Research

"The difficulty lies not so much in developing new ideas as in escaping from old ones"  John Maynard Keynes

Working papers

Time-Varying Parameter MIDAS Models: Application to Nowcasting US Real GDP (with Joshua Chan and Dan Zhu).

A Quantile Nelson-Siegel model (with Matteo Iacopini, Luca Rossini and Dan Zhu).

Uncertainty and the Term Structure of Interest Rates (with Jamie Cross and Dan Zhu). 

Money Growth and Inflation: A Quantile Sensitivity Approach (with Matteo Iacopini, Luca Rossini and Dan Zhu).

Conditional Forecasts in Large Bayesian VARs with Multiple Soft and Hard Constraints (with Joshua Chan, Davide Pettenuzzo and Dan Zhu). (Short Video Presentation)

Trend inflation and inflation compensation  IMF Working Paper No. 18/154  (with Juan Angel Garcia).  

Refereed Journal Publications

Using Stochastic Hierarchical Aggregation Constraints to Nowcast Regional Economic Aggregates (2024).

An International Analysis of the Trend Five-Year Government Bond Rate (2024).

Do Recessions and Bear Markets Occur Concurrently Across Countries? A Multinomial Logistic Approach (2024).

Constructing Density Forecasts from Quantile Regressions: Multimodality in Macro-Financial Dynamics (2024).

Incorporating Short Data into Large Mixed-Frequency VARs for Regional Nowcasting (2024).

Bayesian Mixed-Frequency Quantile Vector Autoregression: Eliciting tail risks of Monthly US GDP (2023).

High-Dimensional Conditionally Gaussian State Space Models with Missing Data (2023).

Large Stochastic Volatility in Mean VARs (2023).

Reconciled Estimates of Monthly GDP in the US (2023).

Forecasting Using Variational Bayesian Inference in Large Vector Autoregressions with Hierarchical Shrinkage (2023).

Trend Inflation in Sweden (2023).

Estimating the US Trend Short-Term Interest Rate (2023).

A Time-Varying Phillips Curve with Global Factors: Are Global Factors Important? (2023).

A New Bayesian Model for Contagion and Interdependence (2022).

Inflation trends in Asia: implications for central banks (2022).

Nowcasting Euro Area GDP Growth Using Bayesian Quantile Regression (2022).

Nowcasting ‘True’ Monthly US GDP During the Pandemic (2021).

Regional Output Growth in the United Kingdom: More Timely and Higher Frequency Estimates From 1970 (2020).

Macroeconomic Forecasting with Large Bayesian VARs: Global-local priors and the Illusion of Sparsity (2020).

Computationally Efficient Inference in Large Bayesian Mixed Frequency VARs (2020).

Reconciled Estimates and Nowcasts of Regional Output in the UK (2020).

On the Contribution of International Shocks in Australian Business Cycle Fluctuations (2020).

Assessing the Synchronicity and Nature of Australian State Business Cycles (2018).

The Transmission Mechanism of Malaysian Monetary Policy: A Time-Varying Vector Autoregression Approach (2018).

Forecasting Structural Change and Fat-tailed Events in Australian Macroeconomic Variables (2016).

Book Chapters

Monetary Policy in the New Normal