Seminar at University of East Anglia, Norwich, February 15, 2024.

I gave a seminar in Norwich Thursday 15 Feb. and presented a new project with Paul Beaudry and Sev Hou, “The Dominant Role of Expectations and Broad-Based Supply Shocks in Driving Inflation”.

First draft not yet ready. As written in the abstract,

In light of the experience of the last few years, the object of this paper is to re-examine the role of supply shocks, labour market tightness and expectation formation in explaining bouts of inflation. We begin by showing that a quasi-flat Phillips curve, which was popular prior to the pandemic, still fits the post-2020 US data well with the implication that (i) labour market tightness likely played a limited role in generating recent inflation and (ii) changes in short term inflation expectations induced by supply shocks likely played a major role. We then explore how best to capture the joint dynamics of inflation and inflation expectations in response to supply shocks. Given the difficulty of capturing these dynamics under rational expectations, we propose and evaluate a model with bounded rationality. In our model, supply shocks that affect the common component of inflation across many goods drive persistent inflation dynamics through their effect of expectations, while supply shocks that are concentrated in a sector lead to much more temporary changes in both inflation and inflation expectations. Although our departure from full rationality is minor, it allows perceived broad-based supply shocks to be amplified and propagated over time in a manner consistent with observation.

Thanks to Ariel Gu ad Martin Bruns for the invitation.

Presentation at the ASSA 2024 Annual Meeting, San Antonio, January 7, 2024,

I have presented my work with Andy Preston and Paul Beaudry, “Some Inference Perils of Imposing a Taylor Rule” (previously entitled “Does it Matter to Assume that U.S. Monetary Authorities Follow a Taylor Rule?”) at the ASSA 2024 Annual Meeting, San Antonio, January 7, 2024,

I was in the session “Monetary Rules and the Taylor Principle” that was kindly organized by Tom Holden. Program of the session was:

• Policy Analysis and Rates of Convergence in Learning Models by Lawrence Christiano, Northwestern University, Martin Eichenbaum, Northwestern University and Benjamin Johannsen, Federal Reserve Board
• Deficits and Inflation by George-Marios Angeletos, Northwestern University, Chen Lian, University of California-Berkeley and Christian Wolf, Massachusetts Institute of Technology
• Some Inference Perils of Imposing a Taylor Rule by Paul Beaudry, Vancouver School of Economics, Franck Portier, University College London and Andrew Preston, University College London
• Robust Real Rate Rules by Tom Holden, Deutsche Bundesbank 

(Slides in pdf) (LaTeX source and figures)

Seminars (April 2022-Nov 2023)

I have given the following presentations over the last 18 months.

• “Doit-on avoir peur de la dette publique“, Université de tous les savoirs, Villefranche-de-Rouergue, 19 April 2022
• “Monetary Policy when the Phillips Curve is Quite Flat” (with Paul Beaudry and Chenyu Hou), conference “Recent Advances in Macroeconomics and Financial Markets”, Peking University HSBC Business School, UK Campus (Oxford), 30-31 May 2022
• “Macroeconomic Analysis with Weak Complementarities“, conference “More Is Different”, Collège de France. 2-3 June 2022
• “Dynamic Identification in VARs” (with Paul Beaudry, Fabrice Collard, Patrick Fève and Alain Guay), Barcelona Summer Forum. 14-17 June 2022
• “Monetary Policy when the Phillips Curve is Quite Flat” (with Paul Beaudry and Chenyu Hou), 6th BdF-AMSE workshop on Macroeconomics, Marseille, 24 June 2022
• “Does it Matter to Assume that U.S. Monetary Authorities Follow a Taylor Rule?” (with Paul Beaudry and Andrew Preston), Uppsala University, 6 October 2022
• “Monetary Policy when the Phillips Curve is Quite Flat” (with Paul Beaudry and Chenyu Hou), Bank of Sweden, 7 October 2022
• “Does it Matter to Assume that U.S. Monetary Authorities Follow a Taylor Rule?” (with Paul Beaudry and Andrew Preston), Conférence pour les 30 ans du GAINS, Le Mans, 29-30 November 2022
• “Does it Matter to Assume that U.S. Monetary Authorities Follow a Taylor Rule?” (with Paul Beaudry and Andrew Preston), University of York, 26 April 2023
• “Does it Matter to Assume that U.S. Monetary Authorities Follow a Taylor Rule?” (with Paul Beaudry and Andrew Preston), HEC Paris, 9 May 2023
• “Does it Matter to Assume that U.S. Monetary Authorities Follow a Taylor Rule?” (with Paul Beaudry and Andrew Preston), Banque de France, Paris, 16 May 2023
• “Does it Matter to Assume that U.S. Monetary Authorities Follow a Taylor Rule?” (with Paul Beaudry and Andrew Preston), Barcelona Summer Forum, 7-9 June 2023
• “Does it Matter to Assume that U.S. Monetary Authorities Follow a Taylor Rule?” (with Paul Beaudry and Andrew Preston), University of Turku, 13 June 2023
• “Does it Matter to Assume that U.S. Monetary Authorities Follow a Taylor Rule?” (with Paul Beaudry and Andrew Preston), University of Durham, 22 June 2023
• “Dynamic Cooper & John [1988] Economies” (with Paul Beaudry and Dana Galizia), University of Surrey, 26 June 2023
• Discussion of “”Safe asset demand and the maturity structure of debt” by Julia Schmidt, Olivier Sirello and Miklos Vari, 7th BdF-AMSE workshop on Macroeconomics, Marseille, 7 July 2023
• “The Macroeconomics of Complementarities“, EABCN Training School, Brussels, 4-6 September 2023
• Discussion of “Can Deficits Finance Themselves?” by George-Marios Angeletos, Chen Lian and Christian K. Wolf, Hydra conference, Taormina, 28-29 September 2023
• “Does it Matter to Assume that U.S. Monetary Authorities Follow a Taylor Rule?” (with Paul Beaudry and Andrew Preston), Statistics Norway, 7 November 2023
• “The Dominant Role of Expectations and Broad-Based Supply Shocks in Driving Inflation” (with Paul Beaudry and Chenyu Hou), National University of Singapore, 21 November 2023

