Working Papers

Global Inflation and Inflation Risks  [Draft coming soon]

A number of studies document that a single global (mean) factor tracks the level and persistence of inflation rates reasonably well in advanced economies. However, little is known about their higher-order co-movement, despite being relevant from a policy viewpoint and for forecasting. Using quantile factor models, I construct global factors of dispersion and skewness to characterize the conditional distribution of global inflation. These factors evolve over time and are complementary to the global mean factor. I also provide evidence of predictive gains from the three factors to point and upper-tail forecasts of domestic inflation, but only during periods of high and volatile inflation. Global inflation factors thus serve as a useful complement, particularly at the current juncture, to existing inflation risk indicators. 

Presented at: MMF PhD Conference 2023 (scheduled), Macroeconomics Workshop at University of Warwick (scheduled), and IAAE 2023 (scheduled).

The Global Transmission of U.S. Trade Policy Uncertainty Shocks [Draft] Comments welcome

This paper studies the spillovers of US Trade Policy Uncertainty (TPU) shocks on a number of macroeconomic and financial variables in 36 advanced and emerging economies. For identification, I use narrative sign restrictions based on stock market jumps caused by news about future TPU and show that they are highly informative to gauge the effects of TPU shocks. Evidence from panel local projection methods shows that these shocks reduce industrial production, trade, and stock prices, in all countries in the sample, and lead to a depreciation of the exchange rate on average. Consumer prices increase in emerging economies as opposed to advanced ones. Finally, I document a stronger impact on stock markets than on macroeconomic variables both in the US and abroad. 

Presented at: LACEA-LAMES 2021, RES 2022, MMF PhD Conference 2022, IAAE 2022, Macroeconomics Workshop at University of Warwick, 2nd Quick Talks on Macroeconometrics Workshop at King’s College London, 4th Finance and Economics Workshop at Queen Mary University, and Workshop on Financial Econometrics at Lancaster University (scheduled).