Keynote Speaker

Claudio Morana
Professor of Economics, Università di Milano-Bicocca

Claudio Morana is Professor of Economics at Milan State University (Bicocca). Before moving to Milan University, he had been Assistant and then Associate Professor of Economics at the University of Eastern Piedmont (Novara), Research Fellow at the University of Turin and the International Centre for Economic Research (ICER, Turin), Lecturer at Heriot-Watt University (Edinburgh, UK) and Aberdeen University (Aberdeen, UK). He had been consultant for the European Central Bank and Fulbright Research Scholar at Michigan State University. He is an executive committee member of the Society for Nonlinear Dynamics and Econometrics, member of the Econometric Society and the Society for Financial Econometrics, and fellow of the Fondazione Eni Enrico Mattei (Milan), the Center for Research on Pensions and Welfare Policies (CeRP, Collegio Carlo Alberto, Moncalieri), the International Center for Economic Research (Turin) and the Euro Area Business Cycle Network (EABCN). His research interests include international finance, macroeconomics, time series econometrics and the macro-finance interface. He was born in Turin, graduated from the University of Turin, and received his Economics MSc from the University of Glasgow (Glasgow, UK) and PhD from the University of Aberdeen (Aberdeen, UK).

1) – I Modelli Lineari Simultanei in Econometria: Sviluppi di Metodo, Annali della Fondazione Luigi Einaudi, Vol. XXIX, 1995, pp.115-47.
2) – Substitution Possibilities for Energy in the Italian Economy: A General to Specific Econometric Analysis, Giornale degli Economisti, 1998, pp.325-58.
3) – Computing Value at Risk with High Frequency Data (with Beltratti, A.), Journal of Empirical Finance, 1999, 6, 431-55.
4) – Measuring Core Inflation in Italy (with Bagliano F.C.), Giornale degli Economisti, 1999, 58, 301-28.
5) – Modelling Evolving Long-Run Relationships: An Application to the Italian Energy Market, Scottish Journal of Political Economy, 2000, 47(1), pp. 72-93.
6) – Regulatory Uncertainty and Share Price Volatility: The Water Industry’s Periodic Price Review (with Sawkins, J.), Journal of Regulatory Economics, 2000, 17(1), pp. 87-100.
7) – Central Bank Interventions and Exchange Rates: An Analysis with High Frequency Data, (with Beltratti, A.), Journal of International Financial Markets, Institutions and Money, 2000, 10, 349-62.
8) – A Semi-Parametric Approach to Short-Run Oil Price Forecasting, Energy Economics, 2001, 23/3, 325- 38.
9) – Deterministic and Stochastic Methods for Estimation of Intra-day Seasonal Components with High Frequency Data (with Beltratti, A.), Economic Notes, 2001, 30(2), 205-34.
10) – The Effects of the Introduction of the Euro on the Volatility of European Stock Markets (with Beltratti, A.), Journal of Banking and Finance, 2002, 26(10), 2047-2064.
11) – Core Inflation in the Euro Area (with F.C. Bagliano e R. Golinelli), 2001, Applied Economics Letters, 2002, 9, 353-357.
12) – An Empirical Investigation of Long-Run Growth in the UK, Structural Change and Economic Dynamics, 2002, 13(1), 49-70.
13) – Stock Market Reaction to Regulatory Price Review in the English and Welsh Water Industry (with Sawkins, J.), 2002, Journal of Regulatory Economics, 22(2), 185-204.
14) – IGARCH Effects: an Interpretation, Applied Economics Letters, 2002, 9, 745-748.
15) – SuperExogeneity and Forecasting Energy Demand with High and Low Frequency Data (with McAvinchey, I.D.), Rivista Internazionale di Scienze Sociali, 2002, 4, 361-87.
16) – Common Persistent Factors in Inflation and Excess Nominal Money Growth and a New Measure of Core Inflation, Studies in Non Linear Dynamics and Econometrics, 2002, 6(3), art.3.
