I am a Lecturer (Assistant Professor) at the University of Exeter.

Research: 

Topics: Econometrics, Applied Econometrics and Computational Methods

Google Scholar and Research Gate


Research

Publications

On Testing for Bubbles During Hyperinflations - Studies in Nonlinear Dynamics & Econometrics

With: Zacharias Psaradakis, Martin Sola, and Patricio Yunis

Abstract: We consider testing for the presence of rational bubbles during hyperinflations via an analysis of the non-stationarity properties of relevant observable time series. The test procedure is based on a Markov regime-switching model with independent stochastic changes in its intercept, error variance and autoregressive coefficients. This model formulation allow us to disentangle fundamentals-driven changes in the drift, bubble-driven explosiveness, and volatility changes that may be fundamentals-driven and/or bubble-driven. The testing methodology is illustrated by applying it to data from hyperinflations in Argentina, Brazil, Germany and Poland. 

Current Research

Federal Reserve Chairs and Monetary Regimes -  Submitted

With: Yunus Aksoy and Zacharias Psaradakis 

Abstract: We analyze the evolution of endogenously determined causal monetary policy regimes and compare these with Federal Reserve chairs' tenures between 965--2019. Taylor rules can broadly explain Federal Reserve's policies under the chairmanships of Miller, Volcker and Greenspan, whereas monetary feedback rules characterize the Bernanke and Yellen tenures. Our estimated monetary regimes generally align well with most Romer & Romer narrative monetary policy shock dates, and we find incidental evidence for December 1968, August 1978 and December 1988 shocks potentially leading to causal policy shifts.

European Sovereign Bond and Stock Market Granger Causality Dynamics - Preparing

With Pedro Gomes and Zeynep Ozde Kurter

Abstract: We investigate the lead-lag relationship using weekly sovereign (government) bond yield changes and stock returns for seven European countries and how it changed during the period 2008-2018. Such lead-lag analysis are evaluated through vector autoregressions (VARs) on weekly data and with a method, based on Markov-switching Granger causality that determines the direction on the Granger causality endogenously. We  find that there are significant changes in the direction of the Granger causality between stock returns and changes of sovereign bond yields that vary across the countries. Additionally, global and specific economic events link to changes in Granger causality. Our results indicate that stock returns take a leading role of changes of sovereign bond yields in Germany, France, Spain, Italy and the United Kingdom while changes of sovereign bond yields significantly lead stock returns in Portugal and Greece where these countries had faced very high instability during the European sovereign debt crisis period. No significant lead-lag relationship is found between stock and sovereign bond market in some sub-periods for all countries.

Working In Progress