http://www.bis.org/cbhub/list/author/author_4699/index.rss Research hub papers by author Andrea Pescatori en http://www.clevelandfed.org/research/workpaper/2012/wp1238.pdf Cleveland Fed Working papers by Filippo Occhino and Andrea Pescatori Leverage, Investment, and Optimal Monetary Policy 2012-12-29T06:25:00Z We study optimal monetary policy in an economy where firms' debt overhangs lead to under-investment and under-production. The magnitude of this debt-induced distortion varies over the business cycle, rising significantly during recessions. When debt is contracted in nominal terms, this distortion gives rise to a balance sheet channel for monetary policy. In the presence of real and financial shocks, the monetary authority faces a trade-off between inflation and output gap stabilization. The optimal monetary policy rule prescribes that the anticipated component of inflation should be set equal to a target level, while the unanticipated component should rise in response to adverse shocks, smoothing the debt overhang distortion and the output gap. Leverage, Investment, and Optimal Monetary Policy 2012-12-29T06:25:00Z Full text http://www.clevelandfed.org/research/workpaper/2012/wp1238.pdf Filippo Occhino Andrea Pescatori Filippo Occhino and Andrea Pescatori 2012-12 Cleveland Fed Working papers http://www.clevelandfed.org/research/Workpaper/2011/wp1111.pdf Cleveland Fed Working papers by Andrea Pescatori and Murat Tasci Search Frictions and the Labor Wedge 2011-04-28T06:23:59Z This paper assesses whether labor market frictions, in the form of searching and matching, can help explain movements in the labor wedge--the gap between the marginal rate of substitution (MRS) and the marginal productivity of labor in a perfectly competitive business cycle model. Results suggest that those frictions are not able to explain fluctuations in the labor wedge, per se. However, the introduction of extensive and intensive margin shows that measuring the MRS in terms of total hours artificially introduces procyclicality in the MRS. When the MRS is correctly measured in terms of hours per worker, the labor wedge obtained is less variable than the one of the perfectly competitive model. A Frisch elasticity of 2.8, as in most macro models, implies a 20 percent decline in the variability of the labor wedge. A Frisch elasticity closer to micro estimates implies an even higher reduction. Finally, we show that it is possible to measure a strongly procyclical labor wedge as in CKM (2007) even if the actual data generating process does not have any labor wedge but has search frictions that allow for movements in both labor margins. Search Frictions and the Labor Wedge 2011-04-28T06:23:59Z Full text http://www.clevelandfed.org/research/Workpaper/2011/wp1111.pdf Murat Tasci Andrea Pescatori Andrea Pescatori and Murat Tasci 2011-04 Cleveland Fed Working papers http://www.clevelandfed.org/research/workpaper/2010/wp1003.pdf Cleveland Fed Working papers by Filippo Occhino and Andrea Pescatori Debt Overhang and Credit Risk in a Business Cycle Model 2010-03-23T12:46:59Z We study the macroeconomic implications of the debt overhang distortion. The probability that a firm will default acts like a tax that discourages its current investment. This is because the marginal return of the firm’s investment will be seized by its creditors in the event of default, so the higher the firm’s probability of default, the lower its expected marginal return of investment. The dynamics of this distortion, which moves counter-cyclically, amplify and propagate the effects of productivity, volatility, wealth redistribution and government spending shocks. Both the size and the persistence of these effects are quantitatively important, and the fiscal multiplier is large and hump-shaped. The model replicates important features of the joint dynamics of macro variables and credit risk variables, like default rates, recovery rates and credit spreads. Debt Overhang and Credit Risk in a Business Cycle Model 2010-03-23T12:46:59Z Full text http://www.clevelandfed.org/research/workpaper/2010/wp1003.pdf Filippo Occhino Andrea Pescatori Filippo Occhino and Andrea Pescatori 2010-03 Cleveland Fed Working papers http://www.clevelandfed.org/Research/Workpaper/2007/wp0717.pdf Cleveland Fed Working papers by Anton Nakov and Andrea Pescatori Oil and the Great Moderation 2007-11-17T07:12:00Z Oil and the Great Moderation 2007-11-17T07:12:00Z Full text http://www.clevelandfed.org/Research/Workpaper/2007/wp0717.pdf Anton Nakov Andrea Pescatori Anton Nakov and Andrea Pescatori 2007-11 Cleveland Fed Working papers E32 E52 F0 http://www.bde.es/informes/be/docs/dt0735e.pdf Bank of Spain Working Papers by Antón Nákov and Andrea Pescatori Oil and the Great Moderation 2007-10-29T17:38:59Z Oil and the Great Moderation 2007-10-29T17:38:59Z Abstract http://www.bde.es/informes/be/docs/abs2007e.htm#abs0735e Full text http://www.bde.es/informes/be/docs/dt0735e.pdf Antón Nákov Andrea Pescatori Antón Nákov and Andrea Pescatori 2007-10 Bank of Spain Working Papers D2 E32 E52 Q43 http://www.clevelandfed.org/Research/Workpaper/2007/wp0709.pdf Cleveland Fed Working papers by Andrea Pescatori Incomplete Markets and Households’ Exposure to Interest Rate and Inflation Risk: Implications for the Monetary Policy Maker 2007-10-06T07:14:00Z Incomplete Markets and Households’ Exposure to Interest Rate and Inflation Risk: Implications for the Monetary Policy Maker 2007-10-06T07:14:00Z Full text http://www.clevelandfed.org/Research/Workpaper/2007/wp0709.pdf Andrea Pescatori Andrea Pescatori 2007-10 Cleveland Fed Working papers C60 D31 D52 E31 E52 http://www.clevelandfed.org/Research/Workpaper/2007/wp0710.pdf Cleveland Fed Working papers by Anton Nakov and Andrea Pescatori Inflation-Output Gap Trade-off with a Dominant Oil Supplier 2007-10-06T07:14:00Z Inflation-Output Gap Trade-off with a Dominant Oil Supplier 2007-10-06T07:14:00Z Full text http://www.clevelandfed.org/Research/Workpaper/2007/wp0710.pdf Anton Nakov Andrea Pescatori Anton Nakov and Andrea Pescatori 2007-10 Cleveland Fed Working papers D4 E32 E52 F0 http://www.bde.es/informes/be/docs/dt0723e.pdf Bank of Spain Working Papers by Anton Nakov and Andrea Pescatori Inflation-output gap trade-off with a dominant oil supplier 2007-07-16T12:41:59Z Inflation-output gap trade-off with a dominant oil supplier 2007-07-16T12:41:59Z Abstract http://www.bde.es/informes/be/docs/abs2007e.htm#abs0723e Full text http://www.bde.es/informes/be/docs/dt0723e.pdf Andrea Pescatori Anton Nakov Anton Nakov and Andrea Pescatori 2007-07 Bank of Spain Working Papers E31 E32 E52 Q43