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Research publications

An event-driven bank stress indicator: the case of US regional banks (download here)
Finance Research Letters, 2023, v. 56
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A shadow rate without a lower bound constraint (download here)
Journal of Banking and Finance, 2023, v. 146, pp. 1-23, with Annukka Ristiniemi
Download the estimated shadow rates for the US, Sweden, euro area and the UK here!
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The interest rate effects of government bond purchases away from the lower bound (download here)
Journal of International Money and Finance, 2017, v.74, pp. 165-186
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How can term structure models be used by central banks? (download here)
Sveriges Riksbank Economic Review, 2017:1
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Modeling and forecasting the yield curve by an extended Nelson-Siegel class of models: a quantile auto-regression approach (download here)
Journal of Forecasting, 2013, v.32, n.2, pp.111-123, with Mauro S. Ferreira
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Giving flexibility to the Nelson-Siegel class of models (download here)
​Brazilian Review of Finance, 2011, v.9, n.1, pp.27-49

Working Papers

Generating point and distributional Fed funds rate forecasts: a machine learning approach, 2025
Submitted
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Effects of cost of mortgage on house prices: the role of the maturity structure of mortgage contracts, 2024, R&R, Journal of Real Estate Portfolio Management
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Re-examining the predictive power of the yield curve with quantile regression, 2019, with Mauro S. Ferreira (download here)
 
Risks in macroeconomic fundamentals and excess bond returns predictability, 2015, (download here)
Online Appendix (download here)
​Sveriges Riksbank Working Paper Series, 2015, No.295​

Research in progress

Comment on "Measuring the effects of federal reserve forward guidance and asset purchases on financial markets" by Swanson E. and on "Measuring Euro Area monetary policy" by Altavilla et al.

Asset allocation at the Effective Lower Bound

Reports and professional publications

Risk premia in bond markets: a macro perspective (gain access here)
AM Report, Amuletum Invest AB, vol.4, nr.1, February 2025 
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Recent trends in commodity prices (gain access here)
AM Report, Amuletum Invest AB, vol.3, nr.6, November 2024 
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Update on recession forecasts (gain access here)
AM Report, Amuletum Invest AB, vol.3, nr.5, September 2024 
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Monetary easing: perspectives from shadow rates (gain access here)
AM Report, Amuletum Invest AB, vol.3, nr.4, July 2024 
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Cost of mortgage and house prices: update (gain access here)
AM Report, Amuletum Invest AB, vol.3, nr.3, May 2024 
 
Beta risk in the tech sector and the AI stock inflation (gain access here)
AM Report, Amuletum Invest AB, vol.3, nr.2, March 2024 
 
On the response of stock returns to monetary policy: a new tech-bubble story? (gain access here)
AM Report, Amuletum Invest AB, vol.3, nr.1, January 2024 
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Fed funds rate predictions: what are the odds? (gain access here)
AM Report, Amuletum Invest AB, vol.2, nr.6, November 2023 
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Ex-ante macro-financial tail risks: what do they reveal? (gain access here)
AM Report, Amuletum Invest AB, vol.2, nr.5, September 2023 
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Macroeconomic risks in the US: a tale of distributions (gain access here)
AM Report, Amuletum Invest AB, vol.2, nr.4, July 2023, with Lisa Alexandersson 
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The long run effects of de-dollarization on financial markets (gain access here)
AM Report, Amuletum Invest AB, vol.2, nr.3, May 2023
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On the stress of US regional banks (gain access here)
AM Report, Amuletum Invest AB, vol.2, nr.2, March 2023
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On the timing and strength of the upcoming recession (gain access here)
AM Report, Amuletum Invest AB, vol.2, nr.1, January 2023
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Cost of mortgage and house prices: what's next? (gain access here)
AM Report, Amuletum Invest AB, vol.1, nr.4, November 2022
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A portfolio of sustainable companies has been favorable during high volatile regimes (gain access here)
AM Report, Amuletum Invest AB, vol.1, nr.3, September 2022, with Lisa Alexandersson
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The current stance of monetary policy: how contractionary it really is? (gain access here)
AM Report, Amuletum Invest AB, vol.1, nr.2, July 2022
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The difficult task for monetary policy and the call for a fiscal adjustment (gain access here)
AM Report, Amuletum Invest AB, vol.1, nr.1, May 2022
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Effects of the Riksbank's government bond purchases on asset prices (download here)
Sveriges Riksbank Economic Commentaries, 2015, no.13, with David Kjellberg and Oskar Tysklind
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