Working papers and work in progress
NEW PAPER (in progress): Price Setting when Expectations are Unanchored, with Daniel Abib, João Ayres, Marco Bonomo, Stefano Eusepi, Silvia Matos, and Marina Perrupato Slides available here
NEW PAPER: Demographics and Real Interest Rates Across Countries and Over Time, with Andrea Ferrero, Felipe Mazin, and Fernanda Nechio
NEW PAPER: Leavers and Stayers after Mass Layoffs: Labor and Credit Market Outcomes, with Natália Corado, Gustavo Gonzaga, and Bruno Perdigão (draft available upon request)
Measuring the Effect of the Zero Lower Bound on Monetary Policy, with Eric Hsu and Fernanda Nechio (working paper version: FRBSF Working Paper #2016-06) Reject-revise at the AEJ: Macroeconomics
Transitions in Central Bank Leadership, with Tiago Flórido (in memoriam) and Eduardo Zilberman R&R at the Journal of Monetary Economics
Beating the Pros with a Semi-structural Model of Their Own Inflation Forecasts, with Sérgio Alves and Waldyr Areosa (draft available upon request)
Gambling, Risk Appetite, and Asset Pricing, with Daniel Cordeiro, Ruy Ribeiro, and Eduardo Zilberman
What Explains Japan's Persistent Deflation?, with Andrea Ferrero
Price Setting in a Variable Macroeconomic Environment: Evidence from Brazilian CPI, with João Ayres, Rebecca Barros, Marco Bonomo, and Silvia Matos
The Perils of Counterfactual Analysis with Integrated Processes, with Ricardo Masini and Marcelo Medeiros
Extensive Margin Adjustment of Multi-Product Firm and Stock Returns, with Gee Hee Hong and Jing Zhou
Publications (includes forthcoming and accepted papers; see below for Brazilian journals)
NEW PUB: Abrupt Monetary Policy Change and Unanchoring of Inflation Expectations, with Marco Bonomo, Stefano Eusepi, Marina Perrupato, Daniel Abib, João Ayres, and Silvia Matos. Previously part of "Price setting when Expectations are Unanchored". Slides Journal of Monetary Economics (special issue of the 2022 Gerzensee Conference). Online Appendix.
Weighted Median Inflation Around the World: A Measure of Core Inflation, with Larry Ball, Chris Evans, and Luca Ricci. NBER WP 31032, CEPR DP 18011, IMF Working Paper No. 2023/044. Journal of International Money and Finance 142, April 2024
Macroeconomic Effects of Credit Deepening in Latin America, with Nilda Pasca, Laura Souza, and Eduardo Zilberman. Supplementary material. Journal of Money, Credit and Banking 55, October 2023
Challenges to Disinflation: The Brazilian Experience, with Fernanda Nechio. Brookings Papers on Economic Activity, Spring 2023
Multiproduct Pricing: Theory and Evidence from Large Retailers, with Marco Bonomo, Oleksiy Kryvtsov, Sigal Ribon, and Rodolfo Rigato. Supplementary material Economic Journal 133, April 2023
Persistent Monetary Non-neutrality in an Estimated Menu Cost Model with Partially Costly Information, with Marco Bonomo, René Garcia, Vivian Malta, and Rodolfo Rigato American Economic Journal: Macroeconomics 15, April 2023
Anchored Inflation Expectations, with Stefano Eusepi, Emanuel Moench, and Bruce Preston. Supplementary material American Economic Journal: Macroeconomics 15, January 2023
Taylor Rule Estimation by OLS, with Fernanda Nechio and Tiago Tristão Journal of Monetary Economics 124, November 2021
Price Selection, with Oleksiy Kryvtsov. Supplementary material. Replication material. Journal of Monetary Economics 122, September 2021
Sectoral Price Facts in a Sticky-Price Model, with Jae Won Lee and Woong Yong Park. Online Appendix. American Economic Journal: Macroeconomics 13, January 2021
The Cross-Sectional Distribution of Price Stickiness Implied by Aggregate Data, with Niels A. Dam and Jae Won Lee. Review of Economics and Statistics 102, March 2020
ArCo: An Artificial Counterfactual Approach for High-Dimensional Panel Time-Series Data, with Ricardo Masini and Marcelo Medeiros. Journal of Econometrics 207, December 2018. ArCo is available as an R package
Approximating Multisector New Keynesian Models, with Fernanda Nechio. FRBSF Working Paper #2017-12. Economics Letters 163, February 2018
Factor Specificity and Real Rigidities, with Fernanda Nechio. Online Appendix. Review of Economic Dynamics 22, October 2016
