Work in progress

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

[*] Joint extreme Value-at-Risk and Expected Shortfall dynamics with a single integrated tail shape parameter,
with Enzo D'Innocenzo, André Lucas, and Xin Zhang.
(Nov 2024 version) (TI DP), R&R Journal of Business & Economic Statistics.
An novel 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.

[*] State space models with interacting location and scale, with Geert Mesters, Max Roos, and Siem Jan Koopman.
(work in progress)
We propose a novel class of location-scale models in state space form and provide approximate filtering & smoothing recursions for their analysis.
Location-scale interactions improve density forecasts of G7 countries' real GDP growth rates and yield robust output gap estimates.

[*] Monetary policy, transmission protection, and sovereign bond risk premia, with Maria Viola
(work in progress)
We decompose euro area sovereign yields into risk premium components, identify the relevant structural shocks,
and study the impact of monetary policy on term, credit, liqudity, and convenience premia.