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About me
About me
I am a Postdoctoral Reasercher in the Finance Group at the TUM School of Management. Previously, I have been pursuing my PhD in Economics at the Free University of Bozen-Bolzano.
During my PhD I have been a trainee at the European Stability Mechanism (ESM) in the Economic and Market Analysis team for 6 months. l have also been a visiting researcher at the ifo Institute in Munich and at Warwick Business School (WBS) in Coventry, UK.
A downloadable version of my CV is available here.
My research interests encompass macro-finance, financial time series analysis and forecasting, applied econometrics, mixed-frequency data analysis, and energy markets.
Email: sara.boni@tum.de
Research: Work in Progress
Research: Work in Progress
Inflation Distribution and Inflation Risk
Guiding monetary policies and investment decisions, inflation metrics play a crucial role. While traditional measures like core inflation offer insights, they often overlook asymmetries in price dynamics. This paper introduces a new approach that builds on the quantile factor models introduced by Chen at al., (2021) to extract a stable median inflation indicator from disaggregated sectoral-level data. Empirical analysis using Price Index for Personal Consumption Expenditures (PCE) data demonstrates the efficacy of the proposed inflation measure in capturing both common and idiosyncratic components of inflation, providing valuable insights for policymakers and investors alike.
Draft will appear soon
A Survey-Based Measure of Asymmetric Macroeconomic Risk in the Euro Area (with Martin Iseringhausen, Konstantinon Theodoridis, and Ivan Petrella)
We compute a common factor summarizing expected skewness in the euro area based on a large number of data series obtained from economic surveys. Factors extracted from non-linear transformations of the data, such as skewness, can help improve (tail) forecasts of economic activity. In addition, within a monthly VAR model we show that revisions to survey-based expected skewness have real economy and financial implications, even when respondents' average assessment and expected volatility remains unchanged. The skewness measure proposed in this paper could benefit quantitative risk assessments at economic policy institutions to monitor the balance of risk.
ESM Working Paper available; SUERF Policy Brief
Private Equity Buyouts and Productivity: Firm-level Evidence from Italy (with Alex Schneider)
Private Equity (PE) investments have gained increasing importance in recent years, yet many of their economic implications remain unclear. This paper aims to fill this gap by investigating the impact of PE buyouts on firm productivity, using a novel sample of 1,374 Italian PE-backed and matched control firms. In our event study, we find average total factor productivity losses of about 30% in the years following a PE buyout. This decline is primarily driven by an increase in input factors, coupled with stable output. The effect also varies based on the characteristics of the PE investor. Our findings suggest that PE investors capitalize on the above-average pre-buyout productivity of their targets, along with other sources, to generate returns for their financial sponsors. In addition, structural inefficiencies in the Italian institutional environment may also contribute to this decline, regardless of potential productivity-enhancing efforts by PE investors.
Draft will appear soon
Nowcasting Inflation at Quantiles: Causality from Commodities (with Massimilano Caporin and Francesco Ravazzolo)
This paper proposes a non-parametric test for Granger causality in quantiles for data sampled at mixed frequencies. We extend the asymptotic normal distribution of Jeong et al., 2012 by modifying the test to fit mixed-frequency data. In an economic application, we examine Granger causality between inflation, as a low-frequency macroeconomic variable, and a selection of commodity futures, including gold, oil, and corn, as high-frequency financial variables. We find that there exists a causal relationship between the two. The logarithmic returns on these commodity futures are a prima facie cause of inflation at the lower quantiles of the distribution and marginally around the median.
R&R: Journal of Applied Econometrics. Draft available on EconPapers.