Demographics and Real Interest Rates: Inspecting the Mechanism, with Andrea Ferrero and Fernanda Nechio. European Economic Review 88, September 2016 (special issue on The Post-Crisis Slump)
Selection and Monetary Non-Neutrality in Time-Dependent Pricing Models, with Felipe Schwartzman. Journal of Monetary Economics 76, November 2015
Do People Understand Monetary Policy?, with Fernanda Nechio. Journal of Monetary Economics 66, September 2014
The Persistent Effects of a False News Shock, with Nicholas Klagge and Emanuel Moench. Journal of Empirical Finance 18, September 2011
Aggregation and the PPP Puzzle in a Sticky-Price Model, with Fernanda Nechio. American Economic Review 101, October 2011
Loss Aversion, Asymmetric Market Comovements, and the Home Bias, with Kevin Amonlirdviman. Journal of International Money and Finance 29, November 2010
Imperfectly Credible Disinflation under Endogenous Time-Dependent Pricing, with Marco Bonomo. Journal of Money, Credit and Banking 42, August 2010
Heterogeneity in Price Stickiness and the Real Effects of Monetary Shocks, Frontiers in Macroeconomics 2 (1), December 2006
Endogenous Time-Dependent Rules and Inflation Inertia, with Marco Bonomo. Journal of Money, Credit and Banking 36, December 2004
Papers in Brazilian journals
What if Brazil Hadn't Floated the Real in 1999?, with André D. Vilela, Brazilian Review of Econometrics 35, November 2015, Special Volume SAMBA. Also in Portuguese: E Se o Brasil Não Tivesse Adotado Câmbio Flutuante em 1999?
Just Words? A Quantitative Analysis of the Communication of the Central Bank of Brazil, Revista Brasileira de Economia 67, December 2013, with Fernando Cordeiro and Juliana Vargas. Update
Firmas Heterogêneas, Sobreposição de Contratos e Desinflação, Pesquisa e Planejamento Econômico 25, December 1995
Book chapters
Crédito direcionado e seus efeitos sobre a transmissão da política monetária, March 2022, with Marco Bonomo, Bruno Martins and Bruno Perdigão, in Mendes, M. (Org.): Para não esquecer: políticas públicas que empobrecem o Brasil, Editora Brava, 2022
Macroeconomic Effects of the Demographic Transition in Brazil, with Ricardo Brito, in Fanelli, J. M. (Org.): Asymmetric Demography and the Global Economy: Growth Opportunities and Macroeconomic Challenges in an Ageing World, Palgrave Macmillan, 2015. Policy brief
Que Regime Monetário-cambial?, with Tiago Berriel and Rafael Ihara, in Giambiagi, F. and C. Porto (Orgs.): Propostas para o governo 2015-2018 - Agenda para um país prospero e competitivo, Elsevier, 2013
Diversificação da Economia e Desindustrialização, with Tiago Berriel and Marco Bonomo, in Bacha, E. and M. de Bole (Orgs.): O futuro da indústria no Brasil - Desindustrialização em debate, Civilização Brasileira, 2013
Legacy/retired papers
Heterogeneous Price-Setting Behavior and Aggregate Dynamics: Some General Results, with Felipe Schwartzman (never submitted; partially incorporated into "Selection and Monetary Non-Neutrality in Time-Dependent Pricing Models"), March 2008
Time- and State-Dependent Pricing: A Unified Framework, with Marco Bonomo and René Garcia (earlier version: State-Dependent Pricing under Infrequent Information: A Unified Framework, FRBNY Staff Reports #455), September 2011
Real Exchange Rate Dynamics in Sticky-Price Models with Capital, with Fernanda Nechio (partially incorporated into "Factor Specificity and Real Rigidities" and "Monetary Policy and Real Exchange Rate Dynamics in Sticky-Price Models"), July 2012
Monetary Policy and Real Exchange Rate Dynamics in Sticky-Price Models, with Fernanda Nechio and Fang Yao (also FRBSF Working Paper #2014-17), September 2018
Other writings (blogs, short articles, and Op-Eds)
Duas lições do Reuno Unido, with Eduardo Zilberman, Jornal Valor Econômico, November 28, 2022
Influências externas à política monetária, with Eduardo Zilberman, Jornal Valor Econômico, August 4, 2021
Demographic Transition and Low U.S. Interest Rates, September 2017, Economic Letter, Federal Reserve Bank of San Francisco, with Andrea Ferrero and Fernanda Nechio
