Working Papers

“Portfolio Shifts and Financial Intermediation: A DSGE Analysis of U.S. Household Deposit Outflows”

This paper develops a New Keynesian DSGE model with a segmented financial sector to study U.S. households’ post-pandemic shift out of non-transaction deposits. Households allocate savings between deposits and bank-holding-company (BHC) debt subject to financial-distress costs; BHC equity capital replaces lost deposits; traditional banks reduce credit lines; and a bank-funded shadow bank lends more to risky borrowers. Monetary, macroprudential, and production-loan purchase policies are embedded. The model is estimated using Bayesian techniques on U.S. data (2009:Q3–2025:Q2). A one-standard-deviation negative household financial-distress shock reduces the deposit share by 1.4 percentage points and increases BHC investment by 3.3 percent. It also reallocates credit away from traditional bank borrowers toward shadow banks, raising shadow bank investment up to 0.2 percent following the shock. Variance decompositions attribute most movements in deposit shares to household financial-distress shocks, while technology, monetary, and debt-investment shocks explain much of the variation in credit volumes.

“A Holistic Approach to Macroeconomic Fundamentals: Joint Estimates of Natural Rates”

with Regis Barnichon, Christian Matthes, and Byung Goog Park

We develop a method to jointly estimate natural rates—or ‘stars’— from long-run macroeconomic data. The approach embeds prior information about natural rates into a time-varying parameter VAR with stochastic volatility. It explicitly accounts for measurement error and outliers, making it well suited for historical analysis, including episodes like the COVID-19 pandemic and the post-pandemic inflation surge.