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Kezdőlap Média Kisokos Kutatás és publikációk Statisztika Monetáris politika Az €uro Fizetésforgalom és piacok Karrier
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Claudia Foroni

Economics

Division

Supply Side, Labour and Surveillance

Current Position

Senior Economist

Fields of interest

Macroeconomics and Monetary Economics,Mathematical and Quantitative Methods

Email

Claudia.Foroni@ecb.europa.eu

Other current responsibilities
2021-

Associate Editor, Journal of Business and Economic Statistics

2019-

CEPR Research Affiliate, Monetary Economics and Fluctuations programme

Education
2008-2012

PhD Economics, European University Institute, Florence, Italy

2005-2007

MA Economic and Social Sciences, Bocconi University, Milan, Italy

2002-2005

BA Economic and Social Sciences, Bocconi University, Milan, Italy

Professional experience
2020-

Senior Economist - Supply Side, Labour and Surveillance Division, Directorate General Economics, European Central Bank

2018-2019

Economist - Supply Side, Labour and Surveillance Division, Directorate General Economics, European Central Bank

2017-2018

Researcher - Reseach Centre, Deutsche Bundesbank

2016-2017

Economist (ESCB/IO) - International Policy Analysis, Directorate General International and European Relations, European Central Bank

2012-2016

Researcher - Research Department, Norges Bank

Teaching experience
2014-2015

Econometrics - University of Oslo, Oslo, Norway

7 June 2024
ECONOMIC BULLETIN - BOX
Economic Bulletin Issue 4, 2024
Details
Abstract
Since the end of the pandemic, employment dynamics in the euro area have been significantly stronger than economic activity. The fall in real wages has been key in supporting employment growth following the energy crisis in Europe: real wage growth has been lower than productivity growth, bolstering job creation and leading to labour hoarding. Looking through the lens of an empirical model that explains deviations from historical regularities, we find that a key factor which has helped employment growth decouple from output dynamics is a substitution effect across production inputs in favour of labour. Employment dynamics have also been sustained by demand-side factors, including fiscal policy, as well as by labour market-specific effects related to fewer hours worked per worker. Given the temporary nature of these factors, much of the recent fall in productivity – measured as output per worker – is likely to be reversed in the coming years.
JEL Code
E24 : Macroeconomics and Monetary Economics→Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy→Employment, Unemployment, Wages, Intergenerational Income Distribution, Aggregate Human Capital
J21 : Labor and Demographic Economics→Demand and Supply of Labor→Labor Force and Employment, Size, and Structure
4 August 2023
WORKING PAPER SERIES - No. 2840
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Abstract
We propose a Bayesian VAR model with stochastic volatility and time varying skewness to estimate the degree of labour at risk in the euro area and in the United States. We model the asymmetry of the shocks to changes in the unemployment rate as a function of real activity and financial risk factors. We find that the conditional distribution of the changes in the unemployment rate displays time-varying volatility and skewness, with peaks coinciding with the Global Financial Crisis and the COVID-19 pandemic. We take advantage of the multivariate nature of our parametric model to measure stagflation risk defined as the possible joint event of large increases in the unemployment rate and large annual rates of inflation. We find an increasing risk of stagflation for the euro area in 2022 while in the United States stagflation risk increased earlier in 2021 and started decreasing more recently. Notwithstanding the significantly high levels of inflation, stagflation risks have been contained by the resilient performance of the labour market in both areas. The degree of labour at risk is therefore important for the assessment of the inflation-unemployment trade-off.
JEL Code
C32 : Mathematical and Quantitative Methods→Multiple or Simultaneous Equation Models, Multiple Variables→Time-Series Models, Dynamic Quantile Regressions, Dynamic Treatment Effect Models, Diffusion Processes
C53 : Mathematical and Quantitative Methods→Econometric Modeling→Forecasting and Prediction Methods, Simulation Methods
E24 : Macroeconomics and Monetary Economics→Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy→Employment, Unemployment, Wages, Intergenerational Income Distribution, Aggregate Human Capital
E27 : Macroeconomics and Monetary Economics→Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy→Forecasting and Simulation: Models and Applications
5 August 2022
WORKING PAPER SERIES - No. 2699
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Abstract
