I am a Senior Analyst in the International Economic Analysis Department, Advanced Economies Division at the Bank of Canada in Ottawa.
My primary research fields cover International Economics, Applied Macroeconometrics and Human Capital Development with a focus on unobserved components models.
234 Wellington St. West
Ottawa, ON K1A 0G9
July 12, 2023
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January 2016 - Rotterdam, The Netherlands
PH.D. ECONOMICS TINBERGEN INSTITUTE - ERASMUS UNIVERSITY
Title: Essays on the Empirics of International Financial Markets
Promotor: Prof. Casper De Vries
Supervisor: Dr. Lorenzo Pozzi
September 2011 - Tilburg, The Netherlands
RESEARCH MASTER ECONOMICS - TILBURG UNIVERSITY
Thesis title: Determinants of Export Taxation
Supervisor: Prof. Jenny Ligthart
September 2009 - Tilburg, The Netherlands
M.SC. ECONOMICS - TILBURG UNIVERSITY
Thesis title: Electricity Network Regulation: the Argentinean reform
Supervisor: Dr. Bert Willems
September 2026 - June 2028
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March 2016 - to date Ottawa, Canada
BANK OF CANADA
Senior Economist - International Economics Department - Advanced Economies Division
March 2015 - September 2015 Amsterdam, The Netherlands
March 2014 - May 2014 Oslo, Norway
September 2006 - August 2008 Buenos Aires, Argentina
INTER-AMERICAN DEVELOPMENT BANK
Research Assistant to Project Manager
ASSESSING THE PREDICTIVE ABILITY OF SOVEREIGN DEFAULT RISK ON EXCHANGE RATES (JOINT WITH FRANCESCO RAVAZZOLO AND CLAUDIA FORONI)
Journal of International Money and Finance (2018) - Link to WP
This paper explores the predictive ability of interest rate factors and sovereign default risk on exchange rate returns. We investigate the possible pass-through of risk in the sovereign bond markets to currency markets. To this end, we extend the no-predictability random walk model with the level and slope factors of the interest rate yield curve and the default and recovery risk intensities from credit default risk swaps. Existing literature points to common underlying factors driving both the term structure of interest rate and exchange rates. The term structure of interest rate reflects agents expectations about risk. By including a separate measure of default risk we attempt to disentangle the default risk expectations from risk premium measures. We find that the inclusion of these four factors improves in accuracy upon the benchmark model.
DETECTING SCAPEGOAT EFFECTS IN THE RELATIONSHIP BETWEEN EXCHANGE RATES AND MACROECONOMIC FUNDAMENTALS: A NEW APPROACH (JOINT WITH LORENZO POZZI)
Macroeconomic Dynamics (2018) - Link to WP
This paper presents a new testing method for the scapegoat model of exchange rates. A number of steps are implemented to determine whether macro fundamentals are scapegoats for the evolution of exchange rates. Estimation is conducted using a Bayesian Gibbs sampling approach applied to eight countries (five developed, three emerging) versus the US over the period 2002Q1-2014Q4. The macro fundamentals that we consider are real GDP growth, the inflation rate, the long-run nominal interest rate and the current account to GDP ratio. We calculate the posterior probabilities that these macro fundamentals are scapegoats. For the inflation rate, these probabilities are considerably higher than the imposed prior probabilities of 1/2 in five out of eight countries (in particular, the Anglo-Saxon economies).
DETECTING REGIME SHIFTS IN EURO AREA GOVERNMENT BOND RISK PRICING: THE IMPACT OF THE FINANCIAL CRISIS (JOINT WITH LORENZO POZZI)
Work in progress
We investigate the presence of an euro area-wide crisis regime in the risk pricing of euro area government bonds. We investigate how often and when the crisis regime occurs, how long it lasts, and how it affects the importance of the components that make up the risk premium of euro area government bonds (i.e. the mean, the country-specific risk factor, and the common euro area-wide risk factor). To this end, a dynamic factor model with Markov switching parameters is estimated using monthly data for the 10 year government bond yield spreads of five euro area countries over the period 1999/1 until 2012/4. We identify a single permanent regime shift in the pricing of risk during the first half of 2008, i.e. before the Lehman default (September 2008) and well before the outbreak of the government debt crisis in the euro area periphery. Following the regime shift, the impact on the spreads of both the country-specific risk factor and the area-wide risk factor is significantly higher in all countries considered. While all countries experience qualitatively similar changes in the risk pricing of their bonds, the magnitude of the changes is different across countries and is most extreme for Italy and Spain.
