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Lorenzo Pozzi

Associate Professor


Info

 Work in Progress

 Publications

 Courses

 

 


Info

Lorenzo Pozzi

Department of Economics, Erasmus School of Economics
Erasmus University Rotterdam, PO Box 1738
3000 DR Rotterdam, the Netherlands
Office: H9-16
Tel.: +31 (0)10 408 12 56
Fax: +31 (0)10 408 91 61
Email: pozzi@ese.eur.nl

CV


Work in Progress

 

Gardberg, M., and Pozzi, L. Estimating the impact of wealth on consumption: a non-stationary unobserved component approach. In progress

Pozzi, L. and Sadaba, B.  Detecting scapegoat effects in the relationship between exchange rates and macroeconomic fundamentals. Draft

Berger, T., Everaert, G., and Pozzi, L. Testing for international business cycles: a dynamic factor model with stochastic factor selection. In progress

Everaert, G. and Pozzi, L. Time-varying stock market integration and institutions in Europe: a Bayesian dynamic factor analysis. Draft

Pozzi, L., and Sadaba, B. Regime switching in euro area government bond yield spreads: the impact of the financial crisis. In progress

Everaert, G. and Pozzi, L. Time-varying international consumption risk sharing: evidence for industrial and developing countries. In progress


Publications

 

Everaert G.,  Pozzi, L., and Schoonackers, R. (2017). On the stability of the excess sensitivity of aggregate consumption growth in the US.

  Journal of Applied Econometrics, 32(4), 819-840.

Adema, Y., and Pozzi, L. (2015). Business cycle fluctuations and household saving in OECD countries: a panel data analysis.

  European Economic Review, 79, 214-233.

Pozzi, L. (2015). The time-varying volatility of earnings and aggregate consumption growth.

  Journal of Money, Credit and Banking, 47(4), 551-580.

Everaert, G., and Pozzi, L. (2014). The predictability of aggregate consumption growth in OECD countries: a panel data analysis.

  Journal of Applied Econometrics, 29(3), 431-453.

Berger, T., and Pozzi, L. (2013). Measuring time-varying financial market integration: an unobserved components approach.

  Journal of Banking and Finance, 37(2), 463-473.

Pozzi, L., and Wolswijk, G. (2012). The time-varying integration of euro area government bond markets.

  European Economic Review, 56(1), 36-53.

Pozzi, L. (2010). Idiosyncratic labour income risk and aggregate consumption: an unobserved component approach.

  Journal of Macroeconomics, 32(1), 169-184.

Peersman, G., and Pozzi, L. (2008). Business cycle fluctuations and excess sensitivity of private consumption.

  Economica, 75, 514-523.

Heylen, F., and Pozzi, L. (2007). Crises and human capital accumulation.

  Canadian Journal of Economics, 40(4), 1261-1285.

Pozzi, L., and Malengier, G. (2007). Certainty equivalence and excess sensitivity of private consumption. 

  Journal of Money, Credit and Banking, 39(7), 1839-1848.

Everaert, G., and Pozzi, L. (2007). Bootstrap based bias correction for dynamic panels.

  Journal of Economic Dynamics and Control, 31, 1160-1184.

Pozzi, L. (2006). Ricardian Equivalence under imperfect information.

  Journal of Public Economics, 90, 2009-2026.

Pozzi, L., Heylen, F., and Dossche, M. (2004). Government debt and excess sensitivity of private consumption: estimates from OECD countries.

  Economic Inquiry, 42(4), 618-633.

Pozzi, L. (2003). Tax discounting in a high debt economy.

  Oxford Bulletin of Economics and Statistics, 65(3), 261-282.

Pozzi, L. (2003). The coefficient of relative risk aversion: a Monte Carlo study investigating small sample estimator problems.

  Economic Modelling, 20(5), 923-940.


Courses

 

Macroeconomics (Bachelor course)

International Financial Markets (Master course)

Advanced Macroeconomics (Master course)

Applied Macroeconometrics (PhD course, Tinbergen Institute)