I am a lecturer (assistant professor) at the Department of Economics at UCL.
My research is in macroeconomics with a focus on incomplete markets, business cycles, and monetary policy.


Research

Transmission of Monetary Policy with Heterogeneity in Household Portfolios 

This paper assesses the importance of heterogeneity in household portfolios for the transmission of monetary policy in a New Keynesian business cycle model with incomplete markets and portfolio choice under liquidity constraints. In this model, the consumption response to changes in interest rates depends on the joint distribution of labor income, liquid and illiquid assets. The presence of liquidity-constrained households weakens the direct effect of changes in the real interest rate on consumption, but at the same time makes consumption more responsive to equilibrium changes in labor income. The redistributive consequences, including debt deflation, amplify the consumption response, whereas they dampen the investment response. Market incompleteness has important implications for the conduct of monetary policy as it relies to a larger extent on indirect equilibrium effects in comparison to economies with a representative household.
[pdf]

NEW VERSION: Precautionary Savings, Illiquid Assets, and the Aggregate Consequences of Shocks to Household Income Risk 

(revise and resubmit, Econometrica)

(with Christian Bayer, Lien Pham-Dao, and Volker Tjaden)

U.S. households face large income uncertainty that varies substantially over the business cycle. We examine the macroeconomic consequences of these variations in a model with incomplete markets, liquid and illiquid assets, and a nominal rigidity. Heightened uncertainty depresses aggregate demand as households respond by hoarding liquid paper assets for precautionary motives, thereby reducing both illiquid physical investment and consumption demand. This translates into output losses. We document the empirical response of portfolio liquidity and aggregate activity to surprise changes in idiosyncratic income uncertainty and find both to be quantitatively in line with our model. The welfare consequences of uncertainty shocks and of the policy response thereto depend crucially on a household's asset position.
[pdf] [code[old version

Fiscal Stimulus Payments and Economic Activity in a Model of Liquidity-Constrained Households

(with Lien Pham-Dao)

Fiscal stimulus payments have become a commonly used policy to counteract recessions, but the aggregate effects of such payments are not well understood. We examine the effects of lump-sum transfers from the government on individual consumption and aggregates under different financing schemes in a New Keynesian model with liquid und illiquid assets. We find that size and sign of aggregate effects change with the financing considered. Raising taxes today lowers aggregate effects considerably in comparison to deficit financing.  The identification scheme used in the literature, however, always detects a sizable positive response of individual spending independent of the aggregate effects.
[update coming soon]


Current Projects

Housing Freezes, Deleveraging, and Aggregate Demand

(with Christian Bayer)
This paper develops a general equilibrium model of incomplete markets, liquid paper assets, and illiquid housing. In this model the liquidity of housing fluctuates stochastically over time. A decrease in the liquidity of housing leads to an increased demand for liquid paper assets and a decrease in demand for houses (as assets). We show that the model generates substantial business cycle effects of fluctuations in housing liquidity on housing prices, employment and output, while being in line with relatively small fluctuations in rental rates of housing.

Fiscal Uncertainty and Precautionary Savings
(with Othman Bouabdallah, Giovanni Callegari, and Thomas Warmedinger)
Uncertainty about the timing and type of fiscal consolidations raises the uncertainty of future household income. We examine this channel in a model with incomplete markets and a nominal rigidity. In this setup, uncertainty about tax- or spending-based consolidation and its timing depresses aggregate demand as households respond by increasing their savings.

Fiscal Consolidations Under Incomplete Markets - A Capital Taxation Paradox
(with Christian Bayer)

 

Computational Economics Monetary Economics


Department of Economics
University College London
30 Gordon Street
London
WC1H 0AX
United Kingdom