Despite its stability over time, as for any statistical relationship, Okun’s law is subject to deviations that can be large at times. In this paper, we provide a mapping between residuals in Okun’s regressions and structural shocks identified with a SVAR model by inspecting how unemployment responds to the state of the economy. We show that deviations from Okun’s law are a natural and expected outcome once one takes a multi-shock perspective, as long as shocks to automation, labour supply and structural factors in the labour market are taken into account. Our simple recipe for policy makers is that, if a positive deviation from Okun’s law arises, it is likely to be generated by either positive labour supply or automation shocks or by negative structural factors shocks.
JEL Code
E24 : Macroeconomics and Monetary Economics→Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy→Employment, Unemployment, Wages, Intergenerational Income Distribution, Aggregate Human Capital
E32 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→Business Fluctuations, Cycles
C32 : Mathematical and Quantitative Methods→Multiple or Simultaneous Equation Models, Multiple Variables→Time-Series Models, Dynamic Quantile Regressions, Dynamic Treatment Effect Models, Diffusion Processes
11 February 2022
WORKING PAPER SERIES - No. 2637
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Abstract
We use mixed-frequency (quarterly-monthly) data to estimate a dynamic stochastic general equilibrium model embedded with the financial accelerator mechanism à la Bernanke et al. (1999). We find that the financial accelerator can work very differently at monthly frequency compared to the quarterly frequency, i.e. we document its inversion. That is because aggregating monthly data into quarterly leads to large biases in the estimated quarterly parameters and, as a consequence, to a deep change in the transmission of shocks.
JEL Code
C52 : Mathematical and Quantitative Methods→Econometric Modeling→Model Evaluation, Validation, and Selection
E32 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→Business Fluctuations, Cycles
E52 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Monetary Policy
8 October 2021
WORKING PAPER SERIES - No. 2601
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Abstract
We introduce a Bayesian Mixed-Frequency VAR model for the aggregate euro area labour market that features a structural identification via sign restrictions. The purpose of this paper is twofold: we aim at (i) providing reliable and timely forecasts of key labour market variables and (ii) enhancing the economic interpretation of the main movements in the labour market. We find satisfactory results in terms of forecasting, especially when looking at quarterly variables, such as employment growth and the job finding rate. Furthermore, we look into the shocks that drove the labour market and macroeconomic dynamics from 2002 to early 2020, with a first insight also on the COVID-19 recession. While domestic and foreign demand shocks were the main drivers during the Global Financial Crisis, aggregate supply conditions and labour supply factors reflecting the degree of lockdown-related restrictions have been important drivers of key labour market variables during the pandemic.
JEL Code
J6 : Labor and Demographic Economics→Mobility, Unemployment, Vacancies, and Immigrant Workers
C53 : Mathematical and Quantitative Methods→Econometric Modeling→Forecasting and Prediction Methods, Simulation Methods
C32 : Mathematical and Quantitative Methods→Multiple or Simultaneous Equation Models, Multiple Variables→Time-Series Models, Dynamic Quantile Regressions, Dynamic Treatment Effect Models, Diffusion Processes
C11 : Mathematical and Quantitative Methods→Econometric and Statistical Methods and Methodology: General→Bayesian Analysis: General
21 September 2021
OCCASIONAL PAPER SERIES - No. 266
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Abstract
The digitalisation workstream report analyses the degree of digital adoption across the euro area and EU countries and the implications of digitalisation for measurement, productivity, labour markets and inflation, as well as more recent developments during the coronavirus (COVID-19) pandemic and their implications. Analysis of these key issues and variables is aimed at improving our understanding of the implications of digitalisation for monetary policy and its transmission. The degree of digital adoption differs across the euro area/EU, implying heterogeneous impacts, with most EU economies currently lagging behind the United States and Japan. Rising digitalisation has rendered price measurement more challenging, owing to, among other things, faster changes in products and product quality, but also new ways of price setting, e.g. dynamic or customised pricing, and services that were previously payable but are now “free”. Despite the spread of digital technologies, aggregate productivity growth has decreased in most advanced economies since the 1970s. However, it is likely that without the spread of digital technologies the productivity slowdown would have been even more pronounced, and the recent acceleration in digitalisation is likely to boost future productivity gains from digitalisation. Digitalisation has spurred greater automation, with temporary labour market disruptions, albeit unevenly across sectors. The long-run employment effects of digitalisation can be benign, but its effects on wages and labour share depend on the structure of the economy and its labour market institutions. The pandemic has accelerated the use of teleworking: roughly every third job in the euro area/EU is teleworkable, although there are differences across countries. ...
