Publications
Identification and Inference With Ranking Restrictions, [2023 QE Best Paper Prize]
joint with Thorsten Drautzburg,
Quantitative Economics, January 2021, vol. 12 (1), pages 1-39,
[Link to Document][Working paper][Online Appendix][Replication codes]
Choosing Prior Hyperparameters: With Applications to Time-Varying Parameter Models,
joint with Christian Matthes and Mu-Chun Wang,
Journal of Business and Economics Statistics, 2020, 38 (1), 124-136
[Link to Document][Working paper] [Online Appendix] [Replication codes]
Measurement Errors and Monetary Policy: Then and Now,
joint with Christian Matthes and Mu-Chun Wang,
Journal of Economic Dynamics and Control, June 2017, Volume 79, Pages 66-78
[Link to Document] [Working paper] [Online appendix]
Drifts and Volatilities under Measurement Error: Assessing Monetary Policy Shocks over the Last Century,
joint with Christian Matthes and Mu-Chun Wang,
Quantitative Economics, July 2016, vol. 7 (2), pages 591-611
[Link to Document] [Online appendix] [Replication codes]
Working Papers
Understanding Instruments in Macroeconomics - A Study of High-Frequency Identification [R&R JBES]
joint with Christian Matthes and Mu-Chun Wang, [updated: 05/2023]
What Does Monetary Policy Do to Different People?
joint with Christian Matthes and Mu-Chun Wang, [updated: 09/2022]
Regional Monetary Policies and the Great Depression
joint with Gustavo S. Cortes and Marc Weidenmier
[NBER Version][Current Version][Online Appendix]
Sign Restrictions in Bayesian FaVARs with an application to monetary policy shocks
joint with Harald Uhlig
[Working paper] [NBER Version]
Evolving Credit and the U.S. Macroeconomy: 1920 - 2011
Depression Econometrics: A FAVAR Model of Monetary Policy during the Great Depression
joint with Albrecht Ritschl
[Working paper] [CEPR Version]
Work in Progress
Forecasting with Time-Varying Parameter VARs: An Efficient Sequential Monte Carlo Approach
joint with Zhendong Sun
Macroeconomic Forecasting in Presence of Common Instabilities
joint with Dalibor Stevanovic