I have research interests in Macroeconomics, Monetary Economics and Applied Econometrics.


Leverage and Deepening Business Cycle Skewness

(with H. Jensen, S. Hove Ravn, and E. Santoro)

American Economic Journal: Macroeconomics (Forthcoming).

Efficient Matrix Approach for Classical Inference in State Space Models

(with D. Delle Monache)

Economics Letters (Conditionally Accepted). [Sample Codes]

Risk Premia and Seasonality in Commodity Futures

(with C. Hevia and M. Sola)

Journal of Applied Econometrics, vol. 33(6), pages 853-873, September 2018 - Technical Appendix . [link to WP version]

The key insights from the paper have been summarised by Ralph Sueppel in the Systemic Risk and Systematic Value blog.

Monetary Policy with Sectoral Trade-offs

(with R. Rossi and E. Santoro)

Scandinavian Journal of Economics - Technical Appendix (Forthcoming).

Tracking the Slowdown in Long-Run GDP Growth

(with J. Antolin-Diaz and T. Drechsel)

Review of Economics and Statistics, vol. 99(2), pages 343-356, May 2017. [link to WP version, link to Online Appendix]

This paper received media coverage from (among others) Daily Telegraph and Gavyn Davies FT Macro Blog

Adaptive Models and Heavy Tails with an Application to Inflation Forecasting

(with D. Delle Monache)

International Journal of Forecasting, Volume 33, Issue 2, April–June 2017, pages 482–501. [link to WP version]

Common faith or parting ways? A time varying parameter factor analysis of Euro Area inflation

(with D. Delle Monache and F. Venditti)

Advances in Econometrics. Special issue on Dynamic Factor Models, 2016, 539-565. [link to WP version]

Loss Aversion and the Asymmetric Transmission of Monetary Policy

(with E. Gaffeo, D. Pfajfar and E. Santoro)

Journal of Monetary Economics, November 2014, vol. 68(C), pages 19-36. [link to WP version]

Speculation in the Oil Market

(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 PostOil Prices Spike Exacerbated By Wall StreetSpeculation” (Mar. 2012), ABC NewsGas 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 TimesObama proposes steps to curb oil market manipulation” (April 2012) and CBSNEWSObama 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.

Aggregate Fluctuations and the Cross-sectional Dynamics of Firm Growth

(with S. Holly and E. Santoro)

Journal of the Royal Statistical Society: Series A, Vol. 176(2), February 2013, Pages 459-479. [link to WP version]

Inflation Dynamics and Real Marginal Costs: New Evidence from U.S. Manufacturing Industries

(with E. Santoro)

Journal of Economic Dynamics and Control, Volume 36, Issue 5, May 2012, Pages 779–794. [link to WP version]

Factor Demand Linkages, Technology Shocks and the Business Cycle

(with S. Holly)

Review of Economics and Statistics, Volume 94(4), pages 948-963, November 2012. [link to WP version]

Input-Output Interactions and Optimal Monetary Policy

(with E. Santoro)

Journal of Economic Dynamics and Control, Volume 35, Issue 11, November 2011, Pages 1817-1830 [Lead Article]

[link to WP version]

Working Papers


"Following the Trend: Tracking GDP when Long-Run Growth is Uncertain" (with J. Antolin-Diaz and T. Drechsel) VOX column

"Speculation in the oil market" (with L. Juvenal) Economic Synopses, Federal Reserve Bank of St. Louis

“When Oil Prices Jump, Is Speculation To Blame?” (with B. W. Fawley and L. Juvenal) The Regional Economist, Federal Reserve Bank of St. Louis, issue Apr 2012, pages 12-13

"Is there financial integration in the equity markets of the European Union?" (with C. Higson and S. Holly) Economics & Finance Research: An Open Access Journal. Vol 1, 31-41. 2013