Publications

Moran, K., Stevanovic, D. and S. Surprenant  (2024). Risk Scenarios and Macroeconomic Impacts: Insights for Canadian Policy  Canadian Public Policy . accepted. Goulet Coulombe, P., Leroux, M. Stevanovic, D. and S. Surprenant  (2022). How is Machine Learning Useful for Macroeconomic Forecasting? Journal of Applied Econometrics. 37(5), 920-964. Working paper. Moran, K., Stevanovic, D. and A. Touré (2022).  Macroeconomic Uncertainty and the COVID-19 Pandemic: Measure and Impacts on the Canadian Economy, Canadian Journal of Economics, 55, 379-405. Working paper.  Foroni, C., Marcellino, M. and D. Stevanovic (2022). Forecasting the Covid-19 recession and recovery: Lessons from the financial crisis, International Journal of Forecasting, 38(2), 596-612.  Working paper Goulet Coulombe, P., Leroux, M. Stevanovic, D. and S. Surprenant  (2021). Macroeconomic Data Transformations Matter International Journal of Forecasting. 37(4), p. 1338-1354. Working paper. Fortin-Gagnon, O., Leroux, M. Stevanovic, D. and S. Surprenant  (2022). A Large Canadian Database for Macroeconomic Analysis, Canadian Journal of Economics, 55, 1799-1833. Working paper. Dataverse citation: Stevanovic, Dalibor; Surprenant, Stéphane; Leroux, Maxime; Fortin-Gagnon, Olivier, 2021, "Large Canadian Database for Macroeconomic Analysis (LCDMA) - Vintages", https://doi.org/10.5683/SP3/59JYPU, Scholars Portal Dataverse, V1, UNF:6:ncxLZ5kO683egg7+EUOcSw== [fileUNF] Goulet Coulombe, P., Marcellino, M. and D. Stevanovic (2021). Can Machine Learning Catch the COVID-19 Recession? National Institute Economic Review. 256, 71-109. doi: 10.1017/nie.2021.10 Working paper. Jacques, P., Leroux, M. and D. Stevanovic (2021) Poverty Among the Elderly: the Role of Public Pension Systems, International Tax and Public Finance, 28, 24-67. Working Paper Barattieri, A., Eden, M. and D. Stevanovic (2020). Risk Sharing, Efficiency of Capital Allocation, and the Connection between Banks and the Real Economy, Journal of Corporate Finance, 60, 1015-1038. Working paper Boivin, J., Giannoni, M. and D. Stevanovic (2020). Dynamic Effects of Credit Shock in Data-Rich Environment, Journal of Business and Economic Statistics. 38(2), 272-284. Working paper Kotchoni, R., Leroux, M. and D. Stevanovic (2019). Macroeconomic Forecast Accuracy in a Data-Rich Environment, Journal of Applied Econometrics, 34(7), 1050-1072. Working paper [Supplementary material] Matlab codes: KLS_replication_files Foroni, C., Marcellino, M. and D. Stevanovic (2019). Mixed frequency models with MA components, Journal of Applied Econometrics, 34(5), 688-706 Working paper Barattieri, A., Eden, M. and D. Stevanovic (2019). Financial Sector Interconnectedness and Monetary Policy Transmission  Macroeconomic Dynamics, 23(3), 1074-1011. Working paper Mesonnier, J.-S. and D. Stevanovic (2017). The macroeconomic effects of shocks to large banks' capital, Oxford Bulletin of Economics and Statistics, 79(4), 546-569. Working paper  Bedock, N. and D. Stevanovic (2017). An Empirical Study of Credit Shock Transmission in a Small Open Economy, Canadian Journal of Economics. 50(3), 541-570. Working paper [Supplementary material] Stevanovic, D. (2016). Common Time Variation of Parameters in Reduced-Form Macroeconomic Models, Studies in Nonlinear Dynamics and Econometrics, 20(2), 159�183. Working paper [Supplementary material]  [Blog] Mao Takongmo, C.-O. and D. Stevanovic (2015). Selection of the Number of Factors in Presence of Structural Instability, 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, 91(1-2), 177-233. Working paper Dufour, J.-M. and D. Stevanovic (2013). Factor-augmented VARMA models with Macroeconomic Applications, Journal of Business and Economic Statistics, 31(4), 491-506. Working paper

Working papers

Panel Machine Learning with Mixed-Frequency Data: Monitoring State-Level Fiscal Variables (with Philippe Goulet Coulombe and Massimiliano Marcellino)   Estimation of Non-Gaussian SVAR Using Tensor Singular Value Decomposition (with Alain Guay) Inflation, Attention and Expectations (with Etienne Briand and Massimiliano Marcellino) Factor Augmented Autoregressive Distributed Lag Models with Macroeconomic Applications [Supplementary material]   GDP Forecast Accuracy During Recessions [Supplementary material] (with Rachidi Kotchoni)

Work in progres

Confidence and the Small Open Macroeconomy (with Kevin Moran and Stephane Surprenant)   Monetary Policy in the Media Spotlight : Sentiments, Signals, and Economic Impact (with Firmin Ayivodji, Etienne Briand and Kevin Moran) Local Media Coverage of Climate Change : Indices, Determinants, and Policy Implications (with Firmin Ayivodji, Jean-Stephane Mesonnier and Charles Seguin) Origins and Nature of Parameter Instability in Vector Autoregressions (with Pooyan Amir-Ahmadi and Marko Mlikota)

Older papers

1. A Note on Rotation Issues in Principal Components Estimation of Factor Models
   
   
2. Monetary Transmission in a Small Open Economy: More Data, Fewer Puzzles (with Jean Boivin and Marc Giannoni)