CHARACTERIZING THE SCHOOLING CYCLE (JOINT WITH PROF. SUNCICA VUJIC AND SOFIA MAIER)
Submitted - Link to WP
In this paper we develop a novel empirical approach to extract the cycle in schooling participation decisions, a.k.a what we call the schooling cycle. To this end, we estimate unobserved-component time series models that decompose enrollment rates in higher-education into a slow moving stochastic trend and a stationary cyclical factor. Enrollments correspond to young individuals, 16–24 years old, attending full-time higher-education in the United Kingdom over the period from 1995Q1 to 2019Q4. This way, we conduct a full characterization of the cyclical dynamics of schooling participation decisions and analyze its relationship with the business cycle in a time-varying fashion. We find a very persistent schooling cycle largely but not exclusively explained by the business cycle. Also, the direction of the response of schooling participation to the business cycle (i.e., pro-cyclical, counter-cyclical, a-cyclical) is largely time-dependent, together with the degree of synchrony between the series. We note, however, that results are heterogeneous across different demographic groups.
CHINESE MONETARY POLICY AND TEXT ANALYTICS: CONNECTING WORDS AND DEEDS (JOINT WITH J. BAILLIU, X. HAN AND M. KRUGER)
Work in progress
Given China's more complex monetary policy framework, the PBOC's actions can be difficult to infer from its behavior. Thus, information provided through official statements can be useful in helping agents better understand monetary policy actions and the role they may play in the transmission mechanism. This paper examines whether topics extracted from official documents related to monetary policy can help us to better understand the conduct of Chinese monetary policy in the context of a McCallum-type monetary policy reaction function. Our corpus covers official PBOC documents on monetary policy decisions over the period from 2003 to 2018. Topics are extracted using a Latent Semantic Analysis (LSA) technique. We then examine whether these extracted topics play role in the Chinese monetary policy transmission mechanism using a VAR framework and an approach based on local projections.
MACROECONOMIC DISASTERS AND SHIFTS IN SAVING: HISTORICAL EVIDENCE AND EVIDENCE FROM THE COVID-19 PANDEMIC (JOINT WITH LORENZO POZZI)
Work in progress
MEDIA NEWS INDEX OF CHINESE MONETARY POLICY (JOINT WITH X. HAN AND F. RAVAZZOLO)
Work in progress
2- DAY COURSE - BANK OF CANADA
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COURSES AT ERASMUS UNIVERSITY ROTTERDAM
Seminar of International Finance - Master program
Advanced Macroeconomics - Master program
Macroeconomics - Bachelor program
COURSES AT TILBURG UNIVERSITY
Statistics - Bachelor program
CONFERENCES AND SEMINARS
RGS Doctoral Conference - Ruhr University Bochum (27-28 February 2013)
Internal Seminar at Erasmus University - Rotterdam (March 2013)
SNDE 2013 - University Milano-Bicocca (28-29 March 2013)
ZEW Macroconference - University of Mannheim (18-19 July 2013)
EEA Conference - University of Gothenburg (26-30 August 2013)
RGS Doctoral Conference - Dortmund University (27-28 February 2014)
Internal Seminar at Norges Bank - Olso (March - May 2014)
Netherlands Economists Day (NED) - Amsterdam (31 October 2014)
SNDE 2015 - Norwegian Business School - Oslo (19-20 March 2015)
Barcelona Graduate School of Economics (2013)
Exchange rates predictability (Prof. Barbara Rossi)
Modelling non-stationary and non-linear time series (Prof. Perez-Quiroz and Prof. Mayoral)
Empirical time series methods for macroeconomic analysis (Prof. Gambetti)
Technical University of Lisbon (2012)
Modelling financial time series with GAUSS
Cass Business School (2012)
Time series analysis