Emil Holst Partsch forsvarer sin ph.d.-afhandling
Emil Holst Partsch forsvarer sin ph.d.-afhandling:"Macroeconomics under the Microscope - Heterogeneity and Uncertainty"
Ph.d.-forsvaret foregår i CSS 26.2.21.
En elektronisk kopi af afhandlingen kan fås ved henvendelse til: charlotte.jespersen@econ.ku.dk
Bedømmelsesudvalg
- Lektor Søren Hove Ravn, Økonomisk Institut, Københavns Universitet, Danmark (formand)
- Professor Peter Sedlacek, University of New South Wales
- Associate Professor Erik Oberg, Uppsala University
Abstract
This Ph.D. thesis consists of four self-contained chapters, which all investigate macroeconomic questions from a micro perspective: through structural models with either full distributional heterogeneity or approximations thereof, and in one case, through microdata. In addition, all projects are bound together by incorporating risk and/or uncertainty as drivers of outcomes.
In the first chapter, co-authored with Emiliano Santoro and Ivan Petrella, we quantify the direct and indirect effects of monetary policy transmission in a two-sector Heterogeneous Agent New Keynesian (HANK) with durable and nondurable goods. With an empirically plausible share of liquidity-constrained consumers, we find that transitory income (indirect) effects drive the brunt of the consumption response of both goods and are key in generating positive co-movement when prices are asymmetrically sticky between sectors. Direct effects, however, regain strength relative to one-sector HANK models, as durables are quite interest rate sensitive. We show that results are robust to the realistic cases of deficit financing and sticky wages.
In the second chapter, co-authored with Emiliano Santoro and Ivan Petrella, we build tractable two-sector HANK models where households may infrequently participate in financial markets. Both durables and nondurables are available for household consumption. In a model with two household types – households constrained in bonds and those not – having access to durables implies a de facto risk-sharing condition. Thus, the amplification of household-specific and sectoral nondurable consumption in response to monetary shocks depends on preference heterogeneity over nondurables. This is unlike similar one-sector models, where fiscal redistribution from unconstrained to constrained households plays a prominent role. When introducing a third agent, hand-to-mouth consumers with no access to durables or financial assets, fiscal redistribution amplifies the conditional volatility of GDP, which is opposite to one-sector economies.
In the third chapter, co-authored with Jeppe Druedahl, we solve and evaluate global solutions of heterogeneous agent models with non-linear aggregate dynamics. Specifically, we investigate models where a small number of states can summarize aggregate dynamics. We let the perceived law-of-motion that agents use for now- and forecasting be arbitrarily non-linear. We use either a neural net or radial basis function interpolation to deliver precise global solutions. Radial basis function interpolation is much faster and more stable in terms of convergence. We solve our benchmark model with an aggregate non-linearity and period-by-period market clearing in less than 15 minutes.
The fourth and final chapter, co-authored with Luca Neri, documents the dynamic effects of uncertainty shocks on skilled and unskilled labor using Danish registry data. In particular, we use Denmark as a small open economy subject to several aggregate uncertainty shocks. Identification relies on differential industry exposure to these shocks. Our results highlight that the labor displacement effects ascribed to uncertainty shocks affect unskilled labor more than skilled. We build a dynamic partial equilibrium heterogeneous firm with skilled and unskilled labor inputs and heterogeneous labor adjustment costs to rationalize our findings.