Research
with Michael Kumhof, Marco Pinchetti and Andrej Sokol
What are macroeconomic gains and risks associated with CBDC in an open-economy context? How should the central bank utilise this new policy tool? We explore these issues in a medium-sized general equilibrium model.
BIS Working Paper, April 2023 [Download pdf, CEPR, PIER]
with Gabriela Nodari and Daniel Rees
How will the global economy emerge from the pandemic? We introduce a framework that distinguishes between industry- and country-specific drivers of labour productivity, and, through these sectoral lens, examine growth scenarios for the coming decades.
BIS Quarterly Review, March 2022 [Download pdf]
with Fabian Winkler
A model of belief-driven r-star. Incompletely informed central bank and private agents learn about r-star by observing each other's action. A 'hall-of-mirrors' effect arises when each agent does not realise that its action influences the other's belief and contaminates its own learning. As a result, r-star can fall persistently following aggressive monetary easing despite no change in saving fundamentals.
BIS Working Papers no 974, November 2021 [Download pdf, FEDS version, March 2022]
Watch my ASSA 2022 presentation; Coverage in Financial Times, Wall Street Journal, Handelsblatt (German), Donald Kohn's op-ed, and the Hutchins Roundup
An interim assessment of macroeconomic costs from the Covid-19 pandemic. Output losses in 2020 and 2021 estimated at 6.5% and 4% respectively for the median case, but there are large cross-country variations. Paper discusses why and draws new lessons for the economics of pandemic.
BIS Working Papers no 959, August 2021 [Download pdf]
Published version at Pacific Economic Review (lead article), vol 26, issue 4. Top cited article 2021-2022.
A flexible epidemiological-economic model for forecasting health and mobility outcomes during the 'pandexit'. Scenarios of vaccination pace, infection surge and virus mutations are considered as examples, many more are possible. Use all open-source data, highly portable.
BIS Working Papers no 932, March 2021 [Download pdf]
Watch my seminar presentation at the National Bank of Romania
with Michael Kumhof and Andrej Sokol
A DSGE model featuring non-trivial gross capital flows. The framework exposes pitfalls of relying on current account (net flows) as a measure of vulnerability, and lends new perspectives to classic issues such as global saving glut.
BIS Working Papers no 890, August 2020 [Download pdf]
Coverage by the Economist and article in Bank Underground
with Claudio Borio and Piti Disyatat
A model of real interest rate determination where financial factors play a key role. How the central bank conducts policy shapes the financial cycle, which matters for long-run outcomes such as output and real interest rates.
BIS Working Papers no 817, October 2019 (updated August 2020) [Download pdf]
See also SUERF policy note, VoxEU article.
with Andrew Filardo and Paul Hubert
An empirical analysis of how central bank reaction function affects the financial cycle. It's not just about the level of interest rate - the degree of policy reactiveness matters too.
BIS Working Papers no 816, October 2019 [Download pdf]
Published version "Monetary policy reaction function and the financial cycle", the Journal of Banking and Finance, vol 142, September 2022, 106536
with Richhild Moessner
Short-term market rates have been less responsive to news in the post-crisis period. ZLB is part of the answer, but a greater use of forward guidance may be responsible too.
BIS Quarterly Review, March 2019 [Download pdf]
with Claudio Borio and Piti Disyatat
A critical take on the view that the trend decline in global real interest rates is due exclusively to factors outside monetary policy control.
BIS Working Papers no 777, March 2019 [Download pdf]
Watch our presentation at the 62nd Boston Fed Economic Conference
with Claudio Borio and Piti Disyatat
Monetary policy is caught between unresponsive inflation and more disruptive financial cycle. What should it do?
BIS Working Papers no 706, March 2018 [Download pdf]
Published in 21st Central Bank of Chile Annual Conference Proceeding, 2018
with Claudio Borio, Piti Disyatat and Mikael Juselius
Using data since 1870 from 19 advanced economies, we document a lack of systematic relationships between real interest rates and the the real saving-investment determinants assumed in theory.
BIS Working Papers no 685, December 2017 [Download pdf]
Published version "Why so low for so long? A long-term view of real interest rates", International Journal of Central Banking, September 2022. See also VoxEU article
with Andrew Filardo
A small macro model featuring perpetual boom-bust financial cycle. Provided monetary policy can influence the boom but cannot fully absorb the bust, it is generically optimal to lean against the wind.
BIS Working Papers no 594, December 2016 [Download pdf]
with Piti Disyatat
Much of global bond yield correlation is due to common movement in domestic monetary policy. Stripping this away, the "contagion" factor driving term premium correlation is more important for advanced economies.
BIS Working Papers no 518, October 2015 [Download pdf]
Published version in Journal of International Money and Finance, vol 74, June 2017
Temptation to expand market shares makes it harder for banks to coordinate on screening out bad borrowers. A lower risk-free rate exacerbates this coordination problem, opening up the possibility of a credit boom.
BIS Working Papers no 488, February 2015 [Download pdf]
with Selim Elekdag and Yiqun Wu
Asian financial market sensitivities to core countries are pro-cyclical, tending to be high in stress period such as t he GFC. Good domestic policy helps insulate Asian economies to a degree, but not completely.
IMF Working Paper WP/12/262, November 2012 [Download pdf]
Financial integration helps countries share risks, but also exposes them to greater spillovers and contagion. An asset pricing model is used to compute the terms of this trade-off.
IMF Working Paper WP/11/242, October 2011 [Download pdf]
Using household survey data, the wealth elasticity of consumption in Thailand is estimated to be about 0.06 (income elasticity is 0.6). Physical assets have five-fold larger effect on consumption relative to financial assets.
Bank of Thailand Discussion Paper, March 2011 [Download pdf]
with Rungporn Roengpitya
Market-based measures of systemic risk in the Thai banking system, based on the conditional Value-at-Risk (CoVaR). These are coorrelated with loan book sizes, liquidity buffers, as well as interbank currency swaps positions.
Bank of Thailand Discussion Paper, February 2011 [Download pdf]
with Don Nakornthab
Two approaches studied. One is a canominal macro model augmented by a bank-lending channel. The second is a stylised model of endogenous bust following a leverage boom due to a VaR constraint. Macroprudential policies help in both, but for different reasons.
Bank of Thailand Discussion Paper, October 2010 [Download pdf]
Endogenous cycle arises in a repeated coordination game. When overall investment is high, agents upgrade beliefs about fundamentals which further reinforce investment. Both active and inactive states thus become persistent, and the economy cycles between them.
DPhil dissertation chapter, December 2005, revised October 2012) [Download pdf]