I am a PhD candidate in Economics at CEMFI. My research areas include monetary economics and macro-finance with a particular interest in computational methods.
You can find my CV here.
A HANK Model with Monetary Search Frictions
I develop a framework for studying media of exchange within Heterogenous Agent New Keynesian (HANK) models. To this end, I extend an otherwise standard HANK model with search-theoretic monetary frictions as in Lagos and Wright (2005). I show that the medium of exchange role of money breaks monetary super-neutrality in HANK, meaning that changes in the central bank's inflation target affect real variables and the wealth distribution in the long run. The extent of non-neutrality can be substantial, with aggregate consumption declining by 0.74% after an increase in the central bank's inflation target from 0% to 5%. I then apply the framework to study how heterogeneity in the dependence on non-interest-bearing payment instruments shapes the welfare costs of inflation across wealth and income distributions. I show quantitatively that the welfare costs of inflation are about 8% higher for the wealth- and income-poor households in the economy. The result stems from the fact that poor households, in line with microdata, depend more on non-interest-bearing payment instruments, such as cash.
Booms, Banking Crises, and Monetary Policy
This paper develops a New Keynesian model that features endogenous build-ups of financial imbalances, where financial crises typically follow credit booms and are characterized by sharp output drops. A quantitative analysis of the model shows that if the macroprudential authority does not implement the optimal policy, a central bank that is leaning against the wind, i.e. sets higher interest rates in response to build-ups of imbalances, reduces the frequency of financial crises and improves welfare at the cost of more volatile inflation. The result stems from a failure of the `divine coincidence' due to financial frictions in the banking sector.
Inequality and the Zero Lower Bound
Joint with Jesús Fernández-Villaverde, Galo Nuño and Omar Rachedi
This paper argues that the effects of the zero lower bound (ZLB) on aggregate dynamics crucially depend on household inequality. We establish this result within a heterogeneous agent New Keynesian (HANK) model that features an occasionally-binding ZLB. Importantly, we solve numerically for the fully non-linear stochastic equilibrium using a novel neural-network algorithm. We first highlight how the presence of the ZLB in a HANK economy alters the response of households' decisions and macroeconomic aggregates to demand shocks. We then show that the interaction of the central bank's inflation target and the amount of wealth inequality is a key driver of the level of real interest rates and the frequency of ZLB events. This stands in contrast of standard macroeconomic models, in which the level of real rates is pinned down as an exogenous parameter. In our setting, a drop in the inflation target reduces the level of the real interest rate because households increase their precautionary savings against the higher risk of ZLB events. As a result, ZLB events become even more likely. This channel is further amplified at higher levels of wealth inequality.
Intro to Neural Networks
A short introduction to neural networks with example codes in Julia and Python. Taught at the Working Group on Econometric Modelling of the European Central Bank in September 2021. All materials are available at the link above.
Julia Language Short Course
A short introduction to Julia prepared for the CEMFI Undergraduate Summer Internship. All materials are available at the link above.
A short guide on how to compile X-13ARIMA-SEATS on macOS Monterey.