# Research

**Working papers**

**Macroprudential Intervention and (Un)employed Households**

This paper studies indirect macroprudential intervention’s effects on households welfare in a two-agent New Keynesian setting. I develop a two-agent New Keynesian DSGE model à la Gertler and Karadi (2011) to compare the welfare impacts of different monetary policy regimes in the presence of a tax policy in the banking system. I investigate whether there is a welfare benefit if a standard Taylor rule incorporates financial variables, in particular, the interest rate spread. Our results suggest that deviating from the standard Taylor rule to its augmented alternative in an unregulated economy is ineffective regarding welfare improvement. On the other hand, within a regulated economy, the maximized welfare of households is given in the presence of a tax policy and a monetary policy rule reacting to the interest rate spread. However, the results are unclear about the welfare-improving role of monetary policy in terms of economic stabilization within both unregulated and regulated economies.

**People Are Less Risk-Averse than Economists Think**** **(with T. Havranek, and Z. Irsova)**, ***CEPR-DP17411, June 2022*

We collect 1,021 estimates from 92 studies that use the consumption Euler equation to measure relative risk aversion and that disentangle it from intertemporal substitution. We show that calibrations of risk aversion are typically larger than estimates thereof. Moreover, reported estimates are typically larger than the underlying risk aversion because of publication bias. After correcting for the bias, the literature suggests a mean risk aversion of 1 in economics and 2-7 in finance contexts. The reported estimates are systematically driven by the characteristics of data (frequency, dimension, country, stockholding) and utility (functional form, treatment of durables). To obtain these results, we use nonlinear techniques to correct for publication bias and Bayesian model averaging techniques to account for model uncertainty.

**Publication and Identification Biases in Measuring the Intertemporal Substitution of Labor Supply** (with T. Havranek, R. Horvath, and Z. Irsova)**, ***CEPR-DP16032, April 2021*

The intertemporal substitution (Frisch) elasticity of labor supply governs the predictions of real business cycle models and models of taxation. We show that, for the extensive margin elasticity, two biases conspire to systematically produce large positive estimates when the elasticity is in fact zero. Among 723 estimates in 36 studies, the mean reported elasticity is 0.5. One-half of that number is due to publication bias: larger estimates are reported preferentially. The other half is due to identification bias: studies with less exogenous time variation in wages report larger elasticities. Net of the biases, the literature implies a zero mean elasticity and, with 95% confidence, is inconsistent with calibrations above 0.25. To derive these results, we collect 23 variables that reflect the context in which the elasticity was obtained, use nonlinear techniques to correct for publication bias, and employ Bayesian and frequentist model averaging to address model uncertainty.

**Work in progress**

**Anatomy of New Keynesian Phillips Curve **(with N. Buliskeria), *draft coming soon*

**Welfare Effects of Monetary and Macroprudential Policies: A Heterogeneous Agents New Keynesian Framework **(with N. Buliskeria)

**Published**

**Contagious Defaults in Interbank Networks****,**** ***Czech Journal of Economics and Finance, 2022 *

This paper investigates systemic risk and contagion processes in an interbank network using network science methods. The interbank network is studied to understand the contagion process within a network considering differences in the network structure and the characteristics of components. Simulations support the claim that heterogeneous networks are more resilient to contagious shocks, while these shocks are more problematic in homogeneous networks. This paper also shows that more interconnections among banks could accelerate or block the contagion process, depending on the structure of the network and the seniority of debts in the interbank network.