Forthcoming in the AEJ:Macroeconomics: Monetary Policy when the Phillips Curve is Quite Flat

I have posted on my “current work” page the final version of a paper with Paul Beaudry and Sev Hou that is forthcoming in the  AEJ:Macroeconomics,  “Monetary Policy when the Phillips Curve is Quite Flat“.

As written in the abstract,

This paper highlights how the presence of a cost channel of monetary policy can offer new insights into the relation between monetary policy and inflation when the Phillips curve is quite flat. For instance, we highlight a key condition whereby lax monetary policy can push the economy in a low inflation trap and we discuss how, under the same condition, standard policy rules for targeting inflation may need to be modified. In the empirical part of the paper we explore the relevance of the conditions that give rise to these observations. To this end, we present both (i) a wide set of estimates derived from single-equation estimation of the US Phillips curve and (ii) estimates based on structural estimation of a full model. The results from both sets of empirical exercises strongly support the key condition we emphasize.

Keywords are  Monetary Policy, Inflation, Interest Rates.

JEL Classification codes are E3, E32, E24.

New paper : Some Inference Perils of Imposing a Taylor Rule

I have posted on my “current work” page a new paper with Paul Beaudry and Andy Preston “Some Inference Perils of Imposing a Taylor Rule” (cepr.org/publications/dp18001). As written in the abstract,

The way monetary policy is conducted is a key element in New Keynesian models, and crucially determines allocations properties. We show that assuming monetary authorities follow a Taylor rule may bias estimation of New Keynesian type models for two reasons. The first one is theoretically trivial, and is a standard misspecification bias that occurs if the actual conduct of policy does not follow the model specified Taylor rule. The second one is more subtle, and we refer to it as a determinacy bias. It occurs when wrongly assuming a Taylor rule restricts the set of admissible model deep parameters when one requires the equilibrium to be determinate, as is almost always the case in the applied literature. Using US data, we show that the determinacy bias is a serious problem in small scale New Keynesian models, as the slope of Phillips curve is biased upwards. The misspecification bias is a serious problem when estimating a medium-scale model, as it affects the contribution of the various shocks to macroeconomic fluctuations. We propose an alternative agnostic specification of the policy rule that is immune to both misspecification and determinacy biases.

Key Words are Taylor rule, DSGE estimation, New Keynesian model.

JEL Classification codes are E31, E32, E47, C51

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Seminar at Tilburg University, May 24, 2022

I have presented my work with Andy Preston and Paul Beaudry, ““Does it Matter to Assume that U.S. Monetary Authorities Follow a Taylor Rule? ” at Tilburg University this Tuesday. 

