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Sofia Bauducco November 2008 Universitat Pompeu Fabra Department of Economics and Business C/ Ramón Trias Fargas 25-27 08005 Barcelona - Spain Thesis Advisor: Albert Marcet Placement Director: Jaume Ventura E-mail: Webpage: Office phone: Mobile: [email protected] www.econ.upf.edu/∼bauducco (+34) 93 5421 621 (+34) 67 7211 782 [email protected] [email protected] Education Expected: 2009 PhD in Economics. Universitat Pompeu Fabra 2004 MSc in Economics. Universitat Pompeu Fabra. With honours 2002 BA in Economics. Universidad Nacional de Córdoba, Argentina Fields of Interest Macroeconomics, Optimal fiscal and monetary policy, Quantitative macroeconomics, Heterogeneous- agent models Research Papers “Seigniorage and distortionary taxation in a model with heterogeneous agents and idiosyncratic uncertainty” (Job Market Paper) “Optimal Fiscal Policy in a Small Open Economy with Limited Commitment” (Joint with Francesco Caprioli) “Taylor Rules Under Financial Instability” (Joint with Ales Bulir and Martin Cihak). IMF Working Paper 08/18 Profesional Experience Winter 2007 Winter Intern. International Monetary Fund 2001-2003 Research Assistant. Institute of Economics and Finance. Universidad Nacional de Córdoba, Argentina Teaching Experience Instructor - Universitat Pompeu Fabra 2008 Economic Theory IV, Econometrics I Teaching Assistant - Universitat Pompeu Fabra 2007 Econometrics I, Applied Economics II 2006 Introduction to Economics, Mathematics II, Economic Theory III, Applied Economics II 2005 Economic Theory III, Applied Economics II, Public Economics, Real Analysis and Measure Theory (Graduate course) 2004 Economic Theory III, Applied Economics II 2003 Microeconomics I Teaching Assistant - Universidad Nacional de Córdoba, Argentina 2002 Economics II, Economics III 2001 Economics II, Economics III, Mathematics I 2000 Economics III, Mathematics I Seminar and Conference Presentations 2008 La Pietra-Mondragone Workshop, CREI Macro Breakfast, CREI Macro Break, CEMFI Lunchtime Seminar 2007 32ž Simposio de Análisis Económico, XII Spring Meeting of Young Economists, CREI Macro Break, IMF Institute Seminar 2006 CREI Macro Break 2005 CREI International Breakfast Scholarships and Awards 2003-2008 Teaching Fellowship. Universitat Pompeu Fabra 2003–2004 Research Grant. Secretarı́a de Extensión Universitaria. Universidad Nacional de Córdoba, Argentina July 2002 Beca LIDER of Directive and International Immersion. Fundación Carolina 2002 Scholarship on Banking Administration and Techniques. Banco Roela 2001 Abanderada (best GPA in my year) of the School of Economics. Universidad Nacional de Córdoba, Agentina 2000 Student Award. Government from the Province of Córdoba, Argentina Languages Spanish (Native), English (Fluent), Italian (Fluent), German (Intermediate) Computer Skills Matlab, Fortran, Stata, Gauss, E-Views, SPSS, Latex, MS Office References Albert Marcet Instituto de Análisis Económico Campus UAB 08193 - Bellaterra (Barcelona), Spain. E-mail: [email protected] Phone: (+34) 93 580 6612 Michael Reiter Institute for Advanced Studies (IHS) Department of Economics and Finance Stumpergasse 56 A-1060 Vienna. E-mail: [email protected] Phone: (+43) 1 59991 149 Josep Pijoan-Mas CEMFI Casado del Alisal 5 28014 - Madrid, Spain E-mail: [email protected] Phone: (+34) 91 429 1056 Abstracts Seigniorage and distortionary taxation in a model with heterogeneous agents and idiosyncratic uncertainty (Job Market Paper) In this paper we study the optimal monetary and fiscal policy mix in a model in which agents are subject to idiosyncratic uninsurable shocks to their labor productivity. We identify two main effects of anticipated inflation absent in representative agent frameworks. First, inflation stimulates savings for precautionary reasons. Hence, a higher level of anticipated inflation implies a higher capital stock in steady state, which translates into higher wages and lower taxes on labor income. This benefits poor, less productive agents. Second, inflation acts as a regressive consumption tax, which favors rich and productive agents. We calibrate our model economy to the U.S. economy and compute the optimal policy mix. We find that, for a utilitarian government, the Friedman rule is optimal even when we allow for the presence of heterogeneity and uninsurable idiosyncratic risk. Although the aggregate welfare costs of inflation are small, individual costs and benefits are large. Net winners from inflation are poor, less productive agents, while middle-class and rich households are always net losers. Optimal fiscal policy in a small open economy with limited commitment (joint with Francesco Caprioli) In this paper we analyze how the tax-smoothing result obtained in models of optimal fiscal policy is altered in a context of international risk sharing with limited commitment. We consider the problem of a benevolent government that has to choose optimally distortionary taxes on labor income and transfers from the rest of the world. The contract between the government and the rest of the world is designed so that at any point in time, neither agent has incentives to exit the contract and there is no net transfer of wealth between them. Our analytical results suggest that the presence of limited commitment alters substantially the dynamics of the fiscal variables with respect to the full commitment case. In particular, the volatility of the tax rate is higher than the volatility of the government expenditure shock since the former responds strongly to the incentives to default of both agents. Moreover, optimal taxes are procyclical. Our findings are in line with the evidence of fiscal policy in developing countries. Taylor rule under financial instability (joint with Ales Bulir and Martin Cihak) IMF Working Paper WP/08/18 To provide a rigorous analysis of monetary policy in the face of financial instability, we extend the standard dynamic stochastic general equilibrium model to include a financial system. Our simulations suggest that if financial instability affects output and inflation with a lag, and if the central bank has privileged information about credit risk, monetary policy responding instantly to increased credit risk can trade off more output and inflation instability today for a faster return to the trend than a policy that follows the simple Taylor rule. However, the long run consumption impact of the augmented rule appears negligible.