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Working Paper
The Effects of the War on Ukraine on Global Corporate Investment
Caldara, Dario; McHenry, Mike; Iacoviello, Matteo; Schott, Immo (2026-03-03)
We study the investment effects of the Russia-Ukraine war using a novel, text-based measure of firm-level exposure derived from earnings call transcripts. Combining this measure with financial statement data for over 6,500 firms across 50 countries, we show that exposure to the conflict led to sizable and persistent declines in corporate investment. Firms that discussed the war in early 2022 invested significantly less than otherwise similar firms. The results hold across multiple empirical strategies and highlight the role of geopolitical risk in shaping firm behavior during global crises.
International Finance Discussion Papers , Paper 1432

Working Paper
Housing and debt over the life cycle and over the business cycle
Pavan, Marina; Iacoviello, Matteo (2011)
We study housing and debt in a quantitative general equilibrium model. In the cross-section, the model matches the wealth distribution, the age pro.les of homeownership and mortgage debt, and the frequency of housing adjustment. In the time-series, the model matches the procyclicality and volatility of housing investment, and the procyclicality of mortgage debt. We use the model to conduct two experiments. First, we investigate the consequences of higher individual income risk and lower downpayments, and .nd that these two changes can explain, in the model and in the data, the reduced ...
International Finance Discussion Papers , Paper 1032

Working Paper
Housing and debt over the life cycle and over the business cycle
Pavan, Marina; Iacoviello, Matteo (2009)
This paper describes an equilibrium life-cycle model of housing where nonconvex adjustment costs lead households to adjust their housing choice infrequently and by large amounts when they do so. In the cross-sectional dimension, the model matches the wealth distribution; the age profiles of consumption, homeownership, and mortgage debt; and data on the frequency of housing adjustment. In the time-series dimension, the model accounts for the procyclicality and volatility of housing investment, and for the procyclical behavior of household debt.
Working Papers , Paper 09-12

Working Paper
Optimal Credit Market Policy
Iacoviello, Matteo; Nunes, Ricardo; Prestipino, Andrea (2025-05-09)
We study optimal credit market policy in a stochastic, quantitative, general equilibrium, infinite-horizon economy with collateral constraints tied to housing prices. Collateral constraints yield a competitive equilibrium that is Pareto inefficient. Taxing housing in good states and subsidizing it in recessions leads to a Pareto-improving allocation for borrowers and savers. Quantitatively, the welfare gains afforded by the optimal tax are significant. The optimal tax reduces the covariance of collateral prices with consumption, and, by doing so, it increases asset prices on average, thus ...
International Finance Discussion Papers , Paper 1406

Working Paper
Quantifying Deregulation and its Economic Effects: A Large Language Model Approach
Cascaldi-Garcia, Danilo; Iacoviello, Matteo (2026-03-06)
We construct a news-based index of deregulation for the United States from 1960 through 2025 using AI to semantically classify newspaper articles. We distinguish articles discussing deregulation from those discussing increased regulation, assigning intensity scores that reflect both the centrality of deregulatory content and whether articles discuss advocacy, proposals, or enacted measures. Human validation confirms strong agreement between AI and human classifications. The deregulation index captures major reform episodes including transportation and telecommunications liberalization in the ...
International Finance Discussion Papers , Paper 1433

Working Paper
Taxonomy of Global Risk, Uncertainty, and Volatility Measures
Datta, Deepa Dhume; Rodriguez, Marius del Giudice; Rogers, John H.; Londono, Juan M.; Jahan-Parvar, Mohammad; Ferreira, Thiago Revil T.; Iacoviello, Matteo; Beltran, Daniel O.; Sun, Bo; Li, Canlin (2017-11-21)
A large number of measures for monitoring risk and uncertainty surrounding macroeconomic and financial outcomes have been proposed in the literature, and these measures are frequently used by market participants, policy makers, and researchers in their analyses. However, risk and uncertainty measures differ across multiple dimensions, including the method of calculation, the underlying outcome (that is, the asset price or macroeconomic variable), and the horizon at which they are calculated. Therefore, in this paper, we review the literature on global risk, uncertainty, and volatility ...
International Finance Discussion Papers , Paper 1216

Discussion Paper
Lessons from the Co-movement of Inflation around the World
Cascaldi-Garcia, Danilo; Guerrieri, Luca; Iacoviello, Matteo; Modugno, Michele (2024-06-28)
The aftermath of the COVID-19 pandemic saw a surge in inflation around the world, reflecting rapid increases in the demand for goods, strained supply chains, tight labor markets, and sharp hikes in commodity prices exacerbated by the Russian war on Ukraine. As illustrated in figure 1, this inflation surge was synchronized across advanced and emerging economies, not only for total inflation but also for its core component.
FEDS Notes , Paper 2024-06-28

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