Related papers: Identification at the Zero Lower Bound
Unconventional monetary policy (UMP) may make the effective lower bound (ELB) on the short-term interest rate irrelevant. We develop a theoretical model that underpins our empirical test of this `irrelevance hypothesis' based on the simple…
The notion that an independent central bank reduces a country's inflation is a controversial hypothesis. To date, it has not been possible to satisfactorily answer this question because the complex macroeconomic structure that gives rise to…
I develop algorithms to facilitate Bayesian inference in structural vector autoregressions that are set-identified with sign and zero restrictions by showing that the system of restrictions is equivalent to a system of sign restrictions in…
We argue that a negative interest rate policy (NIRP) can be an effect tool for macroeconomic stabilization. We first discuss how implementing negative rates on reserves held at a central bank does not pose any theoretical difficulty, with a…
In this paper, we investigate the effectiveness of conventional and unconventional monetary policy measures by the European Central Bank (ECB) conditional on the prevailing level of uncertainty. To obtain exogenous variation in central bank…
We consider identification and estimation with an outcome missing not at random (MNAR). We study an identification strategy based on a so-called shadow variable. A shadow variable is assumed to be correlated with the outcome, but…
We study how a central bank should dynamically set short-term nominal interest rates to stabilize inflation and unemployment when macroeconomic relationships are uncertain and time-varying. We model monetary policy as a sequential…
We consider missingness in the context of causal inference when the outcome of interest may be missing. If the outcome directly affects its own missingness status, i.e., it is "self-censoring", this may lead to severely biased causal effect…
Sovereign credit ratings summarize the creditworthiness of countries. These ratings have a large influence on the economy and the yields at which governments can issue new debt. This paper investigates the use of a Multilayer Perceptron…
We develop a novel method for personalized off-policy learning in scenarios with unobserved confounding. Thereby, we address a key limitation of standard policy learning: standard policy learning assumes unconfoundedness, meaning that no…
Off-policy evaluation of sequential decision policies from observational data is necessary in applications of batch reinforcement learning such as education and healthcare. In such settings, however, unobserved variables confound observed…
This paper offers a synthesis of the empirical literature on the effects of monetary policy. Using the findings from an extensive collection of meta-analyses, it evaluates the effectiveness of conventional and unconventional monetary policy…
A fundamental question underlying the literature on partial identification is: what can we learn about parameters that are relevant for policy but not necessarily point-identified by the exogenous variation we observe? This paper provides…
The manipulation of LIBOR by a group of banks became one of the major blows to the remaining confidence in financial industry. Yet, despite an enormous amount of popular literature on the subject, rigorous time-series studies are few. In my…
How should we evaluate the effect of a policy on the likelihood of an undesirable event, such as conflict? The significance test has three limitations. First, relying on statistical significance misses the fact that uncertainty is a…
We study inference on the optimal welfare in a policy learning problem and propose reporting a lower confidence band (LCB). A natural approach to constructing an LCB is to invert a one-sided t-test based on an efficient estimator for the…
In this paper, we investigate a semiparametric regression model under the context of treatment effects via a localized neural network (LNN) approach. Due to a vast number of parameters involved, we reduce the number of effective parameters…
This paper analyzes the bank lending channel and the heterogeneous effects on the euro area, providing evidence that the channel is indeed working. The analysis of the transmission mechanism is based on structural impulse responses to an…
When decision-makers can directly intervene, policy evaluation algorithms give valid causal estimates. In off-policy evaluation (OPE), there may exist unobserved variables that both impact the dynamics and are used by the unknown behavior…
I present an analytic method for estimating the errors in fitting a distribution. A well-known theorem from statistics gives the minimum variance bound (MVB) for the uncertainty in estimating a set of parameters $\l_i$, when a distribution…