Working papers under revision or initial reviewRisk endogeneity at the lender/investor-of-last-resort, joint with Diego Caballero, Andre Lucas, and Xin Zhang.
(Most recent version: July 2018)
We study the time-variation in central bank portfolio credit risks associated with unconventional monetary policy operations.
Overall risk can be concave in exposures. Some policy operations reduced rather than added to overall risk.
Work in progressTime-varying tail shape, joint with Andre Lucas and Xin Zhang.
(an older version : new version coming soon.)
An observation-driven Extreme Value Theory framework to study 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^2 clustering of banks' business models, joint with Andre Lucas and Julia Schaumburg.
Approximate online filtering for non-Gaussian state space models, joint with Geert Mesters and Siem Jan Koopman.
Nonlinear dynamic factor models with interacting level and volatility, joint with Geert Mesters and Siem Jan Koopman.
What does macro-prudential policy do? Evidence from 1.2 million property prices
* 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 conferences, Cologne, 27-31 Aug 2018
* ESCB research cluster financial stability conference, ECB Frankfurt, 06-07 Sep 2018
* [BIS Central Bank Research Fellowship, Basel, September to December 2018]
* "Risk, volatility and central banks' policies" conference, BoE Madrid, 29-30 Nov 2018