Research

Research Interests

• Macroeconomics, Monetary Economics, Time-Series Econometrics

• Financial Stability and Bank Stress-Testing

• Bank Profitability

• Non-Bank Financial Intermediation

Published Papers

• • Making Weak Instrument Sets Stronger: Factor-Based Estimation of Inflation Dynamics and a Monetary Policy Rule (with Lidia Storjohann), Journal of Money, Credit and Banking, 46:4, 643-664, June 2014

  • The Role of Forward and Backward-Looking Information for Inflation Expectations Formation (with Paul Hubert), Journal of Forecasting, 2019, 38:8, 733-748

• Macro Stress Testing Euro Area Banks' Fees and Commissions (with Christoffer Kok and Cosimo Pancaro),  Journal of International Financial Markets, Institutions and Money, 61, 97-119, July 2019

  • • See also: Adapting bank business models: Financial stability implications of greater reliance on fee and commission income (with Christoffer Kok, Csaba More and Cosimo Pancaro), ECB Financial Stability Review Special Feature C, November 2016

    • See also: Chapter 7: Satellite model for top-down projections of banks’ fee and commission income (with Diego Moccero and Cosimo Pancaro), in STAMP€: Stress-Test Analytics for Macroprudential Purposes in the euro area, edited by Stephane Dees, Jérôme Henry and Reiner Martin, ECB, February 2017

• Fire sales by euro area banks and funds: what is their asset price impact? (with Diego Moccero, Spyros Palligkinis and Cosimo Pancaro),  Economic Modelling, 93, 430-444, December 2020

  • • See also: Box 6: How would a repricing in bond markets impact euro area investment funds? (with Magnus Andersson, Diego Moccero, Spyros Palligkinis, Cosimo Pancaro and Christian Weistroffer), ECB Financial Stability Review, November 2017

    • See also Chapter 6: The role of non-bank financial intermediaries, in Macroprudential stress test of the euro area banking system, edited by Katarzyna Budnik, ECB Occasional Paper No. 226, July 2019

Work in Progress and Other Publications

• • Forecasting Euro Area Inflation with the Phillips Curve (with Marta Banbura)

  • Stress test quality assurance from a top-down perspective (with David Zochowski), ECB Macroprudential Bulletin - Issue 3, June 2017

  • How can euro area banks reach sustainable profitability in the future? (with Magnus Andersson, Christoffer Kok, Csaba Móré and Jonas Mosthaf), ECB Financial Stability Review Special Feature A, November 2018

  • A portfolio perspective on bank profitability using (post-)pandemic stress-test scenarios (with Dimitrios Mokas, Carmelo Salleo and Zoe Trachana), ECB Financial Stability Review Box A, November 2020

  • Enhancing repo market transparency: the EU Securities Financing Transactions Regulation (with Claudio Bassi, Michael Grill, Felix Hermes, Charles O'Donnell, Michael Wedow), ECB Occasional Paper Series No 342