Financial Intermediaries

Financial Amplification of Foreign Exchange Risk Premia

Decomposing the U.S. dollar risk premium into components associated with macroeconomic fundamentals, and a component associated with financial intermediary balance sheets, we show that balance sheets amplify the impact of fundamentals on the U.S. dollar risk premium. Published in the European Economic Review, 2011.

A Real Time Evaluation of Bank of England Forecasts of Inflation and Growth

We compare the Bank of England’s Inflation Report quarterly forecasts for growth and inflation to real-time benchmark forecasts. Published in the International Journal of Forecasting, 2009.