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:Q2–2025:Q4). A one-standard-deviation negative household financial-distress shock reduces the deposit share by 2.1 percentage points and increases BHC investment by 6.5 percent. It also reallocates credit away from traditional bank borrowers toward a shadow bank, raising the ratio of the loan to shadow bank up to 0.3 percent following the shock. Variance decompositions attribute most movements in deposit shares to household financial-distress shocks, while technology, debt-investment and asset purchase policy 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.