Decomposing Monetary Policy Surprises: Shock, Information, and Policy Rule Revision
Two explanations exist for the output and price puzzles arising from the identification of monetary policy shocks with high-frequency...
Monetary Policy, Information and Country Risk Shocks in the Euro Area
[ CEPR wp ] with E. Savini and A. Tuteja This study examines high-frequency market responses to ECB policy announcements, providing...
Foreign Exchange Interventions and Intermediary Constraints
We study the impact of foreign exchange interventions during periods of tight credit constraints. Expanding on the Gabaix and Maggiori...
A Hundred Years of Business Cycles and the Phillips Curve
This study investigates the business cycle dynamics of the U.S. economy since 1900 through a multivariate framework that imposes minimal...
Trouble Every Day: Monetary Policy in an Open Emerging Market
Four factors drive the high-frequency impact of monetary policy announcements in South Africa: affecting short-, mid-, and long-term...
The Global Transmission of U.S. Monetary Policy
New Working Paper (Sep 2024) US monetary policy impacts global economic conditions, with tightenings causing recessions worldwide. We...
External Instrument SVAR Analysis for Noninvertible Shocks
We extend the SVAR-IV (Proxy-SVAR) method to handle noninvertible and nonrecoverable shocks, providing tests for recoverability and...
Deep Dynamic Factor Models
Draft August 2024 We propose a novel deep neural net framework -- that we refer to as Deep Dynamic Factor Model (D2FM) --, to encode the...
Updated Miranda-Agrippino and Ricco (2021)'s IV for monetary policy shocks
This GitHub Repository contains time series at monthly frequency of the high-frequency instruments for monetary policy and information...
Analysing inflation with semi-structural models
This chapter has been prepared for the Research Handbook of Inflation (Edward Elgar Publishing). It explores semi-structural time series...
#SARBbiennial - Session 1: Back to target? Monetary policy in advanced economies
Policy panel at the 2023 South African Reserve Bank biennial conference My slides
Bayesian Local Projections
Accepted at Review of Economics and Statistics Code [GitHub] We propose a Bayesian approach to Local Projections that optimally addresses...
