Research

Confidence Intervals for Bias and Size Distortion in IV and Local Projections–IV Models with Atsushi Inoue and Barbara Rossi
Journal of Business & Economic Statistics (2021)

• [Bank of Spain Working Paper No. 1841]

• Earlier version circulated under the title Confidence Intervals for the Strength of Identification in IV and SVAR Models.

BVAR Forecasts, Survey Information and Structural Change in the Euro Area with Florens Odendahl
International Journal of Forecasting (2021)

• [Bank of Spain Working Paper No. 1948] [Bank of France Working Paper No. 733]

From Fixed-event to Fixed-horizon Density Forecasts: Obtaining Measures of Multi-horizon Uncertainty from Survey Density Forecasts with Barbara Rossi and Tatevik Sekhposyan
Revise and resubmit at Journal of Money, Credit and Banking

• [Bank of Spain Working Paper No. 1947]

• Earlier version circulated under the title From fixed-event to fixed-horizon density forecasts: professional forecasters' view on multi-horizon uncertainty.

Optimal density forecast combinations
Revise and resubmit at Journal of Applied Econometrics

• [Bank of Spain Working Paper No. 1751] [UniCredit Working Paper No. 88] [Latest version] [Code and data]

• Winner of the UniCredit & Universities 3rd Economics Job Market Best Paper Award and the 2nd Marcelo Reyes Prize.

Constructing Fan Charts from the Ragged Edge of SPF Forecasts with Todd E. Clark and Elmar Mertens

• [Federal Reserve Bank of Cleveland Working Paper No. 22-36]

What is the Predictive Value of SPF Point and Density Forecasts? with Todd E. Clark and Elmar Mertens

• [Federal Reserve Bank of Cleveland Working Paper No. 22-37]

Banco de España macroeconomic projections: comparison with an econometric model (Las previsiones macroeconómicas del Banco de España a la luz de un modelo econométrico) with Eva Ortega
Artículos Analíticos/Analytical Articles (Banco de España)

• [Paper in English and Spanish]

Reordering variables in VARs with stochastic volatility: implications for forecasting and structural analysis with Florens Odendahl

Perceived inflation and output growth persistence: how does it affect the real economy and policy expectations?with Burçin Kısacıkoğlu

Measuring the impact of QE on asset prices with Kristóf Lehmann