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Last Update: October 2008 ANASTASIA S. ZERVOU http://artsci.wustl.edu/~azervou [email protected] Department of Economics Washington University in St. Louis Campus Box 1208 Saint Louis, MO 63130-4899 Tel.: (+1) 314-397-9967 (US) For the period of December 9-29 please call (+30) 6947-650408 (Europe) ___________ ____Attending San Francisco, Zaragoza and London meetings________________ Placement Director: Professor Werner Ploberger [email protected] +1 314-9355620 PERSONAL INFORMATION Citizenship: Greek-EU Date of Birth: 20th of March, 1979 FIELDS Primary: Monetary Economics, Macroeconomics, Applied Time Series Econometrics Secondary: Financial Economics, Applied Econometrics DISSERTATION Title: Essays on Monetary Policy Expected completion date: May 2009 DISSERTATION COMMITTEE AND REFERENCES Chair: Professor Stephen Williamson Department of Economics Washington University in St. Louis Campus Box 1208 Saint Louis, MO 63130-4899 Phone: +1 314-935-9283 Email: [email protected] Professor James Bullard President and CEO Federal Reserve Bank of St. Louis 1421 Dr. Martin Luther King Drive Saint Louis, MO 63106 Phone: +1 314-444-8300 Email: [email protected] Professor Costas Azariadis Department of Economics Washington University in St. Louis Campus Box 1208 Saint Louis, MO 63130-4899 Phone: +1 314-935-5639 Email: [email protected] Professor James Morley Department of Economics Washington University in St. Louis Campus Box 1208 Saint Louis, MO 63130-4899 Phone: +1 314-935-4437 Email: [email protected] EDUCATION PhD, Economics, Washington University in St. Louis, expected May 2009 Master of Arts, Economics, Washington University in St. Louis 2005 Master of Sciences, Economics, CentER, Tilburg University, the Netherlands 2004 Ptychion (BA), Economics, with highest distinction, University of Ioannina, Greece 2002 Anastasia S. Zervou 1 TEACHING EXPERIENCE Instructor, Washington University Financial Intermediaries in the Market Economy Financial Markets and Analysis Introduction to Political Economy: Macro Teaching Assistant, Washington University Income and Employment Theory, Instructed by Prof. R. DiCecio Honors Thesis Seminar, Supervised by Prof. L. Benham Introduction to Econometrics, Instructed by Prof. M. Allison Income and Employment Theory, Instructed by Prof. M. Casares Introduction to Political Economy: Macro, Instructed by Prof. D. Petersen Introduction to Political Economy: Macro, Instructed by Prof. J. Morley Graduate Macroeconomics II, Instructed by Prof. J. Bullard Introduction to Political Economy: Micro, Instructed by Prof. W. Neuefeind Summer 2007 Fall 2006 Summer 2006 Spring 2008 Fall 2007 Spring 2007 Spring 2006 Fall 2005 Spring 2005 Spring 2005 Fall 2004 SCHOLARSHIPS, FELLOWSHIPS AND AWARDS Dissertation Fellowship, Washington University 2008-present Summer Research Competitive Grant, Washington University 2005, 2006, 2007, 2008 Tuition Scholarship, Washington University 2003-present Graduate School Fellowship, Washington University 2003-2008 Tuition Scholarship, Tilburg University 2002-2003 Graduate School Fellowship, Tilburg University 2002-2003 Competitive Academic Scholarship, awarded by the Boudouri Foundation, Greece 2002 PROFESSIONAL ACTIVITIES Conference Organization Washington University Economics Graduate Student Conference, organizer Fall 2007 Washington University Economics Graduate Student Conference, co-organizer Fall 2006 Conference and Summer School Presentation Simposio de Analisis Economico, Zaragoza, Spain (accepted) Fall 2008 Association of Southern European Economic Theorists, Florence, Italy Fall 2008 Washington University Economics Graduate Student Conference Fall 2008 Missouri Valley Economics Association, St. Louis MO Fall 2008 Conference on Research on Economic Theory & Econometrics, Naxos, Greece Summer 2008 ZEI Summer School on Monetary Theory and Policy, Bonn, Germany Summer 2008 Midwest Economics Conference, Columbia MO Spring 2008 Midwest Econometric Group, Cincinnati OH Fall 2006 Washington University Economics Graduate Student Conference Fall 2006 Seminar Presentation Athens University of Economics and Business, Department Seminar Fall 2008 Graduate Student Seminar Series Fall 2006, 2007 Summer School Participation Society for the Study of Economic Inequality Summer School, Spain Summer 2006 ZEI Summer School on Monetary Theory and Policy, Bonn, Germany Summer 