The crises of this century have stressed how intertwined macroeconomics and finance
are in practice. This intertwinement was absent in most economic models. This led to
calls for economists to step out of their specialized silos. Since then, the literature of
macro-finance, which studies the relationship between asset prices and economic
fluctuations, has been developed. In this inaugural address, I argue for a prominent role
of econometrics to study the macro-finance interaction. Key elements such as mixed
frequencies and the selection of factors can be incorporated using recent econometric
advances. I discuss some of the results, such as estimation of continuous-time
equilibrium models for macroeconomic and financial series, as well as characteristics of
trading on financial markets after macroeconomic news releases. Finally, I discuss the
outstanding challenges, which include developing a yield curve model based on
macroeconomic foundations, modeling how financial markets anticipate news releases,
and developing a macro-finance model for European bond markets taking into account
the large heterogeneity across the continent