Andrea Tamoni
Biographic Data
| ID | 5868621 |
|---|---|
| NAME | Andrea Tamoni |
| GIVEN NAMES | Andrea |
| FAMILY NAME | Tamoni |
| SIGNATURE | TAMONI A |
| AFFILIATIONS | Federal Reserve Board of Governors |
| ORCID | 0000-0002-7017-7624 |
| VERIFIED | Yes |
| TOTAL WORKS | 2 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 2 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2020 |
| LATEST PUBLICATION YEAR | 2023 |
| H-INDEX | 0 |
When It Rains It Pours
The effects of uncertainty shocks are superadditive. On the basis of local projections, we find that the combination of nearby positive shocks can be multiple times more powerful than the sum of their stand-alone effects. In a standard New Keynesian dynamic stochastic general equilibrium model, uncertainty shocks are proven to be superadditive only when the model is solved under fourth- (or higher-)order perturbation. The fourth-order solution un…
Implications of Return Predictability for Consumption Dynamics and Asset Pricing
Two broad classes of consumption dynamics—long-run risks and rare disasters—have proven successful in explaining the equity premium puzzle when used in conjunction with recursive preferences. We show that bounds a-là Gallant, Hansen, and Tauchen that restrict the volatility of the stochastic discount factor by conditioning on a set of return predictors constitute a useful tool to discriminate between these alternative dynamics. In particular, we …
No prominent works on this page.
Implications of Return Predictability for Consumption Dynamics and Asset Pricing
Two broad classes of consumption dynamics—long-run risks and rare disasters—have proven successful in explaining the equity premium puzzle when used in conjunction with recursive preferences. We show that bounds a-là Gallant, Hansen, and Tauchen that restrict the volatility of the stochastic discount factor by conditioning on a set of return predictors constitute a useful tool to discriminate between these alternative dynamics. In particular, we …
When It Rains It Pours
The effects of uncertainty shocks are superadditive. On the basis of local projections, we find that the combination of nearby positive shocks can be multiple times more powerful than the sum of their stand-alone effects. In a standard New Keynesian dynamic stochastic general equilibrium model, uncertainty shocks are proven to be superadditive only when the model is solved under fourth- (or higher-)order perturbation. The fourth-order solution un…
Econometrics (2 works) · Economics (2 works) · Mathematics (2 works) · Basis (linear algebra (1 work) · Capital asset pricing model (1 work) · Complex Systems and Time Series Analysis (1 work) · Computer Science (1 work) · Consumption-based capital asset pricing model (1 work) · Economic theories and models (1 work) · Financial economics (1 work)