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Summary of current work

  • Creating numerical algorithms to get optimal policy solutions in non-linear DSGE models.
  • Advancing NK literature by modelling for behavioural features & heterogeneous choices.
  • Implementing MCMC, Bootstrap & Bayesian techniques to decompose US time series data.
  • Motivating Duration Switching Strategies, in a possibly increasing rates environment.

Working papers

Flight to Safety in Business cycles - Structural VAR approach ·

It develops a Structural VAR model of the US economy to decompose the effects of Flight to Safety shocks empirically. The endogeneity and co-movement in macro variables during recessions worsen the identification problem in such analyses. This chapter, therefore, uses Bayesian estimation with Zero and Sign restrictions to identify Flight to Safety shocks, while controlling for monetary policy and productivity shocks. The results are robust to other procedures such as kernel-based estimation of high-frequency data, and they explore the Portfolio and Expectations channels through which agents’ risk aversion manifests into real investments in the economy. Flight to safety shocks explain more than sixty per cent of the variation in US macroeconomic fluctuations, and their significance increased during the GFC.

Optimal policy in Costly recessions ·

The benchmark DSGE model recommends inflation stabilisation more than any other policy objective, whereas empirical evidence shows that policymakers favour output stabilisation. Therefore, this analysis introduces cyclical risk aversion, which imposes an economic cost to agents when they are in a contractionary state or costly recessions. The numerical (Chebyshev's approximation) solution of this model resolves the equity premium puzzle. It reveals an optimal discretionary policy result that complements precautionary motives of risk-averse agents and is asymmetric, like Fed's monetary policy pre-Global financial crisis.

Flight to Quality in Cyclical risk aversion ·

Global solution of a DSGE model with heterogeneity in production shows that households near the limits of their risk-bearing capacity make sudden changes in their risk allocation that echo with the ‘risk on’ and ‘risk off’ phenomena. Ex-ante Flight to Safety is the optimal response for individuals that are consuming close to their subsistence. Flight to Safety stems inherently from individual’s risk aversion and overlooking it for macro policymaking could prove costly.

Pre-Doctoral research dissertations


  • Stochastic model of Housing debt, collateral constraints and commodity boom in Australia. (LSE).
  • Behavioural Equilibrium Exchange Rate of Chinese Renminbi (CNY), a VECM model. (Exeter).
  • Black-Scholes pricing of Gold and Oil options contracts on NYMEX. (Delhi)

Published research sample