime-dependent dynamics characterizing the historical evolution of sovereign risk premia and evidence strong reversals in spreads cyclicality

Fiscal stance and the sovereign risk pass-through

Sovereign risk surges are tightly linked to bank risk and primary deficits during crises. While the literature documents this unconditional evidence, identification of the main channels driving the state of the sovereign-bank risk pass-through and its fiscal premia component remains an open issue. We estimate a Markov-switching VAR on Italian data for the period 1990–2019 to describe the run up of sovereign and bank credit risk in an environment where regime switches determine the extent to which the fiscal stance feeds risk. We find that a model displaying recurrent regimes affecting both shocks’ sizes and the transmission mechanism between fundamentals and spreads best explain the data. Stress states of heightened risk amplification and a modest role for fundamentals are historically identified. These states feature increased risk sensitivity to primary deficits and to fiscal multipliers, and a tighter sovereign-bank risk pass-through

Regime-switches in the rollover of sovereign risk

This paper presents a unified analysis of the run-up of sovereign and credit risk in an environment where latent factors, along with fundamentals, feed financial crises. A Markov-switching VAR in four variables (debt, GDP, sovereign and corporate spreads) is estimated on Italian 1990-2018 data. The model displays both stochastic and systematic switches in the determination of spreads, and historically identifies: i) a high sovereign stress state of high and volatile spreads, which lines up mostly with crisis times; ii) a high credit stress state of tight connections between spreads, prevailing on the pre-euro and global crisis periods. We find that high spreads in high stress states are mainly explained by latent factors, orthogonal to fundamentals and possibly linked to agents’ expectations. In normal times, instead, fiscal shocks are expansionary and trigger drops in spreads

UNDESIRED MONETARY POLICY EFFECTS IN A BUBBLY ECONOMY

Monetary policy can be responsible for asset price bubble episodes under specific monetaryfinancial conditions. We evaluate the effects of monetary policy shocks on asset price bubbles by estimating a Markov-switching Bayesian Vector Autoregression on US 1960-2019 data, where states for the interaction of asset prices and monetary outcomes affect the realization of bubbles. We rationalize the evidence with a Markov-switching Overlapping Generations model, generating a bubbly and a no-bubbly economy with a regime-specific monetary policy. By matching the empirical impulse responses, we find that the monetary-financial states of the economy can generate amplified instability under high equity premia and asset price bubble. In a bubbly economy, a monetary tightening is ineffective in reducing stock prices, increasing real rates and inflating bubbles. Expectations to switch to a no bubbly scenario produce stabilizing effects