Jakob Guldbæk Mikkelsen

Quantitative Analyst
Financial Stability
Field of Interests: Financial Intermediation, Macroeconomics, Econometrics

Professional Experience
Quantitative Analyst, Financial Institutions, Danmarks Nationalbank, 2016 -

PhD, Economics, Aarhus University, 2016
MSc, Quantitative Economics, Aarhus University 2013

Refereed Publications
'Consistent estimation of time-varying loadings in high-dimensional factor models' with Eric Hillebrand and Giovanni Urga, Journal of Econometrics (2018)

Working Papers
'Testing for time-varying loadings in factor models'

'A cost-benefit analysis of capital requirements for the Danish economy' with Jesper Pedersen. Danmarks Nationalbank Working Paper No. 123, 2017

'The ECB's unconventional monetary policy and the role of exchange rate regimes in cross-country spillovers' with Jakob Roager Jensen and Morten Spange. Danmarks Nationalbank Working Paper No. 119, 2017

Work in Progress
'The dynamics of factor loadings in the cross-section of returns' with Riccardo Borghi, Eric Hillebrand and Giovanni Urga.

'Foreign Exchange Rates and Macroeconomic Factors: Evidence from Time-varying Loadings' with Eric Hillebrand and Giovanni Urga.

'Assessing household level interest rate risks' with Stine Ludvig Bech and Simon Juul Hviid.

'Asset Prices, Bank Run Risk and Macroprudential Policy' with Johannes Poeschl