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I am a Principal Economist at the European Central Bank's DG Research.
My research is concerned with forecast uncertainty, the dynamics of survey expectations, and informational frictions. Most of the time, I end up solving signal extraction problems.
My work is also posted at GoogleScholar, IDEAS, CitEc, RePEc, SSRN, ResearcherID, ORCID, GitHub.
The word cloud on the right has been generated with Scholar Goggler.
LATEST RESEARCH:
LATEST RESEARCH:
NONE of the material posted on this personal website necessarily represents the views of
the European Central Bank, Deutsche Bundesbank, the Eurosystem, the Bank for International Settlements,
the Board of Governors of the Federal Reserve System or the Federal Open Market Committee.
Entropic Tilting of Forecasts to SPF Histograms: Analytics & Applications (2026, new draft)
Entropic Tilting of Forecasts to SPF Histograms: Analytics & Applications (2026, new draft)
with Todd E. Clark (Johns Hopkins University, Federal Reserve Bank of Cleveland)
Abstract: This paper develops a new, direct approach to entropic tilting of model-based predictive distributions to match histogram forecasts provided in the U.S. Survey of Professional Forecasters (SPF). We focus on tilting to histogram probabilities directly, rather than to moments of fitted distributions. We reformulate the single-histogram tilting problem and derive a novel analytic characterization for the multiple-histogram case, with iterative solutions via Iterative Proportional Fitting. Application to quarterly real-time forecasts of major macroeconomic aggregates from a Bayesian vector autoregression with time-varying volatility shows that tilting to SPF histograms significantly improves on the model's baseline forecasts, particularly during periods around the Great Recession and the COVID-19 pandemic. Crucially, entropic tilting not only improves accuracy for those model variables for which histogram targets are available but also for other model variables for which SPF targets are not available.
Discussion of "Taming the Skew ... " by De Polis, Melosi & Petrella (2026)
Discussion of "Taming the Skew ... " by De Polis, Melosi & Petrella (2026)
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