Publications

• Aggregate Skewness and the Business Cycle, with M. Iseringhausen and I. Petrella, Review of Economics and Statistics, forthcoming, Online Appendix, Code

• The Federal Reserve's Implicit Inflation Target and Macroeconomic Dynamics. A SVAR Analysis, with H. Mumtaz, International Economic Review, forthcoming, Online Appendix, Code

• Is there a National Housing Market Bubble Brewing in the United States?, with R. Gupta, J. Ma and M. Mark, Macroeconomic Dynamics, forthcoming

• Precautionary Liquidity Shocks, Excess Reserves and Business Cycles, with G. Bratsiotis, Journal of International Financial Markets, Institutions & Money, forthcoming,  Online Appendix, Code

• Fiscal Policy Shocks and Stock Prices in the United States, with H. Mumtaz, European Economic Review,  forthcoming, Online Appendix, Code

• Understanding International Long-Term Interest Rate Comovement, with M. Chin, F. De Graeve and T. Filippeli, Advances in Econometrics, 2022, vol. 44B, pages 147-189, Online Appendix, Code

• A Trendy Approach to UK Inflation Dynamics, with K. Forbes and L. Kirkham, The Manchester School, 2021, 89(S1), pages 23-75

• Unconventional Monetary Policies and the Macroeconomy: The Impact of Quantitative Easing and the Funding for Lending Scheme in the UK, with R. Churm, M. Joyce and G. Kapetanios, Quarterly Review of Economics and Finance, 2021, vol 80(C), pages 721-736

• Dynamic Effects of Monetary Policy Shocks on Macroeconomic Volatility, with H. Mumtaz, Journal of Monetary Economics, 2020, vol 114, pages 262-282, Online Appendix, Code

• DSGE-Based Priors for BVARs and Quasi-Bayesian DSGE Estimation, with T. Filippeli and R. Harrison, Econometrics and Statistics (Lead Article), 2020,  vol 16, pages 1-27, Code

• State Dependence in Labor Market Fluctuations, with C. Pizzinelli and F. Zanetti, International Economic Review (Lead Article), 2020, vol 61, pages 1027-1072, Online Appendix, Code

• Changing Macroeconomic Dynamics at the Zero Lower Bound, with P. Liu, H. Mumtaz and F. Zanetti, Journal of Business & Economic Statistics, 2019, vol 37, pages 391-403, Code

• A New Approach for Detecting Shifts in Forecast Accuracy, with J. Chiu, S. Hayes and G. Kapetanios, International Journal of Forecasting, 2019, vol 35, pages 1596-1612

• What do VARs Tell us about the Impact of a Credit Supply Shock?, with H. Mumtaz and P. Gabor, International Economic Review, 2018, vol. 59, pages 625-649, Online Appendix, Code

• The Changing Transmission of Uncertainty Shocks in the US: An Empirical Analysis, with H. Mumtaz, Journal of Business & Economic Statistics, 2018, vol. 36, pages 239-252, Code, Online Appendix

• Do Contractionary Monetary Policy Shocks Expand Shadow Banking?, with B. Nelson and G. Pinter, Journal of Applied Econometrics, 2018, vol. 33, pages 198-211, Code, Online Appendix

• Common and Country Specific Economic Uncertainty, with H. Mumtaz, Journal of International Economics, 2017, vol. 105, pages 205-216, Online Appendix, Code

• News and Business Cycles in Open Economies with Financial Frictions, with G. Kamber and C. Thoenissen, Journal of International Economics, 2017, vol. 105, pages 77-89, Online Appendix, MATLAB Code

• Modelling the Business Cycle of a Small Open Economy: the Reserve Bank of New Zealand’s DSGE Model, with G. Kamber, C. McDonald and N. Sander, Economic Modelling, 2016, vol. 59(C), pages 546-569

• News and Labor Market Dynamics in Matching Models, with F. Zanetti, Canadian Journal of Economics, 2016, vol. 49(3), pages 906-930, Online Appendix, MATLAB Code

• A New Approach to Multi-Step Forecasting using Dynamic Stochastic General Equilibrium Models, with G. Kapetanios and S. Price, Economic Letters, 2015, vol. 136, pages 237-242, MATLAB Code and ToolKit

• The Impact of Uncertainty Shocks Under Measurement Error. A Proxy SVAR Approach, with A. Carriero, H. Mumtaz and A. Theophilopoulou, Journal of Money, Credit and Banking, 2015, vol. 47(6), pages 1223-1238, Online Appendix, MATLAB Code

• The International Transmission of Volatility shocks: an Empirical Analysis, with H. Mumtaz, Journal of the European Economic Association, 2015, vol. 13(3), pages 512-523, Online Appendix, Code

• DSGE Priors for BVAR Models, with T. Filippeli, Empirical Economics, 2015, vol. 48(2), pages 627-656, MATLAB Code

• The Drivers of Productivity, with K. Luintel and M. Khan, Journal of Productivity Analysis, 2014, vol. 42(2), pages 137-155

• Forecasting UK GDP Growth and Inflation under Structural Changes. A Comparison ofModels with Time-Varying Parameters, with. A. Barnett and H. Mumtaz, International Journal of Forecasting, 2014, vol. 30(1), pages 129-143

• Assessing the Economywide Effects of the Quantitative Easing, with G. Kapetanios, H. Mumtaz and I. Stevens, Economic Journal, 2012, vol. 122(564), pages F316-F347

• DSGE Model Restrictions for Structural VAR Identification, with P. Liu, International Journal of Central Banking, 2012, vol. 8(4), pages 61-95, MATLAB Code

• Testing a Model of the UK by the Method of Indirect Inference, with P. Minford and D. Meenagh, Open Economies Reviews, 2009, vol. 20(2), pages 265-291

• Financial Structure and Economic Growth, with K. Luintel, M. Khan and P. Arestis, Journal of Development Economics, 2008, vol. 86(1), pages 181-200

Other Publications

• Oil and the Macroeconomy, with J. Lennard, National Institute Economic Review, 243

• The Bank of England’s Forecasting Platform: COMPASS, MAPS, EASE and the Suite of Models, with S. Burgess, E. Fernandez-Corugedo, C. Groth, R. Harrison and F. Monti, Bank of England Working Papers, 471

• What can company data tell us about financing and investment decisions?, with K. Farrant, M. Inkinen and M. Rutkowska, Bank of England Quarterly Bulletin, vol. 53(4), pages 361-370