Research

Working papers:

• "Monetary Policy Independence and the Strength of the Global Financial Cycle" (with C. Friedrich and  D. Leiva-Leon),  Bank of Canada Staff Working Paper 2020-25 & CEPR DP16203.

• "Loose Financial Conditions, Rising Leverage, and Risks to Macro-Financial Stability" (with A. Barajas,  W.G. Choi, Z. K. Gan, S. Mann, M. Wang, and Y. Xu), IMF Working Papers 2021/222, International Monetary Fund. 

Publications:

• "What are the effects of monetary policy on productivity?", Economics Letters, (2023), 233.

• "Heterogeneous Switching in FAVAR Models" (with D. Leiva-Leon), Advances in Econometrics: Essays in Honour of Fabio Canova, (2022), 44, 65-98. Previously circulated as "Monetary Policy, Stock Market and Sectoral Comovement."

• "Firms' Environmental Performance and the COVID-19 Crisis" (with F. Suntheim), Economics Letters, (2021),  205 (C). 

• "A Comparison of Monthly Global Indicators for Forecasting Growth" (with  C. Baumeister), International Journal of Forecasting, (2021), 37:3, 1276-1295.

• "The Dynamics of Capital Flow Episodes" (with C. Friedrich), Journal of Money, Credit and Banking, (2020) 52:5, 969-1003.

• "Markov-switching Three-Pass Regression Filter" (with D. Leiva-Leon and M. Marcellino), Journal of Business and Economic Statistics, (2020) 38:2, 285-302.

• "What Drives Interbank Loans? Evidence from Canada" (with N. Bulusu), Journal of Banking and Finance, (2019) 106, 427-444.

• "Using Low-Frequency Information for Predicting High-Frequency Variables" (with C. Foroni and M. Marcellino), International Journal of Forecasting, (2018), 34:4, 774-787.

• "What Are the Macroeconomic Effects of High-Frequency Uncertainty Shocks?" (with L. Ferrara), Journal of Applied Econometrics, (2018) 33(5), 662-679. See here for a blog entry about this paper.

• "Model Averaging in Markov Switching Models: Predicting National Recessions with Regional Data" (with D. Leiva-Leon), Economics Letters, (2017) 157, 45-49.

• "Explaining the Time-varying Effects of Oil Market Shocks on U.S. Stock Returns" (with C. Foroni and M. Marcellino), Economics Letters, (2017) 155, 84-88.

• "Markov-switching Mixed-Frequency VAR Models" (with C. Foroni and M. Marcellino), International Journal of Forecasting, (2015) 31:3, 692-711.

• "Trend-cycle decomposition of output and euro area inflation forecasts: a real-time approach based on model combination" (with L. Maurin and M. Mohr), Macroeconomic Dynamics, (2015) 19, 363-393.

• "Do High-Frequency Financial Data Help Forecast Oil Prices? The MIDAS Touch at Work" (with C. Baumeister and L. Kilian), International Journal of Forecasting, (2015) 31:2, 238-252.

• "Regime Switches in the Risk-Return Trade-off" (with E. Ghysels and M. Marcellino), Journal of Empirical Finance, (2014) 28, 118-138.

• "Characterizing very high uncertainty episodes" (with M. Bijsterbosch), Economics Letters, (2013) 121:2, 239-243.

• "Markov-switching MIDAS models" (with M. Marcellino), Journal of Business and Economic Statistics, (2013) 31:1, 45-56.

Selected policy publications:

• "Nonfinancial Sector: Loose Financial Conditions, Rising Leverage, and Risks to Macro-Financial Stability" (with A. Barajas,  W.G. Choi, Z. K. Gan, S. Mann, M. Wang, and Y. Xu), Global Financial Stability Report, Chapter 2, April 2021.

• "Boosting SME's internationalisation in Poland" (with A. Goujard), OECD Economics Department Working Papers 1654, 2021. 

• "Corporate Sustainability: Firms' Environmental Performance and the Covid-19 Crisis" (with Z. K. Gan, P. Grippa, O. Khadarina, S. Mann, F. Suntheim and Y. Xu), Global Financial Stability Report, Chapter 5, October 2020.

• "Améliorer l’efficience de l’investissement public en France",  OECD Economics Department Working Papers 1560, 2019. 

• "Financing innovative business investment in Poland" (with A. Goujard), OECD Economics Department Working Papers 1480, 2018. 

• "Predictive Ability of Commodity Prices for the Canadian Dollar" (with K. Berg and Y. Imura), Bank of Canada Staff Analytical Note, 2016-2.

• "Monitoring Short-Term Economic Developments in Foreign Economies" (with R. Barnett), Bank of Canada Review, (2013) Summer Issue, 22-31.