Journal Article
An international perspective on the recent behavior of inflation
De Pace, Pierangelo; Li, Li; Contessi, Silvio (2014)
Several commentators have been concerned about the possibility that the euro area may be experiencing disinflation with the risk of deflation. However, the euro area is not the only economy navigating the risky waters of low inflation. Several other advanced economies have recently experienced below-target inflation as well as some actual deflation. In this article, the authors collect data for nine advanced economies and document several facts about the behavior of inflation during the 2002-14 period. First, they show that the relationship between inflation rates and short-term rates ...
Review , Volume 96 , Issue 3 , Pages 267-294

Working Paper
Changes in the second-moment properties of disaggregated capital flows
De Pace, Pierangelo; Francis, Johanna L.; Contessi, Silvio (2010)
Using formal statistical tests, we detect (i) significant volatility increases for various types of capital flows for a period of changes in business cycle comovement among the G7 countries, and (ii) mixed evidence of changes in covariances and correlations with a set of macroeconomic variables.
Working Papers , Paper 2010-020

Working Paper
The (non-)resiliency of foreign direct investment in the United States during the 2007-2009 financial crisis
De Pace, Pierangelo; Contessi, Silvio (2011)
We study the contraction of Foreign Direct Investment (FDI) flows in the United States during the recent financial crisis and show their unusual non-resiliency, which depends in part on the global nature of the economic recession, but also on the increases in the cost of financing FDI in the economies in which the flows originate. To formally study the effects of external financial conditions on FDI in the United States, we exploit the three dimensions of a panel of U.S. inward FDI flows organized by recipient U.S. industries, source countries, and years for the recorded flows. Changes in the ...
Working Papers , Paper 2011-037

Working Paper
How did the financial crisis alter the correlations of U.S. yield spreads?
De Pace, Pierangelo; Guidolin, Massimo; Contessi, Silvio (2013)
We investigate the pairwise correlations of 11 U.S. fixed income yield spreads over a sample that includes the Great Financial Crisis of 2007-2009. Using cross-sectional methods and non- parametric bootstrap breakpoint tests, we characterize the crisis as a period in which pairwise correlations between yield spreads were systematically and significantly altered in the sense that spreads comoved with one another much more than in normal times. We find evidence that, for almost half of the 55 pairs under investigation, the crisis has left spreads much more correlated than they were previously. ...
Working Papers , Paper 2013-005

Working Paper
Mildly Explosive Dynamics in U.S. Fixed Income Markets
Contessi, Silvio; De Pace, Pierangelo; Guidolin, Massimo (2017-08-01)
We use a recently developed right-tail variation of the Augmented Dickey-Fuller unit root test to identify and date-stamp periods of mildly explosive behavior in the weekly time series of seven U.S. fixed income yield spreads between September 2002 and January 2015. We find statistically significant evidence of such behavior in six of these spreads. Mild explosivity migrates from short-term funding markets to more volatile medium- and long-term markets during the Great Financial Crisis. For some markets, we statistically validate the conjecture, originally suggested by Gorton (2009a,b), that ...
Globalization Institute Working Papers , Paper 324