Associate Professor Efrem Castelnuovo

Principal Research Fellow

Melbourne Institute of Applied Economic and Social Research

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Biography

Associate Professor Efrem Castelnuovo joined the Melbourne Institute of Applied Economic and Social Research in 2014.

Prior to joining the Melbourne Institute, Efrem has held positions at the University of Padova, and has taught at the Universities of Oxford, Bologna, Brescia, Rome Tor Vergata, and the Halle Institute for Economic Research.

Efrem earned a PhD in Economics from the Bocconi University (2004), and has been Associated Editor of the Journal of Applied Econometrics since 2013. His research agenda centres on the role of nonlinearities for the transmission of structural shocks, the identification of common factors across countries, and the empirical validation of structural DSGE models. He has published his research in a number of international journals, including the Journal of Monetary Economics, Journal of Money, Credit and Banking, Economic Journal, Journal of Applied Econometrics, Journal of Economic Dynamics and Control, Oxford Bulletin of Economics and Statistics, Macroeconomic Dynamics, Journal of International Money and Finance, and Economics Letters.

Efrem's Personal Webpage

Associate Professor Efrem Castelnuovo's SSRN Author Page

Selected Publications

• Castelnuovo, E. and L. Fanelli, 2014, Monetary Policy Indeterminacy and Identification Failures in the U.S.: Results from a Robust Test, Journal of Applied Econometrics, forthcoming. Working paper version (with Technical Supplement) here.

• Caggiano, G., Castelnuovo, E., and N. Groshenny, 2014, Uncertainty Shocks and Unemployment Dynamics in U.S. Recessions, Journal of Monetary Economics, 67, 78-92. Working paper version (with Appendix) here. A short excerpt for lavoce.info here.

• Castelnuovo, E., L. Greco, and D. Raggi, 2014, Policy Rules, Regime Switches, and Trend Inflation: An Empirical Investigation for the U.S., Macroeconomic Dynamics, 18, 920-942.
  

• Castelnuovo, E., 2013, Monetary Policy Shocks and Financial Conditions: A Monte Carlo Experiment, Journal of International Money and Finance, 32, 282-303.

• Castelnuovo, E., 2013, What does a monetary policy shock do? An international analysis with multiple filters, Oxford Bulletin of Economics and Statistics, 75(5), 759–784.
  

• Castelnuovo, E., 2012, Fitting U.S. Trend Inflation: A Rolling-Window Approach, in Nathan Balke, Fabio Canova, Fabio Milani, and Mark Wynne (eds.): Advances in Econometrics: DSGE Models in Macroeconomics - Estimation, Evaluation, and New Developments, 28, 201-252.

• Castelnuovo, E., 2012, Estimating the Evolution of Money's Role in the U.S. Monetary Business Cycle, Journal of Money, Credit and Banking, 44(1), 23-52. [see also the "Erratum" published in JMCB, 44(4), 751-755.]
  

• Castelnuovo, E., 2012, Policy Switch and the Great Moderation: The Role of Equilibrium Selection, Macroeconomic Dynamics, 16(3), 449–471.

• Castelnuovo, E., 2012, Testing the Structural Interpretation of the Price Puzzle with a Cost Channel Model, Oxford Bulletin of Economics and Statistics, 74(3), 425-452.

• Ascari, G., E. Castelnuovo, and L. Rossi, 2011, Calvo vs. Rotemberg in a Trend Inflation World: An Empirical Investigation, Journal of Economic Dynamics and Control, 35(11), 1852-1867.
  

• Caggiano, G., and E. Castelnuovo, 2011, On the Dynamics of International Inflation, Economics Letters, 112(2), 189-191.

• Castelnuovo, E., and P. Surico, 2010, Monetary Policy, Inflation Expectations and the Price Puzzle, Economic Journal, 120(549), 1262-1283.

• Castelnuovo, E., and S. Nisticò, 2010, Stock Market Conditions and Monetary Policy in a DSGE Model for the U.S., Journal of Economic Dynamics and Control, 34(9), 1700-1731.
  

• Castelnuovo, E., 2010, Tracking U.S. Inflation Expectations with Domestic and Global Determinants, Journal of International Money and Finance, 29(7), 1340-1356.

• Castelnuovo, E., 2010, Trend Inflation and Macroeconomic Volatilities in the post-WWII U.S. Economy, North American Journal of Economics and Finance, 21(1), 19-33.