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Working Papers
Working Papers
Abstract: This paper investigates the real U.S. economic impact of the Federal Reserve's balance sheet reduction using a Bayesian vector autoregression (BVAR) framework. I use counterfactual conditional forecasts to find that a reduction in security holdings down to $2.5 trillion in 2024 again will reduce real GDP growth by a cumulative 2.13 percent, while not significantly affecting the core PCE price index, relative to a scenario where the Federal Reserve maintains a constant dollar amount of securities. I find that an alternative policy of reducing security holdings to $3.6 trillion will affect neither real GDP nor the core PCE price index substantially.
Abstract: This paper models monetary policy using Taylor's rule for the nominal interest-rate target and examines the difference between the actual Federal Funds Rate and the Taylor Rule model of behavior for distinct structural changes. After accounting for the change in inflation measurement from CPI to PCE and then core PCE after 2004, a Markov-switching model finds that Alan Greespan's policy from 2003 to 2006 cannot be characterized as an unusually deviant from the Taylor Rule, contradicting Taylor's (2007,2009) assertion.
Quantitative Easing Spillovers in Small Open Economies: Evidence from a Global VAR
Abstract:This paper argues that U.S. unconventional monetary policy drives financial conditions in small, open foreign economies, increasing asset prices and compressing risk premia. I use block exogenous VAR similar to Canova (2005) and identify the unconventional monetary policy shock with sign and zero restrictions (Arias, Rubio-Ramirez, and Waggoner, 2014). The impact of the “risk taking channel” of monetary policy shock is identified using a combination of sign-restriction and contemporaneous impact restrictions, showing that the policy of the United States Federal Reserve has a heterogeneous, but significant, impact on yield spreads in foreign countries where substantial capital flows from the U.S.
Works in Progress
Works in Progress
Bitcoin Exchanges (with Jeremy Choquette and Gerald Dwyer)
Long -run and Short-run Volatility in Bitcoin's Price (with Jeremy Choquette and Gerald Dwyer)
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