Work in progress

[*] The risk management approach to macro-prudential policy, with Chavleishvili, Engle, Fahr, Kremer, Lund-Thomsen, and Manganelli.
(Aug 2025 version) (Aug 2025 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.
(Sep 2025 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.

[*] The impact of central bank backstops on sovereign risk premia:
Evidence from the ECB's Transmission Protection Instrument, with Maria A. Viola
(work in progress)
We decompose euro area sovereign yields into their salient risk premium components and identify all relevant structural shocks.
We then study the TPI's impact on latent term, credit, political, liqudity, and convenience premia, as well as their respecitive volatilities.

[*] 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.