Working Papers

1. "Credit-Market Sentiment: Estimation and Macroeconomic Implications" (with G. Perez-Quiros, H. Sapriza, F. Vazquez-Grande and E. Zakrajšek)

2. "Inflation Factors" (with V. Sheremirov, J. Tang and E. Zakrajšek ) [Updated Estimates]

3. "Do Monetary Policy Shocks Affect the Neutral Rate of Interest?" (with R. Sekkel and L. Uzeda) R&R  American Economic Journal: Macroeconomics [Media coverage:  SUERF]

4. "Monetary Policy Independence and the Strength of the Global Financial Cycle" (with C. Friedrich and P. Guerin) R&R  Journal of Money, Credit and Banking

5. "Noisy Credit Cycles" (with E. Gerba and J. Pöschl ) R&R  International Journal of Central Banking [Media coverage:  SUERF]

Publications

1. "Do Inflation Expectations Improve Model-Based Inflation Forecasts?" (with M. Banbura and J. Menz). Journal of Money, Credit and Banking. Forthcoming [Media coverage: Central Banking,   SUERF]

2. "Underlying Inflation and Asymmetric Risks" (with H. Le Bihan and M. Pacce). The Review of Economics and Statistics. Forthcoming [WP version] [Replication Files] [Media coverage: Econbrowser,  SUERF]

3. "What Ties Us Together? Explaining Synchronized GDP Volatility" (with J. Lopez and L. Ductor). Economics Letters. 268, 113204, Sep. 2026

4. "Real-Time Weakness of the Global Economy" (with G. Perez-Quiros and E. Rots). Journal of Applied Econometrics. 39(5), 813-832, Aug. 2024 [WP version] [Replication Files] [Media coverage: VoxEU,   Bloomberg,   Central Banking]

5. "The Credit-Card-Services Augmented Divisia Monetary Aggregates" (with W. A. Barnett, M. Chauvet, and L. Su). Journal of Money, Credit and Banking. 56(5), 1163-1202, Aug. 2024 [WP version] [Updated Estimates]

6. "Inspecting Cross-Border Macro-Financial Mechanisms" (with E. Gerba and M. Rubio). Journal of International Money and Finance. 145, 103094, Jul. 2024 [WP version] [Media coverage: LSE Blog]

7. "Tracking Weekly State-Level Economic Conditions" (with C. Baumeister and E. Sims). The Review of Economics and Statistics. 106(2), 483-504, Mar. 2024 [WP version] [Data Dashboard] [Recession Maps] [Economic Weakness Index] [Media coverage: Econbrowser 1, Econbrowser 2, conbrowser 3, Econbrowser 4, Econbrowser 5, Econbrowser 6, Econbrowser 7, Econbrowser 8] [Replication Files] 

8. "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 [Replication Files]

9. "Latin American Falls and Rebounds since the COVID-19" (with L. Campos and S. Zapata). Latin American Economic Review.  32, Nº 6, Mar. 2023 [Video]

10. "Endogenous Time-Variation in Vector Autoregressions" (with L. Uzeda). The Review of Economics and Statistics, 105(1), 125-142, Jan. 2023 [WP version] [Appendix] [Replication Files]

11. "Heterogeneous Switching in FAVAR Models" (with P. Guerin). Advances in Econometrics.  Essays in Honor of Fabio Canova. 44(B), 65-98, Sep. 2022 [WP version] 

12. "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 [Media coverage: Central Banking]

13. "Fluctuations in Global Output Volatility" (with L. Ductor). Journal of International Money and Finance. 120, 102533, Feb. 2022 [WP version] [Appendix] [GDP Volatility Estimates]

14. "Markov-Switching Three-Pass Regression Filter" (with  P. Guerin and M. Marcellino). Journal of Business & Economic Statistics, 38(2), 285-302, Apr. 2020 [WP version] [Replication Files]

15. "Mapping China’s Time-Varying House Price Landscape" (with M. Funke and A. Tsang). Regional Science and Urban Economics, 78, 103464, Sep. 2019 [WP version] [Video]

16. "The Propagation of Industrial Business Cycles" (with M. Camacho). Macroeconomic Dynamics, 23(1), 144-177, Jan. 2019 [WP version] [Video] [Media coverage: Central Banking]

17. "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 [WP version] [Media coverage: Central Banking]

18. "Measuring Business Cycles Intra-Synchronization in US: A Regime-Switching Interdependence Framework." Oxford Bulletin of Economics and Statistics, 79(4), 513-545, Aug. 2017 [WP version] [Appendix] [Video] [Replication Files]

19. "Model Averaging in Markov-Switching Models: Predicting National Recessions with Regional Data" (with P. Guerin). Economics Letters, 157, 45-49, Aug. 2017 [WP version] [Replication Files] [Media coverage: Central Banking] 

20. "Dynamics of Global Business Cycle Interdependence" (with L. Ductor). Journal of International Economics, 102, 110-127, Sep. 2016 [Video] [Media coverage: Bloomberg,   BBC]

21. "Real-Time Nowcasting Nominal GDP with Structural Breaks" (with W. A. Barnett and M. Chauvet). Journal of Econometrics, 191(2), 312-324, Apr. 2016 [WP version]

22. "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 [WP version] [Media coverage: VoxEU,   Central Banking]

23. "Real vs. Nominal Cycles: A Multistate Markov-Switching Bi-Factor Approach." Studies in Nonlinear Dynamics and Econometrics, 18(5), 557-580, Dec. 2014 [WP version] [Replication Files] 

Policy Articles

1. "Reassessing the U.S. Economy’s Vulnerability to Oil Shocks" (with G. Olivei, A. Patvakanian, J. Tang and E. Zakrajsek ) Federal Reserve Bank of Boston Current Policy Perspectives, Nº  26-5. Jun. 2026 [Media coverage: Financial Times, The New York Times, Reuters,  Bloomberg, AXIOS,  OilPrice.com]

2. "Parsing Out the Sources of Inflation" (with V. Sheremirov, J. Tang and E. Zakrajsek ) Federal Reserve Bank of Boston Current Policy Perspectives, Nº  25-5. Mar. 2025

3. "Sentiment About Business Debt as a Leading Economic Indicator" (with T. Lubik, G. Perez-Quiros, N. Robino, H. Sapriza, F. Vazquez-Grande and E. Zakrajšek) Federal Reserve Bank of Richmond Economic Brief, Nº  25-09. Mar. 2025 

4. "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

5. "Introducing the Credit Market Sentiment Index" (with G. Perez-Quiros, H. Sapriza, F. Vazquez-Grande and E. Zakrajšek) Federal Reserve Bank of Richmond Economic Brief, Nº  22-33. Aug. 2022

6. "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

7. "Inflation expectations and their role in Eurosystem forecasting" (with ESCB Work Stream on Inflation Expectations) Occasional Papers. European Central Bank, Nº 264. Sep. 2021 

8. "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 

9. "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

10. "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

11. "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

12. "Monitoring the Spanish Economy through the Lenses of Structural Bayesian VARs." Occasional Papers. Bank of Spain, Nº 1706. Sep. 2017 

13. "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