For the most part, 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
Understanding how risk factors shape the economic outlook is essential for guiding policy decisions. This paper develops a flexible framework that analyses how economic indicators influence the entire forecast distribution of macroeconomic variables. The framework decomposes distributional risk forecasts into their underlying predictors and supports the construction of interpretable risk measures. Multiple modelling strategies, including density and quantile regression, are accommodated underscoring the versatility of the approach. The framework is illustrated using recent U.S. inflation data, showing that post-pandemic risk forecasts were driven by the business cycle, commodity prices, monetary policy, and inflation expectations. Simulation studies and empirical analyses demonstrate robustness across models and sample sizes, establishing the framework as a general tool for macroeconomic and financial risk assessment.
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, 43(3), 530-543.
Published Version
Monitoring multicountry macroeconomic risk, with Dimitris Korobilis,
Journal of Econometrics, Volume 249, May 2025, 105730.
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
Unraveling Macroeconomic Uncertainty: Navigating Central Bank Tradeoffs
Micro-based SVAR identification (With Annika Camehl)
Optimal policy around distributions of risks (With Guido Ascari and Paolo Bonomolo)
Other Contributions
Report on monetary policy tools, strategy and communication, ECB Occasional Paper Series, No. 372.
Published Report