Valcarcel, Victor J.

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Victor Valcarcel is an Assistant Professor of Economics. His research interests include:

  • Monetary Economics
  • Applied Time Series
  • Business Cycles

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Recent Submissions

Now showing 1 - 2 of 2
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    A Model of Monetary Policy Shocks for Financial Crises and Normal Conditions
    (Wiley, 2018-07-26) Keating, John W.; Kelly, Logan J.; Smith, A. Lee; Valcarcel, Victor J.; 0000-0002-6642-3239 (Valcarcel, VJ); 232523664 (Valcarcel, VJ); Valcarcel, Victor J.
    Deteriorating economic conditions in late 2008 led the Federal Reserve to lower the target federal funds rate to near zero, inject liquidity through novel facilities, and engage in large-scale asset purchases. The combination of conventional and unconventional policy measures prevents using the effective federal funds rate to assess the effects of monetary policy beyond 2008. We employ a broad monetary aggregate to elicit the effects of monetary policy shocks both before and after 2008. Our estimates align well with major changes in the Fed's asset purchase programs and yield responses that are free from price, output, and liquidity puzzles that plague other approaches.
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    Yield Curve Rotations, Monetary Shocks, and Greenspan's Conundrum
    (American Institute of Mathematical Sciences, 2019-02-26) Valcarcel, Victor J.; 0000-0002-6642-3239 (Valcarcel, VJ); Valcarcel, Victor J.
    Between June 2004 and December 2005 the Federal Reserve conducted a relatively aggressive contractionary policy that saw a steady increase in the effective federal funds rate of over 300 basis points. Yet the 10-year treasury rate fluctuated little over 60 basis points and ultimately declined slightly over the period. This was dubbed Greenspan's Conundrum after a famous speech by the former chairperson in February 2005. This highlights the importance of understanding the efficacy with which the central bank may impact term premia through changes in the short-term rate. I find hikes in interest rates lead to reductions in rate spreads at first, before turning positive roughly about a year post shock. These findings are statistically significant for a variety of interest rate spreads over two different samples. Following a contractionary monetary policy action, the yield curve experiences a clockwise tilt at first and an eventual counterclockwise rotation after some delay. A counterfactual analysis suggests that augmenting the federal funds rate hike of 2004 with a similar action to the Fed's 2011 Operation Twist-but conducive to contraction rather than expansion-could have mitigated Greenspan's Conundrum of 2004-2005.

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