I am an Assistant Professor in Economics at the Institute for International Economic Studies, Stockholm University. My research seeks to combine information economics with macroeconomics and finance. I am especially interested in the macroeconomic consequences of information frictions.
14/11/2017 - Banque de France, Paris
13/12/2017 - Cornell, Ithaca
06/01/2017 - AEA/ASSA, Philadelphia
An Informational Rationale for Action over Disclosure
The past two decades have seen a considerable increase in the amount of public information provided by policy makers. This paper proposes a novel rationale against such disclosure. Unlike other providers of public information, a policy maker can condition a policy instrument, such as a tax or an interest rate, on his information. This option allows the policy maker to control the influence of his information on market outcomes without the added obfuscation associated with partial disclosure. As a result, the exclusive use of a policy instrument is preferable in simple models in which externalities render full disclosure suboptimal. I show how this rationale extends from an abstract game to a micro-founded macroeconomic model in which firms learn from market prices.
Learning by Sharing
Considerable debate has arisen about the benefits of central bank disclosure. Common views state that central bank releases decrease central banks' own information about the economy, are harmful if about inefficient disturbances, such as mark-up shocks, and are superfluous if the central bank correctly sets policy. This paper shows how neither is true in a micro-founded macroeconomic model in which the central bank learns from the distribution of firm prices and firms learn from central bank releases. Central bank releases make firm and central bank expectations closer to common knowledge. This helps transmit dispersed information between firms and the central bank. Consequently, the release of additional public information is able to decrease the central bank’s own uncertainty, and is beneficial irrespective of the source of macroeconomic fluctuations.
The Informativeness of Prices
This paper analyzes how higher-order expectations affect the informativeness of asset prices in a setting with dispersed asymmetric information and a non-atomistic player type. I show that higher-order expectations create a novel trade-off between people's knowledge about the driving forces of the economy and people's knowledge about the beliefs of others. Because of this trade-off, markets one would think should be close to "informational efficiency" -- those with many agents with precise private information -- may be further away than previously thought. I demonstrate that more agents and more precise private information can decrease welfare for all market partcipants by increasing uncertainty about future prices -- even for the agents who receive superior private information. To illustrate these effects, I develop a flexible solution technique for linear dynamic rational expectations models with dispersed asymmetric information and type-specific shocks affecting an endogenous variable.
US Monetary Policy & Uncertainty: Testing Brainard's Hypothesis
This paper presents an empirical analysis of the impact of time-varying economic uncertainty on US monetary policy activism. I use a latent factor based measure, extracted from a set of five different variables, to proxy economic uncertainty. Monetary policy activism is inferred from a time-varying Taylor Rule estimated using a structural VAR allowing for stochastic volatility. Contrary to Brainard's Principle, the results point to a substantial Hansen and Sargent type reaction: monetary policy activism increases significantly in response to an increase in economic uncertainty. The estimates, moreover, indicate that both inflation and unemployment activism respond roughly equally to changes in aggregate uncertainty.
Work in Progress
Sparse Expectations: A Unified Explanation of Forecast Data
with A. Walther
Safety is Paramount: On the Demand for Safe Assets
with S. Boserup, A. Walther, and S. Walther
Quantifying Imperfect Information
with D. Robertson