Latin American Journal of Central Banking最新文献

{"title":"Weather shocks and inflation expectations in semi-structural models","authors":"José Vicente Romero ,&nbsp;Sara Naranjo-Saldarriaga","doi":"10.1016/j.latcb.2023.100112","DOIUrl":"10.1016/j.latcb.2023.100112","url":null,"abstract":"<div><p>Colombia is particularly affected by the El Niño Southern Oscillation (ENSO) weather fluctuations. In this context, this study explores how adverse weather events linked to ENSO affect inflation expectations in Colombia and how to incorporate these second-round effects into a small open economy New Keynesian model. Using BVARx models, we find evidence that inflation expectations – obtained from surveys and break-even inflation measures – are influenced by weather-related supply shocks. Building on this stylized fact, we modify one of the core forecasting models of the Banco de la República to incorporate the mechanisms through which weather-related shocks could affect marginal costs and inflation expectations. We conclude that ENSO shocks play a significant role in influencing both inflation and the dynamics of inflation expectations, a fact that should be considered by policymakers.</p></div>","PeriodicalId":100867,"journal":{"name":"Latin American Journal of Central Banking","volume":"5 2","pages":"Article 100112"},"PeriodicalIF":0.0,"publicationDate":"2023-10-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2666143823000339/pdfft?md5=45d6f661a8f13bd01bdc6474bfde117f&pid=1-s2.0-S2666143823000339-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135708151","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Brazilian macroeconomic dynamics redux: Shocks, frictions, and unemployment in SAMBA model","authors":"Angelo M. Fasolo,&nbsp;Eurilton Araujo,&nbsp;Marcos Valli Jorge,&nbsp;Alexandre Kornelius,&nbsp;Leonardo Sousa Gomes Marinho","doi":"10.1016/j.latcb.2023.100110","DOIUrl":"10.1016/j.latcb.2023.100110","url":null,"abstract":"<div><p>This paper documents the recent changes in the structure and estimation procedures of the SAMBA model, providing a complete description of the decision problems that each economic agent faces, the first order conditions that solve those problems, and the new techniques employed to estimate the model. This updated version of the model incorporates new features, such as involuntary unemployment, imported goods in the consumption bundle and a new identified vector auto-regressive process for the rest of the world. Reflecting these changes, the set of observables was expanded to include, for instance, participation rates in the labor market and an exogenous measure of output gap. In face of increased complexity and the large number of observables, the model was estimated using Sequential Monte Carlo (SMC) methods, allowing for a smaller sensitivity to the choice of priors.</p></div>","PeriodicalId":100867,"journal":{"name":"Latin American Journal of Central Banking","volume":"5 2","pages":"Article 100110"},"PeriodicalIF":0.0,"publicationDate":"2023-10-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2666143823000315/pdfft?md5=98993fa18cdba05adb7517a30f04ac5d&pid=1-s2.0-S2666143823000315-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135706595","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Job displacement effects and labor market sorting during COVID-19","authors":"Jonathan Garita ,&nbsp;Guillermo Pastrana ,&nbsp;Pablo Slon","doi":"10.1016/j.latcb.2023.100109","DOIUrl":"10.1016/j.latcb.2023.100109","url":null,"abstract":"<div><p>This paper examines the effects of job loss on workers. Using detailed administrative data from Costa Rica, we use a clustering algorithm to group workers into types based on their employment stability and job search efficiency. Our results show that job displacement leads to persistent earning losses for workers, particularly during economic downturns such as the COVID-19 pandemic. Displaced workers during the pandemic are moving to more productive and higher-paying firms, especially those types with initially higher earnings potentials and stable employment histories. Nonetheless, these workers are also shifting to lower-paying occupations. The findings suggest that changes in job characteristics rather than employer characteristics should be considered to explain earning losses and labor reallocation in the aftermath of the pandemic.</p></div>","PeriodicalId":100867,"journal":{"name":"Latin American Journal of Central Banking","volume":"5 2","pages":"Article 100109"},"PeriodicalIF":0.0,"publicationDate":"2023-10-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2666143823000303/pdfft?md5=5ff1b3d756d749c8727c5ad0216c8190&pid=1-s2.0-S2666143823000303-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134934151","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"A diffusion index analysis of the Argentinean business economic cycle based on the “Survey of Business Economic Perspectives”","authors":"Pedro Elosegui,&nbsp;Mirta González,&nbsp;María Cecilia Pérez,&nbsp;Máximo Sangiácomo","doi":"10.1016/j.latcb.2023.100108","DOIUrl":"10.1016/j.latcb.2023.100108","url":null,"abstract":"<div><p>The Central Banks use diffusion indexes (<span><math><mrow><mi>D</mi><mi>I</mi><mi>s</mi></mrow></math></span>) to synthesize information from proprietary surveys that complement official statistics generating real-time