Working Papers
Presented at: CEPR Paris Symposium 2025 (poster), Econometric Society European Winter Meeting 2025 (Nicosia), VfS Annual Conference 2025 (Cologne), CEBRA Annual Meeting 2025 (Boston), International Monetary Fund research seminar and other seminars.
Insulation through Credibility: Navigating U.S. Monetary Spillovers
(Job Market Paper)
Abstract: U.S. monetary policy has large effects on global business cycles and financial conditions, and its spillovers pose a key challenge for central banks around the world. I study how a central bank’s inflation-targeting credibility shapes the domestic economy’s exposure to U.S. monetary spillovers and the resulting policy trade-offs. Using a high-frequency event study framework, I provide novel evidence that in economies with weaker credibility, short-term inflation and interest-rate expectations increase more strongly, and long-term inflation expectations are revised upward following a U.S. monetary tightening. To rationalize these findings and assess their macroeconomic implications, I develop an open-economy New Keynesian model with imperfectly anchored long-term inflation expectations. Private agents are uncertain about the long-run inflation anchor and update their beliefs about long-run inflation using an adaptive learning rule. When credibility is weak, agents’ beliefs become more sensitive to realized inflation. Consequently, a foreign monetary shock that has only modest effects on the domestic economy under strong credibility can generate persistent inflation and large output losses when credibility is weak. This amplification leads to a more severe inflation–output trade-off for domestic policymakers. Evidence from Bayesian vector autoregressions comparing economies with differing degrees of inflation-targeting credibility supports the model’s prediction that the severity of the policy trade-off depends on credibility.
Presented at: Kiel-CEPR Monetary Policy Conference 2025 (Berlin), Applied Macroeconomics in a Changing World (Oslo, 2025), EEA Annual Congress 2023 (Barcelona), Oslo Macro Conference 2023, the European Central Bank and other seminars. Previously circulated as The Energy-Price Channel of (European) Monetary Policy.
Friend, not Foe? Monetary Policy and Energy Prices, with Alexander Kriwoluzky, Frederik Kurcz, and Ben Schumann
Abstract: In this paper, we first present a new empirical finding by showing that the European Central Bank’s monetary policy decisions significantly influence global energy prices. Through Lucas-critique-robust counterfactual analysis, we show that a central bank's ability to affect global energy prices strengthens the monetary transmission to inflation and alleviates the inflation-output tradeoff. We illustrate the relevance of these results by examining their role in the optimal policy response to an energy supply shock. Our estimates show that the ability of monetary policy to affect global energy prices halves the tightening necessary to stabilize inflation and mitigates the corresponding economic contraction.
Presented at: Developments in Macroeconomics and Macrofinance Workshop 2025 (Leipzig), Scottish Economic Society Annual Conference 2024 (Glasgow), IAAE Annual Conference 2023 (Oslo), EEA Annual Congress 2023 (Barcelona), VfS Annual Conference 2023 (Regensburg), Society for Computational Economics Annual Conference 2023 (Nice), University of Bonn and other seminars.
Tax and Spending Multipliers in a Monetary Union, with Malte Rieth
Abstract: We examine the macroeconomic effects of federal tax and spending changes in countries of a monetary union. First, we calibrate a dynamic-stochastic general equilibrium model to the average euro area country and document that, when common monetary policy at the union level is unresponsive, government investment and government consumption shocks have large output multipliers, and consumption tax and income tax shocks have small multipliers. Then, we test these predictions on euro area data by identifying the same four fiscal shocks in one encompassing panel structural vector autoregressive model through cross-sectional heteroskedasticity and time-fixed effects. The estimated multipliers closely match the theoretical predictions: we find that spending multipliers are large and tax multipliers are small. Empirical impulse responses indicate that common monetary policy does not respond systematically to national fiscal shocks, providing direct empirical support for the main mechanism in the theoretical model. Our findings imply that spending-based fiscal interventions are particularly powerful in a monetary union.
Presented at: CEBRA 2026 (Copenhagen, scheduled), SNDE 2026 (Lisbon), IAAE Annual Conference 2025 (Turin), ifo Workshop on Macroeconomics and International Finance 2025, Bundesbank research seminar, Banca d'Italia research seminar and other seminars.
Collateral Policy Surprises, with Pia Hüttl and Matthias Kaldorf
Abstract: Central bank collateral policy specifies which assets banks can pledge as collateral to obtain central bank funding and is an important determinant of liquidity in the banking system. We propose a high-frequency identification approach to study the systematic effects of central bank collateral policy on banks, financial markets, and asset prices. We identify collateral policy surprises using intraday bank stock price changes around Eurosystem collateral policy announcements. Expansionary collateral policy surprises lead to excess returns of bank stocks, a decline in common volatility measures, and a reduction in bank default risk, in particular for riskier banks. They also compress core-periphery government bond spreads, even for policy changes that are unrelated to the collateral treatment of government bonds. The uneven transmission of collateral policy through banks to sovereign bond markets is distinct from both central bank asset purchases and conventional monetary policy.
Work in Progress
Presented at: SNDE 2026 (Lisbon), University of Warsaw-DIW "Text Mining and Machine Learning in Macroeconomics and Finance" Workshop (Warsaw, 2025), International Monetary Fund research seminar and other seminars.
Fiscal Policy and Financial Markets: High-frequency evidence, with Nikhil Patel
(working paper available upon request)
Abstract: We construct a novel daily-frequency fiscal news database for the United States using a historical archive of news feeds that closely represent the real-time information set of financial market participants. Leveraging the database’s granular coverage, we recover a high-frequency fiscal news shock proxy and show that it captures unexpected and credible fiscal announcements: expansionary shocks revise professional forecasters’ expectations toward larger deficits and predict persistent increases in realized federal debt. Expansionary fiscal news shocks raise long-term Treasury yields and term premia, increase market-based inflation expectations and risk premia at both short and long horizons, and generate substantial spillovers to international sovereign bond and equity markets. Lucas critique–robust empirical counterfactuals show that systematic monetary policy reactions to fiscal news play a central role in shaping the responses of stock prices, the U.S. dollar, and near-term inflation expectations. Finally, we assess which theoretical environments can rationalize the response of financial markets’ expectations to deficit-financed fiscal expansions.
Presented at: "Fiscal Policy, Debt and Inequality" Conference 2025 (Berlin), De Nederlandsche Bank research seminar.
Beyond Multipliers: Distributional Income Effects of Government Spending in the Euro Area, with Alexander Kriwoluzky, Melina Ludolph, Madalina Patru, and Lena Tonzer
Monetary Policy Surprises in the Euro Area, with Michael Bauer