Thuy Lan Nguyen

Download CV (pdf, 142.44 KB)

Thuy Lan Nguyen

Senior Economist

International macroeconomics, Fiscal policy, and Macroeconomics

lan.nguyen (at)

Profiles: Google Scholar | Personal website

Working Papers
How Oil Shocks Propagate: Evidence on the Monetary Policy Channel

2024-07 | with Miyamoto and Sergeyev | December 2023


Using high-frequency responses of oil futures prices to prominent oil market news, we estimate the effects of oil supply news shocks when systematic monetary policy is switched off by the zero lower bound (ZLB) and when it is not (normal periods) in Japan, the United Kingdom, and the United States. We find that negative oil supply news shocks are less contractionary (and even expansionary) at the ZLB compared to normal periods. Inflation expectations increase during both periods, while the short nominal interest rates remain constant at the ZLB, pointing to the importance of monetary policy for oil shock propagation.

The Macroeconomic Effects of Cash Transfers: Evidence from Brazil

2024-02 | with Mendes, Miyamoto, Pennings, and Feler | December 2023


This paper provides new evidence on the macroeconomic impact of cash transfers in developing countries. Using a Bartik-style identification strategy, the paper documents that Brazil’s Bolsa Familia transfer program leads to a large and persistent increase in relative state-level GDP, formal employment, and informal employment. A state receiving 1% of GDP in extra transfers grows 2.2% faster in the first year, with R$100,000 of extra transfers generating five formal-equivalent jobs, half of which are informal. Consistent with a demand-side mechanism, the effects are concentrated in non-tradable sectors. However, an open-economy New Keynesian model only partially captures the high multipliers estimated.

Published Articles (Refereed Journals and Volumes)
In Search of Dominant Drivers of the Real Exchange Rate

Forthcoming in Review of Economics and Statistics | with Miyamoto and Oh


We uncover the major drivers of each macroeconomic variable and the real exchange rate at the business cycle frequency in G7 countries. In each country, the main drivers of key macro variables resemble each other and none of those account for a large fraction of the real exchange rate variances. We then estimate the dominant driver of the real exchange rate and find that (i) the shock is largely orthogonal to macro variables and (ii) the shock generates a significant deviation of the uncovered interest parity condition. We analyze international business cycle models that are consistent with our findings.

International Input-Output Linkages and Changing Business Cycle Volatility

Journal of International Economics 147(103869), January 2024 | with Miyamoto


We quantify the effects of changes in international input–output linkages on the nature of business cycles. We build a multi-country international business cycle model with manufacturing and non-manufacturing sectors that matches the input–output structure within and across countries. We find that, in our 23-country sample, changes in the international input–output linkages between 1970 and 2007 have led to a drop in output volatility in all countries, explaining up to a half of the drop in output volatility in a median country observed in the data. In the model, stronger international linkages tend to stabilize output in response to domestic shocks, and destabilize for foreign shocks. Since foreign shocks still play a modest role in driving domestic business cycles, the stabilization effects dominate. Nevertheless, changing international linkages have generated larger shock transmission across countries, increasing the risk of a global recession.


appendix-nguyen-international-linkages.pdf – Online appendix

The Expectational Effects of News in Business Cycles: Evidence from Forecast Data

Journal of Monetary Economics 116, December 2020, 184-200 | with Miyamoto


News shocks work through changes in expectations, so data on expectations contain important information for identification of news shocks. We demonstrate this by estimating a DSGE model augmented with news shocks using U.S. data between 1955:Q1 and 2006:Q4. News shocks, especially those with long anticipation horizons, generate modest output fluctuations before fundamental changes. The precision of the estimated news shocks greatly improves when data on expectations are used. These results arise because data on expectations are smooth and do not resemble actual output.

The Effects of Government Spending on Real Exchange Rates: Evidence from Military Spending Panel Data

Journal of International Economics 116, January 2019, 144-157 | with Miyamoto and Sheremirov


Using panel data on military spending for 125 countries, we document new facts about the effects of changes in government purchases on the real exchange rate, consumption, and current accounts in both advanced and developing countries. While an increase in government purchases causes real exchange rates to appreciate and increases consumption significantly in developing countries, it causes real exchange rates to depreciate and decreases consumption in advanced countries. The current account decreases in both groups of countries. These findings are not consistent with standard international business cycle models. We discuss potential sources of the differences between advanced and developing countries in the responses to spending shocks.

Government Spending Multipliers under Zero Lower Bound: Evidence from Japan

American Economic Journal: Macroeconomics 10(3), July 2018, 1-32 | with Miyamoto and Sergeyev


Using a rich data set on government spending forecasts in Japan, we provide new evidence on the effects of unexpected changes in government spending when the nominal interest rate is near the zero lower bound (ZLB). The on-impact output multiplier is 1.5 in the ZLB period, and 0.6 outside of it. We estimate that government spending shocks increase both private consumption and investment during the ZLB period but crowd them out in the normal period. There is evidence that expected inflation increases by more in the ZLB period than in the normal period.

The Effects of Tax Changes at the Zero Lower Bound: Evidence from Japan

American Economic Association Papers and Proceedings 108, May 2018, 513-518 | with Kato, Miyamoto, and Sergeyev


We use the narrative approach to identify tax changes unrelated to current economic conditions and estimate the effects of these changes on macroeconomic variables during and outside of the zero lower bound period in Japan. We find little difference in the output responses across the two periods. However, the responses of aggregate consumption, investment, and imports are significantly different in the two periods within the first few quarters.

Business Cycles in Small Open Economies: Evidence from Panel Data between 1900 and 2013

International Economic Review 58(3), August 2017, 1007-1044 | with Miyamoto


Using a novel data set for 17 countries between 1900 and 2013, we characterize business cycles in both small developed and developing countries in a model with financial frictions and a common shock structure. We estimate the model jointly for these 17 countries using Bayesian methods. We find that financial frictions are an important feature for not only developing but also small developed countries. Furthermore, business cycles in both groups of countries are marked with trend productivity shocks. Common disturbances explain one third of the fluctuations in small open economies, especially during important worldwide phenomena.

Understanding the Cross-Country Effects of U.S. Technology Shocks

Journal of International Economics 106, May 2017, 143-164 | with Miyamoto


Business cycles are substantially correlated across countries. Yet, most existing models are not able to generate substantial transmission through international trade. We show that the nature of such transmission depends fundamentally on the features determining the responsiveness of labor supply and labor demand to international relative prices. We augment a standard international macroeconomic model to incorporate
three key features: a weak short-run wealth effect on labor supply, variable capital utilization, and imported intermediate inputs for production. This model can generate large and significant endogenous transmission of technology shocks through international trade. We demonstrate this by estimating the model using data for Canada and the United States with limited-information Bayesian methods. We find that this model can account for the substantial transmission of permanent U.S. technology shocks to Canadian aggregate variables such as output and hours, documented in a structural vector autoregression. Transmission through international trade is found to explain the majority of the business cycle comovement between the United States and Canada.

FRBSF Publications