research

Research Statement

Google Scholar

Current Projects:

• Nonlinear VARs (with Thorsten Drautzburg, Alexey Khazanov, and Molin Zhong)

• Healthcare and the Macroeconomy (with Thorsten Drautzburg and Alexey Khazanov)

• A Theory of Soft and Hard Sovereign Defaults (with Grey Gordon)

• What is Capacity Utilization? (with Han Chen, and Molin Zhong)

• Loopsided Interest Rate Shocks in Small Open Economies (with Yuanchen Cai) preliminary draft

Working Papers:

• Filtering with Limited Information (with Thorsten Drautzburg, Jesús Fernández-Villaverde, and Dick Oosthuizen, Oct 2022) 

• Exchange Rates Disconnect Redux (with Ryan Chahrour, Vito Cormun, Pierre de Leo, and Rosen Valchev, March 2022)

• Nonlinear Dynamic Factor Models (with Alexey Khazanov and Molin Zhong, January 2021)

  • A 5 minute presentation here

• Do low interest rates necessarily stimulate the economy? (with Keith Kuester) (slides)

• Public Debt, Private Pain: Regional Borrowing, Default, and Migration (with Grey Gordon, August 2021)

  • Older version

  • A nontechnical version

  • Coverage by Market Watch

• Sovereign Default on GPUs  (April 2016, C++/Cuda codes)

Published Papers:

       Refereed Publications:

1. “On Regional Borrowing, Default, and Migration,” (with Grey Gordon) (Forthcoming Journal of International Economics) 2023.

2. Exchange Rate Dynamics and Endogenous Productivity (with Nils Gornemann and Felipe Saffie, July 2023) Conditionally accepted AEJ:Macro.

3. Recurrent Bubbles and Growth AEJ: Macro (with Ryo Jinnai and Tomohiro Hirano, 2023)

4. Parallel Computation of Sovereign Default Models Forthcoming Computational Economics (with Mingzhuo Deng and Lewis Tseng, August 2021) Github.

5. Macroeconomic Forecasting in Times of Crises Forthcoming Journal of Applied Econometrics (with Molin Zhong, March 2021) On the news

6. Bargaining Shocks and Aggregate Fluctuations (with Thorsten Drautzburg and Jesus Fernandez-Villaverde) 2021 Journal of Economic Dynamics and Control 117.

7. Estimating DSGE Models: Recent Advances and Future Challanges (with Jesus Fernandez-Villaverde) 2021 Annual Review of Economics 13.

8. Liquidity Shocks and Asset Prices (with Ryo Jinnai) Forthcoming Journal of Money, Credit, and Banking.

9. Migration and Sovereign Default Risk: A Comment 2020 Journal of Monetary Economics 113. 

10. Uncertainty Shocks in Real Business Cycle Models (with Jesus Fernandez-Villaverde) 2020 Review of Economic Dynamics 37.

11. Financial Frictions, Trends, and the Great Recession (with Ryo Jinnai), 2019  Quantitative Economics 10, pp:735-773.

12. Dynamics of Investment, Debt, and Default (with Grey Gordon) 2018, Review of Economic Dynamics 28, pp:71-95.

13. Asymmetric Business Cycles and Sovereign Default (with Grey Gordon) 2017, Economic Letters 161, pp:116-119.

14. Impulse Response Matching Estimator for DSGE Models (with Atsushi Inoue and Lutz Kilian) 2017, Journal of Econometrics 196, pp: 144-155.

15. Interest Rates and Prices  in an Inventory Model of Money with Credit (with Mike Dotsey) 2016, Journal of Monetary Economics 83, pp: 71-89.

16. Fiscal Volatility Shocks and Economic Activity (with Jesus Fernandez-Villaverde, Keith Kuester and Juan Rubio-Ramirez) 2015, American Economic Review 105, pp: 3352-84.

