We present a signalling theory of Quantitative Easing (QE) at the zero lower bound on the short term nominal interest rate. QE is effective because it generates a credible signal of low future real interest rates in a time consistent equilibrium. We show these results in two models. One has...

We find that, for sufficiently risk-averse agents, strict dominance by pure or mixed actions coincides with dominance by pure actions in the sense of Börgers (1993), which, in turn, coincides with the classical notion of strict dominance by pure actions when preferences are asymmetric. Since...

We study the small sample properties of conditional quantile estimators such as classical and IV quantile regression. First, we propose a higher-order analytical framework for comparing competing estimators in small samples and assessing the accuracy of common inference procedures. Our framework...

Sign restrictions on impulse response functions are used in the literature to identify structural vector autoregressions and structural factor models. I extend the rank condition used for exclusion restrictions and provide a necessary and sufficient conditions for point identification for sign...

We present a signalling theory of Quantitative Easing (QE) at the zero lower bound on the short term nominal interest rate. QE is effective because it generates a credible signal of low future real interest rates in a time consistent equilibrium. We show these results in two models. One has...

This paper documents substantial time variation in price elasticities of demand and therefore markups. We propose a two-step procedure to identify time-varying markups. Using data of US grocery stores from 2001-2020 we first estimate elasticities at the market-good-year level. We then...

We study the small sample properties of conditional quantile estimators such as classical and IV quantile regression. First, we propose a higher-order analytical framework for comparing competing estimators in small samples and assessing the accuracy of common inference procedures. Our framework...

I apply the model with unobserved components and stochastic volatility (UC-SV) to forecast the Russian consumer price index. I extend the model which was previously suggested as a model for inflation forecasting in the USA to take into account a possible difference in model parameters and...

We present a signalling theory of quantitative easing in which open market operations that change the duration of outstanding nominal government debt affect the incentives of the central bank in determining the real interest rate. In a time consistent (Markov-perfect) equilibrium of a...