Stylianos Zlatanos
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Stylianos Zlatanos

About

I am a PhD candidate in Economics at King’s Business School and a Research Associate at the Economic Statistics Centre of Excellence (ESCoE) .

My research interests lie in time series econometrics and applied macroeconomics. In my current research I investigate the sources of business cycle fluctuations and how macroeconomic risk builds during periods of financial stress.

I previously held positions at the European Central Bank, within the Business Cycle Analysis and International Policy Analysis divisions.

I am supervised by Prof. George Kapetanios and Prof. Francesca Monti .

What's new

December 2025
Joined ESCoE as a Research Associate

I joined the Economic Statistics Centre of Excellence as a Research Associate.

September 2025
Bank of England & 5th Sailing the Macro presentations

Presented 'Demand and supply shocks over the business cycle' at the Bank of England research seminar and the 5th Sailing the Macro Workshop poster session in Ortigia, Sicily.

Workshop program Paper

Research

Working papers

Markov-switching models with high-dimensional transition probabilities
with George Kapetanios
2026
Abstract

This paper develops a penalised maximum-likelihood estimator for Markov-switching vector autoregressive (VAR) models that allows transition probabilities to depend on a high-dimensional set of predictors. By applying ℓ₁ (Lasso) regularisation to the transition probability coefficients, the approach performs variable selection and aids parameter estimation. We implement a modified Expectation-Maximisation (EM) algorithm that accommodates latent regimes while solving a convex, penalised multinomial logit problem for transition coefficients at each maximisation step. Monte Carlo experiments show that the estimator recovers sparse transition structures as sample size increases, tends to select parsimonious models in moderate samples, and remains effective for regime inference in high-dimensional settings. An empirical application to Growth-at-Risk with 129 macro-financial predictors on U.S. data demonstrates the estimator's ability to select distinct sets of predictors governing entry into and exit from growth vulnerability regimes.

Demand and supply shocks over the business cycle
2025
Presentations: Bank of England (Seminar); 5th Sailing the Macro & 12th Ghent Workshop on Empirical Macroeconomics (Posters)
Abstract

This paper examines which structural forces account for U.S. business cycle fluctuations. It combines a trend-cycle Bayesian VAR with a joint max-share identification scheme that offers an alternative to set-identification under sign restrictions. Separating trend from cycle, the framework decomposes business cycle dynamics into four structural components-monetary policy, non-policy demand, cost-push, and oil supply shocks-consistent with New Keynesian theory. The results indicate that demand forces dominate real activity and account for a large share of nominal fluctuations at short horizons, while supply forces become pivotal for inflation at medium-run business cycle frequencies (6-32 quarters). Together, the four shocks account for most of the cyclical variation in both output and inflation.

Working paper

Policy work

COVID-19 and the increase in household savings: an update
with Maarten Dossche and Georgi Krustev
ECB Economic Bulletin, Issue 5/2021
ECB link
COVID-19 and the increase in household savings: precautionary or forced?
with Maarten Dossche
ECB Economic Bulletin, Issue 6/2020
ECB link FT coverage El País coverage
Disentangling aggregate and sectoral shocks
with Maarten Dossche
ECB Economic Bulletin, Issue 3/2020
ECB link
© 2026 • Stylianos Zlatanos
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