Research
Publications in refereed journals:
'On adjusting the one-sided Hodrick-Prescott filter' with Elias Wolf and Frieder Mokinski, Journal of Money, Credit and Banking, forthcoming [Software: Matlab | Python]
'Households' inflation expectations and concern about climate change ' with Christoph Meinerding and Andrea Poinelli, European Journal of Political Economy , forthcoming [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:
'Macroeconomic and financial effects of natural disasters', with Sandra Eickmeier and Josefine Quast, CEPR Discussion Paper 18940, 2024
'Shocks to transition risk', with Christoph Meinerding and Philipp Zhang, SSRN, 2024
'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
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]
'The impact of uncertainty and certainty shocks: A Bayesian quantile vector autoregressive approach', SSRN, 2021 [Old version: Deutsche Bundesbank Discussion Paper 14/2020]
'On the cyclical properties of Hamilton's regression filter', SSRN, 2020; [Old version: Deutsche Bundesbank Discussion Paper No 3/2018]
Older working papers:
'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 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:
'Measuring geopolitical risk: Perceptions matter', VoxEU, 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