I am a Senior Economist in the International Economic Analysis Department, United States Division at the Bank of Canada in Ottawa.
The overreaching field of my research is applied econometrics. My research projects span over topics in International Economics, Labour Economics and Human Capital Development with a focus on unobserved components time-series models and survey data.
234 Wellington St. West
Ottawa, ON K1A 0G9
July 12, 2023
I'm a paragraph.
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
This is a job description for your CV.
March 2016 - to date Ottawa, Canada
BANK OF CANADA
Senior Economist - International Economics Department - United States 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).
Work in progress
CHARACTERIZING THE SCHOOLING CYCLE (JOINT WITH PROF. SUNCICA VUJIC AND SOFIA MAIER)
Submitted - Link to WP
This paper develops a novel and tractable empirical approach to estimate the cycle in schooling participation decisions, a.k.a what we denominate the schooling cycle. The estimation procedure is based on unobserved components time series models that decompose higher education enrolment rates into a slow moving stochastic trend and a stationary cyclical factor. This way, we obtain a full characterisation of the cyclical dynamics of schooling participation and analyse its relationship with the business cycle in a time-varying fashion. Using data for 16–24 year-olds attending full-time post-secondary education in the United Kingdom from 1995Q1 to 2019Q4, we find evidence of a very persistent schooling cycle largely but not exclusively explained by the business cycle. Also, we find that the direction of the response of schooling participation to the business cycle, say, pro-, counter- or a-cyclical, is largely time-dependent same as the degree of synchrony between both cycles. We note, however, that results are heterogeneous across gender.
COVID-19 AND JOB SEARCH IN THE U.S.: GREAT RESIGNATION OR HEALTH RISK UNCERTAINTY? (JOINT WITH PROF. STEVEN LEHRER)
Using a novel survey for the U.S. we explore the impact of the COVID-19 pandemic on off-the-job search behavior. We find support for the presence of two labor market frictions that influence job search behavior in opposite directions possibly resulting in longer non-employment spells. To see this, we document first that the impact of the pandemic on search efforts differs across demographic groups in such a way that reveals two distinctive groups among the population. Those that search more consist of white males, high-skilled, high-income with young children while those that search less are females, youth, low-skilled and low-income individuals. Additionally, the latter group is largely affected by uncertainty surrounding the evolution of the disease. We relate this findings with the presence of matching frictions caused by individuals quitting their jobs to search for a new career or job that they feel is better suited, a.k.a. the so-called Great Resignation and behavioral responses arising from the uncertainty surrounding the understanding of the disease causing decreasing search efforts.
MACROECONOMIC DISASTERS AND CONSUMPTION SMOOTHING (JOINT WITH LORENZO POZZI)
Link to draft - coming soon
Macroeconomic disasters (wars, pandemics, depressions) are characterised by drastic shifts and increased volatility of the aggregate consumption to income ratio (or, conversely, the saving ratio). By standard intertemporal budget constraint logic, this ratio is linked to future income and consumption growth rates and therefore should have predictive power for these variables. We investigate whether this predictive ability changes during macroeconomic disasters as this can signal changes in consumer behavior. Through the estimation of panel data regressions for industrial economies using both historical annual data (1870-2015) and recent quarterly data (1995Q1-2020Q4), we find that both historical disasters as well as the current Covid-19 pandemic increase the predictive ability of this ratio for future income and consumption growth rates. These results suggest a reduction in consumption smoothing during disasters. Using a savers-spenders model, we show that this reduction can be interpreted as stemming from an increase during disasters of the number of rule-of-thumb consumers who spend current income in every period as well as from a larger precautionary saving motive of those consumers that do optimize.
CHINESE MONETARY POLICY AND TEXT ANALYTICS: CONNECTING WORDS AND DEEDS (JOINT WITH J. BAILLIU, X. HAN AND M. KRUGER)
Link to draft - coming soon
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.
CLIMATE CHANGE AND SOCIO-ECONOMIC INEQUALITY IN THE U.S. (JOINT WITH TATJANA DAHLHAUS)
Work in progress
CYCLICALITY OF WAGE INEQUALITY (JOINT WITH DIANA ALESSANDRINI)
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
Short introductory course on unobserved components time series models fundamentals with focus on state-space specification and Kalman filter/smoother estimation.
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