Research Projects
Using Natural Language Processing to Identify Monetary Policy Shocks
with Marc Schranz and Larissa Schwaller
Abstract: Identifying the causal effects of monetary policy is challenging due to the endogeneity of policy decisions. In recent years, external instruments - particularly high-frequency monetary policy surprises - have been increasingly used for identification. However, market-based surprises around Federal Open Market Committee (FOMC) announcements often suffer from weak relevance and endogeneity. This paper refines these measures by incorporating policy-relevant speeches from Federal Reserve Board members, thereby improving the instrument's relevance. Using state-of-the-art Natural Language Processing techniques, we predict changes in market expectations based on the text of FOMC statements and Federal Reserve speeches, isolating the component of surprises driven solely by central bank communication. Our results suggest that these language-driven monetary policy surprises mitigate endogeneity concerns and align more closely with economic theory than traditional market-based measures.
The Phillips Trade-off from a Historical Perspective: A Multi-Country Analysis
Abstract: I estimate Bayesian VARs and use two identification strategies to analyse the impact of structural disturbances on the unemployment-inflation trade-off for different monetary regimes in seven countries. Using two to four sub-samples per country, I obtain three key results. First, sub-periods starting in the 1970s are associated with stronger responses from economic variables, leading to greater positive and negative Phillips trade-offs. Second, I observe a muted reaction to some shocks after the Great Financial Crisis. Finally, I find that the United States and the Euro Area often present unique reactions to structural disturbances. Altogether, results over the sub-samples differ significantly. Hence, using shorter samples, fixed coefficients, and including multiple countries proves vital in understanding economic forces.
Other Projects
Comparing the pandemic recession of 2020 to the historical recession experience
with Nina Dorta and Christian Hepenstrick
Economic Note at the Swiss National Bank, 2022
The Impact of Permanent and Transitory Shocks on Monetary Aggregates: A Structural VAR Approach
Master Thesis, 2020
