This paper develops a small open economy model with nominal rigidities and search-matching frictions to study the implications of exchange rate pass-through for monetary policy in emerging countries. I find that, with complete exchange rate pass-through, the optimal policy rule features...

On average between 1981 and 2007, output per capita in Hong Kong grew at an annual rate of 3.2 percent. But economic performance over the period was far from even. Between 1987 and 1997, output per capita averaged 9.7 percent above its long run growth path. In 1997, the feast ended and the...

We confirm that standard time-series models for US output growth, inflation, interest rates and stock market returns feature non-Gaussian error structure. We build a 4-variable VAR model where the orthogonolised shocks have a Student t-distribution with a time-varying variance. We find that in...

In this paper, we provide evidence that fat tails and stochastic volatility can be important in improving in-sample fit and out-of-sample forecasting performance. Specifically, we construct a VAR model where the orthogonalised shocks feature Student’s t distribution and time-varying variance....

This article provides empirical evidence that aggregate funding liquidity shocks and monetary policy shocks contribute to the business cycles in the United States. I estimate a structural VAR model with monthly macro-financial data, and identify the structural shocks based on the recursiveness...

This paper develops a small open economy model with nominal rigidities and search-matching frictions to study the implications of the degree of exchange rate pass-through for fiscal multipliers. I allow for delayed pass-through to both imported consumption goods prices and imported intermediate...