Avdelningen för penningpolitik
SE-103 37 Stockholm, Sweden
Telefon + 46 8 787 06 97
Eonometrics, banking and credit risk
Ph.D., Statistics, Uppsala University, 1992
M.Phil., Economics, University of Cambridge, 1989
B.A., Economics, Uppsala University, 1985.
Work in progress and working papers
"Credit Risk Models and Parameter Stability: Empirical Evidence from Sweden", with Kenneth Carling, Kasper Roszbach, Jesper Lindé, in progress.
"SME and corporate exposure to business cycle risk", with Kasper Roszbach and Rikard Nilsson, in progress.
"Capital charges under Basel II: Corporate credit risk modelling and the macro economy" (with Kenneth Carling, Jesper Lindé, Kasper Roszbach), Sveriges Riksbank Working Paper No. 142, September 2002.
"Identifying the effects of monetary policy shocks in an open economy" (with Per Jansson, Anders Vredin, Anders Warne), Sveriges Riksbank Working Paper No. 134, May 2002.
Publications in refereed journals
(July 2015), Volume 83(4), Econometrica, (with Erik von Schedvin).
"Taking the Twists into Account: Predicting Firm Bankruptcy Risk with Splines of Financial Ratios" (August 2014), Volume 49(4), Journal of Financial and Quantitative Analysis, (with Paolo Giordani, Erik von Schedvin, and Mattias Villani.
"Firm Default and Aggregate Fluctuations", with Kasper Roszbach, and Jesper Lindé, Journal of the European Economic Association, vol 11, (4), 2013, pages 945–972.
"Inflation, exchange rates and PPP in a multivariate panel cointegration model", Econometrics Journal, (March 2008), Volume 11 (1), pp. 58-79, (with Johan Lyhagen, Rolf Larsson, Marianne Nessén)
"Corporate Credit Risk Modelling and the Macroeconomy", Journal of Banking and Finance, (March 2007), Vol. 31 (3), pp. 845-868, (with Kenneth Carling, Jesper Lindé and Kasper Roszbach).
"Internal Ratings Systems, Implied Credit Risk and the Consistency of Banks' Risk Classification Policies", Journal of Banking and Finance, (July 2006), Vol. 30 (7), pp. 1899-1926. (with Jesper Lindé and Kasper Roszbach).
"Credit Risk versus Capital Requirements under Basel II: Are SME Loans and Retail Credit Really Different?", Journal of Financial Services Research. (with Jesper Lindé and Kasper Roszbach). NR 28 (1-3), 2005, 43-75
"Exploring Interactions between Real Activity and the Financial Stance", Journal of Financial Stability. (with Jesper Lindé and Kasper Roszbach). NR 1 (3),2005, 308-341
"Finding Good Predictors for Inflation: A Bayesian Model Averaging Approach" (with Sune Karlsson), Journal of Forecasting. NR 23 (7), 2004, 479-496
"World-wide purchasing power parity" (with Marianne Nessén), Empirical Economics. NR 29 (3), 2004, 463-476
"Bank lending policy, credit scoring, and value at risk" (with Kasper Roszbach), forthcoming, Journal of Banking and Finance. NR 27 (4), 2003, 615-633
"Growth, Savings, Financial Markets and Markov Switching Regimes", Studies in Nonlinear Dynamics and Econometrics 5(4), 2002, Article 1, with Thomas Lindh and Anders Warne.
"Monetary policy analysis and inflation targeting in a small open economy: A VAR approach" (with Per Jansson, Anders Vredin, Anders Warne), Journal of Applied Econometrics 16, 2001, 487-520.
"Bootstrap testing linear restrictions on cointegrating vectors" (with Mikael Gredenhoff), Journal of Business & Economic Statistics 19, 2001, 63-72.
"Dormancy risk and expected profits of consumer loans" (with Kasper Roszbach, Kenneth Carling), Journal of Banking and Finance 25 (4), 2001, 717-39.
"Working time, employment, and work sharing: Evidence from Sweden" (with Henry Ohlsson), Empirical Economics 25, 2000, 167-187.
"Bartlett corrections in cointegration testing" (with Rolf Larsson), Computational Statistics and Data Analysis 31, 1999, 203-225.
"Are real wages and unemployment related?" (with Anders Vredin, Anders Warne), Economica 65, 1998, 69-96.
"Common trends and hysteresis in Scandinavian unemployment" (with Anders Vredin, Anders Warne), European Economic Review 41, 1997, 1781-1816.
"Numerical aspects of a likelihood ratio test statistic for cointegrating rank" (with Rolf Larsson), Computational Statistics and Data Analysis 23, 1996, 453-465.
"Modeling unemployment duration in a dependent competing risks framework: Identification and estimation" (with Kenneth Carling), Journal of Lifetime Data Analysis 1, 1995, 109-120
"Simulating small-sample properties of the maximum likelihood cointegration method: Estimation and testing," Finnish Economic Papers 8, 1995, 96-107.
"On the determination of lag order in vector autoregressions of cointegrated systems," Computational Statistics 10, 1995, 177-192.
"Long-run relations between private and public sector wages in Sweden" (with Henry Ohlsson), Empirical Economics 19, 1994, 343-360.
"How can central banks promote financial stability?" (with Johan Molin, Anders Vredin), Sveriges Riksbank Economic Review 2, 2001, 5-13.
"Credit rating and the business cycle: Can bankruptcies be forecast?" (with Jesper Lindé), Sveriges Riksbank Economic Review 4, 2000, 11-33.
"Evaluating bank lending policy and consumer credit risk" (with Kasper Roszbach), in Y.S. Abu-Mostafa, B. Lebaron, A.W. Lo, and A.S. Weigend (eds.), Computational Finance, MIT Press, 1999.
"Identification of dependent competing risks models" (with Kenneth Carling), in N.P. Jewell, A.C. Kimber, M.-L.T. Lee, and G.A. Whitmore (eds.), Lifetime Data: Models in Reliability and Survival Analysis, Kluwer Academic Publishers, Dordrecht, The Netherlands, 1996.
Journal of Banking and Finance, Journal of Econometrics, Scandinavian Journal of Economics, Empirical Economics and Journal of Applied Econometrics