  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.
