📣 We are excited to share the program for the IM-TCD virtual seminar series 2025-26! Would you like to join? Sign up here 👇: forms.office.com/e/hYhCPCZ2Lp @tcdeconomics.bsky.social #EconBlueSky #EconSky

Nice short paper with a new way to demonstrate how critical assumptions about policy are for model dynamics

Justifications for the "central bank information effect" are largely abstract. But a new WP floats a tangible mechanism: the FOMC sometimes gets early access to important manufacturing data. My first substack uses these claims to assess the broader debate whymacro.substack.com/p/the-fed-in...

🧵It was a great pleasure to work with excellent colleagues across the ‪@federalreserve.gov‬ on a paper for the FOMC framework review. Thanks to my coauthors Travis Berge, Giuseppe Fiori, Francesca Loria, Molin Zhong. You can find the paper here: www.federalreserve.gov/econres/feds... 1/3

A much needed meta-analysis with an extensive replication repo to boot

Interested in top-notch research in monetary economics? Join us for this new online seminar series, co-hosted CEPR's Monetary Economics and Fluctuations program and our Center for Monetary Research! @ivanwerning.bsky.social will kick things off on Sep-4. Sign up: cepr-org.zoom.us/webinar/regi...

A typical centerpiece of papers probing "monetary policy's effect on x" or "how does x affect MP's effects on y" is results from a LP or VAR with an off the shelf monetary surprise series. Some papers asking important questions about how to do and think about these exercises ⬇️ #EconSky

🧵: What does monetary policy do? Our best evidence comes from quality empirical monetary policy shocks (EMPS) using high-frequency and narrative methods. … but what *are* these shocks?

Connor Brennan, Maggie Jacobson, Todd Walker, and I have now made the shock series we created for our “Monetary Policy Shocks: Data or Methods?” paper public. Any comments are greatly appreciated! Data: doi.org/10.7910/DVN/MQ… Paper: cm1518.github.io/files/BMW.pdf

🚨New paper with Veronica Guerrieri and Guido Lorenzoni Was the recent inflation surge due to a lack of coordination? Can lack of coordination lead to too much inflation? Yes, we show. Especially in response to global supply shocks. link to paper: economics.mit.edu/sites/defaul... 1/n🧵

Editing our writing is a common academic task. I *hate* how spell/grammar checks annoy me by thinking proper nouns or LaTeX code are misspellings (yes, I want `` ''). I also want *style* tips like a good editor would give me. Problem solved. 1/5

New! Efficient Estimation of Nonlinear DSGE Models, w/ Sean McCrary 📄 papers.ssrn.com/sol3/papers.... We propose a broadly applicable computationally efficient method for full-information estimation of nonlinear DSGE models. It avoids two key bottlenecks: global solutions and nonlinear filters.

What's happening with inflation expectations? Two often used household surveys disagree: - the Michigan MSC says inflation expectations are up - the NY Fed SCE says they're not... Which one is it? New blog by Oli Coibion and @ygorodnichenko.bsky.social says: MSC is right! Find out why ⬇️

Paper alert: "Scalable Global Solution Techniques for High-Dimensional Models in Dynare" (papers.ssrn.com/sol3/papers....), code: nvls. co/Dynare/GlobalMethods/SparseGrids (joint work with N. Rion, M. Juillard, A. Eftekhari)

Response rates to statistical surveys have been plummeting. www.frbsf.org/research-and...

#EconSky: Favorite empirical papers on firms' objective function and whether firms optimize? I'm specifically interested in the concept that firms may only re-optimize (e.g. pricing) infrequently, once they get hit by a shock. Whether because of inertia or adjustment costs.

Bayesian logic in entrepreneurial experimentation continues to apply under Knightian uncertainty, from @joshgans.bsky.social https://www.nber.org/papers/w33507

Deriving asymptotically unbiased estimates of the multi-step forecasting risk and the impulse response estimation risk to determine hyperparameters in settings where the Bayesian vector autoregressions is (potentially) misspecified, from González-Casasús and Sch... https://www.nber.org/papers/w33474

I couldn't agree more! The excessive focus on linearized solutions to HA models is a bit like the old joke about the drunk who is looking for a key under a lamppost because that's where the light is. More discussion of why we need non-linear models and ways forward here benjaminmoll.com/challenge/

Some machine learning methods — like "old-school" Ridge — outperform sparsity-oriented approaches in leveraging weak signals for economic prediction, from Zhouyu Shen and Dacheng Xiu https://www.nber.org/papers/w33421

Another good one from Plagborg-Møller and co! #EconSky

Modern supply chains don't look like trade theory 101! They involve constant border crossings, each now hit by tariffs. Tariffs raise prices, but the more important thing they do is disrupt supply relationships. 1/

One of the wildest facets of the last couple years is that not only are we seeing a stealth deleveraging of consumers' housing balance sheet (subdued origination -> amortization rolls along and fixed payments shrink vs rising incomes) but also an outright deleveraging for non-housing debt too.

Thanks @davideromelli.bsky.social for making this great data set available: "The dataset features 35,487 unique speeches from 131 central banks, for the period going from the beginning of January 1986 (date of the first online speech by a central bank) to the end of December 2023."

My traditional end-of-year review: some papers I read and liked in 2024. donskerclass.github.io/post/papers-...

We concluded our first round interviews this week for a position in econometrics. Wow, I'm glad I was on the market a long time ago. So many brilliant young minds. Some relatively obvious themes in topics: #econsky

Want to solve heterogeneous-agent models with multiple endogenous state variables, say a multi-asset HANK model? @soroushs.bsky.social and @patricksecon.bsky.social developed a much-improved finite-difference scheme for such problems: github.com/SSabet/Neste... Also here benjaminmoll.com/codes/

I didn't know this talk was being recorded, but the videos for all the ACM-EC workshops are online! Check the rest of the session out too for some very helpful computational macro tips. youtu.be/XYGR3lnbK34?...

Thanks to @donskerclass.bsky.social I found that recordings of our ACM EC-24 talks are online. In case you are interested, my overview-ish talk on deep learning based solution methods (focus on aggregate risk and OLG) is available here: youtu.be/CPQpXc5PCJU?... #econsky

Hard to overstate how revelatory this paper was for me — one takeaway I had from it was "small fixed costs can really deter people from optimizing." Which made me think about a few other recent papers where fixed optimization costs are a key ingredient:

Now that @benmoll.bsky.social has gotten everybody's attention, let me tell you about the JMP of my brilliant student Michael Cai, which deals directly with Ben's challenge: How can we model expectations in HA models in a way that is both tractable and consistent with the evidence? #EconSky

New paper: benjaminmoll.com/challenge/

Hi Galo, I added you to the macro&monetary starter pack go.bsky.app/33aE55c

My friend and colleague Joe Anderson is on the market with an incredible #EconJMP on equilibria when government debt is issued in a way that conflicts with the central banks' objectives. One of those papers where after reading you see all relevant news through its lens! #EconSky (🧵 below)

New working paper from Kolesár and Plagborg-Møller is a must read for anyone using VARs or LPs (so pretty much everyone in macro these days..)! #EconSky

#EconSky Possibly biased because I am already firmly in this camp, but good new paper making the case for economists to make heavy investment into deep learning. Hope to share my experiences using PyTorch to solve highly non-linear models soon www.galonuno.com/uploads/1/3/...