Publications
Systemic Financial Stress and Macroeconomic Amplifications in the United Kingdom
with Somnath Chatterjee, Jeremy (Ching-Wai) Chiu (Bank of England) and Thibaut Duprey (Bank of Canada),
Oxford Bulletin of Economics and Statistics, 2021
[Working paper]
Previously circulated as A financial stress index for the United Kingdom, Bank of England Staff Working Paper Series No. 697
[UKFSI series for 1971-2020]
Coverage: Central Banking
The Distributional Impact of the Pandemic
with Diego Kaenzig and Paolo Surico (London Business School)
European Economic Review, 2021
[CEPR Discussion Paper]
Earlier version: Consumption in the Time of Covid-19: Evidence from UK Transaction-level Data – CEPR Discussion Paper 14733
Coverage: Financial Times, Financial Times, The Times, Economics Observatory, Andy Haldane’s Speech, Wheeler Institute, Bank Underground
Common Correlated Effect Cross-sectional Dependence Corrections for Non-linear Conditional Mean Panel Models
with George Kapetanios (King’s College London)
Journal of Applied Econometrics, 2021
[Working Paper] [Online Appendix] [Matlab code]
Solvency and Wholesale Funding Cost Interactions at UK Banks
with Kieran Dent and Apostolos Panagiotopoulos (Bank of England)
Journal of Financial Stability, 2021
[Working Paper] [Bank Underground]
Predictive Regressions Under Asymmetric Loss: Factor Augmentation and Model Selection
with Matei Demetrescu (University of Kiel),
International Journal of Forecasting, 2019
[Working Paper]
Working papers
When Creativity Strikes: News Shocks and Business Cycle Fluctuations
with Silvia Miranda-Agrippino and Kristina Bluwstein (Bank of England)
Revise and resubmit at the Review of Economic Studies
CEPR DP 15062, Centre for Macroeconomics DP 2018-23 & Bank of England Staff Working Paper 788
Coverage: Bank Underground
Credit, Capital and Crises: a GDP-at-Risk Approach
with David Aikman, Jonathan Bridges, Cian O’Neill and Akash Raja (Bank of England), Bank of England Staff Working Paper Series No. 824, submitted
CEPR Discussion Paper 15864
Macroeconomic Effects of Political Risk Shocks
Bank of England Staff Working Paper 841
Work in progress
Supply and Demand in the Foreign Exchange OTC Derivatives Markets
with Helene Rey and Vania Stavrakeva (LBS), and Jenny Tang (Boston Fed)
Corporates’ Risk Management and Derivatives Hedging
with Helene Rey and Vania Stavrakeva (LBS), and Jenny Tang (Boston Fed)
Credit Demand, Lenders’ Risk Taking and Monetary Policy
with Sevim Kosem (BoE)
Earlier Working Papers and Projects
Propagation of Micro-shocks to Macroeconomy, a Non-linear Panel Approach
with George Kapetanios and Fotis Papailias (King’s College London), Massimiliano Marcellino (Bocconi University)
The UK Economy Through the Credit Cycle: A Sequential Monte Carlo Approach
with Saleem Bahaj and Julia Giese (Bank of England)
Bayesian Estimation of Structural FAVAR Model with Latent Threshold
with Kerem Tuzcuoglu (Bank of Canada)
Bank of England Staff Working Paper Series No. 622
[Bank Underground]
Non-linear Macro-Financial Dynamics: Evidence from the United Kingdom
with Jeremy (Ching-Wai) Chiu (Bank of England)
Previously circulated as Macroeconomic tail events with non-linear Bayesian VARs, Bank of England Staff Working Paper Series No. 611
[Bank Underground]