Foreign Exchange Interventions and Intermediary ConstraintsWe 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 CurveThis 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 MarketFour 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 PolicyNew Working Paper (Sep 2024) US monetary policy impacts global economic conditions, with tightenings causing recessions worldwide. We...
External Instrument SVAR Analysis for Noninvertible ShocksWe extend the SVAR-IV (Proxy-SVAR) method to handle noninvertible and nonrecoverable shocks, providing tests for recoverability and...
Deep Dynamic Factor ModelsDraft 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 shocksThis GitHub Repository contains time series at monthly frequency of the high-frequency instruments for monetary policy and information...
Analysing inflation with semi-structural modelsThis chapter has been prepared for the Research Handbook of Inflation (Edward Elgar Publishing). It explores semi-structural time series...
Discussion of "Euro Area Monetary Policy Effects. Does the Shape of the Yield Curve Matter?"Discussion slides of the paper "Euro Area Monetary Policy Effects. Does the Shape of the Yield Curve Matter?" by F. Odendahl, M. S....
#SARBbiennial - Session 1: Back to target? Monetary policy in advanced economiesPolicy panel at the 2023 South African Reserve Bank biennial conference My slides