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Distributional Effects of Monetary Policy Shocks on Wage and Hours Worked: Evidence from the Czech Labor Market

Author

Listed:
  • Monika Junicke
  • Jakub Mateju
  • Haroon Mumtaz
  • Angeliki Theophilopoulou

Abstract

We investigate the heterogeneity in the effects of monetary policy shocks on the distribution of wages and hours worked, using unique contract-level data from the Czech labor market and identifying monetary policy shocks using a narrative approach based on market surprises in interest rate futures. The results suggest that low-wage groups are hit more profoundly by monetary policy shocks than high-wage groups, and the effect of restrictive shocks is stronger in the manufacturing sector than in any other. Exploring other dimensions of the data offers insights into the heterogeneity of the the impact of monetary policy on different demographic groups. We show that low-educated and also young workers are more affected by restrictive monetary policy shocks due to their higher shares in low-wage groups.

Suggested Citation

  • Monika Junicke & Jakub Mateju & Haroon Mumtaz & Angeliki Theophilopoulou, 2023. "Distributional Effects of Monetary Policy Shocks on Wage and Hours Worked: Evidence from the Czech Labor Market," Working Papers 2023/4, Czech National Bank, Research and Statistics Department.
    • Handle: RePEc:cnb:wpaper:2023/4
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    File URL: https://www.cnb.cz/export/sites/cnb/en/economic-research/.galleries/research_publications/cnb_wp/cnbwp_2023_04.pdf
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    References listed on IDEAS

    as
    1. Mark Gertler & Peter Karadi, 2015. "Monetary Policy Surprises, Credit Costs, and Economic Activity," American Economic Journal: Macroeconomics, American Economic Association, vol. 7(1), pages 44-76, January.
    2. J. Durbin, 2002. "A simple and efficient simulation smoother for state space time series analysis," Biometrika, Biometrika Trust, vol. 89(3), pages 603-616, August.
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    Keywords

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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E24 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • J31 - Labor and Demographic Economics - - Wages, Compensation, and Labor Costs - - - Wage Level and Structure; Wage Differentials

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