Thanks to Florian Sniekers, Jeff Campbell, Burak Uras, Has van Vlokhoven, Guzman Ourens, Jose Carreno, Sjak Smulders and to all the seminar participants for their invitation and hospitality. 

(Slides in pdf) (LaTeX source and figures)

Seminar at the Goethe Universität, Frankfurt am Main, May 3, 2022

I have presented my work with Chenyu Hou and Paul Beaudry, “Monetary Policy when the Phillips Curve is Quite Flat” at the Goethe Universität yesterday. 

Thanks to Ester Faia, Mathias Trabandt, Leo Kaas, Philipp Grübener, Chiara Lacava, Guido Friebel, Michael Haliassos, Marek Ignaszak and to all the seminar participants for their invitation and hospitality. 

(Slides in pdf) (LaTeX source and figures)

Some New Research

I have updated my Current Work page to include four new projects.

• “Dynamic Cooper and John Economies: The Role of Coordination Failures and Accumulation in Equilibrium Emergent Phenomena” with Dana Galizia and Paul Beaudry (no paper yet)
• “Monetary Policy when the  Phillips Curve is Quite Flat” with Paul Beaudry and Sev Hou (paper available)
• “Does it Matter to Assume that U.S. Monetary Authorities Follow a Taylor Rule?” with Paul Beaudry and Andrew Preston (no paper yet)
• “Dynamic Identification in VARs” with Paul Beaudry, Fabrice Collard, Patrick Fève and Alain Guay (no paper yet)

Academic life at the time of Covid-19

To paraphrase Gabriel García Márquez, this is what I have done during the 2020-2021 academic year. Besides the teaching and the UCL seminars I did the following:

• November 22, 2020: I gave a distant seminar at University of Michigan. I presented “Monetary Policy when the Phillips Curve is Quite Flat” (co-authored with Paul Beaudry and Chenyu Hou).
• I was appointed Managing Editor of the Economy Journal.
• I was appointed chair of the “comité d’évaluation scientifique” of the “Observatoire Français des Conjonctures Économiques (OFCE)June 14-15, 2021: I attended the “Advances in Structural Shocks Identification” Barcelona workshop.
• I presented “Dynamic Identification in VARs” (co-authored with Paul Beaudry, Fabrice Collard, Patrick Fève and Alain Guay)
• June 18, 2021: I organised with Moritz Kuhn the first LonBonn Macro Workshop (UCL & Bonn)
• August 26-27, 2021: I attended the Salento Macro Workshop. I presented “Does it Matter to Assume that U.S. Monetary Authorities Follow a Taylor Rule?” (co-authored with Paul Beaudry and Andy Preston)
• September 20, 2021: I attended the Hydra workshop in Rhodes, and presented “Does it Matter to Assume that U.S. Monetary Authorities Follow a Taylor Rule?” (co-authored with Paul Beaudry and Andy Preston)
• October 21-22, 2021: I gave a keynote speech that the annual conference of the TEPP federation in Evry (Travail, Emploi et Politiques Publiques). The title of the talk was “What do we really know about the sources of macroeconomic fluctuations?” and the slides can be found here.
• December 16-17, 2021,: I gave a keynote speech at the New Directions for Inflation Forecasting workshop, Paris, organised by Frédérique Bec (Cergy Paris University), Dick van Dijk (Erasmus University Rotterdam) and Laurent Ferrara (Skema Business School, Paris). The title of the talk was “Non Inflationary Business Cycles” and the slides can be found here.

Real Keynesian Models and Sticky Prices, Nottingham School of Economics, October 17, 2019

I have presented my work with Chenyu Hou and Paul Beaudry, “Real Keynesian Models and Sticky Prices” at the Nottingham School of Economics yesterday. 

Thanks to Marta Aloi, Giammario Impullitti, Omar Licandro and the school faculty for their invitation and hospitality. 

2019 Hydra Workshop on Dynamic Macroeconomics – Palma de Mallorca, Spain, 27 –28 October, 2019

Harris Dellas has organized a new edition of a great series of conferences (named after the original location, the island of Hydra near Athens in Greece). I have been lucky to be invited again to discuss a paper of V. V. Chari, Juan Pablo Nicolini & Pedro Teles entitled “Optimal Cooperative Taxation in the Global Economy” (see the discussion page).

