Work in progress

[*] 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.

[*] The risk management approach to macro-prudential policy, with Chavleishvili, Engle, Fahr, Kremer, and Manganelli.
(ECB WP) (a recent version) (web appendix)
Macro-prudential policy makers need to trade off an economy's short-term upside potential against its medium-term downside risk.
We use a quantile VAR model to relate this intertemporal trade-off to measures of financial stress and medium-term vulnerabilities.

[*] Nonlinear dynamic factor models with interacting location and scale factors, with Geert Mesters and Siem Jan Koopman.
(work in progress)
We provide approximate filtering and smoothing recursions for a new class of nonlinear DFMs with interdependent latent factors.
The statistical model implies point and density/quantile forecasts for panels of real GDP growth and CPI inflation.

[*] When is monetary policy transmission impaired?
(work in progress)
An estimated semi-structural model indicates that central bank interventions in sovereign bond markets have occurred when
monetary policy shocks ceased to explain a high share of yield variation.