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

Adrien Auclert (), Matthew Rognlie () and Ludwig Straub

No 26647, NBER Working Papers from National Bureau of Economic Research, Inc

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.

JEL-codes: E21 E22 E32 E43 E52 E70 (search for similar items in EconPapers)
Date: 2020-01
New Economics Papers: this item is included in nep-cba, nep-dge, nep-mac, nep-mon and nep-ore
Note: EFG ME
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Related works:
Working Paper: Micro Jumps, Macro Humps: Monetary Policy and Business Cycles in an Estimated HANK Model (2020) Downloads
Working Paper: Micro Jumps, Macro Humps: Monetary Policy and Business Cycles in an Estimated HANK Model (2020) Downloads
Working Paper: Micro Jumps, Macro Humps: monetary policy and business cycles in an estimated HANK model (2019) Downloads
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