Umberto Collodel — Macroeconomist

About

My research asks how much we can learn about the macroeconomy before official data arrive. I use large language models, market data and high-frequency alternative data to measure how central bank communication moves market uncertainty, how political pressure on central banks shapes rate expectations, and how online retail prices can nowcast inflation in real time.

At the Central Bank of Malta, I work in the Monetary Policy and Eurosystem Relations Department, preparing the analyses and briefing the Governor ahead of ECB Governing Council meetings.

Before the CBM, I worked with the IMF Independent Evaluation Office on emerging markets, sovereign debt, capital flows and institutional forecasting, and with the OECD as an external consultant. I hold a PhD from the Paris School of Economics (2022), supervised by Prof. Agnès Bénassy-Quéré.

Research

Journal publications1

Journal of Macroeconomics, 2026

Market-Based Monetary Policy Uncertainty Shocks in the Euro Area

with Vanessa Kunzmann (Deutsche Bundesbank)

We introduce a market-based measure of monetary policy uncertainty: the change in the standard deviation of OIS rates in a three-day window around ECB announcements. Announcements generally raise uncertainty about future rates regardless of the sign of the policy surprise, and this uncertainty moves asset prices — raising nominal yields, lowering stock returns and increasing euro exchange-rate volatility.

Journal article Replication code

Working papers3

CBM Working Paper 4/2026

Interpreting the Interpreter: Can We Model post-ECB Conferences Volatility with LLM Agents?

Presented at the ECB Conference on Forecasting Techniques and CEBRA (Copenhagen)

Central banks cannot observe how markets will interpret their communication before release. I use large language models to simulate 30 heterogeneous traders reading ECB press conference transcripts and measure their cross-sectional disagreement. Across 293 Governing Council meetings, this measure correlates at about 0.5 with realised OIS volatility, outperforms standard text-based alternatives, and keeps its predictive power after controlling for the policy surprise and liquidity — offering an ex-ante tool for assessing how communication will land.

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Simulated vs. realised OIS disagreement — Simulated disagreement after ECB press conferences

Working Paper, 2026

Quantifying Political Pressure on Central Banks: When Politicians Talk, Do Markets Listen?

with Michela Baretti (Universidad de Alicante) and Jacopo Zacchè (Central Bank of Malta)

Using Reuters newswire from 1988 to 2025, classified by an open-weight LLM ensemble, we provide the first long-run evidence on whether markets price political pressure on the Federal Reserve. Dovish pressure lowers near-term rate expectations by about one basis point per event — roughly a four-percent rise in the implied probability of a cut at the next FOMC — fading beyond three months. The effect comes entirely from presidential commentary, holds outside the Trump presidencies, and leaves inflation compensation unchanged: markets price anticipated accommodation, not a loss of credibility. Hawkish pressure has no detectable effect.

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Impact of dovish and hawkish pressure on federal funds futures — Dovish vs. hawkish pressure on fed funds futures across maturities

RBA Research Discussion Paper 2026-05

Real GDP Forecasts by International Organisations

with Martin McCarthy (Reserve Bank of Australia) and Prakash Loungani

We study real GDP growth forecasts by international organisations — forecasts that shape policy at those institutions and in national governments. We compare their accuracy with other forecasters, test whether they are rational, and examine why rationality tests are rejected.

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Figure from Real GDP Forecasts by International Organisations — Real GDP forecasts by international organisations

Policy publications2

Central Bank of Malta, 2025

Crumbs Make a Loaf: Using Online Product Prices to Nowcast Inflation

with Massimo Giovannini and Sarah Spiteri (Central Bank of Malta)

Food is about 16% of Malta's HICP. We build a dataset of over 2,700 products and more than two million daily web-scraped supermarket prices, classified with string matching and LLMs, and compare a naïve benchmark, a minimum-distance method and a mixed-frequency machine-learning model. Out of sample, online prices improve food inflation nowcasts.

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IMF Independent Evaluation Office, 2023

The IMF's Forecasting and Policy Advice Formulation Processes

Background Paper 4, evaluation of the IMF's emergency response to the COVID-19 pandemic

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Replication materials — data, code and documentation — are on GitHub.

PhD Thesis

The Interplay between Macroeconomic Forecasting, Financial Crises and Complexity

Paris School of Economics, 2022. Supervisor: Prof. Agnès Bénassy-Quéré

Three empirical chapters. The first shows that early warning systems for external crises forecast relatively well, comparing global and domestic indicators and the output costs of missed versus predicted crises. The second evaluates short-term growth forecasts by major institutions and the private sector, and how their errors relate to the business cycle and politics. The third builds a new textual dataset from IMF archival documents to track how crisis discourse has evolved across the Fund's membership — released as the Complex Crises Database.

Full thesis (PDF) Complex Crises Database

Contact

Email collodelu@centralbankmalta.org

Profiles GitHub LinkedIn

Location Valletta, Malta