17. Nonlinear Adventures at the Zero Lower Bound (with Jesus Fernandez-Villaverde, Grey Gordon and Juan Rubio-Ramirez) 2015 Journal of Economic Dynamics and Control 57, pp: 182-204

18. Estimating Dynamic Equilibrium Models with Stochastic Volatility (with Jesus Fernandez-Villaverde and Juan Rubio-Ramirez) Forthcoming Journal of Econometrics.

19. Supply-Side Policies and the Zero Lower Bound  (with Jesus Fernandez-Villaverde and Juan Rubio-Ramirez) IMF Review 62 (2014), pp: 248 - 260. 

20. Frequentist Inference in Weakly Identified DSGE Models (with Atsushi Inoue and Lutz Kilian)  Quantitative Economics 4 (2013), pp: 197-229.

21. Common and Idiosyncratic Disturbances in Developed Small Open Economies Journal of International Economics 90 (2013), pp: 33-49.

22. Risk Matters: The Real Effects of Stochastic Volatility Shocks (2011, with J. Fernandez-Villaverde, J. Rubio-Ramirez and M.Uribe) American Economic Review 101 (2011), pp: 2530-2561.

23. The Implications of Inflation in an Estimated New-Keynesian Model  Journal of Economic Dynamics and Control 35 (2011), pp: 947-962.

24. Economic Development and Heterogeneity in the Great Moderation among the States (with A. Leblecioglu and T. Grennes) B.E. Journal of Macroeconomics 11 (2011) Contributions, article 21.

25. What you match does matter: The effects of observable variables on DSGE estimation  Journal of Applied Econometrics, 25 (2010), pp: 774-804.

26. Money Demand Heterogeneity and the Great Moderation  Journal of Monetary Economics 56 (2009), pp: 255-266. 

27. Refinements on Macroeconomic Modeling: The Role of Non-Separability and Heterogeneous Labor Supply Journal of Economic Dynamics and Control 32 (2008), pp: 3613 – 3630.

        Other Publications:

• Linking Municipal Defaults to Inwards Migrations (with G. Gordon and D. Price) Federal Reserve Bank of Richmond  Economic Brief (Nov. 2019).

• Economic Development and Volatility among the States (with A. Leblecioglu and T. Grennes) Economics Bulletin (2010), pp: 1963-1976.

• The Economics of Small Open Economies (2013, Business Review Federal Reserve Bank of Philadelphia)

• Reading the Recent Monetary History of the U.S., 1959-2007 (with J. Fernandez-Villaverde and J. Rubio-Ramirez) Federal Reserve Bank of St. Louis Review 92 (2010), pp: 311-338.

• New Macroeconometrics: A Bayesian Approach (with J. Fernandez-Villaverde and J. Rubio-Ramirez), in A. O'Hagan and M. West eds. Handbook of Applied Bayesian Analysis (2010) Oxford University Press.

• Risk and Uncertainty (2011, Business Review Federal Reserve Bank of Philadelphia)

• Bayesian Estimation of DSGE Models (with James Nason) in M. Thornton and N. Hashimzade eds. Handbook of Empirical Methods in Macroeconomics (forthcoming, 2012) Edward Elgar Publishing Ltd.

• Do Animal Spirits Drive Economic Cycles? (with Molin Zhong) 2016, Business Review, Federal Reserve Bank of Philadelphia.

Discussions:

• Does the New Keynesian Model Have a Uniquess Problem? by Christiano, Eichenbaum, and Johannsen.

• Fewer but Better: Sudden Stops, Firm Entry, and Financial Selection by Ates and Saffie.

• Endogenous Technology Adoption by Anzoategui, Comin, Gertler, and Martinez. 

• A Model of Secular Stagnation by Eggerstsson and Mehrotra.

• Uncertainty and the Signalling Channel of Monetary Policy by Jenny Tang.

• Empirical Implications of the Zero Lower Bound by Gust, Lopez-Salido, and Smith.

• Estimating Fiscal Limits: The Case of Greece by Bi and Traum.

• Non-defaultable Debt and Sovereign Risk by Hatchondo and Martinez.

• The Real Effects of Global Risk Shocks in SOE by Garcia-Cicco, Heresi, and Naudon.