I am a lecturer in the Department of Economics at the University of Essex, a consultant in the Monetary Assessment & Strategy Division at the Bank of England, and a research associate at CAMA, ANU.  

My research is in macroeconomics, macroeconometrics, and banking. My recent research has been on the macroeconomic effects of securitization-driven credit flows within the financial system, and the macroeconomic effects of changes to bank capital requirements. I have published work investigating the impact of credit market shocks in driving bond spreads and aggregate activity, and econometric models of the term structure of interest rates.

I have previously held staff economist positions in the Financial Stability Directorate of the Bank of England (2009-2012), where I worked on banking system stress tests; and the Research Department at the Federal Reserve Bank of Dallas (2007-2009), working on the US macroeconomy. I was a visiting economist at the Federal Reserve Bank of San Francisco and a visiting scholar at Stanford University during 2008-2009. Prior to working in central banking, I was a British Academy Postdoc at Nuffield College, Oxford. My DPhil (PhD) thesis at the University of Oxford was advised by John Muellbauer, and won the Edgeworth Prize.

Working papers

Shadow banks and macroeconomic instability [pdf] with Ben Nelson (Bank of England) and Pier Alessandri (Banca d'Italia). Banca d'Italia Working Paper 939 and CAMA Working Paper 78/2013, November 2013.  Some mentions: NEP-DGE blogDavid Andolfatto's blog.  Revise & Resubmit, Journal of Money, Credit & Banking.

Bank capital regulation, loan supply and macroeconomic activity (coming soon).


Stationary and Nonstationary Behaviour of the Term Structure: A Nonparametric Characterisation [pdf] with Clive G. Bowsher (Bristol).  Applied Mathematical FinanceVol. 20, No. 2, April 2013, 137-166.

Do credit market shocks drive output fluctuations? Evidence from corporate spreads and defaults [pdf]Journal of Economic Dynamics & ControlVol 36, April 2012, 568-584.

The dynamics of economic functions: Modelling and forecasting the yield curve [pdf] with Clive G. Bowsher (Bristol)Journal of the American Statistical AssociationVol. 103, No. 484, December 2008, 1419-1437.

Credit crisis casts shadow over commercial real estateFederal Reserve Bank of Dallas Economic Letter Vol.3, No.12, 2008.

Other writing

Financial frictions in macroeconomics. Non-technical review, June 2013.

Recent presentations & conferences

2012-12 Essex-Konstanz macro workshop
2012-09 Banque de France-TSE Financial Stability seminar
2012-06 NASM Econometric Society, Northwestern
2012-06 University of Western Ontario
2012-05 University of Essex
2011-08 ESCB Day Ahead Conference, Discussant: Schwaab, Koopman and Lucas, 'Systemic risk diagnostics' [slides]
2011-05 Midwest Macroeconomics Meetings, Nashville
2011-04 Royal Economic Society Annual Conference, Royal Holloway
2010-10 Belgian National Bank
2009-11 Sveriges Riksbank, Discussant: Frame, Hancock & Passmore [slides]
2009-05 Federal Reserve Bank of New York
2008-10 FRB Kansas City, System Macro Meeting, Discussant: Gilchrist, Yankov & Zakrajsek, 'Credit market shocks and economic fluctuations' [slides]
2008-06 Computing in Economics and Finance, Paris
2008-05 Texas Monetary Conference, FRB Dallas, Co-organiser
2008-02 Federal Reserve Bank of San Francisco [slides]
2007-04 British Academy Post Doc Symposium [slides]

Subpages (2): Research teaching