Nowcasting GDP with a pool of factor models and a fast estimation algorithm
Dynamic factor model, forecasting, GDP, mixed-frequency, model averaging, time-varying-parameter
Research
During my PhD, my research has concentrated on developing methods for monitoring and estimating macroeconomic risk. This field focuses on understanding the effects of economy wide shocks on the uncertainty surrounding the economic outlook. Given the prevalence of unusually large fluctuations in economic aggregates in the recent past and the challenging policy environment that it creates, this literature has gained significant momentum in academic research as well as policy making institutions. Important examples include the Federal Reserve Bank and European Central Bank.
Published Articles
What drives euro area financial market developments? The role of US spillovers and global risk
International transmission, financial conditions, monetary policy, large-scale asset purchases, high-frequency identification.
Working Paper
Monitoring multicountry macroeconomic risk
quantile VAR, MCMC, variational Bayes, dynamic factor model.
Probabilistic quantile factor analysis
variational Bayes, penalized factors, quantile regression.
Research Assistance
Institute for Applied Economic Research
- Ausgaben im Zusammenhang mit Geflüchteten – Eine Untersuchung der Ausgabenstruktur in acht ausgewählten Kommunen, (2018)
- Wie kann eine gesamtwirtschaftlich erfolgreiche Integration der Flüchtlinge gelingen?, (2017)
- Das Aktivierungspotenzial von Eltern im Prozess der Berufsorientierung - Möglichkeiten und Grenzen, (2017)