New at JIE: "Has globalization changed the international transmission of U.S. monetary policy?" by Maximilian Boeck (@maxiboeck), Lorenzo Mori (@dSEA_Unipd) https://t.co/fpIcmu2X9V

Looking forward to a very interesting workshop on "Heterogeneous Macro Expectations – New Evidence and Theory" @FAUWiSo at the end of this week that I organize with @maxiboeck.

a counterfactual analysis, in which we impose that inflation expectations are insensitive to natural gas price shocks. This reduces the effect on inflation by 15 basis points after one year, pointing to pronounced second-round effects via price setting and wage bargaining.

price shocks. A 10% increase in natural gas prices raises inflation by 8 basis points on impact. Inflation increases further to 22 basis points after about one year, suggesting a role for second-round effects. To distinguish between first- and second-round effects, we conduct

Short summary: In this article, we investigate the recent hike in energy prices, in particular natural gas prices, and how it affects inflation expectations and inflation in the euro area. We find that inflation and inflation expectations are indeed sensitive to natural gas

Happy to share that our research article "Natural gas prices, inflation expectations, and the pass-through to euro area inflation" (joint work with Thomas Zörner, @oenb) just appeared in the new issue of Energy Economics. Link:

Brandnew paper by my colleague @maxiboeck in the JAE (open access). They revisit the question of how expectation errors influence business cycle dynamics. https://t.co/bV4TXaqmeK

Exciting news! Our PhD candidate, Lorenzo Mori, is on the #EconJobMarket this year! Check out his profile and research here: https://t.co/A7deW6y50h Lorenzo is an empirical macroeconomist. He's an expert on monetary & fiscal policy and the identification of macroeconomic shocks.

Thanks for organizing this great worksop at @jku_econ

that we restrict our analysis to U.S. monetary policy shocks but we analyze the reaction of a typical safe-haven country group consisting of the Swiss franc and Japanese Yen. We appreciate any feedback on the manuscript!

mainly happens through the interest rate differential. Crash risk is elevated when carry trade activity is elevated. To sum up, currency speculation is an amplifier of monetary policy transmission. This aligns well with the narrative evidence of recent events. However, we note

long and short futures position of non-commercial traders in the foreign currency) to discriminate between different levels of speculative carry trade activity. Overall, we find that higher carry trade activity leads to larger excess returns after shocks where the adjustment

standard monetary policy shocks and central bank information shocks. While the US dollar consistently appreciates to a monetary policy shock, it depreciates against most currencies for the information shock. We use the net open interest (defined as the difference between

In this paper, we investigate monetary policy shocks in the US with a special focus on developed and emerging market currency markets. Specifically, we examine how carry trade activity affects the transmission of U.S. monetary policy differentiating between

„The Impact of Carry Trade Activity on the Transmission of Monetary Policy“ (together with Alina Steshkova @wu_vienna and Thomas Zörner @oenb). See here:

🚨Working Paper Update 🚨 A recent interest rate hike of the Bank of Japan (BoJ) triggered a market sell-off due to a massive unwinding of Yen carry trades. If you are interested in how monetary policy and carry trade activity interacts, check out our heavily revised paper on 👇

for long-term expectations. Hence, our results point to no de-anchoring tendencies in the euro area. We are happy to discuss any comments on the paper!

insensitive to natural gas price shocks. This reduces the effect on inflation by 15 basis points after one year, pointing to pronounced second-round effects via price setting and wage bargaining. Lastly, effects are strongest for short-term inflation expectations and vanish

inflation directly via its component in the consumer price index and indirectly via higher production costs. To distinguish between first- and second-round effects, we conduct a counterfactual analysis. In this counterfactual, we impose that inflation expectations are

gas price shocks. A 10% increase in natural gas prices increases inflation by 8 basis points on impact. Inflation increases further to 22 basis points after about one year, suggesting a role for second-round effects. As first-round effects we consider that energy prices affect