Research
Research
Job Market Paper
Information Effects of Monetary Policy and Bond Yields in Emerging Markets [Draft coming soon]
Abstract This paper shows that interest rate surprises affect the term structure of interest rates in starkly different ways across advanced and emerging economies. In advanced economies, surprise monetary policy tightenings lower nominal long-term yields and the risk compensation that investors require to hold longer-term local-currency bonds instead of rolling over short-term ones — the nominal \textit{term premium}. In contrast, in emerging markets, both yields and long-term risk compensation increase. Once I disentangle the information about the macroeconomy embedded in policy surprises, unexpected rate hikes no longer raise term premia in emerging markets. This pattern is consistent with monetary policy surprises in emerging markets carrying relatively greater informational content. To rationalize these findings, I develop a model that integrates imperfect information into a segmented-markets framework, in which a surprise policy tightening may increase term premia when private agents have noisy information about inflation. I test this mechanism empirically using survey-based data on inflation expectations and show that forecast dispersion is substantially higher in emerging markets. The results highlight that central bank actions transmit not only through changes in short-term interest rates but also through the beliefs they signal about the economy — a channel that remains understudied in emerging markets. They also suggest that improving central bank communication can narrow the informational gap between policymakers and the public.
Work in progress
Low Premiums, High Potential: Black Market Exchange Rates and Inflation
Purchasing Power Parity in Argentina: Ninety Years of Controls and Parallel Exchange Rates