Research paper: “Financial Conditions and the Risks to Economic Growth in the United States Since 1875”, with Patrick Coe (Carleton). Previously entitled “Financial Conditions and Vulnerable Growth, 1875-2017”, September 2019. Download CAMA WP version with Appendix, April 2020.
Research paper: “Empirically-transformed Linear Opinion Pools”, joint with Anthony Garratt and Timo Henckel. Preliminary draft, June 2019.
Research paper: “Improved Methods for Combining Point Forecasts for an Asymmetrically Distributed Variable”, joint with Ozer Karagedikli and Liz Wakerly. Updated version, June 2019, with not for pub appendix.
Research paper: “Real-time Forecast Combinations for the Oil Price”, joint with Anthony Garratt and Yunyi Zhang. Journal of Applied Econometrics, 2019. Database, documentation, appendices and draft paper on this webpage.
Turing-HSBC-ONS Economic Data Science Award 2018 for “What are Words Worth? The predictive content of big data news sentiment indicators for real-time assessments of the vulnerability to UK’s economic growth”. Joint with Craig Thamotheram, and with international collaborator Leifa Thorsrud. Grant details.
Innovate UK open competition March 2018 grant for “The Money Cloud: Democratising FX Expertise” joint with Craig Thamotheram and international collaborator Simon van Norden. The Money Cloud Consortium comprises The Money Cloud, the Coefficiency Lab and the University of Warwick. Grant details.
Details of earlier research papers and ongoing research.
Current graduate students (at Warwick): Anastasia Allayioti, Yunyi Zhang, Jingwen Shi and Francesco Saverio Gaudio.
My current research interests: empirical macro, time series econometrics with macro and financial variables, and some data science.
My current affiliations: Warwick University, CAMA (ANU), NIESR, EABCN and the Artificial Intelligence Innovation Network (AIIN) at Warwick University.
Previous academic affiliations include: Cambridge University (Christ’s College) and Melbourne University. I have previously visited Claremont McKenna College and UBC. Spells as a central banker include: RBNZ, Norges Bank and the Bank of England.
I currently consult for fintechs The Money Cloud and Coefficiency Lab. Previous consulting experience with ACCC, Citadel Group, Rio Tinto, Norges Bank and RBNZ.
My research has been published in academic journals including the American Economic Review, the Journal of Business and Economic Statistics (JBES), the Journal of Applied Econometrics and the Economic Journal.
I am a regular co-organizer of the Conference on Real-time Data Analysis which has been running annually (usually) at FRB Philadelphia and other central banks for around 20 years. Most recently held at the National Bank of Belgium on Thursday and Friday, October 10–11, 2019. Final programme.
I have delivered short courses in graduate level empirical macro and macro forecasting at the RBNZ, Norges Bank, Bank Negara Malaysia and the Bank of Canada.
A separate page describes the MATLAB toolbox for macro forecasting known as PROFOR. It facilitates the production of real-time macro predictive densities and was developed with support from the Bank of England and Norges Bank. Download from PROFOR.