– Erratum: Common Persistent Factors in Inflation and Excess Nominal Money Growth and a New Measure of Core Inflation, Studies in Non Linear Dynamics and Econometrics, 2002, 6(3), art.5.
17) – A Common Trends Model of UK Core Inflation (with F.C. Bagliano), Empirical Economics, 2003, 28, 157-72.
18) – Measuring US Core Inflation: a Common Trends Approach (with F.C. Bagliano), Journal of Macroeconomics, 2003, 25, 197-212.
19) – Long-Run Growth and Income Distribution: Evidence from Italy and the US, Giornale degli Economisti, 2003, 62(2), 171-210.
20) – The Japanese Stagnation: an Assesment of the Productivity Slowdown Hypothesis, Japan and the World Economy, 2004, 16, 193-211.
21) – Monetary Policy and the Stock Market in the Euro Area (with Nuno Cassola), Journal of Policy Modeling, 2004, 26(3), 387-99.
22) -Structural Change and Long Range Dependence in Volatility of Exchange Rates: Either, Neither or Both? (with Beltratti, A.), Journal of Empirical Finance, 2004, 11, 629-58.
23) – Frequency Domain Principal Components Estimation of Fractionally Cointegrated Processes, Applied Economic Letters, 2004, 11, 837-42.
24) – Some Frequency Domain Properties of Fractionally Cointegrated Processes, Applied Economics Letters, 2004, 11, 891-94.
25) – Stock Market Volatility of Regulated Industries: an Empirical Assessment (with J. Sawkins), Portuguese Economic Journal, 2004, 3(3), 189-204.
26) – Regional Convergence in Italy: 1951-2000, Giornale degli Economisti, 2004, 63(2), 139-60.
27) – The Japanese Deflation: Has It Had Real Effects? Could It Have Been Avoided?, Applied Economics, 2005, 37, 1337-52.
28) – Frequency Domain Principal Components Estimation of Fractionally Cointegrated Processes: Some New Results and an Application to Stock Market Volatility, Physica A, 2005, 335, 165-175.
29) – Statistical Benefits of Value at Risk with Long Memory (with A. Beltratti), Journal of Risk, 2005, 7(4). 30) – Breaks and Persistency: Macroeconomic Causes of Stock Market Volatility (with A. Beltratti), Journal of Econometrics, 2006, 131, 151-177.
31) – Structural Breaks and Common Factors in the Volatility of the Fama-French Factor Portolios (with A. Beltratti), 2006, Applied Financial Economics, 16, 1-15.
32) – A Small Scale Macroeconometric Model for the Euro-12 Area, 2006, Economic Modelling, 23(3), 391- 426.
33) – The Price Stability Oriented Monetary Policy of the ECB: an Assessment, Applied Economics, 2006, 38, 2007-2020.
34) – Volatility of Interest Rates in the Euro Area: Evidence from High Frequency Data, (with N. Cassola), 2006, European Journal of Finance, 12, 529-52.
35) – Estimating Long Memory in the Mark-Dollar Exchange Rate with High Frequency Data (with A. Beltratti), 2006, Applied Financial Economics Letters, 6, 361-64.
36) – Inflation and Monetary Dynamics in the US: A Quantity-Theory Approach, (with F.C. Bagliano), 2007, Applied Economics, 39(2), 229-244.
37) – A Structural Common Factor Approach to Core Inflation Estimation and Forecasting, 2007, Applied Economics Letters, 14, 163-169.
38) – Does the Stock Market Affect Income Distribution? Some Empirical Evidence for the US (with A. Beltratti), 2007, Applied Economics Letters, 14, 99-104.
39) Structural Approach to Bidding in the Main Refinancing Operations of the Eurosystem (with N. Cassola and C. Ewerhart), 2007, Journal of Financial Transformation, 19, 81-90.
40) – The End of the Japanese Stagnation: An Assessment of the Policy Solutions, 2007, Qualitative and Quantitative Analysis in Social Sciences, 1(1), 43-62.
41) – Estimating, Filtering and Forecasting Realized Betas, 2007, The Journal of Financial Forecasting, 1, 83-111.