JEL Code
E24 : Macroeconomics and Monetary Economics→Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy→Employment, Unemployment, Wages, Intergenerational Income Distribution, Aggregate Human Capital
E31 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→Price Level, Inflation, Deflation
E32 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→Business Fluctuations, Cycles
O33 : Economic Development, Technological Change, and Growth→Technological Change, Research and Development, Intellectual Property Rights→Technological Change: Choices and Consequences, Diffusion Processes
O57 : Economic Development, Technological Change, and Growth→Economywide Country Studies→Comparative Studies of Countries
6 January 2021
ECONOMIC BULLETIN - ARTICLE
Economic Bulletin Issue 8, 2020
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Abstract
This article analyses labour market developments in the euro area since the onset of the coronavirus (COVID-19) pandemic. Total hours worked declined sharply in the first half of 2020. However, employment and unemployment reacted only weakly to the marked fall in GDP, as many workers remained employed under job retention schemes. These contributed to a fall in compensation per employee and an increase in compensation per hour worked. Participation in the labour force also dropped substantially, more than offsetting the increase observed since mid-2013. An analysis of the decomposition of labour market shocks via a sign-restricted structural vector-autoregressive model shows that both supply and demand shocks contributed to the decline in total hours worked. High-frequency indicators on hiring rates and job postings have declined sharply since April and continue to indicate a depressed level of labour demand. However, employment and hours worked recovered somewhat in the third quarter. Nonetheless, the COVID-19 pandemic is having a heterogeneous impact on employment across euro area countries and there is the risk of a further increase in geographic divergence in euro area labour markets. Temporary employees, the young and workers with low levels of education were the most affected, while teleworking may have played a role in supporting employment and hours worked for some workers in certain sectors. Activity sectors such as trade and transport and recreation activities have been disproportionately affected, with the largest decreases in hours worked. However, it is too early to assess the extent to which the pandemic will affect the need for labour reallocation across sectors, tasks and occupations.
JEL Code
E24 : Macroeconomics and Monetary Economics→Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy→Employment, Unemployment, Wages, Intergenerational Income Distribution, Aggregate Human Capital
E65 : Macroeconomics and Monetary Economics→Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook→Studies of Particular Policy Episodes
18 September 2020
WORKING PAPER SERIES - No. 2468
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Abstract
We consider simple methods to improve the growth nowcasts and forecasts obtained by mixed frequency MIDAS and UMIDAS models with a variety of indicators during the Covid-19 crisis and recovery period, such as combining forecasts across various specifications for the same model and/or across different models, extending the model specification by adding MA terms, enhancing the estimation method by taking a similarity approach, and adjusting the forecasts to put them back on track by a specific form of intercept correction. Among all these methods, adjusting the original nowcasts and forecasts by an amount similar to the nowcast and forecast errors made during the financial crisis and following recovery seems to produce the best results for the US, notwithstanding the different source and characteristics of the financial crisis. In particular, the adjusted growth nowcasts for 2020Q1 get closer to the actual value, and the adjusted forecasts based on alternative indicators become much more similar, all unfortunately indicating a much slower recovery than without adjustment and very persistent negative effects on trend growth. Similar findings emerge also for the other G7 countries.