proxies of the economically relevant variables. According to the evidence, the <span><math><mrow><mi>D</mi><mi>I</mi><mi>s</mi></mrow></math></span> closely follow the economic cycle reflected in those official statistics. In this paper, we calculate diffusion indexes to summarize relevant qualitative information on the economic situation of the firms participating in the <em>Survey of Business Economic Perspectives</em> collected by the Argentinean Central Bank [Banco Central de la República Argentina (BCRA)] and we evaluate their ability to track economic activity in real-time. The indexes are analyzed for the 2017–2022 period, a particularly volatile business cycle for Argentina and (given the impact of Covid-19) for the global economy. Using the qualitative data from the firms we calculate (i) the marginal diffusion index (<span><math><mrow><mi>M</mi><mi>D</mi><mi>I</mi></mrow></math></span>) proposed by the Federal Reserve Bank of Chicago (FRB-Chicago) and based on the <em>balance of answers</em> corrected by the averaged participant response and, (ii) the marginal fixed diffusion index (<span><math><mrow><mi>M</mi><mi>F</mi><mi>D</mi><mi>I</mi></mrow></math></span>), a real-time variation of the latter. To contrast and validate the indexes’ ability to summarize relevant information we introduce an econometric procedure aimed at assessing their relationships with official economic activity indicators. The results indicate that the <span><math><mrow><mi>D</mi><mi>I</mi><mi>s</mi></mrow></math></span> calculated with the qualitative BCRA’s Survey information closely track and even anticipate the behavior of other official activity indicators both for the entire sample of firms and for the industrial sector.</p></div>","PeriodicalId":100867,"journal":{"name":"Latin American Journal of Central Banking","volume":"5 2","pages":"Article 100108"},"PeriodicalIF":0.0,"publicationDate":"2023-09-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2666143823000297/pdfft?md5=81f2cfa92d8f767fe09520d18ce10dcf&pid=1-s2.0-S2666143823000297-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134995094","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Optimal capital adequacy ratios for banks","authors":"Henrik Andersen ,&nbsp;Ragnar Enger Juelsrud","doi":"10.1016/j.latcb.2023.100107","DOIUrl":"10.1016/j.latcb.2023.100107","url":null,"abstract":"<div><p>In this paper, we analyse the appropriate capital adequacy ratio for banks from a socio-economic perspective. More equity capital in banks can contribute to financial stability by reducing the risk of costly banking crises, but lending may become more expensive if banks are required finance their assets with more equity. When assessing optimal capital adequacy ratios, the economic costs of more expensive credit must therefore be weighed against the benefits of fewer and less costly banking crises. Importantly, we compute optimal capital adequacy ratios for Norway which allows us to take into account recent changes in bank capital regulation. The results indicate that banks should have a Common Equity Tier 1 (CET1) ratio of between 12 and 19 percent. The current CET1 ratio of around 18 percent in our sample is in line with this. Our estimates are consistent with results from international studies, but estimates vary considerably with changes in uncertain assumptions. However, banks’ capital needs during the Nordic banking crisis in the beginning of the 1990s show that such estimates are not unreasonable.</p></div>","PeriodicalId":100867,"journal":{"name":"Latin American Journal of Central Banking","volume":"5 2","pages":"Article 100107"},"PeriodicalIF":0.0,"publicationDate":"2023-09-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2666143823000285/pdfft?md5=ffa04c4b35b61ca7ddd7b341493f0f66&pid=1-s2.0-S2666143823000285-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135434643","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Measuring the impact of a failing participant in payment systems","authors":"Ronald Heijmans ,&nbsp;Froukelien Wendt","doi":"10.1016/j.latcb.2023.100106","DOIUrl":"https://doi.org/10.1016/j.latcb.2023.100106","url":null,"abstract":"<div><p>Large banks and critical financial market infrastructures (FMIs) that are not able to fulfill their payment obligations, for example following a bankruptcy or cyber-attack, can be a source of financial instability and contagion in the financial system. This paper develops a composite risk indicator to evaluate the criticality of participants in a large value payment system network, combining liquidity risk (i.e. size of incoming and outgoing payments) and systemic impact or interconnections between network participants in one approach. It is applied, as a proof of concept, to the TARGET2 payment system that links banks and FMIs in a tight network of interdependencies. We find that the most critical participants in TARGET2 are other payment systems (large value and retail) because of the underlying gross size of their payment flows. Some banks may be critical, but this is mainly due to their interconnectedness with other TARGET2 participants. Central counterparties and central securities depositories are less critical to the payment system. Our findings can be used by (1) financial stability experts to evaluate the impact of a failing critical participant in the financial system, and (2) central banks in their role as payment system operator and overseer. Besides, it feeds into policy discussions on payment system access, oversight, and crisis management.