Economics Research Seminar – Dr Maria Sole Pagliari
Title: Do Markets Dream of Artificial Intelligence? Macroeconomic Effects and International Spillovers of AI News Shocks
Date: Wednesday 07 October 2026
Time: 13:30 to 14:30
Venue: Online
If you would like to attend, please register using the following link
Speaker: Dr Maria Sole Pagliari
Abstract:
This paper identifies AI news shocks from financial markets and traces their macroeconomic effects in the United States and the euro area. We combine a daily equity factor based on differences in firms’ AI exposures with sign, magnitude, and narrative restrictions in a Bayesian VAR to isolate revisions in AI’s expected economic value. Monthly local projections reveal an investment-led adjustment in the US: capital-goods orders rise early and persistently, while aggregate activity responds more gradually and with greater uncertainty. Producer prices increase before consumer prices, and the expansion spreads from sectors closely connected to the AI production network to the broader economy. In the euro area, equity prices rise and the euro depreciates; import and energy costs feed into inflation before real activity strengthens. Inflation expectations and nominal rates also increase. The results highlight a monetary policy dilemma: financial spillovers and imported price pressures arrive before the broader productive gains from AI adoption.