Search Results
Speech
Gradual and predictable: reducing the size of the Federal Reserve’s balance sheet: remarks at SUERF – The European Money and Finance Forum, New York City
Remarks at SUERF ? The European Money and Finance Forum, New York City.
Journal Article
Why Are Recessions So Hard to Predict? Random Shocks and Business Cycles
Economists are like doctors, not soothsayers. They can't predict recessions, but they can help us understand why one is happening. And that can make all the difference for policymaking.
Working Paper
Term Structure of Interest Rates with Short-run and Long-run Risks
Bond returns are time-varying and predictable. What economic forces drive this variation? To answer this long-standing question, we propose a consumption-based model with recursive preferences, long-run risks, and inflation non-neutrality. Our model offers two important insights. First, our model matches well the post-1990 nominal upward-sloping U.S. Treasury yield curve. Second, consistent with our model's implication, variance risk premium based on the U.S. interest rate derivatives data emerges as a strong predictor for short-horizon Treasury excess returns, above and beyond the predictive ...
Speech
Panel remarks at the Brookings Institution
Remarks at The Fed at a crossroads: Where to go next?, Brookings Institution, Washington, D.C.
Speech
Reducing the size of the Federal Reserve’s balance sheet: the benefits of moving gradually and predictably: remarks to the National Association of Securities Professionals, New York City
Remarks to the National Association of Securities Professionals, New York City.
Working Paper
The Predictability of Global Monetary Policy Surprises
Markets systematically misprice interest rate changes around central bank announcements. I show that the strongest predictor of this mispricing is recent change in global interest rates. More specifically, a 1 percentage point increase in global short-term interest rates in the 15 days before a central bank meeting is associated with a 12-basis point surprise increase in short-term rates at that meeting. I demonstrate that this is the result of markets underreacting to signals coming from the global interest rate cycle.