Research
"The difficulty lies not so much in developing new ideas as in escaping from old ones" John Maynard Keynes
Working papers
A Constrained Dynamic Nelson-Siegel Model for Monetary Policy Analysis (with Jamie Cross, Wenying Yao and Dan Zhu).
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).
Gary Koop, Stuart McIntyre, James Mitchell and Aubrey Poon
International Journal of Forecasting, vol 40(2), pp. 626-640.
An International Analysis of the Trend Five-Year Government Bond Rate (2024).
Meredith Beechey, Pär Österholm and Aubrey Poon
Scottish Journal of Political Economy, Forthcoming.
[Journal Version] [Working Paper]
Do Recessions and Bear Markets Occur Concurrently Across Countries? A Multinomial Logistic Approach (2024).
Aubrey Poon and Dan Zhu
Journal of Financial Econometrics, Forthcoming.
Constructing Density Forecasts from Quantile Regressions: Multimodality in Macro-Financial Dynamics (2024).
James Mitchell, Aubrey Poon and Dan Zhu
Journal of Applied Econometrics, Forthcoming.
Incorporating Short Data into Large Mixed-Frequency VARs for Regional Nowcasting (2024).
Gary Koop, Stuart McIntyre, James Mitchell, Aubrey Poon and Ping Wu
Journal of the Royal Statistical Society: Series A, vol 187(2), pp. 477-495.
Bayesian Mixed-Frequency Quantile Vector Autoregression: Eliciting tail risks of Monthly US GDP (2023).
Matteo Iacopini, Aubrey Poon, Luca Rossini and Dan Zhu
Journal of Economic Dynamics and Control, vol 157, 104757.
High-Dimensional Conditionally Gaussian State Space Models with Missing Data (2023).
Joshua Chan, Aubrey Poon and Dan Zhu
Journal of Econometrics, vol 236(1), 105468.
Large Stochastic Volatility in Mean VARs (2023).
Jamie Cross, Chenghan Hou, Gary Koop and Aubrey Poon
Journal of Econometrics, vol 236(1), 105469.
Reconciled Estimates of Monthly GDP in the US (2023).
Gary Koop, Stuart McIntyre, James Mitchell and Aubrey Poon
Journal of Business and Economic Statistics, vol 41(2), pp. 563-577.
[Journal Version] [Working Paper] [Online Appendix] [Monthly true GDP estimates] [Short Video Presentation] [The Economist article] [The New York Times article] [Code] [Older Vintage Monthly true GDP estimates]
Forecasting Using Variational Bayesian Inference in Large Vector Autoregressions with Hierarchical Shrinkage (2023).
Deborah Gefang, Gary Koop and Aubrey Poon
International Journal of Forecasting, vol 39(1), pp. 346-363.
[Journal Version] [Working Paper] [Online Appendix] [CAMA working paper] [Code]
Trend Inflation in Sweden (2023).
Pär Österholm and Aubrey Poon
International Journal of Finance and Economics, vol 28(4), pp. 4707-4716.
Estimating the US Trend Short-Term Interest Rate (2023).
Meredith Beechey, Pär Österholm and Aubrey Poon
Finance Research Letters, vol 55, 103913.
[Journal Version] [Working Paper]
A Time-Varying Phillips Curve with Global Factors: Are Global Factors Important? (2023).
Alain Kabundi, Aubrey Poon and Ping Wu
Economic Modelling, vol 126, 106423.
A New Bayesian Model for Contagion and Interdependence (2022).
Aubrey Poon and Dan Zhu
Econometric Reviews, vol. 41(7), pp. 806-826.
[Journal Version] [Working Paper] [Code]
Inflation trends in Asia: implications for central banks (2022).
Juan Angel Garcia and Aubrey Poon
Oxford Economic Papers, vol. 74(3), pp. 671-700.
Nowcasting Euro Area GDP Growth Using Bayesian Quantile Regression (2022).
James Mitchell, Aubrey Poon and Gian Luigi Mazzi
Advances in Econometrics, vol. 43A, pp. 51-72.
Nowcasting ‘True’ Monthly US GDP During the Pandemic (2021).
Gary Koop, Stuart McIntyre, James Mitchell and Aubrey Poon
National Institute Economic Review, Special Issue, vol. 256, pp. 44-70.
Regional Output Growth in the United Kingdom: More Timely and Higher Frequency Estimates From 1970 (2020).
Gary Koop, Stuart McIntyre, James Mitchell and Aubrey Poon
Journal of Applied Econometrics, vol. 35(2), pp. 176-197.
[Journal Version] [Working Paper] [ESCoE Working Paper] [UK Regional Nowcasting website] [Code]
Macroeconomic Forecasting with Large Bayesian VARs: Global-local priors and the Illusion of Sparsity (2020).
Jamie Cross, Chenghan Hou and Aubrey Poon
International Journal of Forecasting, vol. 36(3), pp. 899-915.
Computationally Efficient Inference in Large Bayesian Mixed Frequency VARs (2020).
Deborah Gefang, Gary Koop and Aubrey Poon
Economics Letters, vol. 191, pp. 1-6.
Reconciled Estimates and Nowcasts of Regional Output in the UK (2020).
Gary Koop, Stuart McIntyre, James Mitchell and Aubrey Poon
National Institute Economic Review, vol. 253, pp. R44-R59.
On the Contribution of International Shocks in Australian Business Cycle Fluctuations (2020).
Jamie Cross and Aubrey Poon
Empirical Economics, vol. 59, pp. 2613–2637.
Assessing the Synchronicity and Nature of Australian State Business Cycles (2018).
Aubrey Poon
The Economic Record, vol. 94, pp. 372-390.
The Transmission Mechanism of Malaysian Monetary Policy: A Time-Varying Vector Autoregression Approach (2018).
Aubrey Poon
Empirical Economics, vol. 55(2), pp. 417-444.
Forecasting Structural Change and Fat-tailed Events in Australian Macroeconomic Variables (2016).
Jamie Cross and Aubrey Poon
Economic Modelling, vol. 58, pp. 34-51.
[Journal Version] [Working Paper] [Code]
Book Chapters
Monetary Policy in the New Normal
With Juan Angel Garcia Morales, Ana Corbacho, Geraldine Dany-Knedlik and Umang Rawat.
In A. Corbacho and S. Peris (Eds.), The ASEAN Way: Sustaining Growth and Stability, International Monetary Fund.