A sparse partial least squares factor is constructed from a wide array of Chinese higher-frequency data, and it clearly identifies Chinese business cycle fluctuations. Published in the Economic Policy Review, 2020.

In this paper it is shown theoretically and in simulations that under a variety of different unobserved factor structures, Partial Least Squares (PLS) and Bayesian regressions provide a better fit for a target variable relative to Principal Components (PC) regrssion. Empirically, PLS and Bayesian regressions usually have better out-of-sample performances than PC regression. Published in Computational Statistics & Data Analysis, 2016.

I discuss the latest developments in commodity price forecasting using a variety of predictors in the context of the paper ‘Forecasting Commdity Price Indexes Using Macroeconomic and Financial Predictors’. Published in the International Journal of Forecasting, 2014.

In this paper a framework is proposed for detecting co-breaking across multiple time series and simultaneous examination of a set of series in our set-up helps identify changes with higher probability or more rapidly than when series are examined on a case-by-case basis. Published in the Journal of Applied Econometrics, 2013.

We modify standard model selection criteria, by incorporating factor estimation error, in order to make them applicable for determining appropriate factor-augmented regressions. Published in the Oxford Bulletin of Economics and Statistics, 2013.

In this paper we show in a real-time inflation forecast evaluation shows that averaging over many predictors in a model that at least allows for structural breaks in the error variance results in very accurate point and density forecasts, especially for the post-1984 period. Published in the Journal of Business & Economic Statistics, 2013.

Decomposing the U.S. dollar risk premium into components associated with macroeconomic fundamentals, and a component associated with financial intermediary balance sheets, we show that balance sheets amplify the impact of fundamentals on the U.S. dollar risk premium. Published in the European Economic Review, 2011.

In this paper we seek to produce forecasts of commodity price movements that can systematically improve on naive statistical benchmarks, including factor-augmented models, and revisit the forecasting performance of changes in commodity currencies as efficient predictors of commodity prices. Published in NBER East Asia Seminar on Economics: Commodity Prices and Markets, 2011.

We compare the Bank of England’s Inflation Report quarterly forecasts for growth and inflation to real-time benchmark forecasts. Published in the International Journal of Forecasting, 2009.

U.K. pound exchange rate risk premia are constructed using a conditional factor model for the stochastic discount factor, with the discount factor depending on the real return on a ‘worldwide’ stock portfolio and ‘worldwide’ industrial production growth, and time-varying model parameters that depend on the slope of the ‘world’ term structure of interest rates and the price/earnings ratio that corresponds with the ‘worldwide’ stock portfolio. Published in the Journal of International Money and Finance, 2006.

This paper uses a panel of vector error-correction models based on a common long-run relationship to test whether a number of Euro exchange rates have a long-run link with monetary fundamentals, followed by assessing the out-of-sample fit of this common long-run exchange rate model relative to naive random walk-based forecasts. Published in the Journal of Money, Credit, and Banking, 2005.

This study analyses the empirical interaction between real corporate credit, real income, real stock prices, the short-term interest rate and inflation for the Netherlands and the United States. Published in Applied Economics, 2004.

This study proposes a likelihood-based framework for cointegration analysis in panels of a fixed number of vector error-correction (VEC) models. Published in the Journal of Business & Economic Statistics, 2003.

This paper shows that only the panel vector error correction approach provides evidence for the validity of both the cointegration restriction as well as the long-run parameter restrictions of the monetary exchange rate model, irrespective of the choice of numeraire country. Published in the Oxford Bulletin of Economics and Statistics, 2002.

This paper shows that in multi-country panels there is cointegration between nominal exchange rates and fundamentals based on a forward-looking monetary exchange rate model. Published in the Journal of International Economics, 2000.

This paper reexamines predictability of nominal exchange rate returns by means of fundamental models. Published in Empirical Economics, 1999.