Central bank research hub - Papers by Adriana Grasso
https://www.bis.org/cbhub/list/author/author_15538/index.rss
Research hub papers by author Adriana GrassoenFirms' inflation expectations and investment plans
http://www.bancaditalia.it/pubblicazioni/temi-discussione/2018/2018-1203/en_tema_1203.pdf
Bank of Italy Working Papers by Adriana Grasso and Tiziano RopeleFirms' inflation expectations and investment plans2018-12-01T00:00:03ZIn past years there have been suggestions for monetary policy to engineer higher inflation expectations to stimulate spending. We examine the relationship between the inflation expectations of firms and their investment plans using Italian business survey data over the period 2012-2016. We show that higher expected inflation is positively correlated with firms' willingness to invest. In our baseline specification, a one percentage point rise in expected inflation is associated with a higher probability of reporting higher investment plans by 4.0 percentage points. This expansionary effect operates through the standard interest rate channel and its magnitude is positively correlated with firms' liquidity and debt position.Firms' inflation expectations and investment plansFull texthttp://www.bancaditalia.it/pubblicazioni/temi-discussione/2018/2018-1203/en_tema_1203.pdfTiziano RopeleAdriana GrassoAdriana Grasso and Tiziano Ropele2018-12Bank of Italy Working PapersE22E31E58Consumption volatility risk and the inversion of the yield curve
https://www.ecb.europa.eu//pub/pdf/scpwps/ecb.wp2141.en.pdf
European Central Bank Working papers by Adriana Grasso and Filippo NatoliConsumption volatility risk and the inversion of the yield curve2018-04-10T11:30:23ZWe propose a consumption-based model that allows for an inverted term structure of real and nominal risk-free rates. In our framework the agent is subject to time-varying macroeconomic risk and interest rates at all maturities depend on her risk perception which shape saving propensities over time. In bad times, when risk is perceived to be higher in the short- than the long-term, the agent would prefer to hedge against low realizations of consumption in the near future by investing in long-term securities. This determines, in equilibrium, the inversion of the yield curve. Pricing time-varying consumption volatility risk is essential for obtaining the inversion of the real curve and allows to price the average level and slope of the nominal one.Consumption volatility risk and the inversion of the yield curveECBFull texthttps://www.ecb.europa.eu//pub/pdf/scpwps/ecb.wp2141.en.pdfFilippo NatoliAdriana GrassoAdriana Grasso and Filippo Natoli2018-04European Central Bank Working PapersG12Consumption volatility risk and the inversion of the yield curve
http://www.bancaditalia.it/pubblicazioni/temi-discussione/2018/2018-1169/en_tema_1169.pdf
Bank of Italy Working Papers by Adriana Grasso and Filippo NatoliConsumption volatility risk and the inversion of the yield curve2018-03-28T11:30:28ZWe propose a consumption-based model that allows for an inverted term structure of real and nominal risk-free rates. In our framework the agent is subject to time-varying macroeconomic risk, and interest rates at all maturities depend on her risk perception, which shapes saving propensities over time. In bad times, when risk is perceived to be higher in the short- than in the long-term, the agent would prefer to hedge against low realizations of consumption in the near future by investing in long-term securities. In equilibrium, this leads to the inversion of the yield curve. Pricing time-varying consumption volatility risk is essential in order to obtain the inversion of the real curve and allows the average level and the slope of the nominal level to be priced.Consumption volatility risk and the inversion of the yield curveFull texthttp://www.bancaditalia.it/pubblicazioni/temi-discussione/2018/2018-1169/en_tema_1169.pdfFilippo NatoliAdriana GrassoAdriana Grasso and Filippo Natoli2018-03Bank of Italy Working PapersG12