This course aims at enabling students to conduct research in promising areas in macroeconomics. One area is research on the role of household heterogeneity and inequality for the propagation of ?scal and monetary policy, as well as the e?ects of macroeconomic policies on inequality. Another ”hot” areas are macro policies and climate change: what can be done about it and how will climate change a?ect the economy. In a ?rst step, we read and discuss recent papers and some classics. The fruitful discussions and the intensive engagement with the topics should lead to the development of independent research ideas. close

Frontier papers in Macroeconomics

Aim

This course aims at enabling students to conduct research in promising areas in macroeconomics. One area is research on the role of household hetero- geneity and inequality for the propagation of fiscal and monetary policy, as well as the effects of macroeconomic policies on inequality. Another ”hot” areas are macro policies and climate change: what can be done about it and how will climate change affect the economy.

In a first step, we read and discuss recent papers and some classics. The fruitful discussions and the intensive engagement with the topics should lead to the development of independent research ideas.

Time and Venue

The first meeting will be on WebEx: Click here

Afterwards:

Wednesday, 2 pm - 4 pm, Ferdinand-Friedensburg-room at DIW Exercise, 4 pm - 6 pm, Ferdinand-Friedensburg-room at DIW

Grading

We start by reviewing some recent papers, which deal with promising poten- tial research topics. Each student will be asked to present one of the papers in class. The presentation will count for 10% of the grade. Participation  in the following discussion will count for another 10%. The exercise classes will contain some homework. The solution and potential presentation of the solution will count for another 30%.

Students are asked to develop their own research ideas in the second part of the class. The presentation of the research ideas will count for 20%, a 5 page summary of the research idea for 30% of the final grade.

Potential papers

Overview and introductory paper

Macro and Inequality: Kaplan and Violante (2021), Ahn et al. (2018), Bilbiie (2019), Acharya and Dogra (2020)

• Monetary policy shocks: Ramey (2016), Ettmeier and Kriwoluzky (2019)

Identification of monetary policy

• High-frequency idenification: Gertler and Karadi (2015), Altavilla et al. (2019)
• Central Bank Information shocks: Miranda-Agrippino and Ricco (2020)
• State-dependence of monetary policy: Tenreyro and Thwaites (2016)

Monetary policy and heterogeneity

• Estimated HANK model: Bayer et al. (2020a), Auclert et al. (2020)
• Monetary policy and the role of heterogeneity: Auclert (2019), Kaplan et al. (2018), Luetticke (2021)
• Distributional effects of monetary policy: Lenza and Slacalek (2018), Coibion et al. (2017), Derenoncourt et al. (2021)
• Monetary policy, banks, and firms: Altavilla et al. (2020), Paul (2020)
• Heterogenous expectations: Reis (2020)

Fiscal policy and heterogeneity

• Marginal tax rates: Mertens and Olea (2018)
• Effects of fiscal policy: Bayer et al. (2020b), Auclert et al. (2018), Wolf (2021), Seidl and Seyrich (2021)

Household heterogeneity in international macroeconomics

• Role of exchange rates: Auclert et al. (2021)
• Foreign shocks in small open economy: de Ferra et al. (2020)

Macroeconomics and climate change

• Hansen (2021), Kaenzig (2021), Metcalf and Stock (2020), Barrage (2020), Bolton and Kacperczyk (2021), Fried et al. (2021), Engle et al. (2020)

 

Exercises

There will be 6 exercises that introduce the basic knowledge to solve heteroge- nous agent models and some empirical methods such as local projections and proxy SVAR models.

Dates for the exercises are: October 27th, November 10th, November 24th, December 1st, December 8th, December 15th.

 

References

Acharya, S. and Dogra, K. (2020). Understanding HANK: Insights From a PRANK. Econometrica.

Ahn, S., Kaplan, G., Moll, B., Winberry, T., and Wolf, C. (2018). When Inequality Matters for Macro and Macro Matters for Inequality. NBER Macroeconomics Annual.

Altavilla,  C.,  Brugnolini,  L.,  Gu¨rkaynak,  R.  S.,  Motto,  R.,  and  Ragusa,

G. (2019). Measuring euro area monetary policy. Journal of Monetary Economics.

Altavilla, C., Canova, F., and Ciccarelli, M. (2020). Mending the broken link: Heterogeneous bank lending rates and monetary policy pass-through. Journal of Monetary Economics, 110.

Auclert, A. (2019). Monetary policy and the redistribution channel. Ameri- can Economic Review.

