Nastasia Henry - Research

Job Market Paper

Quantitative Easing in Heterogeneous Monetary Union

I analyse the transmission of Quantitative Easing and assess its distributional effects in a heterogeneous monetary union. Focusing on European Monetary Union (EMU), I capture two types of heterogeneity: cross-country –- debt profiles (long-term debt liquidity, short-term to long-term debt, debt-to-GDP ratio) and within-country heterogeneity -- unequal households financial participation. I develop a Two-Country, Two-Agent New Keynesian model with a liquidity constraint, calibrated to EMU core and peripheral countries during the Global Financial Crisis. My main finding is that heterogeneity within a monetary union critically shapes the impact of Quantitative Easing. Across countries, differences in debt profiles shape the the aggregate response of output via the portfolio rebalancing channel. Bond liquidity governs the strength of the portfolio reallocation while short-to-long-term debt ratio drives the direction of these reallocations. Within countries, disparities in households’ access to financial markets condition both the aggregate output response and the distributional effects of QE.

Draft under request

Protectionism, Stability & Inequalities

On the (de)stabilization role of protectionism (with A.Venditti)*- Journal of Mathematical Economics, 2024, vol 113, pp 102993 Link to the paper

To what extent protectionism affects growth and (de)stabilizes the economies? Although the impact of protectionism on growth has been widely explored without reaching a consensus, few has been said on its impact on macroeconomic stability. The present paper attempts to gauge more precisely its implications using a Barro-type (Barro, 1990) endogenous growth model with public debt and credit constraint where tariffs are a proxy of protectionism. Our main result is to show that when the debt level is high, and the share of foreign goods in total consumption is large enough, increasing tariffs may have a destabilizing effect generating some expectation coordination failures between multiple equilibria. We also exhibit some trade-off between tariffs and growth as tariffs are beneficial only to the low growth equilibrium which may only appear when the international interest rate is low enough. Finally, focusing on the local stability property, we show that the high BGP is always characterized by local indeterminacy, while the low BGP is always a saddle point. We then prove that tariffs may be responsible for the existence of large self-fulfilling fluctuations

Trade frictions & Inequalities -- Single authored

Work in Progress

Asymmetric Carbon Pricing in networked electricity -- Joined with Cédric Crofils