Research
Working Papers
Comovement of Economic Activity During the Covid Recession with James H. Stock and Mark W. Watson
Negative Control Identification of Monetary Policy (Job Market Paper)
This research introduces a novel identification method for monetary policy analysis using the negative control approach. The method combines elements of conditional exogeneity and instrumental variables while avoiding traditional exogeneity assumptions. Rather than relying solely on exogeneity, it leverages “endogeneity as much as exogeneity” by focusing on the confounding mechanism itself.
The paper applies this approach to identify causal effects of market interest rates on macroeconomic outcomes using: - Macroeconomic news measures - Fed policy indicators - Two critical orthogonality restrictions
The empirical application benchmarked against prior IV-based research (Bauer and Swanson, 2023) suggests that improper use of additional observable variables may underestimate monetary policy’s actual impact on the economy.
Presentations
Consumer Science Summit (CSS), Amazon Causal Macroeconomic Analysis in State Space Models
Research Interests
- Macroeconomic forecasting
- Time series econometrics
- Causal inference
- State space models
- Bayesian and frequentist methods