Auclert, A., Rognlie, M., Souchier, M., and Straub, L. (2021). Exchange Rates and Monetary Policy with Heterogeneous Agents: Sizing up the Real Income Channel. NBER Working Papers 28872, National Bureau of Economic Research, Inc.

Auclert, A., Rognlie, M., and Straub, L. (2018). The Intertemporal Keyne- sian Cross. National Bureau of Economic Research.

Auclert, A., Rognlie, M., and Straub, L. (2020). Micro Jumps, Macro Humps: Monetary Policy and Business Cycles in an Estimated HANK Model. Tech- nical report.

Barrage, L. (2020). The fiscal costs of climate change. AEA Papers and Proceedings, 110:107–12.

Bayer, C., Born, B., and Luetticke, R. (2020a). Shocks, Frictions, and In- equality in US Business Cycles. CEPR Discussion Papers.

Bayer, C., Born, B., and Luetticke, R. (2020b). The Liquidity Channel of Fiscal Policy. SSRN.

Bilbiie, F. O. (2019). Monetary Policy and Heterogeneity: An Analytical Framework. Mimeo.

Bolton, P. and Kacperczyk, M. (2021). Global Pricing of Carbon-Transition Risk. NBER Working Papers 28510, National Bureau of Economic Re- search, Inc.

Coibion, O., Gorodnichenko, Y., Kueng, L., and Silvia, J. (2017). Innocent Bystanders? Monetary policy and inequality.

de Ferra, S., Mitman, K., and Romei, F. (2020). Household heterogeneity and the transmission of foreign shocks. Journal of International Economics.

Derenoncourt, E., Kim, C. H., Kuhn, M., and Schularick, M. (2021). The racial wealth gap, 1860-2020.

Engle, R. F., Giglio, S., Kelly, B., Lee, H., and Stroebel, J. (2020). Hedging climate change news. Review of Financial Studies, 33(3).

Ettmeier, S. and Kriwoluzky, A. (2019). Same, but different? Testing mon- etary policy shock measures. Economics Letters, 184.

Fried, S., Novan, K., and Peterman, W. B. (2021). The Macro Effects of Climate Policy Uncertainty. Finance and Economics Discussion Series 2021-018, Board of Governors of the Federal Reserve System (U.S.).

Gertler, M. and Karadi, P. (2015). Monetary policy surprises, credit costs, and economic activity. American Economic Journal: Macroeconomics, 7(1).

Hansen, L. P. (2021). Central Banking Challenges Posed by Uncertain Cli- mate Change and Natural Disasters. SSRN Electronic Journal.

Kaenzig, D. (2021). The unequal economic consequences of carbon pricing.

Kaplan, G., Moll, B., and Violante, G. L. (2018). Monetary policy according to HANK.

Kaplan, G. and Violante, G. L. (2021). The Marginal Propensity to Consume in Heterogeneous-Agent Models.

Lenza, M. and Slacalek, J. (2018). How does monetary policy affect income and wealth inequality? Evidence from quantitative easing in the euro area. Working Paper Series.

Luetticke, R. (2021). Transmission of Monetary Policy with Heterogeneity in Household Portfolios. American Economic Journal: Macroeconomics, 13(2).

Mertens, K. and Olea, J. L. M. (2018). Marginal tax rates and income: New time series evidence. Quarterly Journal of Economics.

Metcalf, G. E. and Stock, J. H. (2020). The macroeconomic impact of eu- rope’s carbon taxes. Working Paper 27488, National Bureau of Economic Research.

Miranda-Agrippino, S. and Ricco, G. (2020). The Transmission of Monetary Policy Shocks. American Economic Journal: Macroeconomics.

Paul, P. (2020).   Banks, Maturity Transformation, and Monetary Policy.

Working Paper Series 2020-07, Federal Reserve Bank of San Francisco.

Ramey, V. A. (2016). Macroeconomic Shocks and Their Propagation. NBER Working Paper, (1):1–5.

Reis, R. (2020). The People versus the Markets: A Parsimonious Model of Inflation Expectations.

Seidl, H. and Seyrich, F. (2021). Unconventional Fiscal Policy in HANK. Technical report.

Tenreyro, S. and Thwaites, G. (2016). Pushing on a string: Us monetary policy is less powerful in recessions. American Economic Journal: Macroe- conomics, 8(4).

Wolf, C. K. (2021). Interest Rate Cuts vs. Stimulus Payments: An Equiva- lence Result.

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