Working papers under revision or initial review
Risk endogeneity at the lender/investor-of-last-resort, joint with Diego Caballero, Andre Lucas, and Xin Zhang.
[Rj&R Journal of Monetary Economics]
(Most recent version: March 2019)
We study the time-variation in central bank portfolio credit risks associated with unconventional monetary policy operations.
Overall risk can be nonlinear in exposures. Some policy operations reduced rather than added to overall risk.
Work in progress
Time-varying tail shape, joint with Andre Lucas and Xin Zhang.
(an older version: new version coming soon)
An observation-driven extreme value theory-based framework to study the time variation in the tail shape/index.
ECB bond purchases between 2010-2012 had an impact on higher-order moments of bond yields as well.
Dynamic clustering of multivariate panel data, joint with Andre Lucas and Julia Schaumburg.
(a prelim version)
A novel model for the dynamic clustering of multivariate panel data.
European banks appear to have become more similar over time in some key characteristics.
Nonlinear dynamic factor models with interacting level and volatility, joint with Geert Mesters and Siem Jan Koopman.
A nonlinear dynamic factor model with interacting conditional mean and volatility factors.
Applications include term structure modeling and macro-financial forecasting.
A risk management approach to macro-prudential policy, joint with Sulkhan Chavleishvili, Manfred Kremer, and Simone Manganelli.
* Riksbank research seminar series, Stockholm 05 Mar 2019
* Gothenburg University, finance seminar, Gothenburg 07 Mar 2019
* Norges Bank research seminar, Oslo 08 Mar 2019
* "Score-driven time series models" conference, Cambridge 27-29 Mar 2019
* Bundesbank research center seminar, Frankfurt 03 Apr 2019
* VU Amsterdam, econometrics brownbag seminar, Amsterdam 18 Apr 2019
* Conference on high-dimensional time series, Vienna 16-17 May 2019
* ECB DG-R internal seminar, Frankfurt 05 Jun Apr 2019
* IAAE conference, Nicosia 25-28 Jun 2019
* Panel data conference, Vilnius 4-5 Jul 2019
* EEA/ESEM conference, Manchester 26-29 Aug 2019
* Econometrics summer forum, Galatina, 31 Aug 2019
* WHU Business School, Vallendar, finance seminar, 22 Jan 2018
* Conference on "Bank business models", Bundesbank, Frankfurt 20-21 Feb 2018
* HeiKaMEtrics econometrics seminar series, KIT Karlsruhe, 26 Apr 2018
* Finance@VU seminar series, VU Amsterdam, 24 May 2018
* Dutch Econometric Study Group (NESG) meeting, UvA Amsterdam, 25 May 2018
* 11th annual SoFiE conference, Lugano, 11-14 Jun 2018
* Summer forum on time series econometrics, UPF Barcelona, 14-15 Jun 2018
* 10th ECB workshop on forecasting techniques, Frankfurt, 18-19 Jun 2018
* IAAE applied econometrics conference, Montreal, 26-29 Jun 2018
* EEA/ESEM conference, Cologne, 27-31 Aug 2018
* ESCB research cluster financial stability conference, ECB Frankfurt, 06-07 Sep 2018
* ECB DG-R internal seminar, Frankfurt, 14 Sep 2018
* [BIS Central Bank Research Fellowship, Basel, September to December 2018]
* BIS internal seminar, Basel, 19 Nov 2018
* "Risk, volatility and central banks' policies" conference, BoES Madrid, 29-30 Nov 2018
* BIS research meeting, Basel, 05 Dec 2018