Publications

“A Structural Investigation of Quantitative Easing” (2022, Review of Economics and Statistics) with Gregor Boehl and Felix Strobel.

Other versions: Bundesbank working paper (Jan 2021). DNB working paper (Aug 2020). IMFS Working paper (Jun 2020).

Media: VoxEU.

Abstract: Using nonlinear Bayesian methods that fully account for the binding zero lower bound (ZLB), we estimate a large-scale macro-finance DSGE model on US data. Counterfactual analysis suggests that by easing financing conditions, quantitative easing facilitated a net increase in aggregate investment. The resulting expansion of firms’ production capacities lowered their marginal costs. These disinflationary supply side effects dominated over the inflationary effects induced by the stimulus to aggregate demand. At the ZLB, the concomitant rise in real interest rates, in turn, induced a net fall in aggregate consumption.

“Forward guidance and the role of central bank credibility under heterogeneous beliefs” (2022, Journal of Economic Behavior & Organization) with Cars Hommes and Kostas Mavromatis

Other versions: DNB working paper (Dec 2018)

Abstract: This paper studies the macroeconomic effects of central bank forward guidance when central bank credibility is endogenous. In particular, we take a stylized New Keynesian model subject to an occasionally binding zero lower bound constraint on nominal interest rates and heterogeneous and boundedly rational households. The central bank uses a bivariate VAR to forecast, not taking into account the time-variation in the distribution of aggregate expectations. We extend the central bank’s toolkit to allow for the publication of its own forecasts (Delphic guidance) and the (imperfectly credible) commitment to a future path of the nominal interest rate (Odyssean guidance). We find that both Delphic and Odyssean forward guidance increase the likelihood of recovery from a liquidity trap. While Odyssean guidance can increase ex post macroeconomic volatility, it still appears to be more powerful.

“Home biased expectations and macroeconomic imbalances in a monetary union” (2019, Journal of Economic Dynamics and Control) with Dennis Bonam.

Other versions: DNB working paper (Jun, 2017)

Media: Central Banking.

Abstract: Under monetary union, economic dynamics may diverge across countries due to regional inflation differentials and a pro-cyclical real interest rate channel, yet stability is generally ensured through endogenous adjustment of the real exchange rate. The speed of adjustment depends, inter alia, on the way agents form expectations. We propose a model in which agents’ expectations are largely based on domestic variables, and less so on foreign variables. We show that such home bias in expectations strengthens the real interest rate channel and causes country-specific shocks to generate larger and more prolonged macroeconomic imbalances.

Working Papers

“Natural Rate Chimera and Bond Pricing Reality” (Mar 2022, under revision) with Claus Brand and Wolfgang Lemke. ECB working paper (Nov 2021). DNB working paper (Jan. 2020).

Abstract: We build a novel macro-finance model that combines a semi-structural macroeconomic module with arbitrage-free yield-curve dynamics. We estimate it for the United States and the euro area using a Bayesian approach and jointly infer the real equilibrium interest rate (r∗), trend inflation (π∗), and term premia. Similar to Bauer and Rudebusch (2020, AER), π∗ and r∗ constitute a time-varying trend for the nominal short-term rate in our model, rendering estimated term premia more stable than standard yield curve models operating with time- invariant means. In line with the literature, our r∗ estimates display a distinct decline over the last four decades.

“Should developed economies manage international capital flows? An empirical and welfare analysis” (Mar 2022, R&R at OBES) with Dennis Bonam and Emmanuel de Veirman. DNB working paper (Dec 2020). Media: SUERF policy note. Central Banking.

Abstract: At least since the euro area sovereign debt crisis, it is evident that country risk premium shocks have adverse economic effects, not only in emerging economies, but advanced economies as well. Using a Bayesian Panel Vector Autoregression model, we find that increases in the risk premium lower output under monetary union, yet not in countries with flexible exchange rates and independent monetary policies. We study the transmission mechanism in a two-country New Keynesian model and show that capital controls substantially attenuate the effects of risk premium shocks. However, the welfare gain of imposing capital controls hinges on the nature of the shock and the prevailing exchange rate regime.

Work in progress

“The Macroeconomic Effects of QE in the Euro Area: Evidence from a Structural Estimation”, with Gregor Boehl.

Policy work and discussions

ECB occasional paper, “Rate forward guidance in an environment of large central bank balance sheets: a Eurosystem stock-taking assessment“, Monetary Policy Committee, Taskforce on Rate Forward Guidance and Reinvestment, edited by Günter Coenen, Carlos Montes-Galdón, Arthur Saint Guilhem, John Hutchinson and Roberto Motto.

ECB occasional paper, “The ECB’s price stability framework: past experience, and current and future challenges“, Report of the ESCB work stream on the price stability objective, led by Martina Cecioni, Günter Coenen, Rafael Gerke, Hervé Le Bihan and Roberto Motto.

ECB occasional paper, “Employment and the conduct of monetary policy in the euro area“, Report of the ESCB work stream on employment, led by Claus Brand, Günter Coenen, Reamonn Lydon, Meri Obstbaum and David Sondermann.

“The market-implied effects of the Biden stimulus and the Fed’s new policy framework“, VoxEU March 2021, with Annelie Petersen and Meilina Hoogland.

“Gauging the impact of COVID-19 on market-based inflation expectations“,  VoxEU, May 2020, with Dirk Broeders, Annelie Petersen and Nander de Vette.

“Marktrentes reageren sterk op pandemie-aankoopprogramma“, ESB, April 2020 (in Dutch), with Jan Willem van den End

“The Impact of the COVID-19 crisis on the Equilibrium Interest Rate“, VoxEU April 2020, with Jan Willem van den End

“What drives low market-based inflation measures?“, VBA Journaal, 2020, with Dirk Broeders, Annelie Petersen and Nander de Vette.

Macroeconomic Policy in the EU:

Master-level course at the Vrije Universiteit, Amsterdam, Spring 2021, 2022

Mathematics:

Undergraduate-level course at the University of Amsterdam, Teaching assistant to Dr. Joris Marée and Dr. Arjen Valstar, Fall 2015, 2016 and 2017

Macroeconomics II:

Graduate-level course at the Tinbergen Institute, Teaching assistant to Prof. Dr. Christian Stoltenberg, Spring 2015

Thesis supervision for BSc Econometrics:

Section of Quantitative Economic, Amsterdam School of Economics , Spring 2016