Working Papers

• "Markov Switching Rationality" (with Florens Odendahl and Barbara Rossi), January 2021.

• "Networking the Yield Curve: Implications for Monetary Policy" (with Tatjana Dahlhaus and Julia Schaumburg), December 2020.
  → Short presentation.

• "Comparing Forecast Performance with State Dependence" (with Florens Odendahl and Barbara Rossi), May 2021.

• "Has the Information Channel of Monetary Policy Disappeared? Revisiting the Empirical Evidence" (with Lukas Hoesch and Barbara Rossi), February 2020.
  → Short discussion in VoxEU & Brookings Hutchins Roundup

• "From Fixed-event to Fixed-horizon Density Forecasts: Obtaining Measures of Multi-horizon Uncertainty from Survey Density Forecasts" (with Gergely Ganics and Barbara Rossi), July 2020.

• "Survey-based Monetary Policy Uncertainty and its Asymmetric Effects" (with Tatjana Dahlhaus), updated in March 2020. The previous version is available as a Bank of Canada Working Paper.
  → Short discussion in Central Banking
  → Monetary Policy Uncertainty Index in Excel

• "Understanding the Sources of Macroeconomic Uncertainty" (with Barbara Rossi and Matthieu Soupre), updated in April 2020.
  → Uncertainty Indices in Excel

Academic Publications

• "Real-Time Forecasting and Scenario Analysis using a Large Mixed Frequency Bayesian VAR" (with Michael McCracken and Michael Owyang), International Journal of Central Banking, forthcoming.

• "Predicting Relative Forecasting Performance: an Empirical Investigation" (with Eleonora Granziera), International Journal of Forecasting 35(4), 2019, 1636-1657. Appendix.

• "Alternative Tests for Correct Specification of Conditional Predictive Densities" (with Barbara Rossi), Journal of Econometrics 208(2), 2019, 638-657. Replication Matlab codes.
  → Simple codes to implement the tests
  → Tests are also available in software packages F.I.T. and BEAR

• "Macroeconomic Uncertainty Indices for the Euro Area and its Individual Member Countries" (with Barbara Rossi), Empirical Economics 53(1), 2017, 41-62. Replication Matlab codes.
  → Working paper with more robustness results
  → Macroeconomic Uncertainty Indices in Excel

• "Forecast Rationality Tests in the Presence of Instabilities, With Applications to Federal Reserve and Survey Forecasts" (with Barbara Rossi), Journal of Applied Econometrics 31(3), 2016, 507-532. Appendix. Replication Matlab codes.
  → Test are also available in software packages F.I.T. and BEAR

• "Macroeconomic Uncertainty Indices Based on Nowcast and Forecast Error Distributions" (with Barbara Rossi), American Economic Review: Papers & Proceedings 105(5), 2015, 650-655. Appendix. Replication Matlab codes.
  → Matlab codes for updating the series as new data become available
  → Macroeconomic Uncertainty Index in Excel, last updated in April, 2020

• "Evaluating Predictive Densities of U.S. Output Growth and Inflation in a Large Macroeconomic Data Set" (with Barbara Rossi), International Journal of Forecasting 30(3), 2014, 662-682. Replication Matlab codes. Comment.
  → Winner of the IJF's Outstanding Paper Award

• "Conditional Predictive Density Evaluation in the Presence of Instabilities" (with Barbara Rossi), Journal of Econometrics 177(2), 2013, 199-212. Replication Matlab codes.

• "Okun’s Law over the Business Cycle: Was the Great Recession All That Different?" (with Michael Owyang), Federal Reserve Bank of St. Louis Review, September/October 2012, 94(5), 399-418. Replication Matlab codes.

• "The Local Effects of Monetary Policy" (with Neville Francis and Michael Owyang), The B.E. Journal of Macroeconomics 12(2) (Advances), 2012. Appendix, Replication Matlab codes.

• "Understanding Models' Forecasting Performance" (with Barbara Rossi), Journal of Econometrics 164(1), 2011, 158-172. Replication Matlab codes.

• "Have Economic Models' Forecasting Performance for US Output Growth and Inflation Changed Over Time, and When?" (with Barbara Rossi), International Journal of Forecasting 26(4), 2010, 808-835. Appendix. Replication Matlab codes.

Policy Publications

• "The Fog of Numbers" (with Òscar Jordà, Noah Kouchekinia and Colton Merrill) FRBSF Economic Letter 2020-20, July 2020.
  → Short discussion in The WSJ's Real Time Economics, Econbrowser

• "Methodology for Constructing an Economic Index for the College Station-Bryan Metropolitan Statistical Area" (with Dennis Jansen, Carlos Navarro and Andrew Rettenmaier), Private Enterprise Research Center Policy Studies, October 2018.

• "Output and Unemployment: How Do They Relate Today?" (with Michael Owyang and E. Katarina Vermann), Federal Reserve Bank of St. Louis The Regional Economist, October 2013, 5-9.
  → Short discussion in The WSJ's Real Time Economics, Conversable Economist

Miscellaneous

The 27th Annual Meeting of the Midwest Econometrics Group at Texas A&M University in 2017

Slides for the 2015 Armenian Economic Association Workshop on "Forecasting Techniques and Forecast Evaluation"