Research

Publications:
Consumption Dynamics During Recessions (with Joe Vavra), Econometrica, 2015. Vol 83, Issue 1, 101-154.
Supplemental AppendixNBER working paper version.  Coverage: Short write-up of the paper at voxeu.org

Measuring How Fiscal Shocks Affect Durable Spending in Recessions and Expansions (with Joe Vavra)(Forthcoming AER Papers and Proceedings 2014)

Border Prices and Retail Prices  (with John Faust, John Rogers and Kai Steverson), Journal of International Economics, 2012. Vol 88, Issue 1, 62-73

What Drives Volatility Persistence in the Foreign Exchange Market? (with Alain Chaboud and Erik Hjalmarsson), Journal of Financial Economics, 2009Vol 94 Issue 2, 192-213

Order Flow and Exchange Rate Dynamics (with Alain ChaboudSergei Chernenko and Jonathan Wright), Journal of International Economics, 2008. Vol 75, Issue 1, 93-109

Working Papers
House Prices and Consumer Spending (updated April 2017)
Coauthors: Veronica Guerrieri, Guido Lorenzoni and Joe Vavra
Brief Summary: We show that in many common consumption models, the optimal response of consumption to house price movements is given by a simple sufficient-statistic.  We measure this sufficient-statistic in the data and show it is large.  Realistic calibrations of the model also imply large housing price effects, in contrast to the common perception that theory implies small effects.

Stimulating Housing Markets (updated April 2017)
Coauthors: Nicholas Turner and Eric Zwick
Brief Summary:  This paper studies temporary policy incentives designed to address capital overhang by inducing asset demand from buyers in the private market. Using variation across local geographies in ex ante program exposure and a difference-in-differences design, we find that the First-Time Homebuyer Credit induced a cumulative increase in home sales of at least 392 thousand, or 7.8 percent, nationally and increased prices by $2,000. We find little evidence of a sharp reversal in the post period; instead, demand appears to come from several years in the future. The program likely sped the process of reallocating homes from distressed sellers to high value, constrained buyers.

Resubmitted to the Journal of Political Economy
Coauthor: Joe Vavra 
Brief Summary:  What drives countercyclical dispersion?  Greater volatility of shocks or greater response to shocks of the same size?  Standard data on endogenous outcomes cannot answer this question, but we use confidential BLS micro data in the open economy environment to provide identification.  The data supports responsiveness, not volatility shocks.

Uncertainty Shocks as Second-Moment News Shocks (updated December 2016)
Coauthors: Ian Dew-Becker and Stefano Giglio
Brief Summary: Innovations in realized volatility are associated with recessions, while shocks to volatility expectations are not.
Coauthor: Joe Vavra
Brief Summary:  We use CPI, PPI and IPP micro data to document how the distribution of price changes varies across time. We document several robust facts across all three data sets, and fitting a simple model to this data implies greater price flexibility during recessions and after large inflation shocks.

Coauthors: Eduardo Engel and Ricardo Caballero

Brief Summary: 

Conventional VAR procedures imply less persistence than there really is when adjustments underlying an aggregate variable are lumpy.  The extent to which persistence is underestimated decreases with the level of aggregation, yet convergence is very slow and the bias is likely to be present for sectoral data in general and, in many cases, for aggregate data as well. We propose procedures to correct for the bias and provide various applications. In one of them we find that the different speeds with which inflation responds to sectoral and aggregate shocks disappears once we correct for the missing dynamics.


Coauthors: Ian Dew-Becker, Konstantin Milbradt, Larry Schmidt and Yuta Takahashi
Brief Summary:   The single strongest predictor of changes in the Fed Funds rate in the period 1982-2007 was the level of the layoff rate (initial unemployment claims divided by total employment). This fact is puzzling from the perspective of standard monetary models because the welfare costs of stabilizing employment fluctuations are small in these models. We argue that these welfare costs are small because standard models do not capture the fact that when people lose their jobs, they tend to experience large, persistent and largely uninsurable income losses. We augment a standard New Keynesian model with labor market feature endogenous firing by firms that is associated with persistent reductions in wages  In our benchmark calibration, welfare may be increased by 1 percent of lifetime consumption when the central bank's policy rule responds to the firing rate. This provides a quantitative rationale for the Federal Reserve's dual mandate.


Brief Summary: I argue that there is a connection between jobless recoveries and the change in the procyclicality of ALP since the mid-1980s.  I argue that a model where firms engage in countercyclical restructuring can jointly account for these two facts.




Works in Progress: 
Stimulating Home Ownership
Student Debt and Life-Cycle Outcomes
Does Firm Ownership Matter for the Business Cycle
Worker Separations and Aggregate Productivity




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