A GVAR-IV with High-Frequency Identication for Monetary Policy in the Euro Area with Mattias Almgren, John Kramer and Ricardo Lima. (Presented at Stockholm University, IIES, Warwick University and Queen Mary.) Draft coming soon.
Abstract: We study the effect of common monetary policy shocks on Euro Area member countries. We use Global VAR model,identified using high-frequency movements in financial derivatives as proxy variables for the monetary policy surprise. Countries' responses to a common interest rate shock are heterogeneous, which we use to investigate the monetary transmission mechanism in the Eurozone. In particular, we show that the monetary policy has a bigger effect in economies with a larger share of Hand-to-Mouth households and that the housing channel has no effects. Finally, we build a HANK model in an small open economy that captures our empirical findings.
Reconciling Empirics and Theory: The Behavioural New Keynesian Model with Atahan Afsar. (Presented at IIES.) Draft coming soon.
Abstract: The most convenient aspect of the standard New Keynesian (NK) model is that it can be summarized in three difference equations: the Dynamic IS curve, the Phillips curve and a Taylor rule. Every slope in these curves is a combination of different parameters in the model. By estimating the slopes of the final set of equations, one can retrieve the structural parameters of the model. However, when the monetary economics literature performed such analyses, estimated parameters were at odds with microeconometric studies estimating these parameters. We show that the Behavioural NK model reconciles these aspects.
Abstract: We study the effect of common monetary policy shocks on Euro Area member countries. We use Global VAR model,identified using high-frequency movements in financial derivatives as proxy variables for the monetary policy surprise. Countries' responses to a common interest rate shock are heterogeneous, which we use to investigate the monetary transmission mechanism in the Eurozone. In particular, we show that the monetary policy has a bigger effect in economies with a larger share of Hand-to-Mouth households and that the housing channel has no effects. Finally, we build a HANK model in an small open economy that captures our empirical findings.
Reconciling Empirics and Theory: The Behavioural New Keynesian Model with Atahan Afsar. (Presented at IIES.) Draft coming soon.
Abstract: The most convenient aspect of the standard New Keynesian (NK) model is that it can be summarized in three difference equations: the Dynamic IS curve, the Phillips curve and a Taylor rule. Every slope in these curves is a combination of different parameters in the model. By estimating the slopes of the final set of equations, one can retrieve the structural parameters of the model. However, when the monetary economics literature performed such analyses, estimated parameters were at odds with microeconometric studies estimating these parameters. We show that the Behavioural NK model reconciles these aspects.
