Research
Doctoral Dissertation
Recipient of the 2023-2024 Scarthingmoor PhD Prize in Economics for best PhD thesis.
Working Papers
First Chapter of Doctoral Thesis
ABSTRACT: This paper examines the long-run relationship between the real price of crude oil and the real exchange rate for the oil-exporting country Canada. In diagnostic tests of parameter instability, the real Canada/U.S. exchange rate is found to be positively correlated with the real price of crude oil beginning in 2002-03, when there was a concurrent rise in both the price and production of oil in Canada. This implies that in the long-run Canada’s real exchange rate is not constant, but rather varies with the level of the real oil price. Furthermore, as Canada and the U.S. both follow inflation-targeting monetary policies, stability of the ratio of their national price levels results in long-run adjustment of the real exchange rate via the nominal exchange rate. Real exchange rate movements thus forecast movements in the nominal exchange rate. Further analysis considering data from other countries suggests that this relationship holds at least for some other major commodity exporters such as Chile, but not for non-commodity exporters such as France.
Second Chapter of Doctoral Thesis
ABSTRACT: This paper examines the heterogeneity in households’ expectations of house price growth using micro-level survey data from the Federal Reserve Bank of New York (FRBNY). The findings reveal that: (i) Households exhibit systematically different forecasts for house price growth based on observable characteristics; (ii) The perceived uncertainty surrounding these forecasts also varies systematically across different demographic groups, with this uncertainty linked to the amount of attention households pay to housing market information; and (iii) Households revise their forecasts over time in ways that align with whether they are constrained by information, consistent with Sims’ (Sims, 2003) rational inattention theory. Specifically, in line with this theory, for information-unconstrained households, the weight on prior knowledge in their dynamic forecasting is positively correlated with perceived uncertainty. Conversely, for information-constrained households, the weight on prior knowledge remains constant, irrespective of perceived uncertainty.