Publications in refereed journals:
'The global financial cycle and macroeconomic tail risks' with Johannes Beutel, Lorenz Emter, Norbert Metiu and Esteban Prieto, Journal of International Money and Finance, 103342, 2025 [Financial Times]
'Geopolitical risk perceptions' with Yevheniia Bondarenko, Vivien Lewis, and Matthias Rottner, Journal of International Economics, 152, 104005, 2024 [Data: GPR indexes and Russia sanctions intensity index] [VoxEU Column] [Replication folder] [Data: Euro area GPR index]
'Filtering economic time series: On the cyclical properties of Hamilton’s regression filter and the Hodrick-Prescott filter', Review of Economic Dynamics, 54, 101237, 2024
'On adjusting the one-sided Hodrick-Prescott filter' with Elias Wolf and Frieder Mokinski, Journal of Money, Credit and Banking, 2024 [Software: Matlab | Python]
'Latent fragility: Conditioning banks' joint probability of default on the financial cycle' with Paul Bochman, Paul Hiebert and Miguel Segoviano, Journal of International Money and Finance, 146, 103107, 2024
'Households' inflation expectations and concern about climate change ' with Christoph Meinerding and Andrea Poinelli, European Journal of Political Economy , 80, 102451, 2023 [SUERF Policy Brief]
'Identifying indicators of systemic risk' with Benny Hartwig and Christoph Meinerding, Journal of International Economics, 132, 103512, 2021 [Financial cycle data] [Replication folder] [VoxEU] [BuBa Research Brief]
'On the credit-to-GDP gap and spurious medium-term cycles', Economics Letters, 192, 109245, 2020
'Financial cycles: Characterisation and real-time measurement' with Paul Hiebert and Tuomas Peltonen, Journal of International Money and Finance, 100, 102082, 2020 [Financial cycle data] [Example code]
‘Contrasting financial and business cycles: Stylized facts and candidate explanations’ with Paul Hiebert and Ivan Jaccard, Journal of Financial Stability, 38, 72-80, 2018
‘The transmission of US systemic financial stress: Evidence for emerging market economies’ with Fabian Fink, Journal of International Money and Finance, 55, 6-26, 2015
‘Credit spread interdependencies of European states and banks during the financial crisis’ with Adrian Alter, Journal of Banking and Finance, 36, 3444-3468, 2012
Current working papers:
'Financial shocks and leverage of financial institutions: When do they matter?' with Kirstin Hubrich and Daniel Waggoner, SSRN, 2025
'Green and brown returns in a production economy' with Ivan Jaccard and Thore Kockerols, ECB Working Paper 3030, 2025
'Macroeconomic and financial effects of natural disasters' with Sandra Eickmeier and Josefine Quast, CEPR Discussion Paper 18940, 2024 [BBk Discussion Paper] [VoxEU Column] [SUERF Policy Brief]
'Shocks to transition risk' with Christoph Meinerding and Philipp Zhang, SSRN, 2024 [VoxEU Column] [Bundesbank Research Brief]
'Bayesian quantile vector autoregression: (un)certainty through tail-specific shocks', SSRN, 2021 [Old version: Deutsche Bundesbank Discussion Paper 14/2020]
Older working papers:
'The global financial cycle and macroeconomic tail risks' with Johannes Beutel, Lorenz Emter, Norbert Metiu and Esteban Prieto, Deutsche Bundesbank Discussion Paper 43/2022, 2022 [Financial Times]
'Geopolitical risk perceptions' with Yevheniia Bondarenko, Vivien Lewis, and Matthias Rottner, 2023 [Data: GPR indexes and Russia sanctions intensity index] [VoxEU Column]
'Latent fragility: Conditioning banks' joint probability of default on the financial cycle' with Paul Bochman, Paul Hiebert and Miguel Segoviano, ECB Discussion Paper 2698, 2022
'Inflation expectations and climate concern' with Christoph Meinerding and Andrea Poinelli, Deutsche Bundesbank Discussion Paper 12/2022, 2022 [SUERF Policy Brief]
'Identifying indicators of systemic risk' with Benny Hartwig and Christoph Meinerding, Deutsche Bundesbank Discussion Paper 33/2020, 2020; [SSRN version (2019)]
'On the cyclical properties of Hamilton's regression filter', SSRN, 2020; [Old version: Deutsche Bundesbank Discussion Paper No 3/2018]
'On adjusting the one-sided Hodrick-Prescott filter' with Elias Wolf and Frieder Mokinski, Deutsche Bundesbank Discussion Paper 11/2020, 2020 [Software: Matlab | Python] [SSRN version]
'On the credit-to-GDP gap and spurious medium-term cycles', Deutsche Bundesbank Discussion Paper 28/2020, 2020; [SSRN version (2020)]
'Coherent financial cycles for G-7 countries: Why extending credit can be an asset’ with Paul Hiebert and Tuomas Peltonen, SSRN, 2019; [Old version]
'How should we filter economic time series?', SSRN, 2019
'Detrending and financial cycle facts across G7 countries: Mind a spurious medium term!', ECB Working Paper Series No. 2138, 2018; [Handelsblatt (in German)]
'Characterising the financial cycle: A multivariate and time-varying approach' with Paul Hiebert and Tuomas Peltonen, ECB Working Paper Series No. 1846, 2015
'Asymmetric effects of uncertainty over the business cycle: A quantile structural vector autoregressive approach', Working Paper Series 2014-2, Department of Economics, University of Konstanz, 2014
'The transmission of US financial stress: Evidence for emerging market economies', Working Paper Series 2013-1, Department of Economics, University of Konstanz, 2013
'Credit spread interdependencies of European states and banks during the financial crisis' with Adrian Alter, Working Paper Series 2011-24, Department of Economics, University of Konstanz, 2011
Other publications:
'Geopolitical risk in the euro area', VoxEU, 2025
'Policy considerations for managing the broad economic and financial repercussions of natural disasters', SUERF Policy Brief, 2025
'Consequences of transitioning to a climate-neutral economy', VoxEU, 2024
'Consequences of transitioning to a climate-neutral economy', Research Brief, 68th edition, Deutsche Bundesbank, 2024
'Large, broad-based macroeconomic and financial effects of natural disasters', VoxEU, 2024
'Measuring geopolitical risk: Perceptions matter', VoxEU, 2023
'Latent fragility: Conditioning banks’ joint probability of default on the financial cycle', SUERF Policy Brief, 2023
'Inflation expectations and climate concern', SUERF Policy Brief, 2022
'Identifying indicators of systemic risk', VoxEU, 2022
'Identifying indicators of systemic risk', Research Brief, 44th edition, Deutsche Bundesbank, 2021
'On the reference indicator for determining the Basel III countercyclical capital buffer', Research Brief, 27th edition, Deutsche Bundesbank, 2019
'A widening divergence between financial and economic cycles' with Yingyuan Chen and Paul Hiebert, IMF Global Financial Stability Report, Box 1.1., October 2017
'New evidence shows characteristics of financial cycles' with Paul Hiebert and Tuomas Peltonen, LSE Business Review, 2016
'Capturing the financial cycle in euro area countries' with Paul Hiebert, Benjamin Klaus, Tuomas Peltonen, and Peter Welz, ECB Financial Stability Review, Special Feature, November 2014