Publications
Published and Accepted Papers
- What Drives Repo Haircuts? Evidence from the UK Market (with C. Julliard, K. Todorov, K. Yuan and J. Wijnandts)
Management Science (Accepted) - Fire Sales of Safe Assets (with E. Siriwardane and D. Walker)
Journal of Financial Economics (Accepted) - Informed Trading and the Dynamics of Client-Dealer Connections in Corporate Bond Markets (with R. Czech)
Review of Asset Pricing Studies, 2026 - Yield Drifts when Issuance Comes before Macro News (with D. Lou, S. Üslü and D. Walker)
Journal of Financial Economics, 2025 - Price Formation in Markets with Trading Delays (with S. Üslü)
Management Science, 2025 - Size Discount and Size Penalty: Trading Costs in Bond Markets (with C. Wang and J. Zou)
Review of Financial Studies, 2024 - Collateral Channels and Banking Relationships (with G. Anderson, M. Chavaz, S. Bahaj and A. Foulis)
Review of Finance, 2023 - Inflation and Uncertainty in New Keynesian Models: A Note
Economics Letters, 2022 - Clients' Connections: Measuring the Role of Private Information in Decentralized Markets (with P. Kondor)
Journal of Finance, 2022 - Employment and the Collateral Channel of Monetary Policy (with S. Bahaj, A. Foulis and P. Surico)
Journal of Monetary Economics, 2022 - The Procyclicality of Inflation-Linked Debt
Economics Letters, 2022 - Home Values and Firm Behaviour (with S. Bahaj and A. Foulis)
American Economic Review, 2020 - House Prices and Job Losses
The Economic Journal, 2019 - What do VARs Tell us about the Impact of a Credit Supply Shock? (with H. Mumtaz and K. Theodoridis)
International Economic Review, 2018 - Capital over the Business Cycle: Renting versus Ownership (with P. Gal)
Journal of Money, Credit and Banking, 2017 - Do Contractionary Monetary Policy Shocks Expand Shadow Banking? (with B. Nelson and K. Theodoridis)
Journal of Applied Econometrics, 2017 - Forecasting with VAR Models: Fat tails and Stochastic Volatility (with J. Chiu and H. Mumtaz)
International Journal of Forecasting, 2017
Working Papers
- Asymmetries of Convergence: A Structural Audit of Central-Eastern European Growth Models (2010-2024)
- A Millennium of UK Business Cycles: Insights from Structural VAR Analysis (with L. Ferreira and H. Mumtaz)
- Market Whiplash After the 2025 Tariff Shock: An Event-Targeted VAR Approach (with F. Smets and S. Üslü)
- The Liquidity State-Dependence of Monetary Policy Transmission (with O. Ashtari-Tafti, R. Guimaraes and J. Wijnandts)
- Mispricing in Inflation Markets (with R. Barria)
- Interest Rate Exposures of Non-Banks: Market Concentration and Monetary Policy Implications (with D. Walker)
- An Anatomy of the 2022 Gilt Market Crisis
- Comparing Search and Intermediation Frictions Across Markets (with S. Üslü)
Revisions requested at the Journal of Financial Economics - Information Chasing vs Adverse Selection (with C. Wang and J. Zou)
- Risk Premium Shocks
- Star Charities, Director Networks and Firm Performance (with S Bahaj, A Blake, A Foulis, A Haldane and J Tripathy)
Other Papers
- Monetary Transmission Mechanism in the East African Community: An Empirical Investigation (with H Davoodi and S Dixit)
IMF Working Paper 13/39, 2013 - Macroprudential Capital Regulation in General Equilibrium (with B Nelson)
- VAR Models with Non-Gaussian Shocks (with J Chiu and H Mumtaz)
- Risk News Shocks and the Business Cycle (with K Theodoridis and T Yates)
Professional Activities
Bank of England Macro-finance Workshop Lead Organizer, 2015 – 2023
I founded and organized this annual workshop to bridge the gap between frontier academic research and central bank policy. You can view the programs and speakers for each year below: