Hi! I am an empirical macroeconomist with research interests in monetary economics, international macroeconomics and macro-finance. My current work examines the impact of unconventional monetary policies on the real and financial economy. I am also interested in understanding how households form expectations about macroeconomic aggregates.

You can download my job market paperLink opens in a new window here. For more information on my research, please visit my personal websiteLink opens in a new window.

I will join Ashoka UniversityLink opens in a new window as an Assistant Professor of Economics beginning August, 2024.

Research

Working papers

What explains the stock market's response to QE policy? Evidence from a decomposition of the S&P500 indexLink opens in a new window (Job market paper)

Abstract: This paper analyses the effects of Quantitative easing (QE) on the US stock market by decomposing the S&P500 index into two components, its risk-neutral fundamental value, and the equity premium. The causal effects of QE are identified by using a state-of-the-art IV that is based on high-frequency price revisions of the medium-long end of the yield curve, triggered by FOMC policy announcements. The IV is constructed by controlling for both information and risk premia shocks to identify QE policy shocks. Findings from a Structural Vector Autoregression (SVAR) model suggest that a QE policy shock increases the stock index, due to a rise in the risk-neutral fundamental component and a fall in the equity premium component. Both components display persistence, with the equity premium response declining gradually over a period of two years.

Work in progress

• Monetary transmission to financial markets in the Euro AreaLink opens in a new window 

Abstract: This paper examines the impact of monetary policy and risk premium shocks on financial markets in the Euro Area using an event study approach. The measure for shocks are obtained using factors extracted from high frequency surprises in financial market data that are orthogonal to information shocks - conventional policy, forward guidance (FG), quantitative easing (QE) and country risk factor, the latter being specific to Euro Area sovereign bond markets. I find that all factors impact risk-free and sovereign bond yields. The QE factor has the largest impact on exchange rates. The risk factor has a significant impact on Italian and Spanish bonds, along with the biggest effect on the stock index among all factors. The effect of each factor differs in its persistence based on the maturity of sovereign bonds. The FG and QE factor had a greater effect, and for longer, in other asset classes of the financial market.

• The role of labor markets in household inflation expectations (with Christine Braun and Gavin Hassall) (slides available on request)
• Monetary policy signals and shocks in the Euro Area (with Lucrezia Reichlin, Giovanni Ricco and Emanuele Savini)
• Spillover effects of Euro Area monetary policy (with Giovanni Ricco and Emanuele Savini)

Teaching

2020-22: EC9A2 Advanced MacroeconomicsLink opens in a new window

2018-20: EC201 MacroeconomicsLink opens in a new window 

2019-20: EC226 Introductory econometricsLink opens in a new window