I am a Research Economist at Banco de España. My research areas include monetary economics and macro-finance with a particular interest in computational methods.
This paper studies monetary and macroprudential policy in a New Keynesian model with endogenous financial crises that typically follow credit booms and are characterized by sharp output drops. I show that the constrained-efficient macroprudential policy under strict inflation targeting leans against excessive credit booms, supports intermediation near crises, and unwinds overaccumulated assets once a crisis has started. Simple macroprudential rules reacting to financial indicators can remove most of the welfare cost of crises and, when combined with a monetary backstop, nearly attain the constrained-efficient benchmark. Even a tax that applies only during crises is effective ex ante: by boosting consumption and shortening crises, it reduces households' incentive to save during booms. This suggests that crisis management is an integral part of crisis prevention.
How does heterogeneity in banks' interest-rate risk exposure shape monetary policy transmission? We develop a quantitative macroeconomic model of heterogeneous banks to answer this question. We establish an irrelevance result: differences in interest-rate risk exposure between fixed- and variable-rate banking systems matter for transmission only when bank solvency concerns become relevant. Calibrating the model to the euro area, we show that idiosyncratic default risk pushes a substantial share of banks toward the solvency threshold, making heterogeneity quantitatively important. When policy rates rise, fixed-rate banks suffer net interest margin compression—funding costs increase while legacy loan income stays unchanged—eroding capital and triggering sharper deleveraging. The lending elasticity to monetary policy is one-third larger in fixed-rate economies. The effects extend to financial stability: tightening raises bank failure rates in fixed-rate systems while lowering them in variable-rate systems. The results provide a rationale for macroprudential and monetary policy coordination and for monetary policy gradualism.
I develop a framework for studying media of exchange within Heterogenous Agent New Keynesian (HANK) models. To this end, I extend an otherwise standard HANK model with search-theoretic monetary frictions as in Lagos and Wright (2005). I show that the medium of exchange role of money breaks monetary super-neutrality in HANK, meaning that changes in the central bank's inflation target affect real variables and the wealth distribution in the long run. The extent of non-neutrality can be substantial, with aggregate consumption declining by 0.74% after an increase in the central bank's inflation target from 0% to 5%. I then apply the framework to study how heterogeneity in the dependence on non-interest-bearing payment instruments shapes the welfare costs of inflation across wealth and income distributions. I show quantitatively that the welfare costs of inflation are about 8% higher for the wealth- and income-poor households in the economy. The result stems from the fact that poor households, in line with microdata, depend more on non-interest-bearing payment instruments, such as cash.
This paper studies how household inequality shapes the effects of the zero lower bound (ZLB) on nominal interest rates on aggregate dynamics. To do so, we consider a heterogeneous agent New Keynesian (HANK) model with an occasionally binding ZLB and solve for its fully non-linear stochastic equilibrium using a novel neural network algorithm. In this setting, changes in the monetary policy stance influence households' precautionary savings by altering the frequency of ZLB events. As a result, the model features monetary policy non-neutrality in the long run. The degree of long-run non-neutrality, i.e., by how much monetary policy shifts real rates in the ergodic distribution of the model, can be substantial when we combine low inflation targets and high levels of wealth inequality.
with Ángel Estrada, Carlos Pérez Montes, Jorge Abad, Carmen Broto, Esther Cáceres, Alejandro Ferrer, Jorge E. Galán, Gergely Ganics, Javier García Villasur, Samuel Hurtado, Nadia Lavín, Enric Martorell, David Martínez Miera, Ana Molina Iserte, Irene Pablos, and Gabriel Pérez Quirós
This paper first identifies the level of cyclical systemic risks in Spain, also calibrating their impact on the solvency of the banking system, and, second, assesses the costs and benefits of the countercyclical use of capital requirements. The first part of the paper is based on an integrated analysis of indicators and other quantitative and qualitative information, while impacts are calibrated using a combination of macroeconomic projection models and stress tests. The second part of the analysis is undertaken using quantile regression models, applied to European data, Bayesian time series models, applied to data for Spain, and a general equilibrium model. The integrated analysis to identify cyclical systemic risks shows the importance of a holistic approach monitoring the different dimensions of these risks, while the impact calibration shows that slight or intermediate materialisation of such risks also involves material capital consumption for the banking sector. The different methodologies applied for cost-benefit analysis find favourable results, in terms of GDP and credit growth, for the activation of releasable capital requirements in situations where cyclical systemic risks are intermediate and high and, notably, for their release in adverse cyclical phases.