Sectoral Uncertainty: A Hierarchical-Volatility Approach
with Efrem Castelnuovo and Luis Uzeda
Journal of Business & Economic Statistics, 1-13, 2025
[Working Paper] [Slides] [Online Appendix] [Replication Files]
High-Frequency Effects of Macroprudential Policy Announcements
with Thibaut Duprey
Economics Letters, Volume 250, 112264, 2025
[Working Paper] [Online Appendix] [Database]
International Transmission of Quantitative Easing Policies: Evidence from Canada
with Serdar Kabaca
Journal of Economic Dynamics and Control, 162, 104849, 2024
[Working Paper] [Slides] [Online Appendix] [Replication Files] [BibTeX]
Nonlinear Transmission of International Financial Stress
Economic Modelling, 139, 106805, 2024.
[Working Paper][Online Appendix] [Replication Files] [BibTeX]
Composite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects
Journal of Business & Economic Statistics, 41:2, 593-607, 2023Â
[Working Paper] [Slides] [Online Appendix] [Replication Files] [BibTeX]
Output Effects of Global Food Commodity Shocks
with Bilge Erten
Journal of Globalization and Development, 9(1): 1-18, 2018
[Working Paper] [Slides] [Online Appendix] [BibTeX]
Forecasting Recessions in Canada: An Autoregressive Probit Model Approach
with Antoine Poulin-Moore
Revise and resubmit at Canadian Journal of Economics, 2025.
Staff Working Paper 2024-10, Bank of Canada, 2024.
Supply Drivers of US Inflation Since the COVID-19 Pandemic
with Serdar Kabaca
Revise and resubmit at International Journal of Central Banking, 2024.
Staff Working Paper 2023-19, Bank of Canada, 2023.
Forecasting Binary Outcomes by an Autoregressive Probit Model
2024.
Interpreting the Latent Dynamic Factors by Threshold FAVAR Model
with Sinem Hacioglu Hoke
Bank of England Staff Working Paper No. 622, Bank of England, 2016
Effects of macroprudential policy announcements on perceptions of systemic risks
with Thibaut Duprey, Victoria Fernandes, and Ruhani Walia
Staff Analytical Notes 2025-4, Bank of Canada, 2025.
Risk Amplification Macro Model (RAMM)
Technical Report 123, Bank of Canada, 2023.