Michael Curran - Villanova School of Business

Publications

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].

Working Papers

Uncertainty Shocks and the Cross-Border Funding of Banks: Unmasking Heterogeneity, (with Agustin Benetrix), July 2020.

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 Ryan Zalla), May 2020.

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 econometric and portfolio 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), September 2019.

Abstract: We investigate the relation between monetary growth and the growth of and compensation in the financial industry since the end of the Bretton Woods system. Estimating structural vector autoregressions, we find that the growth of the monetary base is positively associated with a higher differential between financial and average wages, but not with a larger financial industry.

Works in Progress

"Reserves and Macroeconomic Performance" (with Scott Dressler).

"Private Sector Influence on Monetary Policy" (with Craig McMahon and Hajime Shimao).

"Regime Switching Momentum."

"Factor-Substitution Elasticities and Productivity Growth Across Industries" (with Adnan Velic and Ryan Zalla).

"On Directed Technological Progress" (with Jeremy Greenwood, Adnan Velic and Ryan Zalla).

"On the Persistence of Stock Market Portfolio Prices" (with Adnan Velic).

"Volatility in Emerging Markets" (with Erasmus Kersting and Adnan Velic).

Research Interests

  • Macroeconomics
  • International Financial Macroeconomics
  • Computational Macroeconomics
  • Monetary Economics
  • Growth Theory
  • Uncertainty
  • Volatility
  • Macroeconometrics
  • New Macroeconometrics
  • Time Series Econometrics
  • Bayesian Methods
  • DSGE Models
  • High Performance Computing
  • Parallel Programming