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Home | People | Lorenzo Pozzi

Lorenzo Pozzi

Research Fellow

Erasmus University Rotterdam
Research field
Applied Econometrics, Finance, Macroeconometrics, Macroeconomics

List of publications

Pozzi,L.C.G. and Sadaba,B.M.. 2018. Detecting scapegoat effects in the relationship between exchange rates and macroeconomic fundamentals: a new approach. Macroeconomic Dynamics, forthcom., 1--44

Pozzi,L.C.G. and Everaert,G. and Schoonackers,R.. 2017. On the stability of the excess sensitivity of aggregate consumption growth in the US. Journal of Applied Econometrics, 32, 819--840

Adema,Y. and Pozzi,L.C.G.. 2015. Business cycle fluctuations and household saving in OECD countries: a panel data analysis. European Economic Review, 79, 214--233

Pozzi,L.C.G.. 2015. The time-varying volatility of earnings and aggregate consumption growth. Journal of Money, Credit, and Banking, 47, 551--580

Pozzi,L.C.G. and Everaert,G.. 2014. The predictability of aggregate consumption growth in OECD countries. Journal of Applied Econometrics, 29, 431--453

Pozzi,L.C.G. and Berger,T.. 2013. Measuring time-varying financial market integration: an unobserved component approach. Journal of Banking and Finance, 37, 463--473

Pozzi,L.C.G. and Wolswijk,G.. 2012. The time-varying integration of euro area government bond markets. European Economic Review, 56, 36--53

Pozzi,L.C.G.. 2010. Idiosyncratic Labour income Risk and Aggregate Consumption: an unobserved component approach. Journal of Macroeconomics, 32, 169--184

Pozzi,L.C.G. and Peersman,G.. 2008. Business cycle fluctuations and excess sensitivity of private consumption. Economica, 75, 514--523

Pozzi,L.C.G. and Everaert,G.. 2007. Bootstap-based bias correction for dynamic panels. Journal of Economic Dynamics and Control, 31, 1160--1184

Pozzi,L.C.G. and Heylen,F.. 2007. Crises and human capital accumulation. Canadian Journal of Economics, 40, 1261--1285

Pozzi,L.C.G. and Malengier,G.. 2007. Certainty equivalence and the excess sensitivity of private consumption. Journal of Money, Credit, and Banking, 39, 189--1848

Pozzi,L.C.G.. 2006. Ricardian equivalence under imperfect information. Journal of Public Economics, 90, 2009--2026

Pozzi,L.C.G. and Heylen,F. and Dossche,M.. 2004. Government debt and the excess sensitivity of private consumption: estimates from OECD countries. Economic Inquiry, 42, 618--633

Pozzi,L.C.G.. 2003. The coefficient of relative risk aversion: a Monte Carlo study investigating small sample estimator problems. Economic Modelling, 20, 923--940

Pozzi,L.C.G.. 2003. Tax discounting in a high debt economy. Oxford Bulletin of Economics and Statistics, 65, 261--282