"Sign-dependent proxy-SVAR: Shock Asymmetry"

Proxy-SVARs are widely used to identify dynamic causal effects under the assumption of sign symmetry. This paper relaxes that assumption and demonstrates how asymmetric shock transmission can be identified.

"Global Risk Shocks and Inflation in Small Open Economies" (2026) with Maria Kagkeli 

Global risk shocks (GRS) are important and recurrent drivers of business-cycle fluctuations. Their effects on output and financial variables are well documented, yet cross-country heterogeneity in CPI responses remains largely unexplored. We document this heterogeneity across 20 small open economies (SOEs). We construct a novel high-frequency GRS proxy with rich time variation and use proxy-BVARs to estimate country-specific responses. These reveal substantial heterogeneity in CPI responses across SOEs, in sign, magnitude, timing, and persistence. Building on the recent literature on dominant-currency pricing (DCP), we propose a novel mechanism linking currency invoicing, export destinations and inflation dynamics. In global risk-off episodes, the dominant U.S. dollar appreciates as a safe-haven currency. When an SOE exports dollar-invoiced goods to economies whose currencies depreciate against the dollar, these goods become more expensive in buyers’ currencies, reducing export demand and dollar receipts. Relative to an SOE exporting mainly to the U.S., this generates a larger dollar-liquidity shortfall, raises the effective cost of dollar funding, induces a stronger depreciation, and increases local-currency import prices. A parsimonious DCP model formalizes this mechanism, and panel local projections provide empirical support for its predictions. Our findings highlight a potentially important channel for policymakers to consider during global risk-off episodes.

"Global Risk Shocks in a Small Open Economy and Their Impact on Monetary Policy Surprises" (2026)  - Link here

This paper studies the macroeconomic effects of global risk shocks in a small open economy and their implications for monetary policy identification. Using a novel proxy for global risk shocks as an external instrument in a proxy-SVAR for Canada, I show that global risk shocks tighten financial conditions and distort high-frequency monetary policy shock identification, leading to an overestimation of monetary policy effects.