Job Market Paper
"Heterogeneity of consumption responses to uncertainty shocks" (available upon request)
Using high-frequency consumption data and panel local projections, we examine the heterogeneous responses of household consumption to different types of aggregate uncertainty. We employ macroeconomic, financial, and real uncertainty measures and find a significant and prolonged negative impact, with notable differences in the timing of the impact and its persistence. Constructing a nominal uncertainty index reveals that the effect of macroeconomic uncertainty is primarily driven by monetary factors such as interest rates, rather than real variables. We also find heterogeneous effects across households with different observable characteristics, such as income volatility and race. In addition, we account for key unobservable heterogeneity in time and risk preferences, with discount factor heterogeneity exhibiting the largest effect. We also provide additional results based on classifying households by liquidity constraints, showing that unconstrained households respond more rapidly, whereas constrained households adjust their consumption with a delay and exhibit larger declines.
Working Papers
"The Cross Section of Household Preferences: MPCs and the HtM Status" (with Andreas Tryphonides and Elena Andreou)
By leveraging high-frequency consumption data and a partial identification approach, we measure household-level preferences in the US while accommodating financial constraints of arbitrary form and measurement error. The distribution of preferences is non-parametrically (set) identified. We employ our estimates to provide explicit evidence on two interrelated questions crucial for understanding household responses to monetary and fiscal policy: The direct effect of preferences on the marginal propensity to consume (MPC), and the indirect effect operating through the hand-to-mouth (HtM) status. By matching measured preferences to reported MPCs out of the 2008 Tax Rebate, we find that preferences affect the MPC on the margin as predicted by theory. We test which households are HtM over time and find that preferences can explain more persistent HtM behavior, with transition rates varying over the business cycle and across preference types. Discount factors exhibit the largest direct and indirect impact on the MPC.
"The effect of Macroeconomic Uncertainty on key economic indicators in Cyprus" (with Elena Andreou)
The study estimates two complementary measures of macroeconomic uncertainty, based on econometric models, to capture domestic and foreign uncertainty and their effect on a small open economy, Cyprus. We estimate uncertainty from (i) a large panel of economic indicators in Cyprus, referred to as domestic uncertainty, and (ii) a large panel of international/foreign economic variables which are correlated with the domestic (Cyprus) economic variables, referred to as foreign uncertainty. The impact of the macro uncertainty measures on GDP, employment, and bank loans are evaluated in the context of a Vector AutoRegressive (VAR) model. Domestic and foreign uncertainty shocks have significant effects on real economic activity; however, the magnitude and persistence of these effects differ based on the source of the uncertainty. Interestingly, while domestic uncertainty shocks result in a reduction in bank loans, fluctuations in foreign uncertainty increase loan activity.