VERA

National projects

Hi-Di NET
Econometric Analysis of High Dimensional Network Structures in Macroeconomics and Finance

High dimensional modelling and large dataset handling have gain attention in Economics and Finance, given also the recent surge of publicly available data. One of the key challenges of high-dimensional models is the complex interactions among variables and the inferential difficulty associated with handling large datasets. The project Hi-Di NET deals with the 3 key aspects for forecasting and structural analysis: network effects and interconnectedness; time variation in the relationships; large cross section of variables and high dimension databases. It is organised in 3 WPs dealing with: inclusion of network into time series analysis to deal with dynamics and time dependence; inference on observed and latent networks and identification issues; use of large datasets and related computational challenges. The aim is to develop novel multivariate econometric models and efficient methods suitable for high dimension databases and able to deal with network effects and time varying relationships.
From an applied perspective, the Hi-Di NET project will deal with the central theme of financial and macroeconomic stability, declined in 3 empirical vertical streams related to highly relevant topics: systemic risk, uncertainty impact and new fintech instruments.

Hi-Di NET  

Fin4Green
Finance for a Sustainable, Green and Resilient Society

Sustainable finance is witnessing unprecedented growth in the sheer value of assets and instruments that account for Environmental, Social and Governance (ESG) factors under various labelling schemes. Unprecedented regulatory developments have also unfolded in Europe (e.g., the introduction of the EU Taxonomy of sustainable activities) and correspondingly, a number of initiatives by financial supervisors have emerged at the global level. Measuring and managing risks related to the sustainability transition is a key scientific challenge with enormous societal impact since it is a precondition to our ability to build a more sustainable and resilient society. Fin4Green addresses this challenge by developing quantitative approaches, both in an econometric and finance perspectives, for a robust assessment and management of financial risks related to sustainability. The project aims to deliver actionable knowledge that can inform the design of policies to support the sustainability transition. This will allow to enable the pivotal role of the private finance sector towards a Sustainable, Green and Resilient Society, and to preserve the financial stability.

Fin4Green  

SELECT
Unfolding the SEcrets of LongEvity: Current Trends and future prospects

The rapid social, economic, and technological transformations characterizing our society in the recent years are producing several effects on many complex and dynamic processes of human health. The project focus in particular, on the recent upward trend in longevity, and on its relation with current and future morbidity and disability patterns. The joint analysis of such processes, which plays a key role in many public health systems, requires novel qualitative and quantitative paradigms. The main objective of the project SELECT is to explore the factors and mechanisms of longevity evolution in the recent years and link them with morbidity trends to foster healthy longevity. The goal of this project is to take a relevant step forward in addressing the above problems by relying on a highly interconnected and multidisciplinary team with experience in Demography, Epidemiology, Social Science and Data Science. The team will take advantage from the availability of several datasets to merge public health and epidemiological theories with a data-driven approach based on innovative models.

SELECT  

HEIRS
High-frequency Economic Indicators and Resilience of Society

This project will demonstrate how high-frequency (daily) electricity consumption data can be used to estimate the causal, short-run impact of exogenous shocks, such as COVID-19 on the economy. In the current uncertain economic conditions, timeliness is essential for effective policy making. 
Unlike official statistics, our approach can monitor virtually in real-time the level of economic activities, the impact of the containment policies and the extent of the recession. We will also be able to measure whether the monetary and fiscal stimuli introduced are effective in addressing the crisis.

HEIRS