Essays on Empirical Macroeconomics

This dissertation is composed of three essays on empirical macroeconomics. Chapter 1 investigates the transmission of monetary policy shocks to US state-level house prices. Using a factor-augmented VAR with time-varying parameters, I find that the response of national house prices to monetary tightening is less sensitive during the housing boom, which does not necessarily align with the response of the state house prices. A state's house price is more likely to fall to a monetary tightening if the state has a higher level of land use regulation and is more dependent on construction.

Chapter 2 examines the effects of monetary policy shocks on economic inequality among US households. I estimate the effects of monetary policy shocks on three types of expenditure inequality: necessities, luxury, and total. Contractionary monetary policy shocks have negligible effects on necessities (and total) spending inequality but have statistically significant effects on luxury spending inequality. Six years after a 1 pp contractionary monetary policy shock, the poor cut their luxury spending by 1.8 pp more than the rich, while both cut their necessity (and total) spending by a similar percentage size. An exploration of the mechanisms uses non-homothetic preferences, suggesting that monetary tightening worsens welfare inequality among US households.

Chapter 3 is joint work with Nelson Mark, Jonas Nauerz, Jonathan Rawls, and Zhiyi Wei. We find heterogeneous impulse responses of monthly U.S. dollar (USD) real exchange rates of 76 countries to global temperature shocks. Four years after a positive 1-degree-Celcius increase in global temperature over its historical average, the Czech Republic currency appreciates by 14.5 percent against the USD, while the currency of Burundi depreciates by 4.2 percent. The determinants of response heterogeneity are studied by regressing local projection response coefficients on country characteristics. At the 48-month horizon, a country's currency is more likely to depreciate if the country has grown faster and is more dependent on agriculture and tourism.