PUBLISHED & ACCEPTED PAPERS
Monetary Policy When Households Have Debt: New Evidence on The Transmission Mechanism
with James Cloyne (UC Davis) and Paolo Surico (LBS)
Review of Economic Studies, Volume 87(1), 102-129, January 2020
WP version: Bank of Spain DT1813. Media: VoxEU column (2016) , The Economist (2021)
Monetary Policy, External Finance and Investment
with James Cloyne (UC Davis), Maren Froemel (Bank of England) and Paolo Surico (LBS)
Journal of the European Economic Association, Issue 21-6, December 2023
Older WP version: Bank of Spain DT1911.
WORKING PAPERS
The Heterogeneous Impact of Inflation on Households' Balance Sheets [November 2023] submitted
with M. Cardoso (BBVA Research), J.M. Leiva (BBVA Research), Galo Nuño (Banco de España), Alvaro Ortiz (BBVA Research), Tomasa Rodrigo (BBVA Research) and Sirenia Vazquez (BBVA Research)
Other versions: Bank of Spain WP 2403 [January 2024]
Media: LesEchos , Expansión , Twitter thread
Abstract: We identify and study analytically three key channels that shape how inflation affects wealth inequality: (i) the traditional wealth (Fisher) channel through which inflation redistributes from lenders to borrowers; (ii) an income channel through which inflation reduces the real value of sticky wages and benefits; and (iii) a relative consumption channel through which heterogeneous increases in the price of different goods affect people differently depending on their consumption baskets. We then quantify these channels during the 2021 inflation surge in Spain using detailed and high-frequency client-level data from one of the main commercial banks. The unexpected nature and temporary perception of the inflation shock in this particular period closely maps on to the assumptions behind our theoretical decomposition. Results show that the wealth and income channels are one order of magnitude larger than the consumption channel. Middle-aged individuals were largely unaffected by inflation, while older ones suffered the most. We find similar results when using representative surveys on households' wealth, income, and consumption.
Household Perceived Sources of Business Cycle Fluctuations: a Tale of Supply and Demand [November 2023]
with Stefano Pica (Banca d'Italia)
Abstract: We study the joint behavior of households' survey expectations for a wide range of macroeconomic and individual-level variables in the largest six euro area countries, both in the cross-section and time series. Although households disagree, their expectations are correlated in the cross-section. Two principal components explain a significant portion of the variance of all expectations. These components capture households' perceptions of the sources of macroeconomic dynamics, with the first capturing supply-side views and the second component reflecting demand-side views. This structure of perceptions and disagreement is stable across countries and time and does not vary with demographic or socioeconomic characteristics. We then use these insights to identify two common factors driving expectations over time. The factors co-move strongly with measures of supply and demand disturbances and align well with a narrative based on increasing perceived inflationary pressures coming from supply after the invasion of Ukraine in February 2022.
Housing Tenure and Household Debt: Life-Cycle Dynamics During a Boom and Bust [November 2023]
with Julio Gálvez (CUNEF) and Myroslav Pidkuyko (Banco de España)
Abstract: The housing bust in Spain after 2008 was characterized by a significant and rapid drop in home ownership among the younger cohorts, a relatively homogeneous but significant decrease in consumption, and significant movements in the rent-to-house price ratio. To uncover the causes of these movements, we solve and estimate an equilibrium life-cycle model with non-linear income dynamics, mortgages, housing, and rental markets and simulate a series of counterfactual policy changes and macroeconomic conditions observed in Spain during the period. The lion's share of the observed drop in home ownership and consumption and the housing market dynamics can be explained by the tightening of credit conditions and the major shift in income dynamics observed in Spain between the boom and bust phases.
FROZEN STUFF
Firms Strategic Competition and The Dynamics of Reputation: The Case of an On-line Market
(based on previous work with Ema Iancu , Konjunkturinstitutet )
Who Pays for Inflation? Welfare Costs of Inflation With heterogeneous Households (based on my master thesis at CEMFI)
Bank Lending Channel and the Aggregate Effects of Sovereing Liquidity Shocks (2019)
with Andrea Gazzani (Banca d'Italia) and Alejandro Vicondoa (PUC Chile)
Variance-Covariance Estimation with Spatial and Serial Correlation: IV in an Un-Balance Panel (2018)
Democratic Monetary Policy Rules [2019]
with J. Fernández-Villaverde (UPenn), J. Gálvez (Bank of Spain), S. Hurtado (Bank of Spain) and G. Nuño (Bank of Spain)
Assigned To Your Choice? A Short Note on Matching Researchers to Workspaces [2010]
Helicopter Money Drop: The Role of Expectations
with Hernán Seoane (U. Carlos III)
DISCUSSIONS
"The effect of wage rigidity on the transmission of monetary policy to inequality"
by Momo Komatsu (Oxford University)
Workshop "Women in Central Banking" (November 2023)
[DISCUSSION SLIDES]
"Managing Expectations: Inflation and Monetary Policy"
by Silvia Albrizio (IMF)
IMF World Economic Outlook 2023. Chapter 2 (October 2023)
[DISCUSSION SLIDES]
"Inflation Distorts Relative Prices: Theory and Evidence"
by K. Adam, A. Alexandrov and H. Weber
ESSIM 2023 (May 2023)
[DISCUSSION SLIDES]
"Distributional effects of inflation on euro area households"
by F. Pallotti, G. Paz-Pardo, J. Slacalek, O. Tristani, G. Violante
SUERF-Banca d’Italia-ECB-EIB Conference: The use of surveys for monetary and economic policy (April 2023)
[DISCUSSION SLIDES]
"The effects of monetary policy through housing and mortgage choices on aggregate demand"
by Karin Kinnerud
Fourth Biennial Conference on New Dimensions of Monetary Policy (September 2022)
"Optimal Monetary Policy in HANK Economies"
by S. Acharya, E. Challe and K. Dogra
BdF-CEPR Heterogeneous Agents or Heterogeneous Information (December 2019)
"Banking Supervision, Monetary Policy and Risk Taking: Big Data Evidence from 15 Credit Registers"
by C. Altavilla, M. Boucinha, J.L Peydró and F. Smets
ESSIM (May 2019)
"Sovereign Default in a Monetary Union"
by Sergio de Ferra and Federica Romei
12th Nordic Summer Symposium in Macro (August 2018)
"Housing Market Freezes, Deleveraging and Aggregate Demand"
by Christian Bayer and Ralph Luetticke
Housing, Housing Credit and the Macroeconomy (September 2017)
CONTRIBUTIONS TO POLICY (PUBLICLY AVAILABLE)
El episodio actual de las tensiones inflacionistas en el Área del Euro, la respuesta de la política monetaria y sus efectos [english version here]
Informe Anual, Capítulo 3. Banco de España. May 2023
El repunte global de la inflación [english version here]
Informe Anual. Banco de España. May 2022
Clear, Consistent and Engaging: ECB Monetary Policy Communication in a Changing World
ECB Strategy Review. Occasional paper Series No. 274. September 2021
El Mercado de la Vivienda en España entre 2014 y 2019 [english version here]
Documentos Ocasionales no. 2013 - Banco de España. June 2020
Research Feature: Monetary Policy, Corporate Finance and Investment
Research features. Banco de España. Fall 2019
Evolución Reciente del Mercado de Crédito al Consumo en España [english version here]
Informe Trimestral - Banco de España. September 2018