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

Adrien Auclert, Matthew Rognlie and Ludwig Straub

No 8051, CESifo Working Paper Series from CESifo

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.

Keywords: HANK; estimation; investment (search for similar items in EconPapers)
JEL-codes: E21 E22 E32 E43 E52 E70 (search for similar items in EconPapers)
Date: 2020
New Economics Papers: this item is included in nep-dge, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (97)

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Related works:
Working Paper: Micro Jumps, Macro Humps: Monetary Policy and Business Cycles in an Estimated HANK Model (2020)
Working Paper: Micro Jumps, Macro Humps: Monetary Policy and Business Cycles in an Estimated HANK Model (2020)
Working Paper: Micro Jumps, Macro Humps: monetary policy and business cycles in an estimated HANK model (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_8051

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