Sigurd Steffensen
I am a Senior Economist in the Economics and Monetary Policy Department at the Central Bank of Denmark.
Before joining the bank, I obtained my PhD from Aarhus University and CREATES. I specialize in asset pricing, monetary policy transmission, and foreign exchange markets.
This website contains information about my professional activities. The views expressed here do not necessarily reflect those of the Danish central bank.
Contact: sams@nationalbanken.dk
What's New:
May 24:
We have published a new policy note, where we establish a statistically and economically significant relation between US stock price movements and currency flows from the Danish pension sector’s rebalancing of hedge positions. This can explain one-third of the sector’s total buying and selling of kroner. For more, see here.
March 23:
I have coauthored the central bank's Monetary and Financial Trends publication. In it, we shed light on the transmission of higher monetary policy rates to the real economy in Denmark. Additionally, we analyze the underlying factors behind the strong value of the Danish krone against the euro, a development that has prompted Nationalbanken to intervene in the foreign exchange markets to maintain the fixed exchange rate policy. The publication is available here.
February 23:
We have published a new analysis of the housing market, focusing on the unique Danish mortgage model. Our study, based on unique microdata, sheds light on an unusual expansive effect of rising mortgage rates on household consumption. Read more about our findings here.
July 22:
Our paper titled "Monetary Policy Expectation Errors" has been accepted for publication in Journal of Financial Economics.
June 22:
I've coauthored the central bank's Financial Stability Review. In this report, we shed light on how firms' debt-service ability is under pressure by rising input prices and tighter financial conditions in the wake of Russia's invasion of Ukraine. Read more here.
May 22:
I had the privilege of presenting "Monetary Policy Expectation Errors" at the SMYE 2022 conference. You can find the presentation slides here here. Schmeling, Schrimpf, and I have revised the paper over the past year and the new version was recently published as part of the BIS working paper series. The paper can be accessed here.
August 21:
I presented "Monetary Policy Expectation Errors" at the EFA 2021 conference. Eric T. Swanson provided valuable insights and feedback as discussant, while Annette Vissing-Jørgensen chaired the session. Early the summer, I presented the paper at the SFS Cavalcade with Michael Weber as discussant. If you are interested, a video recording of this online session can be accessed here.