Senior Financial Sector Expert in the Monetary and Capital Markets Department at the International Monetary Fund and a research associate at CAMA.
Views are personal, and should not be attributed to the IMF, its management, or its Executive Board.
Research Interests
Macroeconomics; Monetary and macroprudential policies; Functional data.
IMF | Google Scholar | IDEAS | orcid | LinkedIn
Latest work
When should macroprudential capital buffers be released? with Mario Catalan.
Does extreme weather make inflation harder to forecast? with Abhiprerna Smit and Güneş Kamber. [presentation]
Journal publications
The dynamics of economic functions: Modelling and forecasting the yield curve with Clive G. Bowsher. Journal of the American Statistical Association, Vol. 103, No. 484, December 2008, 1419-1437.
Do credit market shocks drive output fluctuations? Evidence from corporate spreads and defaults. Journal of Economic Dynamics & Control, Vol 36, April 2012, 568-584.
Stationary and Nonstationary Behaviour of the Term Structure: A Nonparametric Characterisation with Clive G. Bowsher. Applied Mathematical Finance, Vol. 20, No. 2, April 2013, 137-166.
Capital regulation and the macroeconomy: Empirical evidence and macroprudential policy. European Economic Review, Vol 95, June 2017, 125-141.
Shadow banks and macroeconomic instability with Ben Nelson and Pier Alessandri. Journal of Money, Credit & Banking, Vol .49, Issue 7, October 2017, 1483-1516. [code][technical appendix]
Monetary and macroprudential policies under rules and discretion, with Lien Laureys. Economics Letters, Vol. 170, September 2018, 104-108. [code]
Optimal simple objectives for monetary policy when banks matter with Lien Laureys and Boromeus Wanengkirtyo [CAMA]. European Economic Review, Vol. 135, June 2021. [code]
Heterogeneous beliefs and the Phillips curve, with Francesca Monti. Journal of Monetary Economics, Vol. 139, 2023, 41-54 [Working Paper (2019 version)] [CAMA (2022 version)] [slides][VoxEU]
Negative interest rates: A survey, with Luis Brandão-Marques, Marco Casiraghi, Gaston Gelos, and Güneş Kamber. Annual Review of Economics, Vol. 16, 2024. [Croaking Cassandra] [Conversable Economist] [SUERF policy brief] [CESifo report]
Policy publications
Credit crisis casts shadow over commercial real estate. Federal Reserve Bank of Dallas Economic Letter Vol.3, No.12, 2008.
Republic of Korea: Macroprudential Policy Framework and Tools. Technical Note, Financial Sector Assessment Program, 2020.
Adapting central bank operations to a hotter world: Reviewing some options, contributor. Network for Greening the Financial System, 2021.
Germany: Macroprudential Policy Framework and Tools. Technical Note, Financial Sector Assessment Program, 2022.
Monetary policy with uncertain inflation persistence, with Luis Brandão-Marques and Vina Nguyen. IMF Working Paper, 2024.
Selected discussions
2024 Fed Day Ahead Conference on Financial Markets, Goldberg and Lopez-Salido, '"Sowing the wind" monetary policy'
2017 Essex Finance Conference (EFiC), Lamers et al., 'The trade-off between monetary policy and bank stability' [slides]
2016 CCBS Macro-finance Workshop, Aoki, Benigno, and Kiyotaki, 'Monetary and financial policy in emerging markets' [slides]
2016 ASSA - IBEFA Meetings: Alves, Bonfim and Soares, 'Surviving the perfect storm: the role of the lender of last resort' [slides]
2011 ESCB Day Ahead Conference: Schwaab, Koopman and Lucas, 'Systemic risk diagnostics' [slides]
2009 Sveriges Riksbank: Frame, Hancock & Passmore, 'Federal home loan bank advances and commercial bank portfolio composition' [slides]
2008 FRB Kansas City, System Macro Meeting: Gilchrist, Yankov & Zakrajšek, 'Credit market shocks and economic fluctuations' [slides]
Selected presentations & conferences
2021 IAAE Annual Conference; SKEMA Business School, Workshop on new directions for inflation forecasting [slides]
2018 RES Sussex; NuCamp/Indiana Macroeconomic Policy Conference; OFCE/Sciences-Po Workshop on Empirical Monetary Economics.
2017 Lancaster Workshop on Macroeconomic and Time Series Analysis. EEA Lisbon.
2016 National Bank of Slovakia: 'Optimal simple objectives for monetary policy when banks matter' [slides (note: different title)]
2016 European Monetary Forum
2015 ASSA - IBEFA Meetings; EEA Mannheim; ECB; Banca d'Italia; IAAE Thessaloniki; MMF Workshop Macroprudential Policy, Monetary Policy and Real Economic Activity; Joint BoE/ECB/CEPR and CfM conference on Credit Dynamics and the Macroeconomy, Co-organizer.
2014 CFCM Conference on Effective Macroprudential Instruments: 'Capital regulation and macroeconomic activity' [slides]
2014 University of Glasgow
2012 Banque de France-TSE Financial Stability seminar
2012 NASM Econometric Society, Northwestern
2012 University of Western Ontario: 'Shadow banks and macroeconomic instability' [slides]
2010 Belgian National Bank: 'Do credit market shocks drive output fluctuations?' [slides]
2009 Federal Reserve Bank of New York
2008 Texas Monetary Conference, FRB Dallas, Co-organiser
2008 Federal Reserve Bank of San Francisco: 'The dynamics of economic functions: Modeling and forecasting the yield curve' [slides]