42) – Factor Demand Modelling: the Theory and the Practice, 2007, Applied Mathematical Sciences, 1 (31), 1519-1549.
43) – Multivariate Modelling of Long Memory Processes with Common Components, 2007, Computational Statistics and Data Analysis, 52, 919-934.
44) – Comovements in International Stock Markets (with A. Beltratti), 2008, Journal of International Financial Markets Institutions and Money, 18, 31-45.
45) Factor Vector Autoregressive Estimation: A New Approach (with F.C. Bagliano), 2008, Journal of Economic Interaction and Coordination, 3, 15-23.
46) – International Stock Markets Comovements: the Role of Economic and Financial Integration, 2008, Empirical Economics, 35, 333-359.
47) – Aggregate Hedge Funds Flows and Returns (with A. Beltratti), 2008, Applied Financial Economics, 18, 1755-1764.
48) – Net Inflows and Time-Varying Alphas: The Case of Hedge Funds (with A. Beltratti), 2008, Qualitative and Quantitative Analysis in Social Sciences, 2(3), 67-94.
49) – Medium-term Macroeconomic Determinants of Exchange Rate Volatility, 2008, Journal of Financial Transformation, 25, 55-64.
50) – Modelling Short-Term Interest Rate Spreads in the Euro Money Market (with Nuno Cassola), 2008, International Journal of Central Banking, 4, 1-39.
51) – An Omnibus Noise Filter, 2009, Computational Statistics, 24, 459-479.
52) – International Macroeconomic Dynamics: A Factor Vector Autoregressive Approach (con F.C. Bagliano), 2009, Economic Modelling, 26, 432-444.
53) – On the Macroeconomic Causes of Exchange Rate Volatility, 2009, International Journal of Forecasting, 25, 328-350.
54) – Realized Betas and the Cross-Section of Expected Returns, 2009, Applied Financial Economics, 19, 1371-1381.
55) – Modeling Long Memory and Structural Breaks in Conditional Variances: An Adaptive FIGARCH Approach (with R.T. Baillie), 2009, Journal of Economic Dynamics and Control, 33, 1577-1592.
56) – International house prices and macroeconomic fluctuations (with A. Beltratti), 2010, Journal of Banking and Finance, 34, 535-545.
57) – Comovements in Volatility in the Euro Money Market (with Nuno Cassola), 2010, Journal of International Money and Finance, 29, 525-39.
58) – Permanent and Transitory Dynamics in House Prices and Consumption: Some Implications for the Real Effects of the Financial Crisis (with F.C. Bagliano), 2010, Applied Financial Economics, 20, 151-170
59) – Business Cycle Comovements in the G-7: Common Shocks or Common Trasmission Mechanisms? (with F.C. Bagliano), 2010, Applied Economics, 42, 2327-2345.
60) – Realized Mean-Variance Efficient Portfolio Selection and Euro Area Stock Market Integration, 2010, Applied Financial Economics, 20, 989-1001.
61) – The Great Recession: US Dynamics and Spillovers to the World Economy, (with F.C. Bagliano), 2012, Journal of Banking and Finance, 36, 1-13.
62) – Real Oil Prices since the 1990s, 2012, Review of Environment, Energy and Economics, January, available at
63) – Euro Money Market Spreads during the 2007-? Financial Crisis, (con N. Cassola), 2012, Journal of Empirical Finance, 19, 548-557.
64) – PC-VAR Estimation of Vector Autoregressive Models, 2012, Open Journal of Statistics, 2, 251-259. 65) – Adaptive ARFIMA Models with Applications to Inflation, (with R.T. Baillie), 2012, Economic Modelling, 29, 2451-2459.
66) – Oil Price Dynamics, Macro-Finance Interactions and the Role of Financial Speculation, 2013, Journal of Banking and Finance, 37, 206-226.
67) – The Oil Price-Macroeconomy Relationship since the Mid-1980s: A Global Perspective, 2013, Energy Journal, 34, 153-189.
