Leo is a Senior Adviser in the Research team in the Economics Department. He joined the Research Team of the Economics Department in 2008. He has previously worked in the Reserve Bank's Financial Markets Department and in private sector funds management.
Leo earned a PhD in Economics at the University of Waikato in 2007 with a thesis that enhanced the popular Nelson-Siegel model of the yield curve and applied it to topics in finance and macroeconomics. He is currently working on developing the Reserve Bank's capability in the field of term structure modelling and macro-finance.
Current research interests:
- Lower bound yield curve modeling. This work involves developing and applying yield curve models with an explicit allowance for the zero lower bound constraint. Results include deriving unconventional monetary policy metrics: see Measures of the stance of United States monetary policy and Comparison of international monetary policy measures.
- Macro-finance; investigating inter-relationships between interest rates, macroeconomic variables, and the exchange rate.
- Fixed interest portfolio optimization.
Recent papers and publications:
- (2016) “The effect of conventional and unconventional euro area monetary policy on macroeconomic variables” (with A. Halberstadt), Deutsche Bundesbank Discussion Paper, 49/2016.
- (2016) “Monetary policy spillovers across the Pacific when interest rates are at the zero lower bound” (with E. Claus and I. Claus), Asian Economics Papers 15(3), 1-27. (Also RBNZ DP2016/08)
- (2016) “Short-term risk premiums and policy rate expectations in the United States” (with M. Callaghan), Reserve Bank of New Zealand Analytical Note, AN2016/07.
- (2016) “A theoretical foundation for the Nelson and Siegel class of yield curve models”, Journal of Applied Econometrics, 30(1), 97-118. (Also RBNZ DP2012/02)
- (2016) “The interest rate pass-through in the euro area during the sovereign debt crisis” (with S. Eickmeier and J. von Borstel), Journal of International Money and Finance 68, 386-402. (Also RBNZ DP2015/03)
- (2014) “Asset markets and monetary policy shocks at the zero lower bound” (with E. Claus and I. Claus) Reserve Bank of New Zealand Discussion Paper, DP2014/03.
- (2015) “Term Structure Modeling at the Zero Lower Bound: A Practitioner’s Guide”, Palgrave-Macmillan
- (2014) "Measuring the stance of monetary policy in conventional and unconventional environments", Working Paper, Centre for Applied Macroeconomic Analysis Working Paper, 6/2016.
- (2013) "Efficient Jacobian evaluations for estimating zero lower bound term structure models". Working Paper, Centre for Applied Macroeconomic Analysis, 77/2013.
- (2013) "Faster solutions for Black zero lower bound term structure models". Working Paper, Centre for Applied Macroeconomic Analysis, 66/2013.
- (2013) "A tractable framework for zero lower bound Gaussian term structure models", Discussion Paper, Reserve Bank of New Zealand, 2013/02.
- (2012) "Measuring the stance of monetary policy in zero lower bound environments", Economics Letters 118, 135–138. Also RBNZ Discussion Paper 2012/04
- (2012) "A Proposal for Improving Forward Guidance", Federal Reserve Bank of St. Louis Economic Synopses, 2012/28.
- (2012) "A model for interest rates near the zero lower bound: An overview and discussion", Reserve Bank of New Zealand Analytical Note, 2012/05.
- (2012) "Modifying Gaussian term structure models when interest rates are near the zero lower bound", Reserve Bank of New Zealand Discussion Paper, 2012/02.
- (2010) "Connecting the dots: a yield curve perspective on New Zealand's interest rates", Reserve Bank of New Zealand Bulletin, September 2010.
- (2009, with L. Thorsrud) "Forecasting New Zealand's economic growth using yield curve information", Reserve Bank of New Zealand Discussion Paper, 2009/18
- (2008) "A macroeconomic foundation for the Nelson and Siegel class of yield curve models", University of Technology Sydney, Quantitative Finance Research Centre Research Paper 226
- (2007) "The derivation and application of a theoretically and economically consistent version of the Nelson and Siegel class of yield curve models", University of Waikato, Ph.D Thesis
- (2006) "A theoretically-consistent version of the Nelson and Siegel class of yield curve models", Applied Mathematical Finance, 13(1) pp. 39-59
- (2006) "A yield curve perspective on uncovered interest parity", University of Waikato, Department of Economics, Working Paper 06/16