Edoardo Rainone

We propose a method based on control charts to identify in real-time sudden deposits outflows through the payment system. The performance of the methodology is assessed with both Monte Carlo simulations and real transaction-level TARGET2 data for a large sample of Italian banks. We identify a set of idiosyncratic bank stress episodes. Using high-frequency payment system data, we provide new evidences on the interaction between retail, wholesale, and central bank funding in the post global financial crisis period.

The Furfine [The microstructure of the federal funds market. Financ. Markets Inst. Instrum., 1999, 8(5), 24–44] algorithm is a key tool for researchers in monetary economics and central banking because it allows identification of the interbank money market microstructure. Furfine's method has been used in numerous studies of money markets but little work has examined how valid its application is at zero and negative interest rates. This work seeks to address this gap. We first extend the standard algorithm to include negative rates and show the bias introduced by the zero interest rate. Secondly, we propose a econometric procedure based on market regularities and the economic likelihood of interbank bilateral relationships to correct the bias. Thirdly, the methodology is applied to TARGET2 data. The impacts of recent monetary policy decisions on key interest rates are studied. We find significantly biased figures when the market microstructure is not correctly estimated.

This paper proposes a new method for estimating heterogeneous externalities in policy analysis when social interactions take the linear-in-means form. We establish that the parameters of interest can be identified and consistently estimated using specific functions of the share of the eligible population. We also study the finite sample performance of the proposed estimators using Monte Carlo simulations. The method is illustrated using data on the PROGRESA program. We find that more than 50 percent of the effects of the program on schooling attendance are due to externalities, which are heterogeneous within and between poor and nonpoor households.

Summary. Using unique information on a representative sample of US teenagers, we investigate peer effects in adolescent bedtime decisions. We extend the nonline