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CEIS: CENTRE FOR ECONOMIC & INTERNATIONAL STUDIES
Furio Camillo Rosati - Director "Microdata for Macro Models: The Distributional Effects of Monetary Policy" 
CEIS Working Paper No. 491 LUISA CORRADO, University of Rome Tor Vergata Department of Economics and Finance
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DANIELA FANTOZZI, National Institute of Statistics (Istat)
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In this paper we investigate the effect of standard and non-standard monetary policy implemented by the ECB on income inequality in Italy. We use for the first time the survey microdata on Income and Living Conditions (EU-SILC, Istat) in a repeated cross-section experiment to build measures of inequality and the distribution over time for incomes and subgroups of individuals. The identification strategy is based on surprises estimated in the EA-MPD database for the Euro Area. Using a battery of Local Projections, we evaluate the impact of monetary policy by comparing the performance of the impulse response functions of our inequality measures in different policy scenarios (pre and post-QE). The main findings show that an expansionary unconventional monetary policy shock compressed inequality of disposable and labor income more persistently than a conventional monetary shock. The financial channel has an equalizing effect favoring the less wealthy households mainly in the long-run. Overall, our evidence suggests that QE is associated with a decrease in Italian households inequality. "Peaks, Gaps, and Time Reversibility of Economic Time Series"
CEIS Working Paper No. 492 TOMMASO PROIETTI, University of Rome II - Department of Economics and Finance
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Locating the running maxima and minima of a time series, and measuring the current deviation from them, generates processes that are analytically relevant for the analysis of the business cycle and for characterizing bull and bear phases in financial markets. The measurement of the time distance from the running peak originates a first order Markov chain, whose characteristics can be used for testing time reversibility of economic dynamics and specific types of asymmetries in financial markets. The paper derives the time series properties of the gap process and other related processes that arise from the same measurement context, and proposes new nonparametric tests of time reversibility. Empirical examples illustrate their uses for characterizing the depth of a recession and the duration of bull and a bear market. | | ^top
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