Dalibor Stevanovic's Homepage

 Associate professor
 Département des sciences économiques 
 École des sciences de la gestion, Université du Québec à Montréal


Home               CV: fr/en           Research

Publications
  1. Factor-augmented VARMA models with Macroeconomic Applications (with Jean-Marie Dufour) published in Journal of Business and Economic Statistics, Volume 31, Issue 4, 2013.

  2. Selection of the Number of Factors in Presence of Structural Instability (with Charles Olivier Mao Takongmo) published in Identification, Simulation and Finite Sample Inference (Editors: Marie-Claude Beaulieu, Jean-Marie Dufour and Lynda Khalaf), special issue of L’Actualité économique, Revue d'analyse économique, vol. 91, no. 1-2, 2015.

  3. Common Time Variation of Parameters in Reduced-Form Macroeconomic Models [Supplementary material] [Blog] published in Studies in Nonlinear Dynamics and Econometrics, Volume 20, Issue 2, Pages 159–183, 2016.

  4. An Empirical Study of Credit Shock Transmission in a Small Open Economy (with Nathan Bedock) [Supplementary material]  published in Canadian Journal of Economics. Volume 50, No. 3, 2017.

  5. The macroeconomic effects of shocks to large banks' capital (with Jean-Stéphane Mésonnier), published in Oxford Bulletin of Economics and Statistics, Volume 79, Issue 4, p. 546-569, 2017.

  6. Financial Sector Interconnectedness and Monetary Policy Transmission (with Alessandro Barattieri and Maya Eden) [Blog] forthcoming in Macroeconomic Dynamics 

Working papers

  1. Mixed frequency models with MA components (with Claudia Foroni and Massimiliano Marcellino)

  2. Macroeconomic Forecast Accuracy in a Data-Rich Environment [Supplementary material] (with Rachidi Kotchoni and Maxime Leroux)
    Matlab codes: LKS_ForecastingDataRich_Codes

  3. Forecasting U.S. Recessions and Economic Activity [Supplementary material] [Blog] (with Rachidi Kotchoni)

  4. Factor Augmented Autoregressive Distributed Lag Models with Macroeconomic Applications [Supplementary material] (Revision requested)  

  5. Dynamic Effects of Credit Shock in Data-Rich Environment (with Jean Boivin and Marc Giannoni) (R&R in JBES)

  6. Monetary Transmission in a Small Open Economy: More Data, Fewer Puzzles (with Jean Boivin and Marc Giannoni)

Work in progress
  1. Common Sources of Instability in Macroeconomic Dynamics (with Pooyan Amir-Ahmadi)

  2. Risk Sharing, Efficiency of Capital Allocation, and the Connection between Banks and the Real Economy (with Alessandro Barattieri and Maya Eden)

  3. The macroeconomic effects of shocks to large banking groups in the euro area (with Jean-Stéphane Mésonnier)

  4. Evaluating the effects of fiscal policies in a data-rich environment (with Foued Chihi)

Policy documents
  1. Prévision de l'activité économique au Québec, (avec Maxime Leroux et Rachidi Kotchoni), Rapport de projet 2016RP-08, CIRANO, 2016.

  2. Analyse du coût de la vie des ménages: Comparaison entre Montréal et d'autres villes nord-américaines, (avec Jean-Denis Garon), Rapport d'expertise indépendante réalisé pour le compte de la Centrale des Syndicats Nationaux, 2014.

  3. Évolution macroéconomique de l'économie québécoise: Une analyse autorégressive vectorielle (VAR), (avec Kevin Moran), Rapport de recherche réalisé pour le compte de la Régie des rentes du Québec, 2014.