Working Papers

This working paper series is designed to communicate our research to the public and contribute to ongoing industry and policy debates. For any questions, please contact the authors.

2023

Fisher, P. (2023) "Secondary Objectives for Central Banks and Financial Regulators", DAFM Working Paper Series, No. 2023/1

Nandi, S. (2023). "Timely Predictions of Capital Flow Episodes", DAFM Working Paper Series, No. 2023/2

2022

Kapetanios, G., Kempf, F. (2022) “Interpretable Machine Learning Modelling for Asset Pricing”, DAFM Working Paper Series, No. 2022/1

Fosten, J., Nandi, S. (2022) “Nowcasting U.S. State-level CO₂ Emissions and Energy Consumption”, DAFM Working Paper Series, No. 2022/2

Nandi, S. (2022) “Cross-Sectional Dependence in Growth-at-Risk”, DAFM Working Paper Series, No. 2022/3

2021

Chronopoulos, I., Raftapostolos, A., Kapetanios, G. (2021). "Deep Quantile Regression", DAFM Working Paper Series, No. 2021/1

Kapetanios, G., Serlenga, L., Shin, Y. (2021). “Testing for Correlation between the Regressors and Factor Loadings in Heterogeneous Panels with Interactive Effects”, DAFM Working Paper Series, No. 2021/2 (online appendix)

Chronopoulos, I., Giraitis, L., Kapetanios, G. (2021). “Choosing between persistent and stationary volatility”, DAFM Working Paper Series, No. 2021/3

Massacci, D., Rubin, M., Ruzzi, D. (2021). “Systematic Comovement in Threshold Group-Factor Models”, DAFM Working Paper Series, No. 2021/4

Kapetanios, G., Marcellino, M., Martino, A., Papailias, F., Mazzi, G.L. (2021). “Panel VAR Models for Nowcasting”, DAFM Working Paper Series, No. 2021/5

Fisher, P., Murphy, D. (2021). “Greening the Central Bank Balance Sheet – or Not?” DAFM Working Paper Series, No. 2021/6

Massacci, D., Sarno, L., Trapani, L. (2021). “Factor Models with Downside Risk” DAFM Working Paper Series, No. 2021/7

Massacci, D., Kapetanios, G. (2021). “Forecasting in Factor Augmented Regressions under Structural Change” DAFM Working Paper Series, No. 2021/8

Fosten, J., Nandi, S. (2021). “Nowcasting from Cross-Sectionally Dependent Panels” DAFM Working Paper Series, No. 2021/9 (online appendix)

2020

Massacci, D. (2020). "Testing for Regime Changes in Portfolios with a Large Number of Assets: A Robust Approach to Factor Heteroskedasticity", DAFM Working Paper Series, No. 2020/1

Bruns, M., Piffer, M. (2020). "Bayesian Structural VAR models: a new approach for prior beliefs on impulse responses", DAFM Working Paper Series, No. 2020/2

Fosten, J., Greenaway-McGrevy, R. (2020). “Panel Data Nowcasting”, DAFM Working Paper Series, No. 2020/3

Golec, P., Kapetanios, G., Neuteboom, N., Ritsema, F., Ventouri, A. (2020) “Disentangling the effect of government restrictions and consumers’ reaction function to the Covid-19 pandemic: evidence from geo-located transactions data for The Netherlands” DAFM Working Paper Series, No. 2020/4

Giovannelli, A., Massacci, D., Soccorsi, S. (2020) “Forecasting Stock Returns with Large Dimensional Factor Models” DAFM Working Paper Series, No. 2020/5

Yfanti, S., Chortareas, G., Karanasos, M., Noikokyris, E. (2020) “A Three-Dimensional Asymmetric Power HEAVY Model” DAFM Working Paper Series, No. 2020/6

2019

Hughes Hallett, A. (2019). “Fiscal Governance after the Financial Crisis: A review”, DAFM Working Paper Series, No. 2019/8.

Joseph, A. (2019). “Shapley regressions: A framework for statistical inference on machine learning models”, DAFM Working Paper Series, No. 2019/7.

Fisher, P., Alexander, K. (2019). “Climate change: the role for central banks”, DAFM Working Paper Series, No. 2019/6.

Gross, C., Siklos, P. (2019). “Analyzing Credit Risk Transmission to the Non-Financial Sector in Europe: A Network Approach”, DAFM Working Paper Series, No. 2019/5.

Boerner, L., Severgnini, B. (2019). “Time for Growth”, DAFM Working Paper Series, No. 2019/4.

Belke, A., Göcke, M. (2019). “Interest Rate Hysteresis in Macroeconomic Investment under Uncertainty”, DAFM Working Paper Series, No. 2019/3.

Boerner, L., Rubin, J., Severgnini, B. (2019). “A Time to Print, a Time to Reform”, DAFM Working Paper Series, No. 2019/2.

Belke, A., Klose, J. (2019). “Equilibrium Real Interest Rates, Secular Stagnation, and the Financial Cycle: Empirical Evidence for Euro-Area Member Countries”, DAFM Working Paper Series, No. 2019/1.

2018

Fisher, P., Hughes Hallett, A. (2018). “Can Central Bank Balance Sheets Be Used as a Macro-Prudential Policy Tool?”, DAFM Working Paper Series, No. 2018/6.

Bakas, D., Chortareas, G., Magkonis, G. (2018). “Volatility and Growth: A Not So Straightforward Relationship”, DAFM Working Paper Series, No. 2018/5.

Kapetanios, G., Papailias, F., Taylor, A.M.R. (2018). “A Generalised Fractional Differencing Bootstrap for Long Memory Processes”, DAFM Working Paper Series, No. 2018/4. Online Appendix

Bakas, D., Chortareas, G. (2018). “Inflation Dynamics and the Output-Inflation Trade-Off: International Panel Data Evidence”, DAFM Working Paper Series, No. 2018/3.

Chortareas, G., Karanasos, M., Noikokyris, E. (2018). ”QE and the UK Stock Market: Does the Bank of England Information Dissemination Strategy Matter?”, DAFM Working Paper Series, No. 2018/2.

Dias, G.F., Scherrer, C.M., Papailias, F. (2018). “Volatility Discovery”, DAFM Working Paper Series, No. 2018/1.

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