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Speech
The global implications of diverging monetary policy settings in advanced economies
Panel Remarks at the Sixth High Level Conference on the International Monetary System: Monetary Policy Challenges in a Changing World, Zurich, Switzerland.
Speech
Remarks at the 42nd Annual Central Banking Seminar, Federal Reserve Bank of New York, New York City
Remarks at the 42nd Annual Central Banking Seminar, Federal Reserve Bank of New York, New York City.
Working Paper
Assessing the Effects of the Zero-Interest-Rate Policy through the Lens of a Regime-Switching DSGE Model
Standard dynamic stochastic general equilibrium (DSGE) models assume a Taylor rule and forecast an increase in interest rates immediately after the 2007-2009 economic recession given the predicted output and inflation, contradictory to the extended period of near-zero interest rate policy (ZIRP) conducted by the Federal Reserve. In this paper, I study two methods of modeling the ZIRP in DSGE models: the perfect foresight rational expectations model and the Markov regime-switching model, which I develop in this paper. In this regime-switching model, I assume that, in one regime, the policy ...
Speech
'Normal' monetary policy in words and deeds: remarks at Columbia University, School of International and Public Affairs, New York City
Remarks at Columbia University, School of International and Public Affairs, New York City.
Working Paper
Quantitative Easing, Bond Risk Premia and the Exchange Rate in a Small Open Economy
We assess the impact of simultaneous large-scale asset purchases, commonly known as quantitative easing (QE), conducted by Sveriges Riksbank and the European Central Bank (ECB) on bond risk premia in the Swedish government bond market. Using a novel arbitrage-free dynamic term structure model of nominal and real bond prices that accounts for bond-specific safety premia, we find that Sveriges Riksbank’s bond purchases raised inflation and short-rate expectations, lowered nominal and real term premia and inflation risk premia, and increased nominal bond safety premia, suggestive of signaling, ...
Speech
U.S. monetary policy and emerging market economies
Remarks at the Roundtable Discussion in Honor of Terrence Checki: Three Decades of Crises: What Have We Learned?, Federal Reserve Bank of New York, New York City
Working Paper
Central Bank Credibility During COVID-19: Evidence from Japan
Japanese realized and expected inflation has been below the Bank of Japan’s two percent target for many years. We examine the impact of announcements of expansionary monetary and fiscal policy under COVID-19 on inflation expectations from an arbitrage-free term structure model of nominal and real yields. We find that both types of policies failed to lift inflation expectations, which instead declined notably over the pandemic period and are projected to only slowly revert back to Bank of Japan target levels. Our results therefore illustrate the challenges faced in raising well-anchored low ...
Journal Article
Ben Bernanke: Solving a Crisis, Changing the Fed
Ben Bernanke’s contributions to economic thinking have been vast, from his extensive study of the Great Depression to groundbreaking research on the interplay of finance and the macroeconomy and the usefulness of unconventional monetary policy tools. His research helped guide his tenure as Federal Reserve Chair and his role in putting the U.S. economy on a path to the longest expansion in its history. Through that role, he also built a better and more transparent Fed for the future. The following remarks are adapted from a presentation by the Federal Reserve Bank of San Francisco president, ...
Working Paper
Asset Purchases in a Monetary Union with Default and Liquidity Risks
Using a two-country monetary union framework with financial frictions, we quantify the efficacy of targeted asset purchases, as well as expectations of such programs, in the presence of sovereign default and financial liquidity risks. The risk of default increases with the level of government debt and shifts in investors' perception of fiscal solvency. Liquidity risks increase when the probability of default affects the tightness of credit markets. We calibrate the model to Italy during the 2012 European debt crisis and compare it to key features of the data. We find that changes in ...
Speech
Remarks at the 40th Annual Central Banking Seminar, Federal Reserve Bank of New York, New York City
Remarks at the 40th Annual Central Banking Seminar, Federal Reserve Bank of New York, New York City.