NEWS
New Chicago Fed working paper, "Monetary-Policy Risk and Equilibrium Asset Prices," with Corey Feldman. (Finally!) Based on empirical evidence that exploits volatility differences during blackout periods and event studies around FOMC meetings, the paper shows how uncertainty about policymakers' reaction function contributes to risk premia across assets in a nonlinear New Keynesian model. Comments welcome!
I discussed Bauer, Schmeling, and Schrimpf's "Risk Appetite and Monetary Transmission" at the Fed conference on Financial Institutions, Regulation, and Markets in September. Slides available here.
Here is a new Chicago Fed Letter with Stefania D'Amico and Francisco Torralba documenting how markets react to surprises in the SEP dot plot. It is also a New York Fed Staff Report.
At the UIC Finance Conference in May, I discussed, "Did I Make Myself Clear" By Cieslak, McMahon, and Pang. Slides available here.
At the Federal Reserve's Day Ahead Conference in January, I discussed "QE, Bank Liquidity Risk Management, and Non-Bank Funding" by Darst, Kokas, Kontonikas, Peydro, and Vardoulakis. Slides available here.