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Dive into the research topics where Mirko Abbritti is active.

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Featured researches published by Mirko Abbritti.


Global Factors in the Term Structure of Interest Rates | 2013

Global Factors in the Term Structure of Interest Rates

Mirko Abbritti; Salvatore Dell'Erba; ​Antonio Moreno; Sergio Sola

This paper introduces global factors within a FAVAR framework in an empirical affine term structure model. We apply our method to a panel of international yield curves and show that global factors account for more than 80 percent of term premia in advanced economies. In particular they tend to explain long-term dynamics in yield curves, as opposed to domestic factors which are instead more relevant to short-run movements. We uncover the key role for global curvature in shaping term premia dynamics. We show that this novel factor precedes global economic and financial instability. In particular, it coincides with immediate expectations of permanent expansionary monetary policy during the recent crisis.


Social Science Research Network | 2017

Term Premium and Quantitative Easing in a Fractionally Cointegrated Yield Curve

Mirko Abbritti; Hector Carcel; Luis A. Gil-Alana; Antonio Moreno

The co-movement of US sovereign rates suggests a long-run common stochastic trend. Traditional cointegrated systems need to assume that interest rates are unit roots and thus imply non-stationary and non-mean-reverting dynamics. Based on recent econometric developments, we postulate and estimate a fractional cointegrated model (FCVAR) which allows for a mean-reverting stochastic trend. Our results point to the presence of such mean-reverting fractional cointegration among sovereign rates. The implied term premium is less volatile than the classic I(0) stationary and I(1) unit root models. Our analysis highlights the role of real factors (but not inflation) in shaping term premium dynamics. We further identify the dynamic effects of quantitative easing policies on our identified term premium. In contrast to the stationary-implied term premium, we find a significant term premium decline following these large-scale asset purchase programs. JEL Classification: C2, C3, E4, G1The co-movement of US sovereign rates suggests a long-run common stochastic trend. Traditional cointegrated systems need to assume that interest rates are unit roots and thus imply non-stationary and non-mean-reverting dynamics. Based on recent econometric developments, we postulate and estimate a fractional cointegrated model (FCVAR) which allows for a mean-reverting stochastic trend. Our results point to the presence of such mean-reverting fractional cointegration among sovereign rates. The implied term premium is less volatile than the classic I(0) stationary and I(1) unit root models. Our analysis highlights the role of real factors (but not in flation) in shaping term premium dynamics. We further identify the dynamic effects of quantitative easing policies on our identified term premium. In contrast to the stationary-implied term premium, we find a significant term premium decline following these large-scale asset purchase programs.


Review of Economics and Institutions | 2012

Labour market imperfections,"Divine coincidence" and volatility of employment and inflation

Mirko Abbritti; Andrea Boitani; Mirella Damiani


Journal of Monetary Economics | 2013

Downward wage rigidity and business cycle asymmetries

Mirko Abbritti; Stephan Fahr


Archive | 2010

Labor Market Institutions and the Business Cycle: Unemployment Rigidities vs. Real Wage Rigidities

Mirko Abbritti; Sebastian Weber


Journal of Financial Econometrics | 2016

Term Structure Persistence

Mirko Abbritti; Luis A. Gil-Alana; Yuliya Lovcha; Antonio Moreno


Journal of Money, Credit and Banking | 2013

Asymmetric Labor Market Institutions in the Emu and the Volatility of Inflation and Unemployment Differentials

Mirko Abbritti; Andreas I. Mueller


Archive | 2008

Labor Market Rigidities and the Business Cycle: Price vs. Quantity Restricting Institutions

Mirko Abbritti; Sebastian Weber


wp.comunite | 2011

Macroeconomic Implications of Downward Wage Rigidities

Mirko Abbritti; Stephan Fahr


Archive | 2012

Product Market Frictions, Bargaining and Pass-Through

Mirko Abbritti

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Andrea Boitani

Catholic University of the Sacred Heart

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Sebastian Weber

International Monetary Fund

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