Publications
"Dynamics of the Natural Rate of Interest and Monetary Policy," 2025, Finance Research Letters, 72, 106475 (spreadsheet containing monthly estimates of the natural rate of interest)
Abstract: This paper studies the relation between the monetary policy rate and the natural rate of interest in the euro area and the United States across the periods of conventional monetary policy (CMP) and unconventional monetary policy (UMP). The unobserved time series of the natural rate of interest is estimated at the monthly frequency at which the relation between the policy rate and the natural rate is evaluated. The results indicate that the dynamics of the policy rate was positively and significantly related to the variations in the natural rate during the CMP period. The relation twisted during the UMP period.
"Unconventional Monetary Policy and Economic Inequality," 2023, Economic Modelling, 126, 106380
Abstract: This paper evaluates the distributional effects of US unconventional monetary policy (UMP) implemented as an additional measure to confront recessions. In line with the literature, the results show that the UMP reduces the unemployment rate, moderately increases prices, and stabilizes financial conditions. Yet, it also increases income and wealth inequality, with a stronger effect on the latter. Central bank balance sheet policies tend to be the key measures that shape its general effects. The UMP raises capital income more than labor earnings, which leads to the relatively higher increase in income at the upper part of the distribution and as a result to the growth of income inequality. Also, the UMP increases stock prices more than house prices, which results in the relatively larger growth of wealth at the top end of the distribution, leading to the rise of wealth inequality. These results indicate the need for complementary fiscal policy measures.
"Distributional Impact of Monetary Policy in the UK: from Conventional to Unconventional Policy," with Fernando Ballabriga, 2022, Journal of Economic Policy Reform, 25 (4), Symposium on Monetary Policy, pp. 435-450
We evaluate the income distributional effect of monetary policy in the UK for the period 1993-2019, using a mixed frequency approach and a high frequency identification. Our results indicate that expansionary monetary policy increased income inequality during the unconventional policy subperiod 2009-2019. Looking at the income brackets, we find that this increase in inequality is primarily due to the positive impact of expansionary policy on the upper share of income distribution. Our counterfactual analysis reveals that unconventional monetary policy contributed to the increase in inequality, and that the response to COVID-19 is likely to do the same.
"The Distributive Effect of Monetary Policy: The Top One Percent Makes the Difference," 2017, Economic Modelling, 65, pp. 106-118 (postprint)
Abstract: The paper evaluates the distributional effect of monetary policy. The empirical analysis is implemented for the USA, where the dynamics in income inequality is mainly driven by the variation in the top one percent of the income distribution. The paper uses the inequality measures that represent the whole income distribution. The distributive effect of monetary policy is evaluated in the cases of different frequency data. To identify a monetary policy shock, the paper applies the contemporaneous and the long run identification methods. In particular, a cointegration relation is determined among the considered variables and the vector error correction methodology is used for the identification. The obtained results indicate that contractionary monetary policy decreases income inequality. These results can have important implications for the design of policies to reduce income inequality by giving more weight to monetary policy.
"Interrelation among Economic Growth, Income Inequality, and Fiscal Performance: Evidence from Anglo-Saxon Countries," 2016, Review of Public Economics, 217 (2), pp. 37-66
Abstract: The interrelation among economic growth, income inequality, and fiscal performance is very complex. The objective of this paper is to analyze the dynamic interrelations among these variables using structural VAR models and to examine transmission channels among them. The empirical analysis is implemented for the UK, the USA, and Canada, using the longest possible consistently measured comparable data on income inequality. We find that inequality has a negative effect on growth in the case of the UK while the effect is positive for the USA and Canada. An increase in inequality worsens fiscal performance for all the considered countries.
Working Papers
“Comparing Conventional and Unconventional Monetary Policy Effects in the Euro Area and the United States,” with Fernando Ballabriga
Abstract: We use a consistent framework to compare the economic effects of conventional and unconventional monetary policies in the euro area (EA) and the United States (US). We find that policy actions have stronger impact on prices during the conventional period while the effects on the unemployment rate and financial variables are more comparable across the policy periods. We interpret the difference by the lower level of the neutral policy rate during the unconventional period. We also find that the effectiveness of unconventional monetary policy in terms of target impact is lower in the EA than in the US, a result we attribute to differences in the central bank institutional design.
Work in Progress
"Uncovering the Financial Effects of the Exchange Rate Regime Transition in Egypt," with Omar Elkaraksy
"Climate Volatility and Economic Conditions," with Juan Miguel Marin and Helena Veiga
“Threshold Effects in the Impact of Inflation on Tax Receipts,” with Ignasi Valls Torregrosa
Other Papers and Publications
"The Sensitivity Analysis of the DSGE Model of the Armenian Economy," 2010, Banber of the Central Bank of Armenia, the second quarter, pp. 90-112
"The Evaluation of the New Keynesian Models of Price and Wage Inflation for Armenia," 2009, Central Bank of Armenia, working paper
"Exchange Rate Exposure in Armenia," 2008, Central Bank of Armenia, working paper
"Modeling Investment Behavior in Armenia for Forecasting," 2007, Banber of the Central Bank of Armenia, the first quarter, pp. 124-147