Job market paper
Job market paper
The Trade Channel of Monetary Spillovers: Evidence from Swedish Producer Prices [Draft]
Abstract. I study the role of international trade in the transmission of foreign monetary policy to domestic firms' price-setting decisions. Using Swedish microdata on prices and trade exposure, I show that firms with a higher export share to the euro area set relatively higher prices following a contractionary euro area monetary policy shock. The differential response is stronger for domestic prices than for export prices. I find no significant difference in the price response of firms with a higher share of imported inputs from the euro area. These results are consistent with an increase in euro area demand for Swedish goods due to an appreciation of the euro against the Swedish krona. In support of this interpretation, I show that firms with a higher export share to the euro area face relatively higher export demand following the contractionary shock.
Financial Uncertainty, Macroeconomic Uncertainty, and the Business Cycle (Draft available upon request)
Abstract. I develop a dynamic stochastic general equilibrium model that matches the empirical results of Ludvigson et al. (2021) on the causal direction of uncertainty. Their results show that financial uncertainty is a cause of recessions, while macroeconomic uncertainty is a consequence of recessions. I show that a medium-scale New Keynesian model augmented with learning about unobserved productivity (endogenous macro uncertainty) and financial frictions with a second-moment shock affecting the severity of these frictions (exogenous financial uncertainty) can match their results. The model is parameterized using a combination of calibration and estimation by simulated method of moments to match business cycle moments from U.S. macro and financial data. Quantitatively, financial uncertainty has a large effect on economic activity and is an important driver of business cycle fluctuations, while endogenous macro uncertainty has a negligible effect and is not an important amplifier of business cycles.
Prices and Monetary Policy: The Role of Financial Constraints
with Michael Bauer and Mathias Klein