Research Output per year
I am a Postdoctoral Researcher in the Business School at The University of Western Australia and a Research Associate at the Centre for Applied Macroeconomic Analysis (CAMA), Australian National University. Previously I worked as an Economist at the Reserve Bank of Australia and have been a visiting researcher at the University of Oxford. My research interests are in Macroeconomics and Applied Macroeconometrics.
Economic Analysis Department
Reserve Bank of Australia
Monetary Policy and Indeterminacy after the 2001 Slump, Journal of Economic Dynamics and Control Volume 82, September 2017, Pages 83-95.
This paper estimates a New Keynesian model of the U.S. economy over the period following the 2001 slump, a period for which the adequacy of monetary policy is intensely debated. We find that only when measuring inflation with core PCE does monetary policy appear to have been reasonable and sufficiently active to rule out indeterminacy. We then relax the assumption that inflation in the model is measured by a single indicator and re-formulate the artificial economy as a factor model where the theory's concept of inflation is the common factor to the empirical inflation series. CPI and PCE provide better indicators of the latent concept while core PCE is less informative. Finally, we estimate an economy that distinguishes between core and headline inflation rates. This model comfortably rules out indeterminacy.
We study the effects of financial uncertainty on investment dynamics in the U.S. using a vector autoregression with drifting parameters and stochastic volatilities. We find time-varying negative effects of financial uncertainty shocks on investment. These effects have declined in the post-WWII period but became more pronounced in the presence of the zero lower bound episode. We also find that the response of inflation to uncertainty shocks varies over time, and these shocks do not always act like aggregate demand shocks. Remarkably, the relevance of financial uncertainty shocks is found to be negligible during the Great Recession.
This paper estimates a New Keynesian model with trend inflation and contrasts Taylor rules featuring fixed versus time-varying inflation target while allowing for passive monetary policy. The estimation is conducted over the Great Inflation and the Great Moderation periods. Time-varying inflation target empirically fits better and active monetary policy prevails in both periods, thereby ruling out sunspots as an explanation of the Great Inflation episode. Counterfactual simulations suggest that the decline in inflation volatility since the mid-1980s is mainly driven by monetary policy, while the reduction in output growth variability is explained by the reduced volatility of technology shocks.
The paper re-examines whether the Federal Reserve's monetary policy was a source of instability during the Great Inflation by estimating a sticky-price model with positive trend inflation, commodity price shocks and sluggish real wages. Our estimation provides empirical evidence for substantial wage-rigidity and finds that the Federal Reserve responded aggressively to inflation but negligibly to the output gap. In the presence of non-trivial real imperfections and well-identified commodity price-shocks, U.S. data prefers a determinate version of the New Keynesian model: monetary policy-induced indeterminacy and sunspots were not causes of macroeconomic instability during the pre-Volcker era.
Work in Progress:
On Bootstrapping Tests of Equal Forecast Accuracy for Nested Models
with Firmin Doko Tchatoka
The asymptotic distributions of the recursive out-of-sample forecast accuracy test statistics depend on stochastic integrals of Brownian motion when the models under comparison are nested. This often renders the computation of the asymptotic critical values cumbersome, thus complicating their implementation in practice. Hansen and Timmermann (2015, Econometrica) propose a Wald approximation of the commonly used recursive F-statistic. The asymptotic distribution of this wald statistic is a convolution of dependent chi-square(1) distributed random variables, and its exact density has a closed form expression when either the forecast errors are homoscedastic or the larger model has one extra predictor. However, no such closed form characterization is readily available when the nesting involves more than one predictor and heteroscedasticity is present. We first show both the recursive F-statistic and its Wald approximation have poor finite-sample properties, especially when the forecast horizon is greater than one. We then propose a bootstrap method for both statistics and establish its consistency. Simulations show that our bootstrap has good finite-sample performance, even in multi-step ahead forecasts with heteroscedastic or autocorrelated errors. The bootstrap method is illustrated on forecasting core inflation and GDP growth.
Empirical Evidence on the Euler Equation in Open Economies
with Leandro Magnusson
We investigate the empirical evidence on the Euler equation models using aggregate data for a set of four open economies, using methods that are robust to weak identification and structural changes. We start with the conventional closed economy model and consider extensions that include habits and hand-to-mouth consumers. We then extend the analysis to allow for each country to behave like an open economy. We find that structural changes are informative for the identification of the Euler equation models in some countries. However, in all four countries, there is little responsiveness of consumption to changes in the interest rate and no evidence of parameter instability, but otherwise aggregate data provide little information to distinguish between alternative theoretical models.
Is the Long-Run Phillips Curve Vertical?
Empirical Evidence on the Investment Euler Equation
Monetary Policy, Unemployment and Macroeconomic Stability Revisited
Teaching Assistant, The University of Western Australia
2019: Applied Macroeconomics
Teaching Assistant, The University of Adelaide
2012: Intermediate Macroeconomics
2013: Intermediate Macroeconomics; International Finance
2014: Intermediate Macroeconomics; Advanced Macroeconomics
2015: Intermediate Macroeconomics; Money, Banking and Financial Markets; Principles of Macroeconomics
2016: Intermediate Macroeconomics; Money, Banking and Financial Markets
2017: Intermediate Macroeconomics; Money, Banking and Financial Markets; Principles of Economics
2018: Intermediate Macroeconomics; Money, Banking and Financial Markets; Principles of Economics
Teaching Adviser, The University of Adelaide
2017: Economics Drop-In Centre, Faculty of the Professions
Instructor, Mini-Course at Reserve Bank of New Zealand (April 2018)
Topics: Bayesian Estimation of State-Space Models using Particle Filtering; Solving and Estimating Indeterminate DSGE Models; Macroeconomics of Trend Inflation
Economics, PhD, University of Adelaide
Jul 2014 → Jun 2018
Economics, Bachelor of Economics (Honours), University of Adelaide
Feb 2010 → Dec 2013
Research Associate, Australian National UniversityJun 2019 → Jun 2022
Academic Visitor, University of OxfordMar 2019 → Jul 2019
Research output: Contribution to journal › Article
Qazi Haque (Recipient), 2018