Andrea Pescatori |

Economist

Andrea Pescatori, Economist

Andrea Pescatori is an economist in the Research Department of the Federal Reserve Bank of Cleveland. His major fields of interest are monetary and fiscal policy, macroeconometrics, asset prices, real estate, and international finance. He holds a Ph.D. in economics from Universitat Pompeu Fabra–Barcelona.

  • Fed Publications
  • Other Publications
  • Work in Progress
Title Date Publication Author(s) Type
Workshop on Methods and Application of Dynamic Stochastic General Equilibrium Models

 

 October, 2008 Andrea Pescatori; Workshops
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The Great Moderation: Good Luck, Good Policy, or Less Oil Dependence?

 

 March, 2008 Federal Reserve Bank of Cleveland, Economic Commentary Andrea Pescatori; Economic Commentary
Abstract: Three explanations have been suggested for the moderation in real GDP and inflation that has occurred in industrialized countries since the 1980s: good luck, better monetary policy, and structural changes in the economy. Recent research finds that better monetary policy explains most of the moderation in inflation, and good luck and the less-intensive use of oil (a structural change) have played a major role in the moderation of GDP.
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Oil and the Great Moderation

 

 November, 2007 Federal Reserve Bank of Cleveland, Working Paper no. 0717 Andrea Pescatori; Anton Nakov; Working Papers
Abstract: We assess the extent to which the period of great U.S. macroeconomic stability since the mid-1980s can be accounted for by changes in oil shocks and the oil share in GDP. To do this we estimate a DSGE model with an oil-producing sector before and after 1984 and perform counterfactual simulations. We nest two popular explanations for the Great Moderation: (1) smaller (non-oil) real shocks; and (2) better monetary policy. We find that the reduced oil share accounted for as much as one-third of the inflation moderation and 13% of the growth moderation, while smaller oil shocks accounted for 11% of the inflation moderation and 7% of the growth moderation. This notwithstanding, better monetary policy explains the bulk of the inflation moderation, while most of the growth moderation is explained by smaller TFP shocks.
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Inflation-Output Gap Trade-off with a Dominant Oil Supplier

 

 October, 2007 Federal Reserve Bank of Cleveland, Working Paper no. 0710 Andrea Pescatori; Anton Nakov; Working Papers
Abstract: An exogenous oil price shock raises inflation and contracts output, similar to a negative productivity shock. In the standard New Keynesian model, however, this does not generate any trade-off between inflation and output gap volatility: under a strict inflation-targeting policy, the output decline is exactly equal to the efficient output contraction in response to the shock. Modeling the oil sector from optimizing first principles rather than assuming an exogenous oil price, we show that the presence of a dominant oil supplier (OPEC) leads to inefficient fluctuations in the oil price markup. The latter reflects a dynamic distortion of the production process, and as a result, stabilizing inflation does not automatically stabilize the distance of output from first-best. Our model is a step away from discussing the effects of exogenous oil price changes and toward analyzing the implications of the underlying shocks that cause the oil price to change in the first place.
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Incomplete Markets and Households' Exposure to Interest Rate and Inflation Risk: Implications for the Monetary Policy Maker

 

 October, 2007 Federal Reserve Bank of Cleveland, Working Paper no. 0709 Andrea Pescatori; Working Papers
Abstract: The present paper studies optimal monetary policy when the representative agent assumption is abandoned and financial wealth heterogeneity across households is introduced. Incomplete markets make households incapable of perfectly insuring against interest rate and inflation risk, creating a trade-off between price level and debt-servicing stabilization. We derive a welfare-based loss function for the policymaker, which includes an additional target related to the cross-sectional distribution of household debt. The extent of the deviation from price stability depends on the initial level of debt dispersion. Using U.S. microdata to calibrate the model, we find an optimal inflation volatility equal to almost 20 percent of the actual volatility of the last 15 years. Finally, the paper studies the design of optimal simple implementable rules. Superinertial rules, which imply a hump-shaped interest rate response to shocks, significantly outperform standard rules.
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Title Date Publication Author(s) Type
Are Debt Crises Adequately Defined?

 

 October, 2007 IMF Staff Papers (2007) 54, 306-337 Andrea Pescatori; A Sy; Working Paper, Other
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Title Date Publication Author(s) Type
Competition among Exchanges and Enforcement Policy

 

 November, 2007 Andrea Pescatori; Cecilia Caglio; Unpublished manuscript
Abstract: We examine a model where two self-regulatory organizations (SROs) compete for trading volume by setting an enforcement policy and transaction fees. Brokers execute transactions on the behalf of investors but the transaction cash flows are brokers' private information. SROs have access to a monitoring technology and can invest resources to verify brokers misconduct. Relative to a monopolistic case, we show that competition reduces transaction fees but gives rise to a race to the bottom in enforcement policies, at the only advantages of brokers' rent. When investors have imperfect information about the actual SROs monitoring technology, competition may lead to frauds and reduce investors participation.
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Inflation-Output Gap Trade-off with a Dominant Oil Supplier

 

 January, 2007 Andrea Pescatori; Anton Nakov; Working Paper, Other
Abstract: An exogenous oil price shock raises inflation and contracts output, similar to a negative productivity shock. In the standard New Keynesian model, however, this does not generate any trade-off between inflation and output gap volatility: under a strict inflation-targeting policy, the output decline is exactly equal to the efficient output contraction in response to the shock. Modeling the oil sector from optimizing first principles rather than assuming an exogenous oil price, we show that the presence of a dominant oil supplier (OPEC) leads to inefficient fluctuations in the oil price markup. The latter reflects a dynamic distortion of the production process, and as a result, stabilizing inflation does not automatically stabilize the distance of output from first-best. Our model is a step away from discussing the effects of exogenous oil price changes and toward analyzing the implications of the underlying shocks that cause the oil price to change in the first place.
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Credit Friction, Housing Prices and Optimal Monetary Policy Rules

 

 January, 2004 WP04/42 Universitá Roma Andrea Pescatori; Caterina Mendicino; Working Paper, Other
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Fiscal Spillover in a Monetary Union

 

 January, 2004 Andrea Pescatori; M Pisani; Working Paper, Other
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Debt Crises and the Development of International Capital Markets

 

 January, 2004 IMF working papers, no. WP04/44 Andrea Pescatori; A Sy; Working Paper, Other
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Monetary Externalities in a New Keynesian Model

 

 January, 2003 SSE/UPF Andrea Pescatori; Caterina Mendicino; Mimeo
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Housing Prices and Monetary Policy in a Limited Participation Model

 

 January, 2002 SSE/UPF Andrea Pescatori; Caterina Mendicino; Mimeo
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The Role of Money in a New Keynesian Model: Bayesian Estimation of a Small DSGE Model

 

 January, 1900 SSE/UPF Andrea Pescatori; Caterina Mendicino; Mimeo
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