During my PhD, my research has concentrated on developing methods for monitoring and estimating macroeconomic risk. This field focuses on understanding the effects of economy wide shocks on the uncertainty surrounding the economic outlook. Given the prevalence of unusually large fluctuations in economic aggregates in the recent past and the challenging policy environment that it creates, this literature has gained significant momentum in academic research as well as policy making institutions. Important examples include the Federal Reserve Bank and European Central Bank.
Job Market Paper
Mixing it up: Inflation at risk - Revision requested by the Journal of Money, Credit and Banking
Measuring and monitoring macroeconomic uncertainty has become a key concern of contemporary monetary policy and an active field of academic research. In this paper, a joint approach is proposed that allows to construct risk measures that capture the unknown and non-standard distribution of inflation in a way that consistent with central bank preferences. In addition, two algorithms are proposed that enable to monitor how economic predictors affect the risk outlook and how they shift probability mass across the forecast distribution. Both are widely applicable, enhance the interpretability of abroad class of models, and are suitable for real-time applications. In the empirical exercises, the model yields superior point and density forecasts of U.S. CPI inflation. During the recent high-inflation period, inflation risk predominantly increased due to a recovery of the U.S. business cycle and rising commodity prices and was in part balanced by monetary policy and credit spreads.
Working Paper
Mixing it up: Inflation as risk
Publications in Academic Journals
What drives euro area financial market developments? The role of US spillovers and global risk, with Lennart Brandt, Arthur Saint Guilhem, and Ine Van Robays, International Journal of Central Banking, (forthcoming).
Working Paper Version
Probabilistic quantile factor analysis, with Dimitris Korobilis,
Journal of Business & Economic Statistics, (forthcoming).
Published Version
Monitoring multicountry macroeconomic risk, with Dimitris Korobilis,
Journal of Econometrics, (forthcoming).
Published Version, Econometric Codes
Nowcasting GDP with a pool of factor models and a fast estimation algorithm, with Sercan Eraslan,
International Journal of Forecasting, Volume 39, Issue 3, July–September 2023, Pages 1460-1476.
Published Version, PDF
Manuscripts under preparation
When it rains it pours: Drivers of joint uncertainty
Commodity price forecasting with text data (With Dimitris Korobilis and Leif A. Thorsrud)
Other Contributions
Report on monetary policy tools, strategy and communication, ECB Occasional Paper Series, No. 372.
Published Report