Annual Conference

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International Macroeconomics, Money & Banking

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May 2019

We develop a U.S. monetary policy shock series that stably bridges periods of conventional and unconventional policymaking, is largely unpredictable, and contains no significant central bank information effect. We attribute differences between our measure and often-used alternatives to our econometr...
Keywords: Monetary policy shocks, Policymaking, interest rates, inflation
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Annual Conference

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Investment Finance

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May 2024

This paper employs various machine learning models to analyze how stock characteristics (the "factor zoo") and behavioral biases (the "bias zoo") affect the returns of millions of retail investors in India. We observe that Neural Networks outperform other machine learning and OLS models in uniquely ...
Keywords: Machine Learning, behavioral biases, Retail Investors
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2018

Many studies estimate a shadow interest rate, which can be negative when the short-term rate is at the effective lower bound, and use it as the monetary policy indicator. This study proposes a novel method to estimate the shadow rate using survey forecasts of macroeconomic variables and allowing the...
Keywords: monetary policy, Effective Lower Bound, zero lower bound, Shadow Rate, Survey Forecasts
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Annual Conference

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Economic Transformation of Asia

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May 2017

This paper develops a model of endogenous productivity to examine the impact of public infrastructure investment on output. It matches firm-level production data with province-level infrastructure data to address a set of wellknown identification issues in the literature, and employs a structural es...
Keywords: Public Infrastructure Investment, Productivity, Rate of Return, Resource Reallocation
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Annual Conference

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International Macroeconomics, Money & Banking

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May 2017

We propose a tractable and coherent framework that captures both conventional and unconventional monetary policies with the shadow fed funds rate. Empirically, we document the shadow rate’s resemblance to an overall financial conditions index, various private interest rates, the Fed’s balance sh...
Keywords: Shadow Rate, New Keynesian model, unconventional monetary policy, zero lower bound, QE, lending facilities
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