Research

My current work focuses on understanding the effects and transmission channels of monetary policy, and the role of financial frictions in business cycle analysis.

Job Market Paper

Monetary Policy and Household Net Worth (with Mathias Klein) R&R, Review of Economic Dynamics

Abstract: This study investigates the interrelation between household balance sheets, collateral constraints and monetary policy. Using data on the U.S. economy, we estimate a monetary DSGE model with financial frictions and occasionally binding borrowing constraints. We find that the level of household net worth best predicts the tightness of the borrowing constraint, which implies that monetary policy is more effective when net worth is low. We then test this model prediction on aggregate data and provide robust empirical evidence on asymmetric effects of monetary policy across the household net worth cycle that validates the model predictions. A contractionary monetary policy shock leads to a large and significant fall in economic activity during periods of low household net worth. In contrast, monetary policy shocks have only small and mostly insignificant effects when net worth is high.

Presented at (*scheduled):

• 2019: IMF 20th Jacques Polak Annual Research Conference (Washington D.C.)*
• 2018: RES Annual Conference (Sussex), IAAE Annual Conference (Montreal), CEF International Conference (Milan), EEA-ESEM Annual Congress (Cologne), De Nederlandsche Bank, University of Antwerp, University of Hamburg, Humboldt Universität zu Berlin, University of Leipzig, University of Gießen, Ghent University, Charles University Prague, TU Dortmund University, EAYE Workshop on Housing and Macroeconomics (Leipzig); SMYE (Palma de Mallorca).
• 2017: Berlin Internal Macroeconomics Workshop (DIW Berlin), Melbourne Institute Macroeconomic Policy Meetings (University of Melbourne), Workshop on Empirical Macroeconomics (Freie Universität Berlin)

Working Papers

Risk and State-dependent Financial Frictions (with Raf Wouters)

We augment a standard New Keynesian model with a financial accelerator mechanism and show that financial frictions generate large state-dependent amplification effects. We fit the model to U.S. data and show that the nonlinear model produces much stronger propagation of shocks than the linear model, particularly when shocks drive the model far away from the steady state. Importantly, we document that these amplification effects arise as a response to endogenous variation in financial conditions. Motivated by these findings, we propose a regime-switching DSGE framework where financial frictions endogenously fluctuate between moderate (low risk) and severe (high risk) depending on the state of the economy. This framework allows for efficient estimation with many state variables and improves fit with respect to the linear model.

Presented at:

• 2019: SMYE (Brussels), Workshop on Empirical Macroeconomics (Ghent University), IAAE Annual Conference (Nicosia), EEA-ESEM Congress (Manchester)
• 2018: Workshop on Empirical Macroeconomics (Freie Universität Berlin)

Work in progress

Household Credit Constraints and the Transmission of Monetary Policy to Consumption

In this paper I combine two rich surveys for the US (the SCF and CEX) and exploit these detailed household portfolio and consumption data to assess the role of household credit constraints for the transmission channel of monetary policy to consumption. In contrast to most approaches in the literature, I exploit an explicit measure of credit constraints from the SCF, where households report whether they have gotten loans partially or fully rejected. I show that this type of household credit constraints significantly dampen the effectiveness monetary policy.