Here is the program of the workshop:

1. Information Acquisition, Efficiency, and Non-Fundamental Volatility , Benjamin Hebert (Stanford), Jennifer La’O (Columbia)
2. Managing Expectations: Instruments vs Targets, George-Marios Angeletos (MIT), Karthik Sastry (MIT)
3. Collateral Booms and Information Depletion, Vladimir Asriyan (CREI), Luc Laeven (ECB), Alberto Martin (CREI, ECB)
4. Intangibles, Inequality and Stagnation, Nobu Kiyotaki (Princeton), Shengxing Zhang (LSE)
5. Optimal Cooperative Taxation in the Global Economy, Varadarajan Chari (Minnesota), Juan Pablo Nicolini (FRB Minnesota), Pedro Teles (Bank of Portugal, Cattolica)
6. Networks, Barriers, and Trade, David Baqaee (LSE), Emmanuel Fahri (Harvard)
7. Wealth, Wages, and Employment, Per Krusell (IIES), Jinfeng Luo (Penn José-Víctor Ríos-Rull (Penn)

XXIV Workshop on Dynamic Macroeconomics, July 9, 10, 11 , 2019, Pazo de Soutomaior, Vigo, Spain

 With a group of good friends, (Tim Kehoe (University of Minnesota), Árpád Ábráhám (European University Institute), Jaime Alonso-Carrera (Universidade de Vigo), Juan Carlos Conesa (Universitat Autònoma de Barcelona), Antonia Díaz (Universidad Carlos III de Madrid), Omar Licandro (Instituto del Análisis Económico-CSIC) and J. Víctor Ríos-Rull (University of Minnesota)), I have organized the XXIVth edition of the Vigo Workshop on Dynamic Macroeconomics.  (Jaime is  the real organiser of the workshop). 

The workshop takes place in a fantastic location. It is the perfect combination of good economics (a lot of) and fun (a lot of). Presentation are done by PhD students.

As far as economics is conerned, here wass the program:

Tuesday, 9 July
 
10:00-11:00:  Vladimir Smirnyagin (University of Minnesota), “Uncertainty driven entry and exit over the business cycle.”
 
11:00-12:00:  Andrey Alexandrov (University of Mannheim), “Trends and business cycle asymmetry.”
 
12:30-13:30:  Nicholas Pretnar (Carnegie Mellon University), “The costs and benefits of caring: Aggregate burdens of an aging population.”
 
13:30-14:30:  Diana Van Patten Rivera (University of California, Los Angeles), “International diffusion of technology: Accounting for heterogeneous learning abilities.”
 
16:00-17:00:  Agustín Samano Peñaloza (University of Minnesota), “International reserves and central bank independence.”
 
17:00-18:00:  Oliko Vardishvili (European University Institute), “The macroeconomic cost of college dropouts.”
  
Wednesday, 10 July

10:00-11:00:  Ismael Gálvez Iniesta (Universidad Carlos III de Madrid), “The role of immigration in a deep recession: The case of Spain.”

11:30-12:30:  Ana Moreno Maldonado (European University Institute), “Mums and the city: Female labour force participation and city size.”
 
12:30-13:30:  Francisco Javier Rodríguez Román (Universidad Carlos III de Madrid), “The sex ratio, marital sorting and labor supply: A Chinese story.”
 
 
Thursday, 11 July

9:30-10:30:  Patrick Donnolley Moran (University of Oxford), “Temptation and Commitment: Understanding the Demand for Illiquidity.”

10:30-11:30:  Christian Hoynck (Universitat Pompeu Fabra), “Assessing the network effects of monetary policy.”

12:00-13:00:  Timo Reinelt (University of Mannheim), “The misallocation channel of monetary policy.”
 
13:00-14:00:  Sergio Feijoo Moreira (Universidad Carlos III de Madrid), “Inside the decline of the labor share: Bringing the tales together.”

Real Keynesian Models and Sticky Prices, Sciences Po Summer Workshop in Macroeconomics, Paris, June 24-25, 2019

I have attended the Summer Workshop in Macroeconomics at Sciences Po. I presented my work with Chenyu Hou andPaul Beaudry and Dana Galizia, “Real Keynesian Models and Sticky Prices”

The workshop organisers were ​Nicolas Coeurdacier (Sciences Po) and Gaetano Gaballo (Banque de France) (See the page of the workshop).

