I am a Postdoc Prize Research Fellow at the Department of Economics and Nuffield College at Oxford University. Before joining Oxford, I obtained Ph.D. in Economics from Simon Fraser University and worked at the Bank of Canada. I have a broad research interest in macroeconomics and monetary economics, with a concentration on the role of belief heterogeneity and wealth distribution in the financial markets, as well as optimal macroeconomic policy timing issues.
The dynamics of wealth inequality are studied in a continuous-time Blanchard/Yaari model. Investment returns are idiosyncratic and subject to Knightian uncertainty. In response, agents formulate robust portfolio policies. These policies are nonhomothetic; wealthy agents invest a higher fraction of their wealth in uncertain assets yielding higher mean returns. This produces a feedback mechanism that amplifies inequality. It also produces an accelerated rate of convergence, which helps resolve a puzzle recently identified by Gabaix et al. (2016). An empirically plausible increase in uncertainty can account for about half of the recent increase in top wealth shares.
D31, D81, Inequality, Robustness
“WAIT-AND-SEE” MONETARY POLICY
<jats:p>This paper develops a model of the optimal timing of interest rate changes. With fixed adjustment costs and ongoing uncertainty, changing the interest rate involves the exercise of an option. Optimal policy therefore has a “wait-and-see” component, which can be quantified using option pricing techniques. We show that increased uncertainty makes the central bank more reluctant to change its target interest rate, and argue that this helps explain recent observed deviations from the Taylor Rule. An optimal wait-and-see policy fits the target interest rates of the Fed and Bank of Canada better than the Taylor Rule.</jats:p>