HSE Centre for Big Data in Economics and Finance research seminar: "Measuring Main Street from Wall Street", Fabrizio Ghezzi - University of California San Diego

HSE Centre for Big Data in Economics and Finance research seminar: "Measuring Main Street from Wall Street", Fabrizio Ghezzi - University of California San Diego, 5 June 2026 г., 4 p.m. (Moscow time)

HSE Centre for Big Data in Economics and Finance invites you to the regular research seminar on June 5, 2026, at 16:00 (Moscow time) via Zoom.

Speaker: Fabrizio Ghezzi - University of California San Diego

Topic: “Measuring Main Street from Wall Street”

Contact info: fghezzi@ucsd.edu

This talk presents a novel perspective on the relationship between stock markets and the macroeconomy. While much of the macro-finance literature has analyzed how stock markets react to macroeconomic news, the reverse channel — what stock market reactions reveal about the real economy — has received less attention. Decomposing returns into short- and long-run components using a macro-finance model, the author characterizes their relationship with economic activity. The empirical methodology exploits high-frequency return reactions to macro releases as an identification mechanism to isolate and extract daily market-implied expectations about real economic activity. Aggregated to weekly, monthly, and quarterly frequencies, these expectations closely track real economic indicators and provide new evidence on the informational content of stock returns for the macroeconomy.

The HSE Centre for Big Data in Economics and Finance, established in 2025 at the Faculty of Economic Sciences, conducts fundamental and applied research in big data analysis, develops modern econometric and machine learning methods, and implements educational programs training next-generation specialists. Learn more about the Centre's activities on its official webpage.

To participate, please register on the Centre's seminar page where the Zoom link will be provided upon confirmation.