Reader (Associate Professor)
Welcome to my webpage. For publications and the courses I teach please scroll down.
Contact details
School of Economics and Finance
Queen Mary, University of London
Mile End Road
London, E1 4NS
United Kingdom
email: r.sustek@qmul.ac.uk
Research areas
Macroeconomics, real estate, monetary economics
Other appointments and responsibilities
Research Affiliate, Centre for Macroeconomics, London School of Economics
Associate Editor, European Economic Review
Programme Director, MSc in Economics, School of Economics and Finance
PhD: Carnegie Mellon University
Short bio: https://www.qmul.ac.uk/sef/staff/romansustek.html
RESEARCH
Working papers
"Housing in stochastically growing economies" with Giulio Fella and Xavier Mateos-Planas (draft coning soon)
"Global House Prices Since 1950" with Haroon Mumtaz, February 2023, Centre for Macroeconomics Discussion Paper 2023-07 (updated, 30 October 2023)
Appendix (to be updated)
"Yield Curve and the Business Cycle in Conventional Times", Centre for Macroeconomics Discussion Paper 2021-22 (updated, 21 May 2023)
"A Back-of-the-Envelope Analysis of House Prices: Czech Republic, 2013-2021", September 2022, CERGE-EI Working Paper 737 (here)
A shorter updated version prepared for the Czech think-tank IDEA at CERGE-EI (in Czech with English abstract), with Lucie Zapletalova
Coverage
Publications
"Monetary Policy Surprises and their Transmission through Term Premia and Expected Interest Rates" with Iryna Kaminska and Haroon Mumtaz, Journal of Monetary Economics, Volume 124, November 2021, Pages 48-65. (article)
"MoNK: Mortgages in a New-Keynesian Model" with Carlos Garriga and Finn Kydland, Journal of Economic Dynamics and Control, Volume 123, February 2021. (article)
“On the Mechanics of New-Keynesian Models,” with Peter Rupert, Journal of Monetary Economics, vol. 102, pages 53-69, 2019. (article)
"Mortgages and Monetary Policy," with Carlos Garriga and Finn E. Kydland, Review of Financial Studies, vol. 30 (10), pages 3337-3375, 2017, lead article. (article)
VoxEU column "The costs of interest rate liftoff for homeowners: Why central bankers should focus on inflation"
A short version for Catalan magazine Mon Empresarial " La connexió entre la política monetària i les hipoteques"
VoxEU column Persistently low rates and monetary transmission
"Housing Dynamics over the Business Cycle," with Finn E. Kydland and Peter Rupert, International Economic Review, vol. 57(4), pages 1149-1177, 2016. (article)
Supplementary material (incl. details of mortgage approximation)
"Globally Correlated Nominal Fluctuations," with Espen Henriksen and Finn E. Kydland, Journal of Monetary Economics, vol. 60(6), pages 613-631, 2013. (article)
VoxEU.org column "Independent Monetary Policies, Synchronised Outcomes"
"Plant-Level Nonconvex Output Adjustment and Aggregate Fluctuations," Journal of Monetary Economics, vol. 58(4), pages 400-414, 2011. (article)
"Monetary Business Cycle Accounting," Review of Economic Dynamics, vol. 14(4), pages 592-612, October, 2011. (article)
"Monetary Aggregates and the Business Cycle," Journal of Monetary Economics, vol. 57(4), pages 451-465, May, 2010. (article)
Earlier WP versions of published papers are available here.
TEACHING
Courses I teach or have taught in the past few years
Economics of Central Banking. Part-time 2nd-year MSc course targeted at government and private sector employees. The topics covered include the historical evolution of monetary systems and central banks, alternative forms of monetary exchange (commodity standards, fiat money, ledgers of transactions, cryptocurrencies, interest-bearing reserves), classic topics in the interactions between monetary and fiscal policy, financial intermediaries and inside money, central bank lending and fully-backed money, the quantitative methodology of DSGE models, the New-Keynesian model, monetary policy and its effects on mortgage and housing markets, and monetary policy and the term structure of interest rates.
Macroeconomics II: Recursive Methods. First-year PhD course at QMUL covering recursive methods: Markov processes, dynamic programming, and the recursive competitive equilibrium. In each topic it discusses the issues of existence, uniqueness and convergence and problems with both continuous and discrete variables. The concepts are demonstrated at the backdrop of the real business cycle model, the New-Keynesian model, asset pricing, and models with heterogeneous agents. Each part of the course is accompanied by computational exercises. The course is preceded by a crash course on the basics of programming and numerical methods.
Business Cycles. Third-year undergraduate course at QMUL. Using two- or three- period OLG models with simple functional forms, in order to avoid the burden of complicated dynamic optimization, the course introduces students to modern dynamic general equilibrium macroeconomics. After covering the classic topics of the OLG model (the planner's problem and a decentralized monetary equilibrium), the course covers the real business cycle theory and then spends most of the time on recent research on housing in macroeconomics. Students are also introduced to calibration and GMM estimation. The implications of the models are confronted with the standard business cycle statistics as well as the recent boom-bust in the housing market. Depending on the year, the course also covers government debt sustainability, the macroeconomic consequences of ageing population, models of liquidity and bank runs, and models with hand-to-mouth and permanent income hypothesis households.
Housing in Macroeconomics. Second-year PhD macro topics course taught at the London School of Economics. The aim is to get students quickly to the frontier of research on the macroeconomic aspects of housing. The course covers three areas, focusing on the main research questions, tools, data, and some recent papers: i) housing and the business cycle, ii) tenure, mortgage, and portfolio choice, and iii) housing and monetary policy.
Monetary Economics. MSc level course taught at the London School of Economics. Starts with the basic RBC model and in a one-thing-at-a-time fashion introduces inflation and the nominal interest rate, commodity price shocks, fiscal policy, sticky prices, sticky wages, and a banking sector with inside and outside money. The course concludes with the basics of consumption-based dynamic asset pricing theory and affine models of the term structure (with applications to monetary policy). The aim is to provide insight into the equilibrium effects of the various features of typical DSGE models without assuming any knowledge of computational methods.