Welcome to my webpage!

I am a PhD student in Economics at University College London (UCL) and a cemmap PhD scholar

My research interests are in macroeconomics and macroeconometrics

You can find my CV here

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Working papers

Robust Inference on Macro Equations with Shock Proxies

I propose weak-instrument-robust inference methods on macroeconomic equations using shock proxies as instruments. Empirical applications include the Phillips curve and fiscal multipliers.

Abstract Paper Slide Example SSRN

This paper proposes weak-instrument-robust inference methods that achieve accurate size in finite samples for macroeconomic equations identified by structural shock proxies. The methods control the size of the Anderson-Rubin and Kleibergen's LM test statistics with Almon-parameterized instruments by using a restricted heteroskedasticity-and autocorrelation-robust long-run variance, computed under the null hypothesis. Applying these methods to the Phillips curve highlights the empirical importance of size accuracy: unlike existing methods that may introduce size distortion, the proposed methods do not reject either a completely flat or a very steep Phillips curve. Turning to fiscal policy rules, I find that the tax multiplier is statistically significantly positive, and approximately one.

Structural Estimation of Dynamic Equilibrium Models with Unstructured Data

with Sara Casella, Jesús Fernández-Villaverde, Stephen Hansen, and Minchul Shin

We develop a framework that integrates unstructured data, such as text, into DSGE model estimation. The method is applied to a medium-scale DSGE model with FOMC transcripts.

Abstract

Draft coming very soon.

On Simulation Pseudo-Bias and Truncation in the Modified Harmonic Mean Estimator

The modified harmonic mean estimators face lower simulation pseudo-bias than the original. A bias-correction method provides a computational rationale for the tail truncation commonly used in practice. Empirical applications include the reassessment of Smets and Wouters (2007).

Abstract Slide

Draft coming very soon.

Working papers at the Bank of Japan

Sticky Information Versus Sticky Prices Revisited: A Bayesian VAR-GMM Approach

with Takushi Kurozumi and Willem Van Zandweghe

We compare Phillips curves with sticky information, sticky prices, and unchanged prices in each period by using Bayesian VAR-GMM and find that all are essential to describe US inflation.

Abstract Paper

Several Phillips curves based on sticky information and sticky prices are estimated and compared using Bayesian VAR-GMM. This method derives expectations in each Phillips curve from a VAR and estimates the Phillips curve parameters and the VAR coefficients simultaneously. Quasi-marginal likelihood-based model comparison selects a dual stickiness Phillips curve in which, each period, some prices remain unchanged, consistent with micro evidence. Moreover, sticky information is a more plausible source of inflation inertia in the Phillips curve than other sources proposed in previous studies. Sticky information, sticky prices, and unchanged prices in each period are all needed to better describe inflation dynamics.

A Comparison of Japanese and US New Keynesian Phillips Curves with Bayesian VAR-GMM

with Takushi Kurozumi

We find that Japan's inflation dynamics are best described by variable demand elasticity with higher persistence in inflation expectations and lower trend inflation than in the US.

Abstract Paper

We compare Japanese and US inflation dynamics during the post-Global Financial Crisis period by utilizing Bayesian VAR-GMM to estimate several specifications of the New Keynesian Phillips curve. With the estimation method, we derive expectations in the Phillips curve from a VAR and analyze the formation of inflation expectations explicitly. We select the specification with variable elasticity of demand for Japan and that with sticky information for the US, using quasi-marginal likelihood. The selected specifications show that the persistence of inflation expectations formation is higher and trend inflation is lower in Japan than in the US. These findings account for persistently weak inflation developments in Japan: in the presence of firms' cautious price-setting behavior that reflects the purchasing attitude of consumers who are sensitive to price increases, inflation remains low and induces, through the highly persistent formation of inflation expectations, low expected future inflation and hence low trend inflation, which in turn put downward pressure on present inflation through the Phillips curve.

Some Work in Progress

Fiscal adjustments and optimal monetary policy in HANK

Other articles

• "Market Operations in Fiscal 2018," BOJ Reports & Research papers
• "Economy and Industry in Fukushima - Bank of Japan Fukushima Branch 120th Anniversary Memorial Paper," BOJ Reports & Research Papers, with Keita Kawaguchi (in Japanese)
• "An Estimation of the Economic Effect of NHK Morning Drama (Asadora) Series 'Yell' on Fukushima Prefecture," BOJ Reports & Research Papers (in Japanese)

Education

• PhD student in Economics
  University College London (2023 - Present)
• MRes in Economics (Distinction and Dean's List)
  University College London (2023)
• MA in Economics
  Hitotsubashi University (2018)
• BA in Economics
  Hitotsubashi University (2017)

Professional Experience

• Bank of Japan (2018 - Present)

Email

ryohei.oishi.22 (at) ucl.ac.uk