A Structural Analysis of Unemployment-Generating Supply Shocks with an Application to the US Pharmaceutical Industry (with Francesco Ravazzolo)
This paper aims to analyze unemployment-generating supply shocks. It proposes a structural vector autoregressive model estimated via a newly assembled identification scheme that relies on a minimum set of sign restrictions dictated by economic theory and recent market developments. We show that unemployment-generating supply shocks coexist with standard supply, demand, financial, and investment shocks, and we assess their impact on different macroeconomic variables. An application to the US pharmaceutical industry finds that the supply shock caused by Covid-19 in the sector is one of a kind. Particularly, the newly identified shock increases industrial production and the unemployment rate, while decreasing producer prices in the US pharmaceutical industry.
Under review. Draft available on EconPapers.
Teaching
Teaching
"Basics in Financial Mathematics" (M.Sc. in Finance and Information Management, TUM School of Management)
"Basic Statistics and Regression" (PhD in Economics and Management, Free University of Bolzano, a.y. 2023/2024)
Conferences and Seminars
Conferences and Seminars
I have presented my research at various international peer-reviewed conferences including:
2024: ISF 2024, 44th International Symposium on Forecasting.
Held in Dijon, France. Presented the paper "Nowcasting Inflation at Quantiles: Causality from Commodities".
2024: RCEA 2024, International Conference of Economics, Econometrics, and Finance.
Held at Brunel University London. Presented the paper "Supply Shocks and Unemployment: Evidence from the US Pharmaceutical Industry".
2024: SNDE 2024, 31st Annual SNDE Symposium
Held at the University of Padova. Presented the paper "Nowcasting Inflation at Quantiles: Causality from Commodities".
2024: IWEEE 2024, 4th Italian Workshop of Econometrics and Empirical Economics, "Climate and Energy Econometrics".
Held at the Free University of Bolzano-Bozen. Presented the paper "Nowcasting Inflation at Quantiles: Causality from Commodities".
Held at EUR in Rotterdam (NL). Presented the paper "Nowcasting Inflation at Quantiles: Causality from Commodities".
2023: IAAE 2023, Annual meeting of the International Association of Applied Econometrics.
Held at BI Norwegian Business School in Oslo (NO). Presented the paper "Nowcasting Inflation at Quantiles: Causality from Commodities". Awarded the PhD Student Travel Grant.
2023: ICEEE 2023, Tenth Italian Congress of Econometrics and Empirical Economics.
Annual meeting of the SIdE. Held in Cagliari (IT). Presented the paper ""Private Equity Buyouts and Productivity: Firm-level Evidence from Italy".
2023: AFA 2023, PhD Poster Session
Annual meeting of the American Finance Association. Held in New Orleans (LO, USA), participated at the PhD Students Poster Session with the paper "Private Equity Buyouts and Productivity: Firm-level Evidence from Italy", awarded the PhD student travel grant.
2022: SNDE 2022, 29th Annual SNDE Symposium
The Society for Nonlinear Dynamics and Control, University of Central Florida, Orlando (FL, USA), paper presented "A Structural Analysis of Unemployment-Generating Supply Shocks with an Application to the US Pharmaceutical Industry"
2022: CEF 2022, 28th Conference on Computing in Economics and Finance
Society for Computational Economics, Southern Methodist University & The Federal Reserve Bank of Dallas, Dallas (TX, USA), paper presented "A Structural Analysis of Unemployment-Generating Supply Shocks with an Application to the US Pharmaceutical Industry"
Seminars and Workshops
Seminars and Workshops
I have actively participated to several seminars and workshop, including:
- 2023: LUISS Junior Workshop in Econometrics and Applied Economics (jointly with UNIBZ and BI Norwegian Business School). More info here.
- 2023: Dolomiti Macro Meetings. More info here.
- 2022: Workshop in Economics and Finance (Unibz and University of Verona). More info here.
- 2022: Reading Metrics. Reading group held and maintained by PhD students and junior researchers. More info here
- 2022: UNIBZ PhD Workshop
- 2022: CEF 2022, An introduction to nonlinear solutions and estimation techniques, held by Alexander W. Richter (Federal Reserve Bank of Dallas) and Nathaniel A. Throckmorton (William & Mary)
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