The following papers were presented:

1. Robert Ulbricht (TSE) Mismatch Cycles, with I. Baley and A. Figueiredo
2. Ben Moll (Princeton and LSE) Uneven Growth: Automation’s Impact on Income and Wealth Inequality, with L. Rachel and P. Restrepo
3. Marie Hoerova (ECB), Money Markets, Collateral and Monetary Policy, with F. De Fiore and H. Uhlig
4. Franck Portier (UCL), Real Keynesian Models and Sticky Prices, with C. Hou and P. Beaudry
5. Mirko Wiederholt (Sciences Po), Inflation Expectations and Choices of Household, with N. Vellekoop
6. Sergio de Ferra (Stockholm), Sovereign Default in a Monetary Union, with F. Romei
7. Wei Cui (UCL), A Ramsey Theory of Low Interest Rates, with Marco Bassetto
8. Davide Debortoli (UPF), Optimal Policy without Commitment: Beyond Lucas-Stokey, with R. Nunes and P. Yared

Putting the Cycle Back In Business Cycle Analysis, Birkbeck Centre for Applied Macroeconomics Annual Workshop, Birkbeck College, June 14, 2019

I attended yesterday the annual workshop of the Centre for Applied Macroeconomics at Birkbeck College. I have presented my work with Paul Beaudry and Dana Galizia, “Putting the Cycle Back In Business Cycle Analysis”

The workshop organisers were Yunus Aksoy and Pedro Gomes, and the program was:

1. Innovate to Lead or Innovate to Prevail: When do Monopolistic Rents Induce Growth?, Yu Zeng, Queen Mary UL (with Piazza)
2. Public Employment in a Theory of Underemployment, Pedro Gomes, Birkbeck (with Garibaldi)
3. A Rational Inattention Unemployment Trap, Martin Ellison (Oxford)
4. The Relationship between VAR and DSGE Models when Agents have Imperfect Information, Stephen Wright, Birkbeck (with Levine, Pearlman)
5. Time Variation in Lifecycle Consumption and Housing Wealth, Yunus Aksoy, Birkbeck (with Basso and St Aubyn)
6. Putting the Cycle Back into Business Cycle Analysis, Franck Portier, UCL (with Beaudry and Galizia)
7. Macroeconomic Impact of Euro, Ron Smith, Birkbeck (with Akhmedieva)
8. Rationalizing Trading Frequency and Returns: Maybe Trading is Good for You, Russell Cooper, European University Institute (with Bonaparte and Sha)

Real Keynesian Models and Sticky Prices, 3rd Workshop on Macroeconomic and Financial Time Series Analysis, University of Lancaster, June 6-7, 2019

I am giving a keynote speech at the 3rd Workshop on Macroeconomic and Financial Time Series Analysis of the University of Lancaster. The other keynote speaker will be Gary Koop. The worskshop is organised by Philllip Renner, William Tayler and Roy Zilberman. 

I will present my work with Chenyu Hou and Paul Beaudry “Real Keynesian Models and Sticky Prices”. The slides of my presentation are available.

The program of the workshop is:

Thursday, 6th of June

12:50-13:00: WELCOME – Maurizio Zanardi (Head of Economics Department, Lancaster University Management School)

13:00-14:00: KEYNOTE – Franck Portier (University College London) – Real Keynesian Models and Sticky Prices (with Paul Beaudry)

14:30–15:00: Haroon Mumtaz (Queen Mary) – Changing impact of shocks : a time-varying proxy SVAR approach (with Katerina Petrova)

15:00–15:30: Alex Clymo (University of Essex) – Dispersion over the Business Cycle : Productivity versus Demand

15:30–16:00: Tom Holden (Deutsche Bundesbank) – The relative price of capital is increasing.

16:30–17:00: Roy Zilberman (Lancaster University) – Macroprudential Interventions in Liquidity Traps (with William Tayler)

17:00–17:30: Ferre De Graeve (KU Leuven) – Understanding International Long-Term Interest Rate Comovement (with Michael Chin, Thomai Filippeli and Konstantinos Theodoridis)

17:30–18:00: Agnes Kovacs (University of Manchester) – Temptation and Commitment: Understanding the Demand for Illiquidity

Friday, 7th of June

09:30-10:00: Andrea Colciago (De Nederlandsche Bank) – Competition and Inequality: Bewley and Aiyagari meet Bertrand and Cournot

10:00-10:30: Chris Redl (Bank of England) – Uncertainty Matters : Evidence from Close elections

10:30-11:00: Cristiano Cantore (Bank of England, University of Surrey and Centre for Macroeconomics) – Workers, Capitalists, and the Government: The Labor Share Response to Fiscal Spending Shocks (with Lukas Freund and Giovanni Melina)

