We find significant liquidity effects to ECB sovereign bond purchases, using a search-based asset pricing model to understand the mechanism. [publication] [SSRN]
Category: monetary policy
Estimating Monetary Policy Rules When Nominal Interest Rates Are Stuck at Zero (JMCB 2017) w/ Kim
With the onset of the ZLB, we find a decrease in the perceived monetary policy response to inflation, using surveys of professional forecasts to sidestep data censorship. [publication] [SSRN]
Systemic Risk and the Macroeconomy: An Empirical Evaluation (JFE 2016) w/ Giglio and Kelly
We evaluate a wide array of systemic risk indicators and their ability to forecast the quantiles of real activity, and propose methods for combining them that show there is a latent systemic risk factor that is robustly related to future macroeconomic downside risk. [publication] [SSRN]
Uncertainty over Models and Data: The Rise and Fall of American Inflation (JMCB 2012)
By accounting for uncertainty over observed data, a model of a learning Federal Reserve explains the rise and fall in American inflation as tied to a concurrent rise and fall in the perceived Philips curve trade-off. [publication] [draft]
Estimating the Market-Perceived Monetary Policy Rule (AEJMacro 2011) w/ Hamilton and Borger
Using macroeconomic news, we directly estimate the policy rule used by the market to link their expectations of future economic conditions to future monetary policy. [publication] [draft]
Seth Pruitt 