Publications
Data Revisions and the Effects of Monetary Policy Volatility [Economic Letters]
I quantify the role of data revisions in estimating the impact of monetary policy-induced volatility on business cycle fluctuations. To that end, I construct real-time and final data-based measures of policy volatility. The results suggest that the effects of the two measures are qualitatively similar. However, the impact of real-data volatility on output is lower than that of final data volatility. These findings suggest that the business cycle implications of policy-induced volatility, found in the literature, are possibly overstated.
Working Papers
This paper studies the state-dependent effects of monetary policy shocks. It shows that a canonical sticky-price model with real rigidity in the form of firm-specific factors can generate substantial state-dependence in the effects of monetary policy shocks. Factor specificity introduces a concave relationship between desired reset prices and aggregate demand conditions. The latter implies procyclical output responses to monetary policy shocks. This model feature is supported by empirical evidence from a smooth transition local projection model.
This paper evaluates state-dependence in monetary policy transmission mechanism under Calvo and Rotemberg price adjustment schemes. Although the two models are equivalent to first order, they produce very different results once considered at a higher order. In particular, the Rotemberg model produces more state-dependence compared to the Calvo model. The result is reversed once the macroeconomic wedges are eliminated from the models.
This paper studies the real exchange rate adjustment process in the baseline small open economy New-Keynesian framework. The paper shows that i)the version of the model with real shocks replicates the persistence and the hump-shaped dynamics of the real exchange rate observed in data ii) the model cannot simultaneously match the observed dynamics of the real exchange rate and the close co-movement between the real and nominal currency returns. Thus, the baseline framework is not capable of fully capturing the real exchange rate adjustment process.
This paper studies how the effects of monetary and fiscal policy vary depending on the business cycle phase. It shows that in a medium-scale DSGE model, estimated on US data, monetary policy has a stronger impact on the economy in downturns and booms. Labor and capital income taxes display similar patterns. Government expenditure shocks and consumption tax shocks, on the contrary, have a stronger impact on output in depressions and recoveries. The paper also shows that accounting for the source of business cycle fluctuations is potentially important when assessing state-dependence in policy transmission.
Work in Progress
Exchange Rate Volatility and Business Cycle Dynamics (with Vahagn Davtyan)
Remittance Curse : The Impact of Remittances on GDP Convergence (with Areg Sargsyan)
The Impact of Volatility Shocks under Market Incompleteness