Research Projects

Please click on each project to find out more.

  • Asymmetric Macro-Financial Linkages

    Asymmetric Macro-Financial Linkages

    Job Market Paper

    The 2008 financial crisis has shown that financial busts can influence the real economy. However, there is less evidence to suggest that the same holds for financial booms. Using a Markov-Switching vector autoregressive model and euro area data, I show that financial booms tend to be less procyclical than financial busts. To identify the sources of asymmetry, I estimate a non-linear DSGE model with a heterogeneous banking sector and an occasionally binding borrowing constraint. The model matches the key features of the data and shows that the borrowers’ balance sheet channel accounts for the asymmetry in the macro-financial linkages. The muted macro-financial transmission during financial booms can be exploited for macroprudential policies. By comparing capital buffer rules with monetary policy ‘leaning-against-the-wind’ rules, I find that countercyclical capital buffers improve welfare.

    Click here for a current version of the paper.

  • Beggar-Thy-Neighbor? The International Effects of ECB Unconventional Monetary Policy Measures

    Beggar-Thy-Neighbor? The International Effects of ECB Unconventional Monetary Policy Measures

    with Fabio Canova (2016). International Journal of Central Banking Vol.12(3), pp.69-120.

    This paper examines the effects of unconventional monetary policy measures by the European Central Bank on nine European countries not adopting the euro with a novel Bayesian mixed-frequency structural vector autoregressive technique. Unconventional monetary policy disturbances generate important domestic fluctuations. The wealth, the risk, and the portfolio rebalancing channels matter for international propagation; the credit channel does not. The responses of foreign output and inflation are independent of the exchange rate regime. International spillovers are larger in countries with more advanced financial systems and a larger share of domestic banks. A comparison with conventional monetary policy disturbances and with announcement surprises is provided.

Work in progress

  • Financial Stability and the Risk Channel

    Financial Stability and the Risk Channel

    with Julieta Yung.

    in preparation.

  • Nested Sampling: A new Monte Carlo Algorithm for the Estimation of DSGE models

    Nested Sampling: A new Monte Carlo Algorithm for the Estimation of DSGE models

    in preparation.

Interests

  • Macro-Finance
  • Macroeconometrics
  • International Economics
  • (Unconventional) Monetary and Macroprudential Policy
  • Bayesian Econometrics