부산대학교 도서관

Summary: This dissertation consists of three chapters, containing essays in macroeconomics and labor economics.The first chapter, "Imperfect Pass-through to Deposit Rates and Monetary Policy Transmission", explores how the partial response of deposit rates to changes in the interest rate controlled by the central bank affects the transmission of monetary policy to real activity. Standard models of monetary policy transmission assume that interest rates faced by households and firms change one-for-one with government-bond rates, and credit spreads are constant. However, evidence shows that changes in the policy rate are passed only partially to deposit rates, an increase in the policy rate generates substitution of deposits with other debt in banks' balance sheets, and credit spreads - and in particular mortgage spreads - increase with a contractionary monetary policy shock. In this paper, I introduce a novel mechanism that generates imperfect pass-through of changes in the policy rate to deposit rates in an otherwise standard general-equilibrium monetary model with borrowers, savers, and banks that intermediate funds between them. In the model, banks have market power in the deposit market, invest in long-duration assets but borrow using short-duration liabilities, and have a dividend-smoothing motive. Moreover, banks set deposit rates considering that the deposit demand they face has a persistent component: it responds gradually to changes in current and past deposit rates, as in the literature that studies markets where customers purchase repeatedly from the same firm. The model can match the response of deposit rates to monetary policy changes observed in the data. It also generates substitution of deposits with other debt when the policy rate increases, as in the data. If investors require a higher rate on banks' non-deposit debt as banks substitute deposits with such debt, then banks pass the higher rate they pay to the loans they originate. As a result, the model generates an increase in lending spreads in response to contractionary monetary policy, consistent with the evidence. Finally, amplification in movements of loan rates in response to monetary policy leads to amplification in the response of lending and output.The second chapter, "Macroeconomic Fluctuations and Countercyclical Income Risk", studies the welfare effects of business cycles when cycles affect the degree of idiosyncratic risk faced by individuals. The essay focuses on recent evidence showing that cyclical variation in labor income risk appears as changes in the skewness of the distribution of labor earnings, rather than changes in its variance as traditionally considered. Therefore, the difference between expansions and recessions is that, in recessions, decreases in labor earnings are more likely than in expansions, but increases in earnings do not become equally more likely. I develop a standard general-equilibrium, heterogeneous-agent model with households who consume, save subject to a borrowing limit, and face uninsurable idiosyncratic labor earnings risk. The key innovation of the model is that it embeds the income process with countercyclical risk estimated by Guvenen et al. (2014). The average welfare gain of eliminating business cycles in this economy is approximately 9% of lifetime consumption. Almost all welfare gains come from eliminating countercyclical income risk. Studying welfare effects for different households, I find that households with low wealth and low income prefer to live in the economy with aggregate fluctuations relative to going through the transition to the economy without cycles. This happens because poor households have little to lose from recessions but they like that expansions bring about a higher probability of increases in income. This form of option-value effect becomes less important as wealth and income increase.The third chapter, "'And Yet, It Moves': Intergenerational Mobility in Italy", is coauthored with Paolo Acciari and Gianluca Violante and studies the degree of intergenerational mobility in Italy by linking administrative data on tax returns across two generations of Italians. The essay estimates that a child with parental income below the median is expected to belong to the 44th percentile of its own income distribution as an adult, and the probability of moving from the bottom to the top quintile of the income distribution within a generation is 0.10. The rank-rank correlation is 0.25, and rank persistence at the top is significantly higher than elsewhere in the income distribution. Upward mobility is higher for sons, first-born children, children of self-employed parents, and for those who migrate once adults. The data reveal large variation in child outcomes conditional on parental income rank. Part of this variation is explained by the location where the child grew up. Provinces in Northern Italy, the richest area of the country, display upward mobility levels 3-4 times as large as those in the South. This regional variation is strongly correlated with local labor market conditions, indicators of family instability, and school quality.