Essays in new-keynesian macroeconomics and monetary policy with heterogeneous agents

Chapter 1: Effectiveness of Monetary Policy and Limited Asset Market Participation: Neoclassical versus Keynesian effects This short paper investigates the effects of limited asset market participation on the effectiveness of monetary policy in a New Keynesian Dynamic Stochastic General Equilibrium (DSGE) model. Although an increase in consumers who cannot access to the financial markets reduces effects of interest rate policies via consumption inter-temporal allocation (Neoclassical or permanent income effect), we find that an opposite result: monetary policy becomes more effective as the degree of financial markets participation falls. The reason has a very Keynesian flavor. Chapter 2: Heterogeneous Consumers, Demand Regimes, Monetary Policy and Equilibrium Determinacy Following a strand of recent literature, this paper investigates the effects pf monetary policy in presence of heterogeneous consumers. We consider the quantitative effects of monetary policy (effectiveness) and the determinacy of equilibrium in New Keynesian DSGE models by assuming that a fraction of consumers cannot smooth their consumption. Under this assumption, we show that two-demand regimes can emerge (according to the slope of the IS curve) and that some unconventional results, recently stressed by macroeconomic literature, are only associated to the unconventional regime where the IS curve is positively sloped. Chapter 3: Monetary Policy und4er Rule-of-Thumb Consumers and External Habits: An International Empirical Comparison This paper develops and estimates a simple New Keynesian Dynamic General Equilibrium (DSGE) model with rule-of-thumb consumers and external habits. Our theoretical model has a closed-form solution which allows the analytical derivation of its dynamical and stability properties. These properties are analyzed and discussed in the light of their implications for the effectiveness and the calibration of the conduct of monetary policy. The model is then evaluated empirically, employing numerical simulations based on Monte Carlo Bayesian estimates of the structural parameters and impulse response analyses based on weakly identified SVECMs. The estimates are repeated for each of the G7 national economies. Providin single country estimates and simulations, we derive some indications on the relative effectiveness of monetary policy and of its potential asymmetric effects resulting from the heterogeneity of the estimated models. Chapter 4: Productivity shocks and Optimal Moentary Policy in a Unionized Labor Market Economy In this paper we analyze a general equilibrium DSNK model characterized by labor indivisibilities, unemployment and a unionized labor market. The presence of monopoly unions introduces real wage rigidities in the model. We show that as in Blanchard Galì (2005) the so called "divine coincidence" does not hold and a trade-off between inflation stabilization and the output stabilization arises. In particular, a productivity shock has a negative effect on inflation, while a reservation-wage shock has an effect of the same size but with the opposite sign. We derive a welfare-based objective function of the Central Bank as a second order Taylor approximation of the expected utility of the economy's representative household, and we analyze optimal monetary policy under discretion and under commitment. Under discretion a negative productivity shock and a positive exogenous wage shock will require an increase in the nominal interest rate. An operational instrument rule, in this case, will satisfy the Taylor principle, but will also require that the nominal interest rate does not necessarily respond one to one to an increase in the natural rate of interest. The results of the model are consistent with a well known empirical regularity in macroeconomics, i.e. that employment volatility is relatively larger that real wage volatility.