Research

Current Working Papers:

1. "Sovereign Defaults: a Panel Binary Conditional Forecasting Approach" with M. McCracken and M. Owang. A version will circulate soon. 

2. "Macroeconomic Effects of Monetary Policy in China" This version; December, 2023. 

3. "Credit conditions and the Asymmetric Effects of Monetary Policy Shocks" with A. Carriero and M. Marcellino. This version: January, 2020. 

Link to Google Scholar Page

Link to Repec Page

Publications: 

1. "Communicating Data Uncertainty: Multi-Wave Experimental Evidence for the UK GDP" with J. Mitchell. (2023) Conditionally accepted at the Journal of Money Credit and Banking. This version: June 2022.  JMCB link.

2.  "Shock-based Inference on the Phillips Curve with the Cost Channel” with E. Aragon. (2023) Economic Modelling. 126. EM link. 

3. "Real Time Perceptions of Historical GDP Data Uncertainty" with J. Mitchell. (2023) Online Appendix. Oxford Bulletin of Economic and Statistics. v. 85: 457-481. Lead Article. OBES link.   

4. "Density Forecasting with BVAR Models under Macroeconomic Data Uncertainty" with M. Clements. (2023)  Journal of Applied Econometrics. 38: 164-185. This version: June 2022 version. JAE link

5. "Forecasting Low Frequency Macroeconomic Events with High Frequency Data" with M. Owyang.  (2022) Journal of Applied Econometrics. 37: 1314-1333. This version: April 2022. JAE link

6. "Does judgment improve macroeconomic density forecasts?" with A. Garratt and J. Mitchell. (2021) International Journal of Forecasting. 37: 1247-1260. IJF link.

7. "Measuring the Effects of Expectations Shocks" with M. Clements. (2021)  Journal of Economic Dynamics and Control. 124. JEDC link.  

8. "Uncertain Kingdom: Nowcasting GDP and its Revisions" with N. Anesti and S. Miranda-Agrippino. (2022) Journal of Applied Econometrics. 37: 42-62. JAE link. 

9. "News and Uncertainty Shocks" with D. Cascaldi-Garcia (2021). Journal of Money Credit and Banking. 53: 779-881. JMCB link.  

10.  “A comprehensive evaluation of macroeconomic forecasting models” with A. Carriero and G. Kapetanios. (2019)  Online Appendix. International of Journal of Forecasting. 35: 1226-1239. IJF link. 

11. "Financial Stress Regimes and the Macroeconomy" with M. Oywang. (2017) Journal of Money, Credit and Banking. 50: 1479-1505. Online appendix. 

12. “Data Revisions and DSGE Models”. (2016) Journal of Econometrics. 196:215-232.

13. "Model and Survey Estimates of the Term Structure of US Macroeconomic Uncertainty" with M. Clements (2017) International Journal of Forecasting. 33: 591-604.  

14. "A time varying DSGE model with financial frictions" with K. Petrova, L. Giraitis, G. Kapetanios (2016). Journal of Empirical Finance. 38: 690-716.  

15. "Predicting Early Data Revisions to US GDP and the Effects of Releases on Equity Markets” with M. Clements. (2017). Journal of Business and Economic Statistics. 35: 757-768.  

16. “Bayesian Multivariate Vintage-Based VARs” with A. Carriero and M. Clements. (2014) International Journal of Forecasting. Forthcoming.

17.  “Changes in Predictive Ability with Mixed Frequency Data”. (2013) International Journal of Forecasting. 29: 395-410.

18. “Real-time Forecasting of Inflation and Output Growth with Autoregressive Models in the Presence of Data Revisions” with M. Clements. (2013) Journal of Applied Econometrics. 28: 458-477.

19. “Does the euro area forward rate provide accurate forecasts of the short rate?” with S. Costa. (2013) International Journal of Forecasting. 29:131-141.

20.  “Improving real-time estimates of output and inflation gaps with multiple-vintage VAR models” with M. Clements. (2012) Journal of Business and Economic Statistics. 30: 554-562.

21.  “The effects of the monetary policy stance on the transmission mechanism” with M. Marcellino. (2014) Studies for Nonlinear Dynamics and Econometrics. (lead article) 18: 217-236.

22.  “Forecasting with Vector Autoregressive Models of Data Vintages: US output Growth and Inflation” with M. Clements. (2013). International Journal of Forecasting. 29: 698-714. 

23.  “First Announcements and Real Economic Activity” with M. Clements. (2010) European Economic Review. 54:803-817.

24.  “Forecasting US output growth using Leading Indicators: An appraisal using MIDAS models” with M. Clements. (2009). Journal of Applied Econometrics. 24: 1187-1206.

25. “Macroeconomic Forecasting with Mixed Frequency Data: Forecasting US output growth” with M. Clements. (2008) Journal of Business and Economic Statistics. 26: 546-554.

26.  “Quantile Forecasts of Daily Exchange Rate Returns from Forecasts of Realized Volatility” with M. Clements and J. H. Kim. (2008) Journal of Empirical Finance. 15: 729-750.

27.  “The transmission mechanism in a changing world" with M. Artis and M. Marcellino. (2007) Journal of Applied Econometrics. 22: 39-61.

28.  “Structural Break Threshold VARs for predicting the probability of US recessions using the spread” (2006) Journal of Applied Econometrics. 21: 463-487.

29.  “A comparison of tests of non-linear cointegration with an application to the predictability of US interest rates using the term structure” with M. P. Clements. (2004) International Journal of Forecasting: 20: 219-236.

30.  “Testing the expectation theory of the term structure of interest rates in threshold models” with M. Clements. (2003) Macroeconomic Dynamics. 7: 567-85.

31.  “Can non-linear time series models generate US business cycle asymmetric shape?“ (2002) Economics Letters. 77: 187-194.

32.  “Conditional mean functions of non-linear models of US output” with M. P. Clements. (2002) Empirical Economics. 27, p. 569-586 (lead article).