Hi, welcome to my website!
My research is concerned with forecast uncertainty, the dynamics of survey expectations, and informational frictions. Most of the time, I end up solving signal extraction problems.
The word cloud on the right has been generated with Scholar Goggler.
Shadow-rate VARs (working paper)
with Andrea Carriero (Queen Mary University of London, U Bologna), Todd Clark (Federal Reserve Bank of Cleveland), Massimiliano Marcellino (Bocconi, IGIER and CEPR)
Earlier versions of this paper were also earlier circulated under the title “Forecasting with Shadow-Rate VARs.”
Survey expectations and forecast uncertainty (forthcoming, Edward Elgar Handbook chapter)
with Todd E. Clark (Federal Reserve Bank of Cleveland)
Chapter for the Handbook of Research Methods and Applications on Macroeconomic Forecasting edited by Mike Clements and Ana Galvao, forthcoming, Edward Elgar Publishing Ltd.
Abstract: In recent decades, the collection of survey expectations for macroeconomic variables has gained considerable attention. A bourgeoning literature has developed that studies not only the predictive content of survey data, but also its usefulness in testing economic theories about the behavior of forward-looking decision makers under uncertainty. Leading examples of economic survey data include surveys of experts (including professional forecasters and financial market participants), households and firms. Point forecasts of professional forecasters have, on balance, emerged as competitive (albeit not fully optimal) predictors of future outcomes. Meanwhile, ex-ante measures of uncertainty derived from probabilistic surveys have been found to be systematically at variance with the distribution of ex-post outcomes. Nevertheless, puzzles remain and the analysis and design of expectation surveys is an active field of research.
NONE of the material posted on this personal website necessarily represents the views of
the Deutsche Bundesbank, the Eurosystem, the Bank for International Settlements,
the Board of Governors of the Federal Reserve System or the Federal Open Market Committee.