Research
Working Papers
"Underlying Inflation and Asymmetric Risks" (with H. Le Bihan and M. Pacce). R&R Review of Economics and Statistics
"Do Inflation Expectations Improve Model-Based Inflation Forecasts?" (with M. Banbura and J. Menz). R&R Journal of Money, Credit and Banking
"Noisy Credit Cycles" (with E. Gerba and J. Pöschl )
"Monetary Policy Independence and the Strength of the Global Financial Cycle" (with C. Friedrich and P. Guerin)
Selected Publications
"Real-Time Weakness of the Global Economy" (with G. Perez-Quiros and E. Rots). Journal of Applied Econometrics. In Press
"The Credit-Card-Services Augmented Divisia Monetary Aggregates" (with W. A. Barnett, M. Chauvet, and L. Su). Journal of Money, Credit and Banking. In Press
"Inspecting Cross-Border Macro-Financial Mechanisms" (with E. Gerba and M. Rubio). Journal of International Money and Finance. 145, 103094, Jul. 2024
"Tracking Weekly State-Level Economic Conditions" (with C. Baumeister and E. Sims). Review of Economics and Statistics. 106(2), 483-504, Mar. 2024
"Endogenous Time-Variation in Vector Autoregressions" (with L. Uzeda). Review of Economics and Statistics, 105(1), 125-142, Jan. 2023
"Exchange Rate Shocks and Inflation Comovement in the Euro Area" (with E. Ortega and J. Martinez-Martin). International Journal of Central Banking. 18(1), 239-275, Mar. 2022
"Fluctuations in Global Output Volatility" (with L. Ductor). Journal of International Money and Finance. 120, 102533, Feb. 2022
"Markov-Switching Three-Pass Regression Filter" (with P. Guerin and M. Marcellino). Journal of Business & Economic Statistics, 38(2), 285-302, Apr. 2020
"Measuring Business Cycles Intra-Synchronization in US: A Regime-Switching Interdependence Framework." Oxford Bulletin of Economics and Statistics, 79(4), 513-545, Aug. 2017
"Model Averaging in Markov-Switching Models: Predicting National Recessions with Regional Data" (with P. Guerin). Economics Letters, 157, 45-49, Aug. 2017
"Dynamics of Global Business Cycle Interdependence" (with L. Ductor). Journal of International Economics, 102, 110-127, Sep. 2016
"Real-Time Nowcasting Nominal GDP with Structural Breaks" (with W. A. Barnett and M. Chauvet). Journal of Econometrics, 191(2), 312-324, Apr. 2016
Other Publications
"Housing Prices in Spain: Convergence or Decoupling?" (with C. Ghirelli and A. Urtasun) SERIEs - Journal of the Spanish Economic Association. 14, 165-187, Apr. 2023
"Latin American Falls and Rebounds since the COVID-19" (with L. Campos and S. Zapata). Latin American Economic Review. 32, Nº 6, Mar. 2023
"Heterogeneous Switching in FAVAR Models" (with P. Guerin). Advances in Econometrics. Essays in Honor of Fabio Canova. 44(B), 65-98, Sep. 2022
"Mapping China’s Time-Varying House Price Landscape" (with M. Funke and A. Tsang). Regional Science and Urban Economics, 78, 103464, Sep. 2019
"Increasing linkages among European regions. The role of sectoral composition" (with M. Gadea-Rivas and A. Gomez-Loscos). Economic Modelling, 80, 222-243, Jun. 2019
"The Propagation of Industrial Business Cycles" (with M. Camacho). Macroeconomic Dynamics, 23(1), 144-177, Jan. 2019
"Country Shocks, Monetary Policy Expectations and ECB Decisions. A Dynamic Nonlinear Approach" (with M. Camacho and G. Perez-Quiros). Advances in Econometrics, 35, 283-316, Dec. 2015
"Real vs. Nominal Cycles: A Multistate Markov-Switching Bi-Factor Approach." Studies in Nonlinear Dynamics and Econometrics, 18(5), 557-580, Dec. 2014
Work in Progress
"Credit Market Sentiment: Estimation and Macroeconomic Implications" (with G. Perez-Quiros, H. Sapriza, F. Vazquez-Grande and E. Zakrajšek)
"Tracking Weekly Euro Area Countries Economic Conditions" (with M. Banbura, C. Baumeister, S. Eraslan and J. Paredes)
Policy Articles
"The Spread of Inflation from Energy to Other Components" (with J. González Mínguez, Samuel Hurtado and A. Urtasun) Economic Bulletin. Bank of Spain, Nº 2. Dec. 2022
"Introducing the Credit Market Sentiment Index" (with G. Perez-Quiros, H. Sapriza and E. Zakrajšek) Federal Reserve Bank of Richmond Economic Brief, Nº 22-33. Aug. 2022
"The Response of Private Investment to an Increase in Public Investment" (with M. Alloza and A. Urtasun) Analytical Articles. Bank of Spain, 2-2022 Jun. 2022
"Inflation expectations and their role in Eurosystem forecasting" (with ESCB Work Stream on Inflation Expectations) Occasional Papers. European Central Bank, Nº 264. Sep. 2021
"The Global Weakness Index – reading the economy’s vital signs during the COVID-19 crisis" (with G. Perez-Quiros and E. Rots) Research Bulletin. European Central Bank, 72. 19 Jun. 2020
"Real-time regional GDP forecasting: statistical aspects and a forecasting model" (with C. Artola, M. Gil, J. Perez, and A. Urtasun) Analytical Articles. Bank of Spain, 2-2019. Jun. 2019
"An application of dynamic factor models to nowcast regional economic activity in Spain" (with M. Gil, J. Perez, and A. Urtasun) Occasional Papers. Bank of Spain, Nº 1904. Mar. 2019
"Recent Movements in the Euro Exchange Rate and the Impact on Inflation in the Spanish Economy" (with J. Martinez-Martin and E. Ortega) Analytical Articles. Bank of Spain, 4-2018. Oct. 2018
"Monitoring the Spanish Economy through the Lenses of Structural Bayesian VARs." Occasional Papers. Bank of Spain, Nº 1706. Sep. 2017
"US Monetary Spillovers to Latin America: The Role of Long-term Interest Rates" (with E. Albagli and D. Saravia). Central Banking Series. Monetary Policy through Asset Markets. Central Bank of Chile. Vol. 34, Dec. 2016