Active projects

[1] Rare disasters and macroeconomic tail risk, with Emanuel Moench (Bundesbank)

[2] The finance growth nexus under a bad environment good environment model, with Geert Bekaert (Columbia Business School)

[3] Macroeconomic shocks and regression quantiles, with Simone Manganelli (ECB)

Working papers

[2020] Forecasting and stress testing with quantile vector auteregression, with Simone Manganelli (ECB)


           The risk management approach to macro-prudential policy, with Robert Engle (NYU), Stephan Fahr, Bernd Schwaab, Simone Manganelli, Manfred Kremer (ECB)

           {Paper}  {Online appendix}

           Structural density forecasts


           Measuring financial stress and its impact on the macroeconomy, with Manfred Kremer (ECB)


[2017] Quantile impulse response functions, with Simone Manganelli (ECB) - New version soon available