"Good luck or good policy? A recent macroeconomic history of New Zealand". Singapore Economic Review, 2022. (Part of PhD Dissertation)
Older Version: International Network for Economic Research - INFER, Working Papers 2021.02
Abstract: The Great Moderation was a global phenomenon marked by stable economic growth and inflation. However, how much monetary policy contributed to its success remained a popular debate in the literature. Answering this question became imperative after the global financial crisis since global conditions became relatively more important than past. I examined the recent macroeconomic history of New Zealand through the lens of a regime-switching structural vector-autoregression model to understand the contributions of domestic monetary policy and global conditions to its macroeconomic stabilization. A small open economy structure is essential to facilitate the identification of structural shocks that spillover from the globe.
"Regime-Switching Factor Models and Nowcasting with Big Data " JMP (Under Review)
IMF Working Paper 2024/190 Online Appendix
Abstract: This paper shows that the Expectation-Maximization (EM) algorithm for regime-switching dynamic factor models provides satisfactory performance relative to other estimation methods and delivers a good trade-off between accuracy and speed, which makes it especially useful for large dimensional data. Unlike traditional numerical maximization approaches, this methodology benefits from closed-form solutions for parameter estimation, enhancing its practicality for real-time applications and historical data exercises with focus on frequent updates. In a nowcasting application to vintage US data, I study the information content and relative performance of regime-switching model after each data releases in a fifteen year period, which was only feasible due to the time efficiency of the proposed estimation methodology. While existing literature has already acknowledged the performance improvement of nowcasting models under regime-switching, this paper shows that the superior nowcasting performance observed particularly when key economic indicators are released. In a backcasting exercise, I show that the model can closely match the recession starting and ending dates of the NBER despite having less information than actual committee meetings, where the fit between actual dates and model estimates becomes more apparent with the additional available information. Given that the EM algorithm proposed in this paper is suitable for various regime-switching configurations, this paper provides economists and policymakers with a valuable tool for conducting comprehensive analyses, ranging from point estimates to information decomposition and persistence of recessions in larger datasets.
"Global Linkages and Global Nowcasting " with Domenico Giannone.
Abstract: Timely assessment of economic activity is crucial for effective policymaking at the national, regional, and global levels. However, many countries still do not publish GDP data on a quarterly basis, creating persistent information gaps. In 2025, 34% of countries publish only annual GDP statistics. This lack of data frequency is particularly limiting for emerging and developing economies, where economic volatility and spillover risks are often highest. The problem is more severe when historical data is considered, because only 42% of countries can provide historical quarterly estimates for a period longer than 20 years. To address these gaps, this paper develops a model that estimates missing quarterly GDP series by leveraging global and regional economic interconnections. The method transforms sparse annual data into quarterly estimates by exploiting higher-frequency information from the rest of the world, enabling real-time policymaking in both data-scarce economies and in global-level discussions. This method allows for internally consistent aggregates of regional and global economic activities that can support two-way scenario analyses.
"Robust Inference Via Heteroskedasticity and Macroeconomic Determinacy" with Max-Sebastian Dovi.
Abstract: Determinacy in macroeconomic models is typically ensured by imposing that interest rates respond aggressively to inflation and real activity. Under a simple New Keynesian setup, we show that testing for determinacy via OLS is invalid. We further show that instrumental variable (IV) approaches are also problematic: (i) inference is substantially biased when variables (such as lagged inflation) are erroneously excluded and used as instruments, and (ii) empirical results are very sensitive to instrument selection. To address these shortcomings, we propose a new heteroskedasticity-based inference procedure that is robust to identification failure--what we term robust to homoskedasticity. Applying our method to US data, we find evidence for determinacy between 1985 and 2020, but not prior to 1985.
"Panel Nowcasting for Countries Whose Quarterly GDPs are Unavailable " with Seung M Choi, Futoshi Narita, and Jiaxiong Yao.
IMF Working Paper Series 2023/158
Abstract: Quarterly GDP statistics facilitate timely economic assessment, but the availability of such data are limited for more than 60 developing economies, including about 20 countries in sub-Saharan Africa as well as more than two-thirds of fragile and conflict-affected states. To address this limited data availability, this paper proposes a panel approach that utilizes a statistical relationship estimated from countries where data are available, to estimate quarterly GDP statistics for countries that do not publish such statistics by leveraging the indicators readily available for many countries. This framework demonstrates potential, especially when applied for similar country groups, and could provide valuable real-time insights into economic conditions supported by empirical evidence.
"Monetary Policy Spillover and Sovereign Debt Structure" with Gokce Karasoy and Sang Seok Lee.
"Estimating Sectoral Investment and Growth" with Yasin Simsek.
"Central Bank Independence and Monetary Policy Effectiveness in the Middle East, Central Asia, and Caucasus", IMF Departmental Paper Series, forthcoming
"Monetary Policy Frameworks and Communication in the Caucasus and Central Asia", IMF Working Paper Series, Working Paper No. 2023/251
"Strengthening Monetary Policy Frameworks in the Caucasus and Central Asia", IMF Departmental Paper Series, Paper No. 2023/006