Recipient of the 2023-2024 Scarthingmoor PhD Prize in Economics for best PhD thesis from Queen's University.
First Chapter of Doctoral Thesis
ABSTRACT: This article investigates the long-run relationship between the real crude oil price and the real exchange rate for Canada, a major oil-exporting country. Through hypothesis tests of parameter instability, it is found that the real Canada/U.S. exchange rate is positively cointegrated with the real oil price starting after 2002–2003. This period marked a simultaneous rise in both the price and production of oil in Canada, largely due to advancements in oil sands technology. This finding suggests that Canada’s real exchange rate is not constant but fluctuates with the long-run level of the real oil price. Additionally, in a setting where both Canada and the U.S. operate under inflation-targeting monetary regimes and floating exchange rates, the relative price differential remains stable and does not share the long-run oil-driven trend. As a result, persistent movements in real oil prices that shift the long-run real exchange rate are transmitted primarily through the nominal exchange rate. This enhances the long-run predictability of the nominal exchange rate using the real exchange rate and indicates an economic environment less prone to inflation brought on by higher oil prices.
ABSTRACT: This paper examines the heterogeneity in households’ expectations of house price growth using micro-level survey data from the Federal Reserve Bank of New York (FRBNY). The findings reveal that: (i) Households exhibit systematically different forecasts for house price growth based on observable characteristics; (ii) The perceived uncertainty surrounding these forecasts also varies systematically across different demographic groups, with this uncertainty linked to the amount of attention households pay to housing market information; and (iii) Households revise their forecasts over time in ways that align with whether they are constrained by information, consistent with Sims’ (Sims, 2003) rational inattention theory. Specifically, in line with this theory, for information-unconstrained households, the weight on prior knowledge in their dynamic forecasting is positively correlated with perceived uncertainty. Conversely, for information-constrained households, the weight on prior knowledge remains constant, irrespective of perceived uncertainty.
ABSTRACT: This paper analyzes how U.S. households form home price expectations over short (12-month) and long (5-year) horizons using micro-level data from the University of Michigan Survey of Consumers. Short-run forecasts respond positively to past local price growth, consistent with extrapolative beliefs, while long-run forecasts exhibit mean reversion, with households adjusting expectations in the opposite direction of recent trends. Short-run updating also varies by age and income, whereas long-run expectations are more uniform. These results underscore the importance of both forecast horizon and respondent characteristics in shaping belief formation.