Post-Doctoral Researcher, Chair of International Finance, Swiss Finance Institute, École Polytechnique Fédérale de Lausanne.
| AREAS OF INTEREST Open Economy Macroeconomics, Bayesian Estimation of Dynamic Stochastic General Equilibrium Models. ACADEMIC PROFILE
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PAPERS
1. ‘Dissecting the Dynamics of the US Trade Balance in an Estimated Equilibrium Model’. with Gert Peersman. Ghent University Faculty of Economics and Business Administration Working Paper 2008/544. Under Revision. The last version is available at http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1308812. New version will be uploaded later this month.
Abstract: In an estimated two-country DSGE model, we find that shocks to the marginal efficiency of investment account for about three-fourth of the forecast variance of cyclical fluctuations in the US trade balance. These investment demand shocks may proxy more fundamental shocks to financial intermediation as we find that their estimates, home and abroad, are negatively correlated to the external finance premium. On the other hand, while traditional technology shocks can generate counter-cyclical trade balance dynamics, they matter very little for the overall forecast variance.
2. ‘Deep Habits, Price Rigidities and the Consumption Response to Government Spending’. Ghent University Faculty of Economics and Business Administration Working Paper 2010/641. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1513909. Revised and Resubmitted.
Abstract: This paper inspects the ‘deep’ habits mechanism originally used by Ravn, Schmitt-Grohé and Uribe (2006) to generate the positive comovement of public and private consumption observed in many VAR studies. In their set-up, the price-elasticity of demand is pro-cyclical and it is optimal for the firm to lower the mark-up while expanding production after the fiscal shock, raising the demand for labor and the real wage. Consequently, agents substitute consumption for leisure and overcome the negative wealth effect of the fiscal expansion. Here, we show that increasing price stickiness reduces the impact of the fiscal shock on the real wage and hinders the rise of consumption. If the degree of price stickiness is high enough, consumption is crowded out. This is in contrast to the role of price rigidities in the standard New Keynesian model where they weaken the crowding out of consumption.
3. ‘Disaggregating Real Exchange Rate Dynamics: A Structural Approach’. Ghent University Faculty of Economics and Business Administration Working Paper 2010/655. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1544586. Submitted.
Abstract: This paper employs a small open economy DSGE model, estimated over 1986-2009, to decompose the dynamic influence of domestic and international prices on the Canada-US real exchange rate. While the real exchange rate mimics the dynamic behavior of the relative price of non-tradables in terms of tradables in response to a non-tradable sector-specific disturbance, the purely tradable component dominates in the case of other shocks, irrespective of their structural origin. Variance decompositions reveal that the sources of the movements in the tradable component lie in unsystematic deviations from uncovered interest parity as well as import price mark-up shocks. Consequently, these disturbances are far more potent than internal tradable or non-tradable sector-specific disturbances in driving real exchange rate fluctuations.