Research

Working papers

Time-Varying Market Sensitivity to Macro News and Monetary Policy: the Role of Attention (Job Market Paper) [Draft by Oct 2025]

Presentations: AFA poster, SNDE-IIF junior workshop, Midwest Macro, South Cal International Macro Finance conference, UC Irvine, HKMA/HKIMR, AEA lightening

Abstract: Market sensitivity to macroeconomic announcements (e.g., payrolls, CPI) varies substantially over time. Focusing on interest rate responses, I document that sensitivity increases during periods of high inflation, rising unemployment, and when the Federal Reserve emphasizes macroeconomic conditions. To uncover the fundamental driver, I distinguish between two hypotheses—changes in investor attention and variations in the perceived data dependence of the monetary policy rule—using an empirical strategy based on their differing implications for the transmission of monetary policy. Consistent with the attention hypothesis, I find that the impact of FOMC announcements is amplified in periods when market sensitivity to macroeconomic announcements is high. A standard New Keynesian model with cognitive discounting is used to illustrate the differences between the two mechanisms. Overall, this paper highlights the role of attention in the effectiveness of monetary policy and macro dynamics.

2. Beyond Energy: Inflationary Effects of Metals Price Shocks in Production Networks (with Jorge Miranda-Pinto, Andrea Pescatori, and Martin Stuermer) [Draft by Mar 2026]

IMF World Economic Outlook Oct 2024; IMF Working Paper; VoxEU

Abstract: We study the inflationary effects of imported metals price shocks in a small open-economy production network model calibrated using input-output tables and sectoral trade data. Using local projections, we find that metal price shocks have sizable and long-lasting effects on both core and headline inflation, especially in economies with high metal input exposure. These effects differ from oil supply shocks, which mainly affect headline inflation and are less persistent. A sticky-price extension of the model explains the greater persistence of metal shocks, as major metal-importing sectors exhibit central positions in the domestic production network and display higher price rigidity. Our results imply that metal price shocks are less visible on impact but more persistent, which central banks should consider when assessing inflation dynamics and risks.

3. Inflation Inattention and the Efficacy of Monetary Policy

Abstract: This paper provides a new empirical measure of household inflation inattention, documents inattention cycles, and explores how the level of household inattention affects the transmission of monetary policy in the U.S. Employing an interacted VAR framework, I show that the transmission of monetary policy varies systematically with the degree of household inattention, partly driven by the endogenous adjustment of attention to economic conditions. Counterfactual analysis confirms that this channel is quantitatively important—holding attention fixed after shocks substantially reduces the observed state dependence in policy transmission.

4. Climate Awareness, Financial Frictions, and Transition Risk

Abstract: I extend an Environmental DSGE model to study climate transition risks in the presence of financial frictions that depend on banks’ portfolio composition—“green” versus “brown” assets. I allow the bank’s ability to raise funds to become sensitive to the “greenness” of its asset holdings, then, I explore the macroeconomic impacts of a sudden increase in this sensitivity and simulate the introduction of a permanent carbon tax at different sensitivity levels.

Publications

"Commodity Prices and Global Economic Activity" (with Akito Matsumoto and Andrea Pescatori) Japan and the World Economy. Volume 66, June 2023, 101177

IMF World Economic Outlook April 2019

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