Welcome to my webpage!

I am an Economist at the Federal Reserve Board of Governors in the Division of International Finance.

My research interests are in macroeconomics, international finance, and asset pricing.

Working Papers

with Christoph E. Boehm November 2020 Revise & Resubmit, Review of Economic Studies

Presentations: Bocconi*; ESWM 2020; AEA 2021*; RES 2021; SED 2021; SMYE 2021; NASMES 2021; CEA 2021; EEA-ESAM 2021; BdF-BoE-BdI*; Carleton*; CFM Int. Macro*; Junior Macro*; NBER SI 2022; Maryland; Fed Board; Stanford (scheduled)

Other versions: SSRN, RSIE Working Paper

Abstract: We provide evidence for a causal link between the US economy and the global financial cycle. Using a unique intraday dataset, we show that US macroeconomic news releases have large and significant effects on global risky asset prices. Stock price indexes of 27 countries, the VIX, and commodity prices all jump instantaneously upon news releases. The responses of stock indexes co-move across countries and are large - often comparable in size to the response of the S&P 500. Further, US macroeconomic news frequently explains more than 15% of the quarterly variation in foreign stock markets. The joint behavior of stock prices and long-term bond yields suggests that systematic US monetary policy reactions to news do not drive the estimated effects. Instead, the evidence is consistent with a direct effect on investors' risk-taking capacity. Our findings show that a byproduct of the United States' central position in the global financial system is that news about its business cycle has large effects on global financial conditions.

October 2021

Presentations: SEA 2021; EWMES 2021; Ifo Macro & Survey 2022; Fed Board; Wake Forest; Rutgers; Exeter

Other versions: SSRN

Abstract: I study the role of firms' uncertainty in the transmission of forward guidance to investment. To do so, I employ a quarterly firm-level panel of U.S. publicly traded firms. I measure forward guidance shocks based on unexpected changes in the slope of the yield curve in a 30-minute window around Federal Reserve announcements. I show that firms which are more uncertain adjust their investment as if they are more pessimistic. More uncertain firms adjust their investment relatively more downward for expected monetary tightenings and relatively less upward for expected loosenings. To explain my empirical findings, I construct a New Keynesian model with a high-uncertainty and a low-uncertainty sector. Agents in the high-uncertainty sector are ambiguous (Knightian uncertain) about the informativeness of forward guidance, and choose to take a pessimistic stance due to their ambiguity aversion. The model implies that expansionary forward guidance is less powerful in recessions due to a larger share of uncertain agents.

with Christoph E. Boehm October 2021

Presentations: CBMMW 2021

Other versions: SSRN

Abstract: A large literature uses high-frequency changes in interest rates around FOMC announcements to study monetary policy. These yield changes have puzzlingly low explanatory power for the stock market - even in a narrow 30-minute window. We propose a new approach to test whether the unexplained variation represents monetary policy news or just noise. In particular, we allow for a latent "Fed non-yield curve shock'', which we estimate via a heteroskedasticity-based procedure. Using a test for weak identification, we show that our shock is well identified, that is, the unexplained variation is not just noise. We then go on to show that the shock, signed to increase stock prices, leads to sizable declines in the equity and variance premium, an increase in the 10-year term premium, an increase in short-run inflation expectations, as well as a dollar depreciation against multiple non-safe-haven currencies. Hence, the evidence supports the interpretation that the shock affects risk-appetite and leads to a reverse "flight-to-safety'' effect. Lastly, using a method from the computational linguistics literature, we show that our shock can be linked to specific topics discussed in FOMC statements, suggesting that it reflects written communication by the Federal Reserve.

*presented by co-author