Estimation of time-series models using stability restrictions. Estimation proceeds in a generalised method of moments framework using an inferential procedure that searches for candidate values of the parameters of interest.

We measure income risk for wage earners in Argentina using administrative data with individual-level wages. We then study the macroeconomic consequences of the dynamics of income risk during the cycle.

We empirically study the volatility spillover between equity and exchange rate returns in Australia.

We measure liquidity production at individual banks in Argentina. We then study how the production of liquidity by each banks is influenced by the production by other banks connected in the interbank network. We focus on the potential amplifying effect the network has on liquidity production.

This paper investigates the fiscal-monetary policy mix in the U.S. using econometric methods that are robust to weak instruments and exploit information in structural changes. We find that the post-WWII economy is mainly characterised by an active monetary-passive fiscal policy regime, though we cannot preclude the Fiscal Theory of the Price Level during the 1960s and ’70s owing to a passive monetary-active fiscal policy mix. Nevertheless, our findings suggest that self-fulfilling inflationary expectations and sunspot fluctuations, induced by a passive monetary-passive fiscal policy mix, can be ruled out as an explanation of the Great Inflation episode.

We investigate the effects of monetary policy on equity returns and vice-versa in the US before, during and after the effective lower bound period (ELB) on interest rates. We use an inferential method in a (structural) VAR framework that exploits shifts in the volatility of shocks that affect equity returns and interest rates. Those shifts allow disentangling both effects without imposing restrictive assumptions previously used. We find dramatic changes in the relationship between monetary policy and equity returns over the period. Before the ELB period, policymakers reacted to increases in stock returns by raising the interest rate. This reaction becomes negative or muted since the ELB period. Regarding the stock market response to monetary policy, we find that a contractionary monetary policy that raises the policy rate decreases equity returns before the ELB period. Since then, however, we estimate that a rise in the policy rate increases returns, even after the ELB period. We show that this positive response of returns is driven by contractionary monetary policy lowering the expected equity premium.

Capital regulation on banks aims to reduce the probability of failures. In theory, the effect of capital buffers in preventing failures could depend on the linkages among financial institutions. These linkages are nevertheless usually omitted in empirical models. I study the effectiveness of capital regulation in preventing failures using a spatial autoregressive probit model, which accommodates links among banks and feedback effects. I study the Argentinian banking crisis of 2001 for which I build the complete interbank network. By allowing linkages between banks, estimates from the spatial model show that capital regulation is 50% less effective than estimates of a model in which banks are not interconnected.

Summary of the Code example 1 project

Summary of the Data example 1 project