Research

Work in progress  

with Christian Matthes

with Fabio Canova and Andrzej Kociecki.  pdf  |  online appendix.  The paper develops a new prior for SVARs that allows introducing priors on the shape of the impulse  horizons, while still working with the convenient Normal distribution. The method is compatible with standard identification strategies and is an alternative to the Minnesota prior


with Anastasia Allayioti and Francesca Monti  

Working papers  

with Haroon Mumtaz. Latest draft here (submitted). The paper proposes a nonparametric version of Local Projections by applying Bayesian Additive Regression Trees model to LPs. Develops the model, shows 3 simulation exercises in Monte Carlo. Applies the method to fiscal shocks and to financial shocks

Publications

with Martin Bruns. PDF | Online appendix | journal version |  list of papers using SVARs | replication codes. We propose a methodology that can handle a wide range of prior beliefs on contemporaneous impulse responses, while ensuring a tractable posterior distribution. We combine sign restrictions with information on the scaling of the variables and show that this delivers sharper inference. We show an application to the oil market and find that oil supply shocks do matter for oil price dynamics. This project received  financial support from Michele's Marie Skłodowska-Curie grant agreement number 744010, which is part of the European Union's Horizon 2020 research and innovation program.  The paper previously circulated under the title "Bayesian Structural VAR models: a new approach for prior beliefs on impulse responses"


with Martin Bruns. pdf | appendix | replication codes. The paper proposes a way of estimating the parameters gamma and c in Smooth Transition SVAR models. It hence offers an alternative to calibrating such parameters, since we show that they have a strong effect on results, hence they are best estimated than calibrated.  


with Michael Hachula and Malte Rieth. journal version | pdf | appendix | instruments for the monetary shocks | data and replication codes. Uses a VAR for the euro area to study the effects and side effects of an exogenous ECB's unconventional monetary expansion. Studies in details how the responses differ across Euro Area members.

pdf (journal, open source) | appendix. Studies empirically and theoretically the general equilibrium implications of the risk-taking channel of monetary policy.  This was my job market paper in year 2013 after the PhD.


with Max Podstawski.  journal version | pdf | appendix | instrument | figures for all events | data and replication codes | replicate instrument. Uses variations in the price of gold around uncertainty-related events to compute a proxy for uncertainty shocks. Then identifies uncertainty and news shocks in a proxy SVAR and compares results to the recursive identification. Argues that uncertainty shocks identified recursively look more like news shocks.


with Alexandra Hiscox, Angela Kaye, Khamsing Vongphayloth, Ian Banks, Phasouk Khammanithong, Pany Sananikhom, Surinder Kaul, Nigel Hill, Steven Lindsay and Paul Brey.  link to journal 

Old papers  

Quantifying the macroeconomic effects of the uncertainty shock of the Brexit vote

with Malte Rieth

Bayesian assessment of sign restrictions in VAR models

pdf | appendix. Uses Bayesian estimation to study how strongly the data support sign restrictions for a VAR as candidate identifying restrictions. First version July 2015, this version July 2017. This paper initially circulated under the titles "Assessing identifying restrictions in SVAR models" and "Bayesian model comparison for sign restrictions in SVAR models".

Monetary policy, leverage, and default  

pdf | awards. Uses the BGG (1999) model to study leverage and revenue effects after a monetary expansion. 

Counter-cyclical defaults in costly state verification models   

pdf. Proposes a way of generating counter-cyclical defaults in CSV model + calibrates the non-linear model numerically.