11:30-12:30: KEYNOTE – Gary Koop (University of Strathclyde) – Regional Output Growth in the United Kingdom: More Timely and Higher Frequency Estimates, 1970-2017 (with Stuart McIntyre, James Mitchell and Aubrey Poon)

13:30-14:00: Federica Romei (Stockholm School of Economics) – Sovereign Default in a Monetary Union (with Sergio de Ferra)

14:00-14:30: Sergio de Ferra (Stockholm University) – External Imbalances, Gross Capital Flows and Sovereign Debt Crises

14:30-15:00: Mirko Abbritti (Universidad de Navarra) – Market Regulation, Cycles and Growth in a Monetary Union (with Sebastian Weber)

15:30-16:00: Maik Wolters (Friedrich Schiller University Jena) – Reliable Real-Time Output Gap Estimates Based on a Modified Hamilton Filter.

16:00-16:30: Serhiy Stepanchuk (University of Southamption) – Dynamic Perturbation

16:30-17:00: Yifan Li (University of Manchester) – Renewal Based Volatility Estimation (with Ingmar Nolte and Sandra Nolte)

Lecture at the Axel Leijonhufvud Trento Summer School, June 3-4, 2019

I am in Trento lecturing today and tomorrow at the Axel Leijonhufvud Trento Summer School. The school is organised by Martin Guzman (Columbia University and University of Buenos Aires) and Daniel Heymann, (University of Buenos Aires). 

I am lecturing on”Cycles in Business cycles”, and my slides are available (a bit too much for twice 90mn). See the webpage of the School for more information. 

 

Is the Next U.S. Recession Around the Corner? Yes, Most Likely.

In a Vox.eu column, I am suggesting, based on my recent work on business cycles, that there is good reason to expect a US recession in the next two years.

New published paper : When is nonfundamentalness in SVARs a real problem?

I posted on my “current work” and “publication” page the last revision of a paper with Paul Beaudry, Patrick Fève and Alain Guay “When is nonfundamentalness in SVARs a real problem?” . That work is forthcoming in the Review of Economic Dynamics. As written in the abstract,

In SVARs, identification of structural shocks can be subject to nonfundamentalness, as the econometrician may have an information set smaller than the economic agents’ one. How se- rious is that problem from a quantitative point of view? In this paper we propose a simple diagnostic for the quantitative importance of nonfundamentalness in structural VARs. The di- agnostic is of interest as nonfundamentalness is not an either/or question, and its quantitative implications can be more or less severe. As an illustration, we apply our diagnostic to the iden- tification of TFP news shocks and we find that nonfundamentalness is of little quantitatively importance in that context.

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Key Words are NonFundamentalness, BusinessCycles, SVARs, NewsShocks.

JEL Classification codes are C32, E32.

New paper : Duration Dependence in US Expansions: A re-examination of the evidence

I posted on my “current work” page a new paper with Paul Beaudry  “Duration Dependence in US Expansions: A re-examination of the evidence” (CEPR Discussion Paper 13626). As written in the abstract,

It is commonly accepted that economic expansions do not exhibit duration dependence, that is, the probability of an expansion terminating in the near future is thought to be independent of the length of the expansion. Our main focus is on determining the probability of the US economy entering a recession in the following year (or following two years) conditional on the expansion having lasted q quarters. When looking at the probability of entering a recession within a year (or 2 years), we find considerable evidence of economically significant duration dependence, especially when adopting a non-parametric approach. For example, for an expansion that has lasted only 5 quarters, the probability of entering a recession in the next year is around 10%, while this increases to 30-40% if the expansion has lasted over 35 quarters. Similarly, if looking at a two years window, we find the probability of entering a recession in the next two years raises from 25 30% to around 50-80% as the expansion extends from 5 quarters to 32 quarters. This pattern suggests that certain types of macroeconomic vulnerabilities may be accumulating as the expansion ages causing the arrival of a recession to become more likely. Our non-parametric estimates suggest that this later pattern is especially important once a recession has lasted more than 6 years.

Key Words are Monetary Policy, Business Cycle.

JEL Classification codes are E3, E32, E24.

Royal Economic Society Annual Conference, Warwick, April 15-17, 2019

I have attended the Royal Economic Society Annual Conference in Warwick. The program chair and deputy chair were my colleagues Fabien Postel-Vinay and Terri Kneeland. I presented my joint work with Paul Beaudry and Chenyu Hou “Real Keynesian Models and Sticky Prices”. The slides of my presentation are here.