Work in progress

[*] The risk management approach to macro-prudential policy, with Chavleishvili, Engle, Fahr, Kremer, Lund-Thomsen, and Manganelli.
(Feb 2024 version) (Feb 2024 web appendix) (2021 ECB WP), submitted.
Macro-prudential policy makers need to trade off limiting an economy's downside risks against preserving its upside potential.
We formalize the decision problem and study it for the euro area using a Bayesian structural quantile VAR model.

[*] Nonlinear non-Gaussian dynamic factor models with interacting location and scale factors, with Geert Mesters and Siem Jan Koopman.
(an early version)
We propose a new class of non-Gaussian DFMs and provide approximate filtering and smoothing recursions for its analysis.
Factor interactions improve in-sample fit as well as out-of-sample density forecasts of G7 countries' real GDP growth rates.

[*] Modeling integrated extreme tail risks, with Enzo D'Innocenzo, André Lucas, and Xin Zhang.
(work in progress)
An extreme value theory-based statistical model to track persistent changes in a predictive density's extreme tail.
We study conditions under which inference remains standard despite the presence of integrated tail dynamics.

[*] Understanding market-stabilizing asset purchases, with Maria Viola
(work in progress)
An estimated semi-structural model indicates that central bank interventions in sovereign bond markets occurred when
conventional monetary policy shocks ceased to explain a high share of yield variation.