68) – Determinants of US Financial Fragility Conditions, (with F.C. Bagliano), 2014, Research in International Business and Finance, 30, 377-392.
69) – New Insights on the US OIS Spreads Term Structure During the Recent Financial Turmoil, 2014, Applied Financial Economics, 24, 291-317.
70) – Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks, 2014, Open Journal of Statistics, 4, 292-312.
71) – Insights on the Global Macro-Finance Interface: Structural Sources of Risk Factors Fluctuations and the Cross-Section of Expected Stock Returns, Journal of Empirical Finance, 29, 64-79.
72) – Model Averaging by Stacking, 2015, Open Journal of Statistics, 5, 797-807.
73) – Semiparametric Estimation of Multivariate GARCH Models, Open Journal of Statistics, 5, 852-858.

1) – Esercizi di Macroeconomia, 1998, Guerini e Associati Editore, Torino.
2) – Energy Substitution in Italy: An Economic Evaluation, 2005, Franco Angeli, Milano.

1) – Computing Value at Risk with High Frequency Data, Proceedings of the Second Conference on High Frequency Data in Finance, Olsen & Associates, Zurich, Switzerland, 1-3 aprile 1998.
2) – Comparing Models of Intra-Day Seasonal Volatility in the Foreign Exchange Market (with Beltratti A.), in Abu-Mostafa, S., LeBaron, B., Lo A.W. and Weigend, A.S., (eds.), Proceedings of the Sixth International Conference on Computational Finance, MIT Press, 2000.
3) – High Frequency Data and Exchange Rate Volatility, Proceedings of CIMA 2001, Advanced Computing in Financial Markets, University of Wales, Bangor, giugno 19-22 2001.
4) – Inflation Modelling in the Euro Area (with F.C. Bagliano and R. Golinelli), in Fiscal Policies, Monetary Policies and Labour Markets. Key Aspects of European Macroeconomic Policies after Monetary Unification, R. Beetsma, C. Favero, A. Missale, V.A. Muscatelli, P. Natale e P. Tirelli (eds), Cambridge University Press, 2003.
5) – Structural Breaks in the Volatility of Macroeconomic and Financial Data: The Rule, not the Exception (with A. Beltratti), Symposium in Honor of Mordecai Kurz, C.D. Aliprantis, K.J. Arrow, P.J. Hammond, F. Kuebler, H.M. Wu, N.C. Yannelis (ed.), Springer Verlag, 2003.
6) – Monetary Policy and Macroeconomic Fluctuations in the Euro Area (with N. Cassola), in L.C. Williams (ed.), Monetary Policy and Issues: New Research, Nova Science Publisher, New York, USA, 2006.
7) – Transmission of Volatility in the Euro Money Market (with N. Cassola), in L.C. Williams (ed.), Monetary Policy and Issues: New Research, Nova Science Publisher, New York, USA, 2006.
8) – Business Cycle Fluctuations in the Euro Area (with N. Cassola), 2006, in Growth and Cycle in the Eurozone, G.L. Mazzi and G. Savio (eds.), Palgrave McMillan.
9) – Structural Core Inflation Estimation, in Trends in Inflation Research, Nova Science Publisher, New York, USA, 2006, 143-185.
10) – The Effects of US Economic and Financial Crises on Euro Area Convergence (with F.C. Bagliano), in W. Meeusen (ed.), The Economic Crisis and Euro Area Integration, Edward Elgar, UK, 2011, ch.7, ISBN: 1849804206.
11) – Macro-finance interactions in the US: A global perspective (con F.C. Bagliano) in M. Balling e D. T. Llewellyn (eds.), New Paradigms in Monetary Theory and Policy?, SUERF Studies, no. 2011/5, ch.9, SUERF, Larcier, Vienna, ISBN: 978-3-902109-61-3.

1) – The Natural Rate of Unemployment, Reflections on 25 Years of the Hypothesis, ed. Rod Cross, Cambridge University Press, 1995, History of Economic Ideas, vol. VI(1), 1998, pp.143-47.