Research

Central banks across the globe introduced large-scale asset purchase programs to address the unprecedented circumstances experienced during the pandemic. Many of these programs were announced as open-ended in order to shock-and-awe market participants and restore confidence in financial markets. This paper examines whether these whatever-it-takes announcements had larger effects than traditional policy announcements with explicit limits on scale. We use a narrative approach to categorize the announcements made by twenty-two central banks in advanced and emerging economies during the pandemic. Using event study, propensity-score-matching, and local projection methods, we measure the short-term effects of policy announcements on exchange rates and sovereign bond yields. We find that on average a central bank's first whatever-it-takes announcement lowers 10-year bond yields by an additional 25 basis points relative to size-limited announcements, suggesting that communication of potential policy scale matters. Announcement impacts on both exchange rates and yields differ across advanced and emerging economies.

We estimate the responsiveness of net labor migration to regional differences in unemployment rates across the United States since the mid-1970s. Our baseline estimate suggests an elasticity of roughly -0.3. For typical labor force participation ratios, an increase of 100 unemployed workers in an area is associated with net out-migration of roughly 47 workers. Instrumenting for regional unemployment produces even higher estimates. Our estimates are stable over time, inclusive of the Great Recession. The estimates depend crucially on accurate data and accounting for long-term trends in migration and unemployment.

I develop a model-based definition of time-varying sovereign bond safety, and apply it empirically by constructing a news-based index, the FLY, that measures global safe-assets demand. The FLY captures flight-to-safety episodes, the savings glut, and natural interest rate declines. Estimated FLY loadings allow the classification of bonds as safe, neutral, or risky. Post-Great-Recession, the global set of safe assets shrank, but US safety increased. I detect regime switches in FLY loadings: positive switches (becoming safe) align with expansions, higher government spending, lower debt, and credit upgrades; negative switches (becoming risky) are associated with contractions, reduced spending, higher debt, and downgrades. 

We examine the responsiveness of labor participation, unemployment and labor migration to exogenous variations in labor demand. Our empirical approach considers four instruments for regional labor demand commonly used in the literature. Empirically, we find that labor migration is a significant margin of adjustment for all our instruments. Following an increase in regional labor demand, the initial increase in employment is accounted for mainly through a reduction in unemployment. Over time however, net labor in-migration becomes the dominant factor contributing to increased regional employment. After 5 years, roughly 60 percent of the increase in employment is explained by the change in population.  Responses of labor migration are strongest for individuals aged 20-35. Based on historical data back to the 1950s, we find no evidence of a decline in the elasticity of migration to changes in employment.

This paper investigates COVID-related pricing anomalies for municipal bonds at the state level. Risk premia on state-level municipal bond indices experienced a substantial and persistent reordering during the early months of the pandemic. Conventional factor bond pricing models do not adequately capture those yield dynamics, and neither do added state-level pandemic controls. Instead, we find that during March-September 2020, factors constructed from portfolios sorted on state-level COVID characteristics are the only ones with significant risk premia. A state’s risk premium during COVID depends not on the situation within the state but on the distribution of pandemic intensity across all states.