2008 Anastasia S. Zervou 2 Memberships American Economic Association Econometric Society Committee on the Status of Women in Economics Profession Other Co-President of the Graduate Students' Association, Washington University Member of the Graduate Students' Association, Washington University Master Students’ Representative, Tilburg University LANGUAGE SKILLS English: Fluent Certificate of proficiency in English, University of Cambridge Certificate of Proficiency in English, University of Michigan German: Basic knowledge Zertificat Deutsch, Goethe Institut Greek: Native speaker 2006-2008 2005-2006 2002-2003 2002 2002 2000 COMPUTER SKILLS Gauss, EViews, Stata, Mathematica, LaTeX Editor Anastasia S. Zervou 3 ANASTASIA S. ZERVOU “ESSAYS ON MONETARY POLICY” DISSERTATION ABSTRACTS First Chapter (Job Market Paper): Financial Market Segmentation, Stock Market Volatility and the Role of Monetary Policy We explore the role of monetary policy in a world of segmented financial markets, where the agents who trade stocks encounter financial income risk although the rest do not. In such an economy, we ask the question of how the monetary authority operates when it aims to maximize total welfare. We find that optimal monetary policy has the novel role of sharing the financial market risk traders face, among all agents in the economy. This finding holds for any concave utility function and is not sensitive to the degree of market segmentation. When risk is shared perfectly in this way, consumption is equalized between the two groups, and agents, if given the choice, would be indifferent between participating or not in the financial markets. We also explore the implications that this policy has for the volatility of stock prices and of inflation, when compared to the policies of constant money supply, inflation targeting and nominal interest rate pegging. We find that optimal monetary policy is not necessarily associated either with minimal stock price volatility or with minimal inflation volatility. Second Chapter: Monetary Policy and the Great Inflation: A Multi-Country Time-Varying Analysis Using the Taylor Rule (with Jacek Suda) This paper is motivated by the observation that the Great Inflation, i.e., the high and volatile inflation that developed in the mid 1960s and lasted for almost twenty years, was an international phenomenon. For the US, the argument criticizing monetary policy has it that the Federal Reserve followed an accommodative policy during the 1970s, although it later changed its policy, fought inflation and managed to lower it to moderate levels. We examine how the weights in a forward looking Taylor rule change over time, and we study the above argument for the G7 countries. More interestingly, we explore whether the G7 countries implemented similar changes to their policies during the period of the Great Inflation. To do this, we develop a generalized Bayesian time-varying parameter model to jointly estimate the G7 monetary authorities’ response to inflation. We allow these responses to be correlated across countries, capturing common information, ideas or communication across them. We find that monetary authorities in the G7 countries accommodated inflation until almost the mid 1980s, after which they systematically fought it. Furthermore, we find that the correlation of the policy changes in response to inflation across countries is positive. This commonality among otherwise different economies may be responsible for the common inflation patterns observed during the Great Inflation era. Third Chapter: The Role of Monetary Policy in a Cyclical Economy with Cash Constrained and Cash Unconstrained Firms This paper studies the implications of optimal monetary policy responses to productivity shocks in an economy where some firms rely on internal finance while others need external finance in order to operate. Specifically, this is a large family model, with a single industry in which some firms are cash constrained in their activity, obeying a cash-in-advance constraint, while others are not. On the other hand, all consumption transactions need to be financed with cash. In addition, all firms are equally exposed to an aggregate productivity shock which affects their borrowing and production decisions. We explore the effects productivity shocks have on this economy and how optimal monetary policy acts in response to them. Anastasia S. Zervou 4
