Gabor Pinter

What drove macroeconomic fluctuations over the past 700 years? In our 🚨 new working paper 🚨 “A Millennium of UK Business Cycles: Insights from Structural VAR Analysis” (with haroon Mumtaz and @_Gabor_Pinter_ ), we show:

The BIS Quarterly Review is out bit.ly/4hmZGWD #BISQuarterly #PrivateCredit #InvestmentFunds #MonetaryPolicy #BISStatistics #GreenBonds

🧵SWP 1045 by Rodrigo Guimaraes, Gabor Pinter + Jean-Charles Wijnandts (all BoE) explores how bond market liquidity affects how long-term treasury yields reacts to US monetary policy shocks. bankofengland.co.uk/working-paper/…

📢 We are hiring📢 A great chance to be part of our diverse + talented research team at a really interesting time. If you have a PhD / will have one by end 2024 please apply! Deadline is 13 Nov bankofengland.taleo.net/careersection/… More details + application form at: bankofengland.co.uk/careers/resear…

If you are an economist interested in machine learning, or AI more generally, here you can find a beautiful discussion by Thomas Sargent on the origins of ML/AI and its economic applications/developments. Link: tomsargent.com/research/AI_Sa… Really interesting reading. #EconTwitter

My personal website is now on github: rharrisonmacro.github.io It includes links to (some) replication codes and I plan to add more over time.

The trading activity of LDIs and pension funds (especially their linker flows) can explain this relative mispricing. Hedge funds respond to mispricing but it doesn't constitute arbitrage – they adjust their bond portfolios appropriately, but don't hedge it with inflation swaps.

Our paper uses UK micro data to study the relative mispricing of inflation-linked bonds, nominal bonds and inflation swaps - one of the largest examples of the violation of the law of one price (Fleckenstein, Longstaff, and @HannoLustig , 2014). bankofengland.co.uk/-/media/boe/fi…

an interesting chart from our paper, highlighting the immense concentration in the UK interest rate derivatives markets:

@TomW100 @BoE_Research thank you for the comments, Tom! The analysis in the paper uses a subsample of SMMD where repo counterparties could be matched with gilt transactions during the crisis period. In future revisions, I’ll try to improve this match.

@BoE_Research @_Gabor_Pinter_ Great article but the estimation of LDI usage of repo is way too low. I suspect the SMMD is pretty flawed and doesn’t match up with either the flows you can see in Bankstats & anecdote. I’d have put LDI repo usage nearer £250-300bn once pooled LDI was included.

🧵SWP 1019 by Gabor Pintér combines several sources of transaction level data to sketch out a narrative of September 2022 gilt market crisis and documents a number of key stylised facts about how it played out… bankofengland.co.uk/working-paper/…

We are pleased to announce that Nobuhiro Kiyotaki will be joining the Finance Group next year as the 2023/24 Fischer Black Chair! Nobuhiro Kiyotaki is the Harold H. Helm 1920 Professor of Economics and Banking at Princeton. Learn more about his research: buff.ly/3mz7ldT

Want to learn more about #CBDC, #stablecoins, #cryptocurrencies and #decentralisedfinance (#defi)? Join us (in person or virtually) for our flagship conference on "New Digital Technologies and the Future Financial Landscape" in London, Feb 27-28. Programme and registration link:

Behold, Olivier Blanchard back at MIT! Unveiling his new book on Fiscal Policy under Low Interest Rates. A true Opus! mitpress.mit.edu/9780262544870/…

Secular stagnation is not over. A short essay on a really important issue for the future. piie.com/blogs/realtime…

Call for Papers: Workshop on Non-Bank Financial Intermediaries on 4/21 @ChicagoFed (in-person), organized by Ralf Meisenzahl, @rkoijen, @motoyogo. Submit by email to rmeisenzahl@frbchi.org (deadline 2/15). We welcome papers on insurers, pension funds, mutual funds, ETFs.

1/8 This is a great discussion, so I shall continue. Second round answer to @IvanWerning. I like very much the Werning-Lorenzoni framework. dropbox.com/s/pbsurtd5onvn… One of its merits is indeed to show that thinking in terms of distributional conflict is totally mainstream.

A reminder about our PhD internship programme. Deadline is 30th Jan.