Publications

"Identifying sectoral shocks and their role in business cycles" [pdf], [link], with Ferre De Graeve.
Journal of Monetary Economics, Volume 140, November 2023.

Abstract: US business cycles can be empirically characterized as a time-varying mix of different sectoral shocks. Sectoral shocks are distinct from aggregate shocks and better capture business cycle fluctuations. A typical recession (or boom) is interpreted as the combination of a few sectoral shocks, which encompass more diverse origins than the typical narrative prevalent for that recession. Sectoral shocks have aggregate consequences through strong input-output network effects. Identification is based on network-implied heterogeneity restrictions in a FAVAR framework and far less dependent on specific DSGE calibrations compared to previous work.

Presentations: ASSA 2022 (SCE session), CEF 2021, IAAE 2021, Deutsche Bundesbank

Replication files: Sectoral shocks series: link, Replication codes: link, Estimation results: link

Job market paper

"The sectoral origins of current inflation" [pdf].

Abstract: This paper quantifies the contribution of sector-specific supply and demand shocks to personal consumption expenditure (PCE) inflation. It derives identification restrictions that are consistent with a large class of DSGE models with production networks. It then imposes those restrictions in a structural factor-augmented vector autoregressive model with sectoral data on PCE inflation and consumption growth. The identification scheme allows to remain agnostic on theoretical modeling assumptions, yet still gain structural empirical results: sectoral shocks—while important to understand real fluctuations—did not have substantial inflationary consequences since the Great Inflation in the 1970s and 80s, until now. While the relevance of sector-specific shocks varied during the COVID-19 pandemic, the sources of current inflation are primarily rooted in negative sectoral supply shocks, in particular from end-2021 onward.

Presentations: Bank of Canada, Bank of England, 2023 International Francqui Chair Symposium

Working papers

"Implications of the decline in the natural rate of interest for monetary policy strategies: a semi-structural approach" , with Claus Brand.
Working Paper prepared for the work stream on the price stability objective of the European Central Bank's Strategy Review. Aug. 2020.

Abstract: We simulate the risk of policy interest rates being constrained by their effective lower bound (ELB) within a small, semi-structural, backward-looking model for the US and euro area. Counterfactual analysis of monetary policy rules suggests superior performance of Taylor-type rules compared to average inflation targeting or price-level targeting rules in terms of both output and inflation variability as well as lower-bound incidences. Choices about the level of the inflation objective are crucial in mitigating risks of monetary policy ineffectiveness. A reduction in the inflation objective from 2% to 0% incurs striking increases in ELB risks, even when allowing for easing through unconventional policies. Analogously, stipulating a 2% inflation objective and a decline in the natural rate of interest from 2% to 0%, we estimate this risk to at least double for Taylor-type rules. We show that unconventional policies can sustain the effectiveness of monetary policy for estimates of a deeper, permanent decline in the natural rate but without being able to safeguard the effectiveness of monetary policy at all times.

Other contributions

Contributions to: European Central Bank (2021). "The ECB's price stability framework: past experience, and current and future challenges" [pdf].
ECB Occasional Paper No. 269, Sep. 2021.

Work in progress

"Implications of the decline in the natural rate of interest for monetary policy strategies: a semi-structural two-country model" , with Claus Brand.

"Monetary policy, labor mobility and unemployment in a monetary union" .

"Propagation of major supply shocks through international input-output linkages" .