(2017) The Role of Jumps and Leverage in Forecasting Volatility in International Equity Markets (with Katja Gisler). Online Appendix (, 1.85MB). Journal of International Money and Finance, 79(December), 1-19. Show Abstract
(2017) Macroeconomic Factors and Equity Premium Predictability (with Martin Tischhauser). Data (, 1.07MB). International Review of Economics and Finance, 51(September), 621-644. Show Abstract
(2017) Measuring the Output Gap in Switzerland with Linear Opinion Pools (with Oliver Müller). Data (, 100kB). Economic Modelling, 64(August), 163-171. Show Abstract
(2016) The Term Structure of Interest Rates in an estimated New Keynesian Policy Model (with Philipp Lentner). Journal of Macroeconomics, 50(December), 126-150. Show Abstract
(2016) Global Equity Market Volatility Spillovers: A Broader Role for the United States (with Katja Gisler). International Journal of Forecasting, 32(4), 1317–1339. Show Abstract
(2016) Heterogeneous Agents, the Financial Crisis and Exchange Rate Predictability (with Gion Donat Piras). Journal of International Money and Finance, 60(February), 313–359. Data (, 1.71MB). Show Abstract
(2015) Forecasting Copper Prices with Dynamic Averaging and Selection Models (with Carlo Moretto), North American Journal of Economics and Finance, 33(1), 1–38. On-line appendix. Show Abstract
(2015) Measuring Fund Style, Performance and Activity: A New Style Profiling Approach (with Robert Hill and Jon Eggins), Accounting and Finance, 55(1), 29–55. Show Abstract
(2014) Equilibrium Credit: The Reference Point for Macroprudential Supervisors (with Martin Melecky). Journal of Banking and Finance, 41(4), 135–154. Addon Material (, 249KB). Show Abstract
World Bank Blog,
Globalmacromatters Blog, paper presented at the
2013 Cleveland Federal Reserve high level conference on Financial Stability.
Background paper to Chapter 6 of the World Development Report 2014: Risk and Opportunity: Managing Risk for Development.
(2013) Macroprudential Stress Testing of Credit Risk: A Practical Approach for Policy Makers (with Martin Melecky), Journal of Financial Stability, 9(3), 347–370. Show Abstract
Policy Usage: Our proposed stress testing methodology (tool) was used by World Bank staff in technical assistance missions (FSAPs) in a number of Balkan, Eastern European, and Middle Eastern countries.
(2012) Understanding forecast failure of ESTAR models of real exchange rates Empirical Economics, 34(1), 399-426. Data (, 56KB). Show Abstract
(2010) The impact of ECB monetary policy decisions and communication on the yield curve (with Claus Brand and Jarkko Turunen), Journal of the European Economic Association, 8(6), 1266–1298. Show Abstract
(2008) An estimated New Keynesian Policy Model for Australia (with Martin Melecky), The Economic Record, 84(264), 1-16. Additional Notes (, 259KB). Show Abstract
(2006) Bootstrap causality tests of the relationship between the equity markets of the U.S. and other developed countries: Pre- and post-September 11 (with Eduardo Roca and Abdulnasser Hatemi-J), Journal of Applied Business Research, 22(3), 65-74. Show Abstract
(2005) The extent and stability of long-run relationships between stock prices: Evidence from the U.S., the U.K. and Australia (with Eduardo Roca), Investment Management and Financial Innovations, 2(4), 80-94. Show Abstract
(2002) Equity market price interdependence between Australia and the Asian Tigers (with Eduardo Roca), International Journal of Business Studies, 10(2), 61-74. Show Abstract
(2017) Appendix D - Structural Estimates of the Probability of a Banking Crisis at Different Levels of Capital in: "Appropriate capital ratios in major Swedish banks – new perspectives", (with Markus Andersson), Sveriges Riksbank Staff Memo.
(2016) “Superforecasting: The Art and Science of Prediction”, by Philip Tetlock and Dan Gardner invited book review. Risks, 4(3), 5.
Identification and Estimation issues in Exponential Smooth Transition Autoregressive Models. Riksbank Working Paper No. 344, Sveriges Riksbank, 2017. Online Appendix (, 5.19MB). Slides. Show Abstract
(2013) Equilibrium Credit: The Reference Point for Macroprudential Supervisiors (with Martin Melecky) World Bank Policy Research Working Paper Series No. 6358, The World Bank, 2013. Show Abstract
(2012) Macroprudential Stress Testing of Credit Risk: A Practical Approach for Policy Makers (with Martin Melecky), World Bank Policy Research Working Paper Series No. 5936, The World Bank, 2012. Show Abstract
(2008) A note on long horizon forecasts of nonlinear models of real exchange rates: Comments on Rapach and Wohar (2006) School of Economics Discussion Paper No. 2008/2, UNSW. Data (,56KB). Show Abstract
(2006) The impact of ECB monetary policy decisions and communication on the yield curve (with Claus Brand and Jarkko Turunen), ECB Working Paper No. 657. Show Abstract
(2003) On the stability of equity price relations: Evidence from Australia, the U.S. and the European Union countries (with Eduardo Roca), Paper presented at the Econometric Society Meeting in Australasia (2003), Sydney, Australia. Show Abstract