Publications
The Economic Impact of Low- and High- Frequency Temperature Changes
with Nikolay Gospodinov and Serena Ng
July 2026 – European Economic Review
Abstract: Variations in the low- and high-frequency components of temperature may have distinct impacts on economic outcomes. Parametric and non-parametric estimates from three panels of data all find significant heterogeneity in the relative importance of the two components, but there is clear evidence in each panel of a common, slowly evolving low-frequency factor that is highly correlated with the low-frequency factor of economic activity. In regressions that quantify the output effects of the components, we find that one-way clustered standard errors often lead to size distortions, and that an additive fixed effect specification does not adequately control for common time effects. Using bootstrap inference to assess estimates from our preferred interactive fixed effect specification, we only find a marginally significant effect of the high-frequency component on growth in the U.S. panel. However, the effect of the low-frequency component is significant in the European and International panels, suggesting that the increase in the low-frequency temperature component over the post-1980 period is associated with a reduction in economic growth of approximately 1.3 percentage points. The findings are corroborated by time series estimation using data at the unit and national levels.
Analyzing Recent Price Anomalies in Argentina: Global Influences and Domestic Distortions
with Emiliano Basco, Emilio Blanco, and Luis Libonatti
September 2025 – Latin American Journal of Central Banking
Abstract: This study investigates Argentina’s unusually high and persistent goods inflation in the aftermath of the COVID-19 pandemic, using a cross-country monthly panel and a model that decomposes inflation into observable marginal costs, global price pass-through, and changing markups. We find that, at their peak in January 2024, goods price markups were approximately 40% higher than in November 2011. Further analysis indicates that these elevated markups were primarily driven by distortionary policy interventions—particularly foreign exchange controls, non-tariff barriers, and complex import regulations—which disrupted market pricing mechanisms and significantly amplified inflation, positioning Argentina as a clear outlier in the global inflation cycle.
Working Papers
A New Jackknife Variance Estimator for_Time-Series and Panel Regressions
with Richard K. Crump and Nikolay Gospodinov
January 2026 – FRBNY Staff Reports
Abstract: We introduce a new jackknife variance estimator for time-series and panel-data regressions. The novelty in our approach is that we first rotate the data using a particular choice of trigonometric basis functions. This rotation removes serial correlation in a broad class of time-series processes, including random walks, and enables the use of the conventional leave-one-out jackknife on the transformed space of the regressors and residuals. The procedure is tuning-parameter free and naturally adapts to the degree of persistence of the data. We prove the asymptotic validity of our variance estimator under general conditions and demonstrate excellent finite-sample properties in extensive simulation experiments, spanning a wide range of time-series and panel-data designs.
A Simple Diagnostic for Time Series and Panel-Data Regressions
with Richard K. Crump and Nikolay Gospodinov
October 2024 – FRBNY Staff Reports
Abstract: We introduce a new regression diagnostic, tailored to time-series and panel-data regressions, which characterizes the sensitivity of the OLS estimate to distinct time-series variation at different frequencies. The diagnostic is built on the novel result that the eigenvectors of a random walk asymptotically orthogonalize a wide variety of time-series processes. Our diagnostic is based on leave-one-out OLS estimation on transformed variables using these eigenvectors. We illustrate how our diagnostic allows applied researchers to scrutinize regression results and probe for underlying fragility of the sample OLS estimate. We demonstrate the utility of our approach using a variety of empirical applications.
The Nonlinear Case Against Leaning Against the Wind
with Nina Boyarchenko, Richard K. Crump, Keshav Dogra, and Leonardo Elias
May 2024 – FRBNY Staff Reports
Abstract: We re-examine the relationship between monetary policy and financial stability in a setting that allows for nonlinear, time-varying relationships between monetary policy, financial stability, and macroeconomic outcomes. Using novel machine-learning techniques, we estimate a flexible “nonlinear VAR” for the stance of monetary policy, real activity, inflation, and financial conditions, and evaluate counterfactual evolutions of downside risk to real activity under alternative monetary policy paths. We find that a tighter path of monetary policy in 2003-05 would have increased the risk of adverse real outcomes three to four years ahead, especially if the tightening had been large or rapid. This suggests that there is limited evidence to support “leaning against the wind” even once one allows for rich nonlinearities, intertemporal dependence, and crisis predictability.