Working Papers
2025
Can a central bank tighten monetary policy and real interest rates fall under monetary dominance? Introducing endogenous capital into the New Keynesian model allows real interest rates to move in any direction at the impact of a positive persistent monetary policy shock. This raises concerns that the real interest rate channel is only observational — not structural — in these models. This paper demonstrates that the puzzle goes beyond capital. It emerges when the elasticity of an endogenous state variable to a persistent shock is high enough to sink inflation expectations, inducing the endogenous (or systematic) component of the monetary policy rule to sufficiently offset its exogenous component. The channel is indeed structural, but conventional definitions of the natural interest rate (r-star) and real interest rate gap can be misleading, particularly following events that significantly disrupt investment, such as pandemics, financial crises or trade wars. As an alternative sign-consistent gauge of the monetary policy stance, I propose the real interest rate gap that neutralizes the effect of shocks on endogenous state variables. From 1965Q1 to 2023Q3, it was often a better predictor of future inflation and helped telling the history of monetary policy in the United States.
2024
Central Bank of Brazil, Research Department Working Papers Series
Rupert and Šustek (2019) showed that introducing endogenous capital into the canonical New-Keynesian model allows real interest rates to move in any direction after a positive monetary shock. According to them, this would prove that the real interest rate channel of monetary policy transmission is only observational — not structural — in that class of models, and therefore subject to the Lucas (1976) critique. In this paper, I show that such an identification problem for dynamic stochastic general equilibrium (DSGE) and vector autoregression (VAR) models can be circumvented by incorporating interest-rate smoothing — a feature as prevalent in medium-scale New-Keynesian models as capital itself — into the Taylor rule. I find that the negative association between changes in inflation and changes in the real interest rate is actually more robust than that between the former and changes in the nominal interest rate
Ph.D. Thesis
Winner of the Haralambos Simeonidis 2022 prize for best Ph.D. thesis
Defense presentation (before final adjustments) download
All chapters download
Undergradute Senior Thesis
"A comparative analysis of the economic crises of 1929 and 2007 in the United States"
GitHub
Codes for replicating my papers
Other resources I have developed during my research process
xlDESSAZ: deseasonalize time series through the X13-ARIMA-SEATS method but within Excel
xlFOCUS: fetch Brazil economic data from webservices to Excel (Focus, SGS, SPI, ipeadata, etc.)
xlFRED: fetch data from the FRED (Federal Reserve Economic Data) database to Excel
xlMATRIX: handle vectors and matrices easily in Excel: slice, reverse, stack, shelve, and more with lambda functions. No VBA!
xlRcode: call R from Excel. Create new Excel functions that make use of R packages. Integrate both tools seamlessly
Projects at the BCB
BC Link