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.
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 blog; David 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 Finance, Vol. 20, No. 2, April 2013, 137-166.
The dynamics of economic functions: Modelling and forecasting the yield curve [pdf] with Clive G. Bowsher (Bristol). Journal of the American Statistical Association, Vol. 103, No. 484, December 2008, 1419-1437.
Credit crisis casts shadow over commercial real estate. Federal Reserve Bank of Dallas Economic Letter Vol.3, No.12, 2008.
Financial frictions in macroeconomics. Non-technical review, June 2013.
2012-12 Essex-Konstanz macro workshop