Ricerc@Sapienza

The aim of this paper is to assess whether there is a bubble in the American Student Loan Debt Market. Given some stylized facts that provide analogies between Student Loans Market and House Mortgages Market of 2008, I can counter-factually assume the existence of a bubble. For the empirical investigation, I use as a proxy for the entire market the non-AAA ABS issued on Student Loan Debt. Student Loan ABSs allow for the replication of the Time Varying VAR proposed by Gal and Gambetti (2015) with higher frequency data.

We estimate different MS-SBVARs with U.S. data from 1978 to 2015 and we adopt a final model with two variance regimes and two monetary policy regimes: The variance regimes capture periods of high or low uncertainty of the system. The monetary policy regimes are hawkish or dovish. The hawkish regime captures mainly the Volcker mandate, in which the conduct of monetary policy followed the dynamics of inflation, whereas the dovish regime is active under Greenspan and Bernanke, when the central banker focused mainly on real activity.

We study the extent to which the belief-formation process affects the dynamics of macroeconomic variables when the central bank uses forward guidance. Recent literature has emphasized two kinds of puzzle associated to forward guidance. First, standard sticky-price models imply that far future forward guidance has huge and implausible effects on current outcomes, these effects grow in its horizon. Second, these models tend to overestimate the effects of central bank's commitment to keep interest rate below the natural rate for a given period of time.

By using Bayesian techniques, our paper investigates behavioral New-Keynesian DSGE models derived under two parsimonious alternatives to introduce heterogeneous expectations: the Euler equation and the anticipated-utility approach. First, we explore the relation between the expectation formation processes and the model determinacy for a broad range of parameterizations by using global sensitivity analysis and Monte Carlo filtering. Second, we perform model comparison to assess how much the two alternatives are consistent with macro and expectation survey data.

We develop an OLG model with productive capital accumulation, frictional financial markets,
sticky prices and a form of heterogeneity among households which splits them between borrowers
and lenders in the credit market. In the spirit of Galí, J., 2014. Monetary policy and
rational asset price bubbles. Am. Econ. Rev. 104, 721–752, we use this framework to study the
consequences of different monetary policy rules, focusing in particular on the so-called “leaning
against the wind” policy, according to which the central bank sets the nominal rate so as to