I am an applied macroeconomist and have published a range of empirical papers on topics including the identification of monetary policy shocks and their transmission to the real economy and financial markets, testing open economy models of the output-inflation tradeoff and evaluating the effects of international differences in labour market institutions. I am also interested in macroeconomic policy issues and have edited collections of papers on unconventional monetary policy and debt management strategies. My most recent research has examined the impact of monetary policy decisions on the banking system.
In Oxford I teach a range of undergraduate and graduate courses in macroeconomic theory and policy and applied monetary economics, as well as supervising graduate research. I have served on the editorial boards of the Oxford Bulletin of Economics and Statistics and the Oxford Review of Economic Policy and from January 2012 to June 2017 I served as Secretary to the Board of the Review of Economic Studies.
I am a Fellow of Oriel College where I am Director of Studies in Economics. At Oriel I served as the Tutor for Admissions and Outreach from 2013 to 2015, and continue to serve on a range of college committees.
Before taking up my current post in 2006 I was a British Academy Post-doctoral Research Fellow at Nuffield College, Oxford, and before that I did my doctoral work in Oxford after reading for the Economics Tripos at the University of Cambridge. I have worked as a research consultant to the European Central Bank and on a range of projects for private sector organizations.
The Open Economy Consequences of U.S. Monetary Policy
A failure to identify movements in the federal funds rate that are both unpredictable and independent of other determinants of open economy variables may lead to attenuation bias in the estimated effects of U.S. monetary policy on the exchange rate and foreign variables. Using a U.S. monetary policy measure which isolates unpredictable and independent federal funds rate changes, we quantify the magnitude of the attenuation bias for the exchange rate and foreign variables. The exchange rate appreciation following a monetary contraction is up to 4 times larger than a recursively-identified VAR estimate. There is stronger evidence of foreign interest rate pass-through. The expenditure-reducing effects of a U.S. monetary policy contraction dominate any expenditure-switching effects, leading to a positive conditional correlation of international outputs and prices. We compare our results with those obtained using identification based upon: (1) non-recursive VAR restrictions; and, (2) restrictions derived from high frequency asset price behavior.
Open economy codependence: US monetary policy and interest rate pass-through
We analyze the international transmission of interest rates under pegged and non-pegged exchange rate regimes, demonstrating that transmission depends upon the informational properties of a base country’s interest rate change. We differentiate between interest rate movements which are predictable/unpredictable and dependent/independent (i.e., a function of non-monetary factors such as cost-push inflation). Under capital mobility, we show that predictable or dependent interest rate changes should elicit interest rate pass-through for an imperfectly credible peg that is less than unity, whilst interest rate changes that are unpredictable and independent should elicit pass-through greater than unity. Using a real-time identification of unpredictable and independent U.S. federal funds rate changes, we provide evidence consistent with these propositions. When the federal funds rate change is unpredictable and independent, the joint hypothesis of unit within-month pass-through to pegs and zero within-month pass-through to non-pegs cannot be rejected. The same hypothesis is strongly rejected following actual, aggregate federal funds rate changes which include predictable and dependent components. In a dynamic context, we find that maximum interest rate pass-through to pegs is delayed. Moreover, even though there is a full transmission of unpredictable and independent federal funds rate changes, they explain only a small portion of pegged regime interest rate changes.
Keywords; interest rate pass-through, monetary policy identification, open economy trilemma, exchange rate regime.
CSAE Working Paper Series
Openness and inflation volatility: Cross-country evidence
Recent decades have seen a considerable expansion of global trade and a simultaneous
decline in inflation volatility. This paper investigates whether greater openness to
trade helps achieve inflation stability. Using panel data for a sample of developing
and industrial countries over the period 1961-2000, we document a negative and
statistically significant effect of openness on inflation volatility. This relationship
is estimated after controlling for the potential endogeneity of openness, and the average
rate of inflation. We conduct a battery of robustness tests, showing in particular the
robustness of our conclusions to controlling for the choice of exchange rate regime.
A sub-sample analysis suggests that the relationship between openness and inflation
volatility is more pronounced in developing and emerging market economies than in OECD
countries. We also identify potential channels underpinning this relationship. In
particular, we provide evidence that openness may promote inflation stability through
dampening monetary and terms of trade shocks.