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.
(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.
Growth-at-Risk, 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
* ECB DG-R internal seminar, Frankfurt 24 Apr 2019