Research
Fields: Applied macroeconomics, monetary economics
Job Market Paper
State-Dependent and Asymmetric Effects of US Monetary Policy
This paper examines the transmission of US monetary policy over the business cycle. Using monthly data from January 1988 to February 2020, I combine high-frequency monetary policy shocks with parametric and semiparametric state-dependent local projections. The semiparametric specification corrects for potential bias arising when the economic state is endogenous to the shock. The results show that monetary policy shocks have a more immediate effect on output and inflation during periods of low economic growth than during periods of high growth. The semiparametric point estimates also provide suggestive evidence of sign asymmetry, with contractionary shocks generally having larger effects on macroeconomic variables than expansionary shocks.
Keywords: Impulse response function, monetary policy shocks, local projections, asymmetry, business cycles. JEL: C14, C32, E32, E52.
Other working papers
Specification Choice in Local Projections: Evidence from Monetary Policy Shocks
This study examines how specification choices in local projections affect the estimation of impulse responses to monetary policy shocks. Using monthly U.S. data from 1983 to 2007 and the shock series of Aruoba and Drechsel (2024), I systematically compare levels and long-differences specifications across 12 control sets and multiple lag lengths. I evaluate the results both qualitatively—by benchmarking impulse responses against theory, standard beliefs, and prior evidence—and quantitatively, using information criteria (AIC, BIC, and CV). The findings show that the long-differences specification produces distorted long-run dynamics in its point estimates. By contrast, the levels specification, when paired with a robust control set, generates impulse responses that are consistent with expectations.
Keywords: Impulse response function, monetary policy shocks, local projections. JEL: E32, E43, E52, E58.
A Mediation Analysis of the Transmission Channels of Monetary Policy in the U.S.
Which transmission channels of monetary policy matter most for controlling inflation? I apply the macroeconomic mediation framework of Dufour and Wang (2025) to a monthly U.S. proxy SVAR identified with the high-frequency shocks of Bauer and Swanson (2023), decomposing the price-level response to a monetary policy shock into contributions from the interest rate, exchange rate, asset price, credit, and inflation-expectations channels. Preliminary results indicate that the interest rate channel contributes the most to the initial decline in inflation, while the asset price and inflation-expectations channels contribute more at later horizons. The inflation-expectations channel is noticeably less important in post-1982 samples, suggesting it matters most when inflation expectations are less firmly anchored.
An earlier version of this project, focused on Canada, received the 2025 James Dean Award for best ECON 900 paper at Simon Fraser University.
Beyond the Policy Rate: The Hidden Stance of Monetary Policy in Canada
How should the contributions of the policy rate and the central bank balance sheet be combined into a single measure of the monetary policy stance in Canada? We model the stance as a weighted composite of the policy rate and a balance-sheet policy measure, with the weight estimated jointly with the dynamics of key Canadian macro-financial variables in a structural Bayesian VAR. This extends the U.S. framework of Mojon et al. (2025) to Canada, incorporates small-open-economy dynamics and U.S. spillovers, and lets standard structural tools—impulse responses and historical decompositions—apply consistently across effective-lower-bound and non-ELB episodes.