University of Texas at Austin
Department of Economics
2225 Speedway, Stop C3100
Austin, TX 78712-1690
Institutional Affiliation: University of Texas at Austin
Information about this author at RePEc
NBER Working Papers and Publications
|July 2015||Time Consistency and the Duration of Government Debt: A Signalling Theory of Quantitative Easing|
with Gauti B. Eggertsson, Bulat Gafarov: w21336
We present a signalling theory of Quantitative Easing (QE) at the zero lower bound on the short term nominal interest rate. QE is effective because it generates a credible signal of low future real interest rates in a time consistent equilibrium. We show these results in two models. One has coordinated monetary and fiscal policy. The other an independent central bank with balance sheet concerns. Numerical experiments show that the signalling effect can be substantial in both models.
|March 2014||Commodity-Price Comovement and Global Economic Activity|
with Ron Alquist, Olivier Coibion: w20003
Guided by a macroeconomic model in which commodity prices are endogenously determined, we apply a new factor-based identification strategy to decompose the historical sources of changes in commodity prices and global economic activity. The model yields a factor structure for commodity prices and identification conditions that provide the factors with an economic interpretation: one factor captures the combined contribution of shocks that affect commodity markets only through general-equilibrium forces. Applied to a cross-section of commodity prices since 1968, the theoretical restrictions are consistent with the data and yield structural interpretations of the common factors in commodity prices. Commodity-related shocks have contributed modestly to global economic fluctuations.
Published: Ron Alquist & Saroj Bhattarai & Olivier Coibion, 2019. "Commodity-Price Comovement and Global Economic Activity," Journal of Monetary Economics, .
|February 2014||Is Increased Price Flexibility Stabilizing? Redux|
with Gauti Eggertsson, Raphael Schoenle: w19886
We study the implications of increased price flexibility on output volatility. In a simple DSGE model, we show analytically that more flexible prices always amplify output volatility for supply shocks and also amplify output volatility for demand shocks if monetary policy does not respond strongly to inflation. More flexible prices often reduce welfare, even under optimal monetary policy if full efficiency cannot be attained. We estimate a medium-scale DSGE model using post-WWII U.S. data. In a counterfactual experiment we find that if prices and wages are fully flexible, the standard deviation of annualized output growth more than doubles.
Published: Saroj Bhattarai & Gauti B. Eggertsson & Raphael Schoenle, 2018. "Is Increased Price Flexibility Stabilizing? Redux," Journal of Monetary Economics, . citation courtesy of