Working Papers

Disentangling Demand and Supply Inflation Shocks from Chilean Electronic Payment Data (with N. Eterovic and G. Carlomagno) [Working Paper] Comments welcome

We propose a novel methodology to track inflation dynamics in Chile by identifying supply and demand shocks at a highly disaggregated level using prices and quantities information from electronic payments data. We estimate SVAR models where supply and demand shocks are identified with sign restrictions. These estimates are then used to group products into categories of CPI inflation. As opposed to similar studies using categorical-level regressions (e.g., Shapiro, 2022), supply and demand shocks may coexist at a given point in time for a particular category, providing a much richer environment for the policymaker. For the Chilean case, our decomposition provides a reasonable narrative to explain the dynamics of inflation since the start of the COVID-19 pandemic and thereafter. The decomposition of headline inflation obtained by adding up the disaggregates is consistent with that coming from a large DSGE model of the Chilean economy. 

Presented at: Banco Central de Chile,  LACEA-LAMES 2023 (scheduled). 

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 measures of dispersion and skewness to characterize the conditional distribution of global inflation. I document that these measures evolve over time and are complementary to the global mean factor. I also provide evidence of predictive gains from these measures to point and upper-tail forecasts of domestic inflation, but only during periods of high and volatile inflation. Therefore, higher moments of global inflation may serve as a useful complement to existing inflation risk indicators, particularly at the current juncture.

Presented at: MMF PhD Conference 2023, Oxford/Warwick Macroeconomics Workshop, IAAE 2023, MMF Society Conference 2023, Bank of Spain (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.