Monetary Policy and the Wealthy Hand-to-Mouth with Mattias Almgren, John Kramer and Ricardo Lima. (Presented at Stockholm University, IIES, Warwick University and Queen Mary University of London.)
Abstract: We study the effects of monetary policy shocks on countries in the Euro Area. We use a local projections instrumental variables (LPIV) estimation and identify monetary policy shocks with a series constructed from financial derivatives measured at minute frequency. We show that a monetary policy shock has heterogeneous effects on real GDP across countries, both in terms of timing and size. The results are robust to the estimation of impulse responses using a Global VAR approach. We find that the effectiveness of monetary policy is closely related to the share of households with low levels of liquid assets: a 10 percentage point increase in the share of Hand-to-Mouth households is associated with a real GDP response that is stronger by 0.5 percentage points.
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 effects of monetary policy shocks on countries in the Euro Area. We use a local projections instrumental variables (LPIV) estimation and identify monetary policy shocks with a series constructed from financial derivatives measured at minute frequency. We show that a monetary policy shock has heterogeneous effects on real GDP across countries, both in terms of timing and size. The results are robust to the estimation of impulse responses using a Global VAR approach. We find that the effectiveness of monetary policy is closely related to the share of households with low levels of liquid assets: a 10 percentage point increase in the share of Hand-to-Mouth households is associated with a real GDP response that is stronger by 0.5 percentage points.
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.
