My research interests lie in the field of Econometrics, both in the methodology and its macro-, micro- and financial applications. One strand of my research develops new adequate econometric methods to model ordinal or count heterogeneous responses and zero-inflated outcomes using discrete-choice multi-equation regime-switching approach, with applications to monetary policy interest rates, rankings and tick-by-tick stock price changes. A second strand investigates the informational content of the individual preferences of monetary policy committee’s members and disagreement among them in the context of monetary policy predictability.

See a Summary of my research here.

(with Tobias A. Möller, Christian H. Weiß and Hee-Young Kim) Methodology and Computing in Applied Probability
Working papers

"Modeling status quo decisions in monetary policy."

NBP Working Paper No. 148; EERC Working paper No. 12/13 

UCSD Economics Working Paper No. 1672194; EUI Economics Working Paper No. ECO2011/05
EERC Working paper No. 08/07
Work in progress
  • On testing for inflation of zero observations.
  • A model for policy interest rates (with Gernot Müller and Armin Seibert).
  • Estimation of nested and cross-nested zero-inflated ordered probit models with exogenous and endogenous switching (with David Dale).
  • Are individual preferences of the FOMC members informative about future decisions on the federal funds rate target?
  • Modeling interest rate decisions made by a monetary policy committee (with Roberto Casarin).

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