Research
How to Conduct Joint Bayesian Inference in VAR Models?
Job market paper
Performing series of simulation experiments using widely adopted Bayesian structural vector autoregressions, this paper demonstrates that conventional pointwise quantiles substantially understate uncertainty about impulse responses when economic analysis requires simultaneous inference across multiple variables and horizons. Since recently established joint inference methods provide meaningfully distinct error bands estimates, their performance is evaluated and improved by proposing calibration routines to achieve the nominal probability content. Two practical applications illustrate the implications of these findings: (i) within a structural vector autoregression, the fiscal multiplier exhibits error bands that are 51% to 91% wider than previous estimates, and (ii) a pseudo-out-of-sample projection exercise for inflation and GDP shows that joint inference methods could effectively summarize uncertainty for forecasts as well. These results underscore the importance of using joint inference methods for more robust econometric analysis.
Current Work
Monetary Policy and Credit Spreads: Insights from Structural VAR
This paper investigates the role of credit spreads in the transmission of U.S. monetary policy from 1990 to 2019 using a Bayesian structural vector autoregression framework. By using novel joint inference methods, I investigate the effect of both initial credit spread impacts and policy rule coefficients on impulse responses following monetary shocks. The analysis shows that large shifts in credit spreads align with modest movements in short-term rates but significantly influence economic activity, with effects on output and prices materializing over time. Additionally, the findings suggest that the endogenous response of policy rates to credit spreads does not uniformly dampen responses across all economic variables, contrary to previous hypotheses. These insights are particularly relevant for forecasters and policymakers seeking to understand the nuanced dynamics of credit spreads within the monetary policy transmission mechanism.
Forecasting Euro Area Inflation: a Bottom-Up Approach
(with Jan-Oliver Menz)
Older Work
Exchange Rate Pass-through in Bulgaria
Research project conducted for the Bulgarian National Bank, 2020.
Endogeneity of Optimal Currency Areas: Empirical Study of the Euro area
Research project conducted for the Bulgarian National Bank, 2017.
Competition and Stability in the Bulgarian Banking System
(with Stefan Vatchkov, Lyubomir Georgiev, and Nedyalko Valkanov)
Monograph series of University of Economics - Varna, 2017.