JEL Code
C53 : Mathematical and Quantitative Methods→Econometric Modeling→Forecasting and Prediction Methods, Simulation Methods
E37 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→Forecasting and Simulation: Models and Applications
18 June 2020
ECONOMIC BULLETIN - BOX
Economic Bulletin Issue 4, 2020
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Abstract
This box examines regional developments in labour input within the euro area since the peak in economic activity before the global financial crisis (GFC). It reveals that the increase in total hours worked during the recovery that followed the GFC was greater than the decline during the recession only for regions at the top of the GDP per capita distribution. Overall, the evolution of total hours worked in the euro area between 2007 and 2018 was quite heterogeneous across regions, with hours worked being more insulated from the fall in GDP in richer regions during the recession period and poorer regions not converging with their richer counterparts during the recovery that followed. The smaller decline in total hours worked in the richer regions during the downturn and the similar growth rates observed during the recovery are the main sources of the regional heterogeneity in the time pattern of total hours worked, and can be attributed to changes in the employment rate, to the decline in average hours worked during the recession period, and to the stability of regional differences in population growth during both periods, with the latter factor being consistent with labour migrating from poorer to richer regions.
JEL Code
E24 : Macroeconomics and Monetary Economics→Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy→Employment, Unemployment, Wages, Intergenerational Income Distribution, Aggregate Human Capital
17 June 2020
ECONOMIC BULLETIN - BOX
Economic Bulletin Issue 4, 2020
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Abstract
This box reviews recent developments in short-time work and temporary lay-off schemes in the five largest euro area countries. It then calculates wage replacement rates and estimates take-up rates. Combining wage replacement rates with the estimated number of participants makes it possible to calculate the impact of short-time work on household disposable income. The box concludes that short-time work and temporary lay-off measures are significantly buffering the impact of COVID-19 on households’ disposable income.
JEL Code
E24 : Macroeconomics and Monetary Economics→Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy→Employment, Unemployment, Wages, Intergenerational Income Distribution, Aggregate Human Capital
E65 : Macroeconomics and Monetary Economics→Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook→Studies of Particular Policy Episodes
16 August 2019
WORKING PAPER SERIES - No. 2309
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Abstract
We focus on the implications of the shale oil boom for the global supply of oil. We begin with a stylized model with two producers, one facing low production costs and one higher production costs but potentially lower adjustment costs, competing à la Stackelberg. We find that the supply function is flatter for the high cost producer, and that the supply function for shale oil producers becomes more responsive to demand shocks when adjustment costs decline. On the empirical side, we apply an instrumental variable approach using estimates of demand-driven oil price changes derived from a standard structural VAR of the oil market. A main finding is that global oil supply is rather vertical, practically all the time. Moreover, for the global oil market as a whole, we do not find evidence of a major shift to a more price elastic supply as a result of the shale oil boom.
JEL Code
Q33 : Agricultural and Natural Resource Economics, Environmental and Ecological Economics→Nonrenewable Resources and Conservation→Resource Booms
Q41 : Agricultural and Natural Resource Economics, Environmental and Ecological Economics→Energy→Demand and Supply, Prices
Q43 : Agricultural and Natural Resource Economics, Environmental and Ecological Economics→Energy→Energy and the Macroeconomy
C32 : Mathematical and Quantitative Methods→Multiple or Simultaneous Equation Models, Multiple Variables→Time-Series Models, Dynamic Quantile Regressions, Dynamic Treatment Effect Models, Diffusion Processes
20 March 2019
WORKING PAPER SERIES - No. 2250
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Abstract
We analyse the importance of macroeconomic information, such as industrial production index and oil price, for forecasting daily electricity prices in two of the main European markets, Germany and Italy. We do that by means of mixed-frequency models, introducing a Bayesian approach to reverse unrestricted MIDAS models (RU-MIDAS). We study the forecasting accuracy for different horizons (from 1 day ahead to 28 days ahead) and by considering different specifications of the models. We find gains around 20% at short horizons and around 10% at long horizons. Therefore, it turns out that the macroeconomic low frequency variables are more important for short horizons than for longer horizons. The benchmark is almost never included in the model confidence set.
JEL Code
C11 : Mathematical and Quantitative Methods→Econometric and Statistical Methods and Methodology: General→Bayesian Analysis: General
C53 : Mathematical and Quantitative Methods→Econometric Modeling→Forecasting and Prediction Methods, Simulation Methods
Q43 : Agricultural and Natural Resource Economics, Environmental and Ecological Economics→Energy→Energy and the Macroeconomy
Q47 : Agricultural and Natural Resource Economics, Environmental and Ecological Economics→Energy→Energy Forecasting
22 November 2018
WORKING PAPER SERIES - No. 2206
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Abstract
Temporal aggregation in general introduces a moving average (MA) component in the aggregated model. A similar feature emerges when not all but only a few variables are aggregated, which generates a mixed frequency model. The MA component is generally neglected, likely to preserve the possibility of OLS estimation, but the consequences have never been properly studied in the mixed frequency context. In this paper, we show, analytically, in Monte Carlo simulations and in a forecasting application on U.S. macroeconomic variables, the relevance of considering the MA component in mixed-frequency MIDAS and Unrestricted-MIDAS models (MIDAS-ARMA and UMIDAS-ARMA). Specifically, the simulation results indicate that the short-term forecasting performance of MIDAS-ARMA and UMIDAS-ARMA is better than that of, respectively, MIDAS and UMIDAS. The empirical applications on nowcasting U.S. GDP growth, investment growth and GDP deflator inflation confirm this ranking. Moreover, in both simulation and empirical results, MIDAS-ARMA is better than UMIDAS-ARMA.
JEL Code
E37 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→Forecasting and Simulation: Models and Applications
C53 : Mathematical and Quantitative Methods→Econometric Modeling→Forecasting and Prediction Methods, Simulation Methods
2024
European Economic Review
Labour-at-risk
  • Botelho, V., Foroni, C. and Renzetti, A.
2023
Oxford Bulletin of Economics and Statistics
A mixed frequency BVAR for the euro area labour market
  • Consolo, A., Foroni, C. and Martínez Hernández, C.
2023
Economic Modelling
Forecasting daily electricity prices with monthly macroeconomic variables
  • Foroni, C., Ravazzolo, F. and Rossini, L.
2022
Journal of Applied Econometrics
The shale oil revolution and the global supply curve
  • Foroni, C. and Stracca, L.
2022
International Journal of Forecasting
Forecasting the Covid-19 recession and recovery: Lessons from the financial crisis
  • Foroni, C., Marcellino, M. and Stevanovic, S.
2019
Journal of Applied Econometrics
MIDAS models and MA components
  • Foroni, C., Marcellino, M. and Stevanovic, S.
2018
Annals of Applied Statistics
Uncertainty through the lenses of a mixed-frequency Bayesian panel Markov switching model
  • Casarin, R., Foroni, C., Marcellino, M. and Ravazzolo, F.
2018
International Journal of Forecasting
Using low frequency information for predicting high frequency variables
  • Foroni, C., Guerin, P. and Marcellino, M.
2018
International Economic Review
Labor Supply Factors and Economic Fluctuations
  • Foroni, C., Furlanetto, F. and Lepetit, A.
2018
Journal of International Money and Finance
Assessing the predictive ability of sovereign default risk on exchange rates
  • Foroni, C., Ravazzolo, F. and Sadaba, B.
2017
International Journal of Computational Economics and Econometrics
A daily indicator of economic conditions
  • Aprigliano, V., Mazzi, G., Foroni, C., Marcellino, M. and Venditti, F.
2017
Journal of Applied Econometrics,
Density forecasts with MIDAS models
  • Aastveit, K.A., Foroni, C. and Ravazzolo, F.
2017
Economics Letters
Time-varying Effects Of Oil Price Shocks On U.S. Stock Returns
  • Foroni, C., Guerin, P. and Marcellino, M.
2016
Journal of the Royal Statistical Society – Series A
Mixed frequency Structural VARs
  • Foroni, C. and Marcellino, M.
2015
Journal of the Royal Statistical Society – Series A
U-MIDAS: MIDAS regressions with unrestricted lag polynomials
  • Foroni, C., Marcellino, M. and Schumacher, C.
2015
International Journal of Forecasting
Markov-switching Mixed Frequency Vector Autoregression Models
  • Foroni, C., Guerin, P. and Marcellino, M.
2014
International Journal of Forecasting
A Comparison of Mixed Frequency Approaches for Nowcasting Euro Area Macroeconomic aggregates
  • Foroni, C. and Marcellino, M.
2014
Journal of Applied Econometrics
Mixed-Frequency Structural Models: Identification, Estimation, and Policy Analysis
  • Foroni, C. and Marcellino, M.
2013
Advances in Econometrics
Mixed-frequency vector autoregressive models
  • Foroni, C., Ghysels, E. and Marcellino, M.