Curran, M. and Dressler, S. (2020). Preferences, Inflation, and Welfare, European Economic Review, 130.
Curran, M. and Velic, A. (2020). Interest Rate Volatility and Macroeconomic Dynamics: Heterogeneity Matters, Review of International Economics, 28 (4): 957-75.
Curran, M. and Velic, A. (2020). The CAPM, National Stock Market Betas, and Macroeconomic Covariates: A Global Analysis, Open Economies Review, 31 (4): 787-820.
Curran, M. and Velic, A. (2019). Real Exchange Rate Persistence and Country Characteristics: A Global Analysis, Journal of International Money and Finance, 97, 35-56 [appendix].
Bagchi, S., Curran, M. & Fagerstrom, M. (2019). Monetary Growth and Wealth Inequality, Economics Letters, 182, 23-25 [appendix].
Uncertainty Shocks and the Cross-Border Funding of Banks: Unmasking Heterogeneity, (with Agustin Benetrix), R&R at Journal of Money, Credit and Banking.
Abstract: This paper looks at the relation between uncertainty shocks and cross-border funding of banks through the lens of a new dataset. Our key innovation is to study the impact of uncertainty measures based on volatility, newspapers, and professional forecast surveys. We provide a comprehensive assessment of how cross-border liabilities in different banking systems respond to the uncertainty type, funding sector, country, and period. We show that the contraction of bank funding can be large and quite different along these dimensions. Volatility-based uncertainty and non-bank funding display the strongest results, with news-based uncertainty mattering most outside the Global Financial Crisis.
Can Volatility Solve the Naive Portfolio Puzzle?, (with Patrick O'Sullivan and Ryan Zalla), R&R at Quantitative Finance.
Abstract: We investigate whether sophisticated volatility estimation improves the out-of-sample performance of mean-variance portfolio strategies relative to the naive 1/N strategy. The portfolio strategies rely solely upon second moments. Using a diverse group of portfolios and econometric models across multiple datasets, most models achieve higher Sharpe ratios and lower portfolio volatility that are statistically and economically significant relative to the naive rule, even after controlling for turnover costs. Our results suggest benefits to employing more sophisticated econometric models than the sample covariance matrix, and that mean-variance strategies often outperform the naive portfolio across multiple datasets and assessment criteria.
Monetary Growth and Financial Sector Wages, (with Matthew Fagerstrom and Ryan Zalla), July 2022.
Abstract: We investigate the relation between monetary growth and compensation in the financial industry since the end of the Bretton Woods system. Estimating local projections, we find that the growth of the monetary base positively associates with a higher differential between financial and average wages. Our findings indicate that the effects are short lived, lending support to the temporary non-neutrality of money argued by David Hume and against the more permanent non-neutrality argued by Richard Cantillon. Our results help clarify debates on the non-neutrality of money going back to the eighteenth century.
Works in Progress
"Private Sector Influence on Monetary Policy" (with Craig McMahon and Hajime Shimao).
"The Welfare Costs of Inflation in a Monetary Union. An Evaluation of a Common Capital Markets Union" (with Scott Dressler).
Research Interests<! Economics; macroeconomics: international economics (current accounts, predicting financial crises), exchange rate economics, monetary economics and inflation, time series macroeconometrics; lessons & perspectives from game theory, experimental & behavioural economics, the problem of aggregation from microeconomics to macroeconomics>
- International Financial Macroeconomics
- Computational Macroeconomics
- Monetary Economics
- Growth Theory
- New Macroeconometrics
- Time Series Econometrics
- Bayesian Methods
- DSGE Models
- High Performance Computing
- Parallel Programming