The authors thank the department editor (David Sraer), the associate editor, and two anonymous referees for their valuable comments and suggestions. The authors are also grateful to Marielle de Jong, Alberto Plazzi, and Irina Zviadadze for useful discussions as well as participants at the Association Française de Sciences Economiques 2021 meeting, the 2021 Meeting of the International Association for Applied Econometrics, the 2021 Meeting of the Society for Financial Econometrics, the 2021 Association Française de Finance spring meeting, the 14th Financial Risks International Forum, the 2021 North American Summer Meeting of the Econometric Society, the 2021 European Summer Meeting of the Econometric Society, a seminar at Libera Università Internazionale degli Studi Sociali University, and the Centre for Economic Policy Research-Banque de France Conference on “Monetary Policy, Fiscal Policy and Public Debt in a Post COVID World.” The views expressed are those of the authors and do not necessarily represent those of the Bank of Italy.