Fed Communication and the Zero Lower Bound, July 2016, Economic Letter, Federal Reserve Bank of San Francisco, with Eric Hsu and Fernanda Nechio
O que esperar do pacote de crédito do governo, with Eduardo Zilberman, Jornal Valor Econômico, February 19, 2016
Household Expectations and Monetary Policy?, June 2014, Economic Letter, Federal Reserve Bank of San Francisco, with Fernanda Nechio
Quanto Já Custou a Tal "Nova Matriz Macroeconômica"?, with Tiago Berriel and Rafael Ihara, April 2014
Policy Initiatives in the Global Recession: What Did Forecasters Expect?, Current Issues in Economics and Finance 18 (2), February 2012, with Stefano Eusepi and Christian Grisse
Transferindo Reputação, Jornal Valor Econômico, October 6, 2011 (in Portuguese)
Did Unconventional Policy Responses to the Crisis Work? Evidence from a Cross-Country Analysis, FRBNY Liberty Street Economics blog, with Stefano Eusepi and Christian Grisse
How Well Do Financial Markets Separate News from Noise? Evidence from an Internet Blooper, FRBNY Liberty Street Economics blog, with Nicholas Klagge and Emanuel Moench
Crise, Economia e Popularidade, Jornal Valor Econômico, July 5, 2001
Discussions
"Has Globalization Changed the Inflation Process", by K. J. Forbes, 17th BIS Annual Conference, 2018
"A Global Safe Asset for Emerging Market Economies", by M. Brunnermeier, L. Huang, and Y. Sannikov, Conference on "Monetary Policy and Financial Stability: Transmission Mechanisms and Policy Implications" (XXI Annual Conference of the Central Bank of Chile, 2017)
"Nominal Rigidities and the Microeconomic Origins of Aggregate Fluctuations", by E. Pasten, R. Schoenle, and M. Weber, Workshop on "The Macroeconomics of Granularity and Production Networks", Central Bank of Chile 2017
"The Effects of Fed Policy on EME Bond Markets", by J. Burger, F. Warnock, and V. Warnock, Conference on "Monetary Policy and Global Spillovers: Mechanisms, Effects and Policy Measures" (XX Annual Conference of the Central Bank of Chile, 2016)
"Federal Transfer Multipliers: Quasi-Experimental Evidence From Brazil", by R. Corbi, E. Papaioannou, and P. Surico, LuBraMacro 2015
"Structural Transformation, Education, and Fertility", by P. Ferreira, L. Pereira, and A. Monge-Naranjo, LuBraMacro 2014
"Volatility and Pass-through", by D. Berger and J. Vavra, Workshop on "The Micro and the Macro of Price Rigidities", Central Bank of Chile 2014
"Project Selection and Risk Taking under Credit Constraints", by F. Iachan, LuBraMacro 2013
"The Effects of Fund Flows on Corporate Investment: A Catering View", by N. Camanho, LuBraFin 2013
"Trend Inflation and the Unemployment Volatility Puzzle", by S. Alves, LuBraMacro 2012
"Inflation Dynamics and Time-Varying Uncertainty: New Evidence and an Ss Interpretation", by J. Vavra, Workshop on the "Macroeconomics of Risk and Uncertainty", Central Bank of Chile 2012
"From Many Series, One Cycle: Improved Estimates of the Business Cycle from a Multivariate Unobserved Components Model", by C. Fleischman and J. Roberts, Conference on "Structural and Cyclical Elements in Macroeconomics", Federal Reserve Bank of San Francisco 2012
"Price Setting with Menu Cost for Multi-Product Firms", by F. Alvarez and F. Lippi, NBER - ME Meeting 2012
"Linkages Between Exchange Rate Policy and Macroeconomic Performance", by V. Sokolov, B. Lee, and N. Mark, AEA Meetings 2009
"Reset Price Inflation and the Impact of Monetary Policy Shocks", by M. Bils, P. Klenow, and B. Malin, Federal Reserve Macro System Meetings 2008
Papers in FGV-IBRE Sponsored Session "Price Micro Data in Macroeconomics": "Understanding Movements in Aggregate and Product-Level Real-Exchange Rates", by A. Burstein and N. Jaimovich, "State-Dependent or Time-Dependent Pricing: Does it Matter for Recent U.S. Inflation", by P. Klenow and O. Kryvtsov, and "The Evolution of Price Setting in a Variable Macroeconomic Environment: Evidence from Brazilian CPI", by R. Barros, M. Bonomo, and S. Matos, LACEA Meetings 2008
"Robust Monetary Policy in a Forward-Looking Model with Wealth Effects", by E. Araújo, XXVII Encontro Brasileiro de Econometria 2005