Contact Information

Federal Reserve Board
Washington, D.C. 20551

Anthony M. Diercks


Monetary and Financial Market Analysis

Board of Governors of the Federal Reserve System

Fields of Specialization

  • DSGE Asset Pricing
  • Macro-Finance
  • Monetary Economics
  • International Economics

Curriculum Vitae


News Shocks and the Production-Based Term Structure of Equity Returns (joint with Hengjie Ai, Max Croce, and Kai Li)

Forthcoming, Review of Financial Studies 2017


We propose a production-based general equilibrium model to study the link between timing of cash flows and expected returns both in the cross section of stocks and along the aggregate equity term structure. Our model incorporates long-run growth news with time-varying volatility and slow learning about the exposure that firms have with respect to these shocks. Our framework provides a unified explanation of the stylized features of the slope of the term structure of equity returns, its variations over the business cycle, and the negative relationship between cash-flow duration and expected returns in the cross section of book-to-market-sorted portfolios.


The Equity Premium, Long-Run Risk, and Optimal Monetary Policy

"Talk of the Town" Award, Finance Down Under Conference, 2016

"NYSE Euronext Capital Markets Best Paper Award", EFMA, 2017


Reject-and-Resubmit, American Economic Review


In a production-based asset pricing New Keynesian model, I find that the Ramsey optimal monetary policy yields a significant quantity of endogenously generated positive skewness in the inflation rate, an average inflation rate above 3.5\%, and an inflation volatility close to 1.5\%. The same model calibrated to a counterfactually low equity premium implies an optimal inflation rate close to zero, an inflation volatility less than 10 basis points, and no skewness, all features consistent with much of the existing literature. Relatively higher optimal average inflation and the positive skewness are due to the greater welfare costs of recessions associated with matching the equity premium in a non-linear framework. The standard optimal policy that focuses on stabilizing inflation tends to amplify long-run risk as measured by variance ratios in consumption growth. Furthermore, the interest rate rule that comes closest to matching the dynamics of the optimal Ramsey policy puts a sizable weight on capital growth along with the price of capital, as it emphasizes reducing long-run risk.


Taxes and the Fed: Theory and Evidence from Equities (joint with William Waller)

Mentioned on Bloomberg (10-12-2017), The Wall Street Journal (12-12-2017),

and MarketWatch (12-14-2017)



We provide a critical theoretical and empirical analysis that suggests a key driver of fiscal effects on equity markets is the Federal Reserve. For the Post-1980 era, tax cuts lead to higher cash flow news and higher discount rates. The discount rate news tends to dominate such that tax cuts are associated with lower equity returns. This result is flipped for the Pre-1980 era. Our results are confirmed across multiple measures of tax shocks (narrative, SVAR, municipal bonds, etc.) at different frequencies (daily, quarterly, annual). We motivate our empirical findings with a standard New Keynesian model (in addition to the FRB/US model) that exhibits a shift in the aggressiveness of monetary policy. Moreover in our theoretical framework, downward nominal wage rigidities account for observed asymmetries in the response to tax cuts versus tax increases.


The Reader's Guide to Optimal Monetary Policy (JEL Proposal)

Mentioned on

The Grumpy Economist by John Cochrane

Monetary Policy in a New Era by Ben Bernanke,

The Brookings Institute : Should the Fed stick with the 2 percent inflation target or rethink it? (at 01hr08m20s) by Olivier Blanchard


Recently, multiple economists have banded together to suggest to the Federal Reserve that the inflation target needs to be changed. The inflation target is the core through which monetary policy makers rationalize their decisions while following the dual mandate of maximum employment and price stability. Understanding the rationale for its level, 2%, and understanding the academic literature related to optimal inflation dynamics seems more important than ever before. This survey takes into account every optimal monetary policy paper made available to the public since the mid-1990s and provides a careful discussion on the most important costs and benefits of inflation.


Note: I will be updating the table of papers on a quarterly basis in perpetuity. If I missed your paper or you have a new paper that I have not yet included, please let me know.



1. The views expressed are solely the responsibility of the authors and should not be interpreted as reflecting the views of the Board of Governors of the Federal Reserve System or of anyone else associated with the Federal Reserve System.