I have research interests in Macroeconomics, Monetary Economics and Applied Econometrics.
The key insights from the paper have been summarised by Ralph Sueppel in the Systemic Risk and Systematic Value blog.
This paper received media coverage from (among others) Daily Telegraph and Gavyn Davies FT Macro Blog
(with D. Delle Monache)
International Journal of Forecasting, Volume 33, Issue 2, April–June 2017, pages 482–501. [link to WP version]
Advances in Econometrics. Special issue on Dynamic Factor Models, 2016, 539-565. [link to WP version]
(with L. Juvenal)
Journal of Applied Econometrics, June/July 2015, vol. 30(4), pages 621-649. [link to WP version]
This paper received media coverage from (among others) The Washington Post’s Wonkblog: “Was Wall Street to blame for high oil prices?” (Oct. 2011) and “Are speculators to blame for soaring gas prices?” (Mar. 2012), The Huffington Post “Oil Prices Spike Exacerbated By Wall StreetSpeculation” (Mar. 2012), ABC News “Gas Prices Spiked By Speculators, Congressmen Claim” (Mar. 2012), San Francisco Chronicle "Wall Street speculation blamed for gas price spike" (Mar. 2012), The New York Times "The high cost of gambling on oil" (April 2012), Los Angeles Times “Obama proposes steps to curb oil market manipulation” (April 2012) and CBSNEWS “Obama calls for crackdown on oil speculation” (April 2012)
In addition, this paper has caught the attention of lawmakers. A joint letter from 68 members of the U.S. Congress and Senate cites our paper to urge immediate action by the Commodity Futures Trading Commission (Mar. 2012) and a group of senators cites our paper in a letter to the Attorney General to encourage the administration to crack down on oil speculation (April 2012)
This paper was commented by Lutz Kilian on Econbrowser. Click here for our response to Kilian.
Journal of the Royal Statistical Society: Series A, Vol. 176(2), February 2013, Pages 459-479. [link to WP version]
(with E. Santoro)
Journal of Economic Dynamics and Control, Volume 36, Issue 5, May 2012, Pages 779–794. [link to WP version]
"Following the Trend: Tracking GDP when Long-Run Growth is Uncertain" (with J. Antolin-Diaz and T. Drechsel) VOX column