Massimiliano Di Marzo

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This paper presents a new approach to studying the interaction between monetary policy, the real economy, and the term structure of interest rates. Inspired by the portfolio approach of Tobin (1969, 1982), we introduce bonds of different maturities in a structural Dynamic Stochastic General Equilibrium (DSGE) model typically used for monetary policy(More)
Asset liquidity in modern financial markets is a key but elusive concept. A market is often said to be liquid when the prevailing structure of transactions provides a prompt and secure link between the demand and supply of assets, thus delivering low costs of transaction. Providing a rigorous and empirically relevant definition of market liquidity has,(More)
We derive necessary and sufficient conditions for simple monetary policy rules that guarantee equilibrium determinacy in the New Keynesian monetary model. Our modeling framework is derived from a fully specified optimization model that is still amenable to analytical characterisation. The monetary rules analyzed are variants of the basic Taylor rules(More)
We study the term structure implications of the fiscal theory of price level determination. We introduce the intertemporal budget constraint of the government in a general equilibrium model in continuous time. Fiscal policy is set according to a simple rule whereby taxes react proportionally to real debt. We show how to solve for the prices of real and(More)
This paper studies the forecasting properties of linear GARCH models for closing-day futures prices on crude oil, first position, traded in the New York Mercantile Exchange from January 1995 to November 2005. In order to account for fat tails in the empirical distribution of the series, we compare models based on the normal, Student’s t and Generalized(More)
We estimate a model of credit risk for portfolios of Small and Medium-sized enterprises, conditional on being a non-profit or for-profit firms. The estimation is based on a unique dataset on Italian firms provided by a large commercial bank. We show that the main variables to identify creditworthiness are different for non-profit and for-profit firms.(More)
In this paper I consider a General Equilibrium framework to evaluate the role and the importance of the interactions between Monetary and Fiscal policies in the sense outlined by Leeper (1991) and the Fiscal Theory of the Price Level, in the determination of nominal and real term structure. The main results show that the term structure will depend not only(More)
We introduce distortionary taxes on consumption, labor and capital income into a New Keynesian model with Calvo pricing and nominal bonds. We study the relation between tax instruments and optimal monetary policy by computing simple rules for monetary and fiscal policy when one tax instrument at a time varies, while the other two are fixed at their(More)
6 The relative statistical and economic signi…cance of the leverage and feedback 7 e¤ects on …rm level equity volatility is still an open issue in the …nance literature. 8 We use a dynamic panel vector autoregression framework to investigate both e¤ects 9 simultaneously for all …rms in CRSP and COMPUSTAT from 1971 to 2005. An 10 important feature of our(More)