Dalibor Stevanovic's Homepage

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

Home               CV           Research

  1. Mixed frequency models with MA components (with Claudia Foroni and Massimiliano Marcellino), accepted in Journal of Applied Econometrics

  2. Dynamic Effects of Credit Shock in Data-Rich Environment (with Jean Boivin and Marc Giannoni), Journal of Business and Economic Statistics. doi: 10.1080/07350015.2018.1497507

  3. Financial Sector Interconnectedness and Monetary Policy Transmission (with Alessandro Barattieri and Maya Eden) [Blog] Macroeconomic Dynamics 1-28. doi:10.1017/S1365100517000177, 2018.

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

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

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

  7. Selection of the Number of Factors in Presence of Structural Instability (with Charles Olivier Mao Takongmo), 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.

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

Working papers

  1. A Large Canadian Database for Macroeconomic Analysis (with Olivier Fortin-Gagnon, Maxime Leroux and Stéphane Surprenant)
    Datasets: LCDMA

  2. Macroeconomic Forecast Accuracy in a Data-Rich Environment [Supplementary material] (with Rachidi Kotchoni and Maxime Leroux) (Revision requested)
    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. Risk Sharing, Efficiency of Capital Allocation, and the Connection between Banks and the Real Economy (with Alessandro Barattieri and Maya Eden) (Revision requested)

  6. Poverty Among the Elderly: The Role of Public Pension Systems (with Philipe Jacques and Marie-Louise Leroux)

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

Work in progress
  1. How is Machine Learning Useful for Macroeconomic Forecasting? (with Philippe Goulet Coulombe, Maxime Leroux and Stéphane Surprenant)

  2. Forecasting Economic Activity of A Small Open Economy in Data-Rich Environment (with Maxime Leroux and Rachidi Kotchoni)

  3. Common Sources of Instability in Macroeconomic Dynamics (with Pooyan Amir-Ahmadi)

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

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.