Monetary policy and the joint distribution of income and wealth: The heterogeneous case of the euro area

Abstract

This papers aims to establish the empirical relationship between income, net wealth and their joint distribution in a selected group of euro area countries. I estimate measures of dependence between income and net wealth using a semiparametric copula approach and calculate a bivariate Gini coefficient. By combining structural inference from vector autoregressions on the macroeconomic level with a simulation using microeconomic data, I investigate how conventional and unconventional monetary policy measures affect the joint distribution. Results indicate that effects of monetary policy are highly heterogeneous across different countries, both in terms of the dependence of income and net wealth on each other, and in terms of inequality in both income and net wealth.