Micro Jumps, Macro Humps: Monetary Policy and Business Cycles in an Estimated HANK Model /
Auclert, Adrien.
Micro Jumps, Macro Humps: Monetary Policy and Business Cycles in an Estimated HANK Model / Adrien Auclert, Matthew Rognlie, Ludwig Straub. - Cambridge, Mass. National Bureau of Economic Research 2020. - 1 online resource: illustrations (black and white); - NBER working paper series no. w26647 . - Working Paper Series (National Bureau of Economic Research) no. w26647. .
January 2020.
We estimate a Heterogeneous-Agent New Keynesian model with sticky household expectations that matches existing microeconomic evidence on marginal propensities to consume and macroeconomic evidence on the impulse response to a monetary policy shock. Our estimated model uncovers a central role for investment in the transmission mechanism of monetary policy, as high MPCs amplify the investment response in the data. This force also generates a procyclical response of consumption to investment shocks, leading our model to infer a central role for these shocks as a source of business cycles.
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Mode of access: World Wide Web.
Micro Jumps, Macro Humps: Monetary Policy and Business Cycles in an Estimated HANK Model / Adrien Auclert, Matthew Rognlie, Ludwig Straub. - Cambridge, Mass. National Bureau of Economic Research 2020. - 1 online resource: illustrations (black and white); - NBER working paper series no. w26647 . - Working Paper Series (National Bureau of Economic Research) no. w26647. .
January 2020.
We estimate a Heterogeneous-Agent New Keynesian model with sticky household expectations that matches existing microeconomic evidence on marginal propensities to consume and macroeconomic evidence on the impulse response to a monetary policy shock. Our estimated model uncovers a central role for investment in the transmission mechanism of monetary policy, as high MPCs amplify the investment response in the data. This force also generates a procyclical response of consumption to investment shocks, leading our model to infer a central role for these shocks as a source of business cycles.
System requirements: Adobe [Acrobat] Reader required for PDF files.
Mode of access: World Wide Web.