Welcome to my personal webpage where you can find the most up-to-date information on my research projects. I am currently working as an economist at the European Investment Bank (EIB), specializing in the fields of monetary and fiscal policies as well as banking and financial econometrics. Any views you can find on this website are solely mine and do not necessarily correspond to the views of the EIB or any other related institution.

Recent updates

August 2018

Capitalizing on my PhD thesis results on how to robustly measure risk spill-overs and contributions to systemic risk, NCoVaR Granger causality framework has just been described in the UvA/CeNDEF Working Paper.

July 2018

Detailed paper explaining how we measure the macroeconomic impact at the EIB has just been published (link).

April 2018

New evidence on the role of trade credit in financially distressed firms has just been released as the EIB Working Paper.

March 2018

Is there a link between debt overhang and misallocation? It is more complicated than usually assumed but you can find the evidence from the EU countries in a recently published CEPR Discussion Paper.

November 2017

How to keep zombies alive? Some evidence on the link between trade credit and investment in Chapter 7 of the freshly released Investment and Investment Finance Report of the EIB.

September 2017

What caused the corporate investment slump? Some evidence from the firm-level data in the forthcoming CEPR book (Chapter 3).

December 2016

What is wrong with European investments? The newest analysis of the Economics Department of the EIB has just been released and can be found here.

You can find my most recent CV here.

Journal Publications

[4] Interbank loans, collateral and modern monetary policy. (with Michiel van de Leur)
Journal of Economic Dynamics and Control, pp 388–416, Vol. 73, 2016
[Online Version] [ECB Version]

[3] Nonlinear Granger causality: Guidelines for multivariate analysis. (with Cees Diks)
Journal of Applied Econometrics, pp 1333-1351, Vol. 31 (7), 2016
[Online Version] [JAE repository]

[2] Welfare-theoretic optimal policies in a new-Keynesian economy with heterogeneous regions: Any role for financial integration?
Journal of Common Market Studies, pp 742–761, Vol. 54 (3), 2016
[Online Version]

[1] Are European fiscal rules that bad? Discretionary fiscal policies in New Member States. (with Bettina Fincke)
Empirical Economics, pp 517–546, Vol. 51 (2), 2016
[Online Version] [Data set]

Books and Book Chapters

[3] Misallocation of Investment in Europe: The Role of Debt Overhang and Credit Market Distress (with Francesca Barbiero, Philipp-Bastian Brutscher, Atanas Kolev and Alexander Popov) in Colin Mayer, Stefano Micossi, Marco Onado, Marco Pagano, and Andrea Polo (ed.) Finance and Investment: The European Case. Oxford University Press, pp. 57-64, 2018
[Online Version]

[2] Modern Monetary Rules: Any Role for Financial Targeting? in William A. Barnett, Fredj Jawadi (ed.) Monetary Policy in the Context of the Financial Crisis: New Challenges and Lessons. Emerald Group Publishing Limited, pp. 367-403, 2015
[Online Version]

[1] Essays in Nonlinear Dynamics in Economics and Econometrics with Applications to Monetary Policy and Banking. Amsterdam University Press, 2014
[Online Version]

Research Projects

[5] Investment of financially distressed firms: The role of trade credit (with Annalisa Ferrando)
[EIB Working Paper] [Slides]

[4] Debt overhang and investment efficiency (with Francesca Barbiero and Alexander Popov)
[CEPR Discussion Paper]

[3] Independent and conditionally independent counterfactual distributions
[EIB Working Paper] [Slides]

[2] NCoVaR Granger causality (with Cees Diks)
[UvA/CeNDEF Working Paper] [Slides]

[1] Human capital, energy and economic growth in China: Evidence from multivariate nonlinear Granger causality (with Zheng Fang)
[Online Version]

Permanent Working Papers

[2] Safe havens, feedback loops and shock propagation in global asset prices. IMF Working Paper WP/14/81, 2014 (with Franziska Ohnsorge and Sophia Y. Zhang)
[Online Version]

[1] Monetary policy, banking and heterogeneous agents. National Bank of Poland Working Paper Number 136, 2013
[Online Version]


Nonparametric Granger Causality (bivariate)
   Standard DP test (R implementation)
   Standard DP test with Gaussian kernel

Nonparametric Granger Causality (multivariate)
   3-variate sharpened DW test
   4-variate sharpened DW test


Fiscal variables (Empirical Economics, 2016)
   Data set

M. Wolski
Marcin Wolski, PhD
European Investment Bank
E-mail: M.Wolski (at) eib.org
Phone: +352 623 391 789

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