Working Papers
NEW: Energy and monetary policy in the Euro Area, with Guido Ascari, Alice Albonico, Qazi Haque, and Kostas Mavromatis
We develop and estimate an open economy DSGE model for the euro area in which imported energy, priced in foreign currency, enters both consumption and production. Global energy prices and the exchange rate therefore jointly determine domestic inflation. We find that energy and exchange-rate disturbances account for the bulk of short-run volatility in headline euro area inflation, with energy price shocks driving most of the post-pandemic surge. Because energy and non-energy goods are poor substitutes, an adverse energy price shock raises import values, deteriorating the trade balance and depreciating the real exchange rate through the net-foreign-asset and UIP channels. The exchange-rate channel strengthens monetary transmission and improves the short-run inflation-output trade-off relative to a non-energy economy. Optimal policy can exploit this channel rather than looking through energy price shocks. However, the case for looking through such shocks becomes stronger when the central bank assigns a greater weight to output gap stabilization and prices become stickier.
NEW version: Uncertainty shocks and the monetary-macroprudential policy mix, 2022, with Valeriu Nalban (ERMAS Association Prize best young econ paper)
How should policymakers respond to uncertainty shocks? To explore and compare the macroeconomic effects of uncertainty shocks stemming from various conventional structural shocks, we develop a New Keynesian model incorporating borrowing constraints and time-varying volatility, featuring a monetary-macroprudential policy mix. Our findings indicate that the nature of uncertainty - whether demand, supply, or financial - significantly influences shock propagation, macroeconomic outcomes, and appropriate policy responses. Financial uncertainty, in particular, exerts more pronounced effects, underscoring the complementarity between interest rate adjustments and macroprudential policy measures. While both supply-side and demand-side uncertainty shocks present trade-offs between price stability and financial stability, their overall quantitative impact remains modest. Simulations of financial turmoil reveal that heightened financial uncertainty amplifies the adverse macroeconomic effects triggered by a first-moment financial shock. Moreover, our results demonstrate how the impacts of uncertainty shocks vary across different monetary-macroprudential policy frameworks, as determined by the calibration of the two reaction functions, offering novel insights for the policymakers.
Financial disruptions and heightened uncertainty: a case for timely policy action, 2020, with Valeriu Nalban
Estimating a real-time business conditions indicator for Romania, 2016, with Irina Stanciu and Andrei Tanase
Work in progress
Financial disruptions and the monetary-macroprudential policy mix, with Matthijs Katz
Policy work
DNB Analysis
The economic consequences of defence spending, 2026, with Bas Heerma van Voss, Daan de Leeuw, Fulvia Marotta, Camille Mehlbaum, Irina Stanga, and Stefan Wöhrmüller
DNB Occasional Studies
Competitiveness of the Dutch energy-intensive industry: energy prices, grid costs and ETS, 2025, with Bas Heerma van Voss, Guido Schotten, and Stefan Wöhrmüller
DNB Bulletin
Supply and demand shocks due to the coronavirus pandemic contribute equally to contraction in production, 2020, with Dennis Bonam
ECB Occasional Paper Series
Review of Macroeconomic Modelling in the Eurosystem: Current Practices and Scope for Improvement, 2021 (as part of the Eurosystem Modelling Work stream)
The natural rate of interest: estimates, drivers, and challenges to monetary policy, 2018 (as part of the WGEM Team on the Natural Rate of Interest)