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Working papers under revision or initial review

Bank to sovereign risk spillovers across borders:
Evidence from the ECB's Comprehensive Assessment
, joint with Johannes Breckenfelder.
R&R, Journal of Empirical Finance.
(Most recent version: June 2018) (SSRN) (Web Appendix)
A study of risk spillover from the banking to the sovereign sector within and across borders in the euro area.
Market participants understand that euro area countries (taxpayers) share the burden of rescuing foreign banks in distress.

Risk endogeneity at the lender/investor-of-last-resort, joint with Diego Caballero, Andre Lucas, and Xin Zhang.
[submitted]
(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 progress

Time-varying tail shape, joint with Andre Lucas and Xin Zhang.
(an older version : new version coming soon.)
An observation-driven EVT 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.

Nonlinear dynamic factor models with interacting level and volatility, joint with Geert Mesters and Siem Jan Koopman.
(in progress)

Dynamic^2 clustering of multivariate panel data, joint with Andre Lucas and Julia Schaumburg.
(in progress)

External presentations

2018:

* 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