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Thu 7 Mar, '24
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Macro/International Seminar - Tommaso Monacelli (Bocconi)
S2.79

Title: HBANK: Monetary Policy with Heterogeneous Banks

Abstract: We study monetary, liquidity, and macroprudential policy transmission in a Heterogeneous Bank New Keynesian (HBANK) model that is solved in sequence space. Using a sufficient-statistic approach, we show that the combination of incomplete markets and costly bank insolvency breaks the “as-if” result, generating substantial amplification of policy shocks relative to the representative-bank benchmark. There is a trade-off between macroeconomic and financial stabilization: contractionary monetary policy worsens financial stability by raising the likelihood of bank insolvency in the lower tail of the bank size distribution. We enrich our baseline framework with departures from perfect deposit and credit market competition and apply it to the study of monetary, forward guidance, macroprudential, and reserve requirement policies. We validate our model empirically with novel cross-sectional and time-series facts on U.S. commercial banks.

Thu 14 Mar, '24
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Macro/International Seminar - Marta Morazzoni (UCL)
S2.79

Title of paper: Monetary Policy in a Multimarket Economy: The Role of Demand and Adjustment Costs.

Here is an abstract: What is the role of demand elasticities and price adjustment costs in shaping the heterogeneous response of firms’ markups to monetary policy shocks? In this paper, we build a novel heterogeneous firms New Keynesian model where markups evolve endogenously over firms’ life cycle, which we further enrich with firm-specific price rigidities and a multi-market structure. Crucially, firms’ growth is market-specific, leading to heterogeneous size and markup distributions on different markets. Since markets cannot be identified in the data, we show that market shares are badly proxied by firm size and can instead be empirically related to firm age. This is consistent with evidence that old firms in Compustat have a more countercyclical markup response after an unexpected contractionary monetary policy shock. Our framework predicts that dominant firms on each market face a more inelastic demand, which implies a lower pass-through rate from costs to prices, but also higher costs to adjust prices. Therefore, after a contractionary monetary policy shock, dominant firms pass less the reduction in marginal costs to prices compared to competitors, and increase their markups by more, as we document empirically. Both margins point towards important implications for monetary policy transmission and amplification.

Thu 25 Apr, '24
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Macro/International Seminar - to be advised.
S2.79

Title to be advised.

Thu 2 May, '24
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Macro/International Seminar - to be advised.
S2.79

Title to be advised.

Thu 16 May, '24
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Macro/International Seminar - to be advised.
S2.79

Title to be advised.

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