Non-Gaussian Factor models
with Andrzej Kociecki and Christian Matthes
The transmission of monetary policy when agents fear inflation or deflation
with Anastasia Allayioti and Francesca Monti
How vaccination changed economic-pandemic dynamics
with Annika Camehl and Malte Rieth
A Unified Approach to Statistical Identification in Structural VARs
with Andrzej Kociecki and Christian Matthes. pdf | online appendix. Previously circulated as "A Non-Gaussian GDP Anatomy" This paper shows that a simple reparameterization allows for the development of the first Gibbs sampler for SVAR models with t-distributed shocks. This makes the analysis computationally more tractable compared to existing models, and paves the way for a larger model specificaiton within this class of models. We apply our method to US data and show that there is no such thing as a Main Business Cycle shock that explais most of the US business cycle
Flexible prior beliefs on impulse responses in Bayesian vector autoregressive models
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
Impulse response estimation via flexible local projections
Journal of Money, Credit and Banking (forthcoming)
with Haroon Mumtaz. Latest draft here. 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
Tractable Bayesian Estimation of Smooth Transition Vector Autoregressive Models
The Econometrics Journal (2024), 27(3), pp. 343-361
with Martin Bruns. pdf | journal version | 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.
A new posterior sampler for Bayesian structural vector autoregressive models
Quantitative Economics (2023), 14(4), pp. 1221-1250
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"
Unconventional monetary policy, fiscal side effects and euro area (im)balances
Journal of the European Economic Association (2020), 18(1), pp. 202–231
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.
Monetary policy and defaults in the US
International Journal of Central Banking (2018), 14(4), pp. 327-358
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.
Identifying uncertainty shocks using the price of gold
The Economic Journal (2018), 128(616), pp. 3266-3284
with Max Podstawski. journal version | pdf | appendix |updated replication of the instrument | official replication package. 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.
Risk factors for the Presence of Aedes aegypti and Aedes albopictus in Domestic Water-Holding Containers in Areas Impacted by the Name Theun 2 Hydroelectric Project, Laos
American Journal of Tropical Medicine and Hygiene (2013), 88(6), pp. 1070-78
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
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.