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Micro Jumps, Macro Humps: Monetary Policy and Business Cycles in an Estimated HANK Model

Author

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  • Adrien Auclert
  • Matthew Rognlie
  • Ludwig Straub

Abstract

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.

Suggested Citation

  • Adrien Auclert & Matthew Rognlie & Ludwig Straub, 2020. "Micro Jumps, Macro Humps: Monetary Policy and Business Cycles in an Estimated HANK Model," CESifo Working Paper Series 8051, CESifo.
    • Handle: RePEc:ces:ceswps:_8051
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    Blog mentions

    As found by EconAcademics.org, the blog aggregator for Economics research:
    1. Micro Jumps, Macro Humps: Monetary Policy and Business Cycles in an Estimated HANK Model
      by Christian Zimmermann in NEP-DGE blog on 2020-03-02 05:22:46

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    4. Asger Lau Andersen & Niels Johannesen & Adam Sheridan, 2021. "Dynamic Spending Responses to Wealth Shocks: Evidence from Quasi-lotteries on the Stock Market," CEBI working paper series 21-11, University of Copenhagen. Department of Economics. The Center for Economic Behavior and Inequality (CEBI).
    5. Christian Bayer & Benjamin Born & Ralph Luetticke, 2020. "The Liquidity Channel of Fiscal Policy," CESifo Working Paper Series 8374, CESifo.
    6. Christian Bayer & Ralph Luetticke, 2019. "Shocks, Frictions, and Inequality in US Business Cycles," 2019 Meeting Papers 256, Society for Economic Dynamics.
    7. Lawrence Christiano & Martin Eichenbaum & Mathias Trabandt, 2021. "Why is Unemployment so Countercyclical?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 41, pages 4-37, July.
    8. Wenting Song & Samuel Stern, 2022. "Firm Inattention and the Efficacy of Monetary Policy: A Text-Based Approach," Staff Working Papers 22-3, Bank of Canada.
    9. Tzamourani, Panagiota, 2021. "The interest rate exposure of euro area households," European Economic Review, Elsevier, vol. 132(C).
    10. Cantore, Cristiano & Freund, Lukas B., 2021. "Workers, capitalists, and the government: fiscal policy and income (re)distribution," Journal of Monetary Economics, Elsevier, vol. 119(C), pages 58-74.
    11. Bartscher, Alina & Kuhn, Moritz & Schularick, Moritz & Wachtel, Paul, 2021. "Monetary policy and racial inequality," CEPR Discussion Papers 15734, C.E.P.R. Discussion Papers.
    12. Atahan Afsar; José Elías Gallegos; Richard Jaimes; Edgar Silgado Gómez & José Elías Gallegos & Richard Jaimes & Edgar Silgado Gómez, 2020. "Reconciling Empirics and Theory: The Behavioral Hybrid New Keynesian Model," Vniversitas Económica 018560, Universidad Javeriana - Bogotá.
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    More about this item

    Keywords

    HANK; estimation; investment;
    All these keywords.

    JEL classification:

    • E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
    • E22 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Investment; Capital; Intangible Capital; Capacity
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E70 - Macroeconomics and Monetary Economics - - Macro-Based Behavioral Economics - - - General

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