Hi, welcome to my website!

I am an applied macroeconomist and time-series econometrician with the Research Centre of the Deutsche Bundesbank.

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.


Constructing the Term Structure of Uncertainty from the Ragged Edge of SPF Forecasts

with Todd E. Clark (FRB Cleveland), and Gergely Ganics (Central Bank of Hungary)

Abstract: We construct term structures of expectations and uncertainty that are consistent with point and density predictions observed from the Survey of Professional Forecasters (SPF), or similar forecast sources. We derive a state space model that exactly matches any set of fixed-horizon or fixed-event forecasts that can be observed in the data. Model-implied expectations can be set to equal observed point forecasts not only in the model’s prior but also in the model’s posterior. In addition, we can match observed SPF density predictions (histograms) by application of entropic tilting. Applied to data from the US SPF, we construct fixed-horizon fan charts for up to four years. We document considerable variation in forecast uncertainty. In response to the onset of the COVID-19 pandemic, tilting with annual SPF histograms considerably reduces model-based estimates of forecast uncertainty.

draft to be posted soon

slides: pdf

Indeterminacy and Imperfect Information (fully revised)

with Thomas A. Lubik (FRB Richmond) and Christian Matthes (U Indiana)

(Fully revised: April 2022)

Abstract: We study equilibrium determination in an environment where two types of agents have different information sets: Fully informed agents observe histories of all exogenous and endogenous variables. Less informed agents observe only a strict subset of the full information set and need to solve a dynamic signal extraction problem to gather information about the variables they do not directly observe. Both types of agents know the structure of the model and form expectations rationally. In this environment, we identify a new channel that generates equilibrium indeterminacy: Optimal information processing of the less informed agent introduces stable dynamics into the equation system that lead to self-fulling expectations. For parameter values that imply a unique equilibrium under full information, the limited information rational expectations equilibrium is indeterminate. We illustrate our framework with monetary policy models where an imperfectly informed central bank follows an interest rate rule.


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.