Research

Working Papers

Beliefs, Aggregate Risk, and the U.S. Housing Boom

Endogenously optimistic beliefs about future house prices can account for the path, autocorrelation and standard deviation of house prices during the U.S. housing boom of the 2000s.

Impulse response of inflation to a one standard deviation monetary policy shock, days since shock

Temporal Aggregation Bias and Monetary Policy Transmission

[FEDS] [Most Recent]

With Christian Matthes and Todd B. Walker

If there is an adverse-signed response such that inflation increases in response to a contractionary monetary shock, it is much less prominent than previously thought and explained by frequency mismatches of shocks and dependent variables.

Modification rates vs. loan committments in millions of dollars.

Debt Flexibility

[FEDS] [Most Recent]

With Rhys Bidder, Nicolas Crouzet, and Michael Siemer

Relative to single-lender loans, syndicated loans are 1.5 times more likely to be modified and interest rate changes are twice as likely.

Recovery of 1933

[FEDS] [Most Recent] [NBER]

With Eric M. Leeper and Bruce Preston

When Roosevelt abandoned the gold standard in April 1933, he converted what had been effectively real government debt into nominal government debt to open the door to unbacked fiscal expansion. Our evidence does not support the conventional monetary explanation that gold revaluation and gold inflows, which were permitted to raise the monetary base, drove the recovery independently of fiscal actions.

Monetary Policy Shocks: Data or Methods?

[FEDS] [Most recent]

With Connor M. Brennan, Christian Matthes and Todd B. Walker

High-frequency monetary shocks can have a correlation coefficient as low as 0.5 and the same sign in only two-thirds of observations. Both data and methods drive these differences, which are starkest at the ELB.

Publications

Constructing high-frequency monetary policy surprises from SOFR futures

[FEDS] [Article]

Nakamura & Steinsson and GSS series through May 2024 [here]

With Miguel Acosta and Connor M. Brennan. in press at Economics Letters.

To update widely used series of monetary policy surprises, we recommend switching from Eurodollar futures to SOFR futures in January 2022.

Liquidity Provision during the Crisis of 1914: Private and Public Sources

With Ellis W. Tallman. Journal of Financial Stability. Volume 17, April 2015, Pages 22-34.

Caught between the end of the National Banking Era and the beginning of the Federal Reserve System, the crisis of 1914 provides an example of a banking panic avoided. We investigate how this outcome was achieved by examining data on the issues of Aldrich-Vreeland emergency currency and clearing house loan certificates to New York City institutions.

Conference Volumes

The Federal Reserve System and World War I: Designing Policies Without Precedent

With Ellis W. Tallman. (2019). In O. Feiertag & M. Margairaz (Eds.), Les banques centrales pendant la Grande Guerre (pp. 15-32). Paris, France: Les Presse de Sciences Po.

The Federal Reserve System failed to prevent the collapse of intermediation during the Great Depression (1929-1933) and took action as if it was unaware of policies that should have been taken in the event of widespread bank runs. The National Banking Era panics and techniques to alleviate them should have been useful references for how to alleviate a financial crisis.