Working Papers

Working Papers:

1. SONOMA: a Small Open ecoNOmy for MAcrofinance (with Max Croce and Sam Rosen) revision requested (pdf)

   • Data visualization (link)

   • Data collection description (pdf)

2. Foreign economic policy uncertainty and U.S. equity returns (with Yuriy Kitsul, Jamil Rahman, and Beth Anne Wilson) revision requested (pdf)

   • Best Paper in Market Risk Award, International Risk Management Conference 2024, Bocconi University, Milan, Italy.

   • Featured in Macro Roundup (link).

3. Trend-Cycle Decomposition and Forecasting Using Bayesian Multivariate Unobserved Components (with Charles Knipp and Pawel J. Szerszen) (pdf).

Working papers not intended for publication:

1. Measuring ambiguity aversion. (with A. Ronald Gallant and Hening Liu) replaced by "Does smooth ambiguity matter for asset pricing?" (pdf)

2. Taxonomy of Global Risk, Uncertainty, and Volatility Measures. (with D. Datta, J. M. Londono, B. Sun, D. Beltran, T. Ferreira, M. Iacoviello, M. R. Jahan-Parvar, C. Li, M. Rodriguez, and J. Rogers) IFDP Working Paper 1216, Federal Reserve Board. (pdf)