Research

Publications:

Conditional euro area sovereign default risk

Journal of Business and Economic Statistics, Vol 32 (2), 2014, p. 271-284, with André Lucas and Bernd Schwaab.

Score driven exponentially weighted moving averages and Value-at-Risk forecasting

International Journal of Forecasting, Vol 32 (2), 2016, p. 293 - 302, with André Lucas. 

Modeling financial sector joint tail risk in the euro area

Journal of Applied Econometrics, Vol 32 (1), 2017, p. 171–191, with André Lucas and Bernd Schwaab. 

Spread the word: international spillovers from central bank communication 

Journal of International Money and Finance, Vol 103, 2020, with H. Armelius, C. Bertsch, and I. Hull.

Bank misconduct and online lending

Journal of Banking and Finance, Vol 116, 2020, with Christoph Bertsch, Isaiah Hull, and Yingjie Qi.

Risk endogeneity at the lender-/investor-of-last-resort

Journal of Monetary Economics, Vol 116, 2020, with Diego Caballero, André Lucas, and Bernd Schwaab.

The interaction between macroprudential and monetary policies: The cases of Norway and Sweden

Review of International Economics, Vol 29 (1), 2021, with J. Cao, V. Dinger, A. Grodecka-Messi, and R. Juelsrud.

Monetary Normalizations and Consumer Credit: Evidence from Fed Liftoff and Online Lending 

International Journal of Central Banking, Vol 18 (5), 2021, with Christoph Bertsch and Isaiah Hull.

Narrative Fragmentation and the Business Cycle

Economics Letters, Vol 201, 2021, with Christoph Bertsch and Isaiah Hull.

Private Bank Money vs Central Bank Money: A Historical Lesson for CBDC Introduction

Journal of Economic Dynamics and Control, forthcoming, with Anna Grodecka-Messi.

Modeling extreme events: time-varying extreme tail shape

Journal of Business and Economic Statistics, forthcoming, with Enzo D'Innocenzo, André Lucas and Bernd Schwaab. 

Policy Publications:

A new early warning indicator of financial fragility in Sweden

Sveriges Riksbank Economic Commentaries, 2017, with Paolo Giordani and Erik Spector.

 Home equity extraction activities in Sweden

Sveriges Riksbank Staff Memo, 2020, with Jieying Li and Peter van Santen.

Federal Reserve Speeches Meet Transformer Models

SUERF Policy Brief, 2023, with Christoph Bertsch, Isaiah Hull, and Robin L Lumsdaine.

Working papers:

House Prices, Home Equity, and Personal Debt Composition, with Anna Grodecka-Mess and Jieying Li.

Central Bank Mandates and Monetary Policy Stances: through the Lens of Federal Reserve Speeches, with Christoph Bertsch, Isaiah Hull, and Robin L Lumsdaine.

Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails, with Drew Creal, Siem Jan Koopman and André Lucas.

and more...