</p></div>","PeriodicalId":100867,"journal":{"name":"Latin American Journal of Central Banking","volume":"4 4","pages":"Article 100106"},"PeriodicalIF":0.0,"publicationDate":"2023-09-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50204400","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Evaluating the effectiveness of monetary policy for retail central bank digital currency","authors":"Cheng Zhou","doi":"10.1016/j.latcb.2023.100111","DOIUrl":"10.1016/j.latcb.2023.100111","url":null,"abstract":"<div><p>This paper evaluates the macroeconomic effects of monetary policy for a central bank digital currency rule with traditional monetary policy in an open environment. We build a dynamic stochastic general equilibrium small open model economy with interest-bearing central bank digital currency assets. The redistribution of asset holdings and the change in asset price are the two pathways through which a retail central bank digital currency rule under the traditional monetary policy affects the macroeconomy. Fiat's digital and traditional monetary policies complement one another in lowering macroeconomic fluctuations. As a result, the real exchange rate, current accounts, and consumption are more stable in transmitting foreign shocks. These results occur when price-based or quantitative-based fiat digital monetary policy parallels traditional price-based monetary policy.</p></div>","PeriodicalId":100867,"journal":{"name":"Latin American Journal of Central Banking","volume":"5 3","pages":"Article 100111"},"PeriodicalIF":0.0,"publicationDate":"2023-09-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2666143823000327/pdfft?md5=095b637032a6ec2913bf5509245a9797&pid=1-s2.0-S2666143823000327-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135347262","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Monetary policy communication and inflation expectations: New evidence about tone and readability","authors":"Gianni Carotta ,&nbsp;Miguel Mello ,&nbsp;Jorge Ponce","doi":"10.1016/j.latcb.2023.100088","DOIUrl":"https://doi.org/10.1016/j.latcb.2023.100088","url":null,"abstract":"<div><p>We contribute new empirical evidence on monetary policy communication and inflation expectations by firms. First, we construct a new indicator of the <em>perceived tone</em> of monetary policy communication that complements traditional indicators of the <em>effective tone</em>. Both have the expected negative sign and are statistically significant in panel data regressions with firms’ inflation expectations as the dependent variable, suggesting that communication has an important effect over inflation expectations. We also compute readability and perspicuity indicators of the communications. Better readability of monetary policy communication reinforces the effect of the tone. Impact is larger when combined with the indicator of effective tone, suggesting that readability is an important component in monetary policy communication.</p></div>","PeriodicalId":100867,"journal":{"name":"Latin American Journal of Central Banking","volume":"4 3","pages":"Article 100088"},"PeriodicalIF":0.0,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50191598","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"A content analysis of the Central Bank's press releases in Colombia","authors":"Luis E. Arango ,&nbsp;Javier Pantoja ,&nbsp;Carlos Velásquez","doi":"10.1016/j.latcb.2023.100097","DOIUrl":"https://doi.org/10.1016/j.latcb.2023.100097","url":null,"abstract":"<div><p>The Central Bank uses press releases after board meetings for at least three purposes: first, to justify policy measures based on the economic situation; second, to provide some forward guidance signals to agents; and third, to supply some further (latent) information to the markets. This article involves a reading analysis of press releases based on a machine-learning technique to show, first, the coherence between communications and the changes of the interest rate and, second, the capacity of communications to alter inflation expectations. We find that, following the official mandate of the Central Bank, inflation and inflation expectations as well as economic activity were significant topics in the adoption of policy measures between September 2004 and March 2016, with more emphasis on the former. Our indicators of forward guidance are not significant in the adoption of contemporary policy measures. Finally, with the help of latent semantic analysis, we extract the underlying factors that are then used in structural VAR models to identify and measure the impact of press releases’ shocks on inflation expectations. Our results indicate that Colombia's Central Bank uses communications as a monetary policy tool and that this strategy influences market inflation expectations.</p></div>","PeriodicalId":100867,"journal":{"name":"Latin American Journal of Central Banking","volume":"4 3","pages":"Article 100097"},"PeriodicalIF":0.0,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50191596","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"A proposal for constructing and evaluating core inflation measures","authors":"Guillermo Carlomagno ,&nbsp;Jorge Fornero ,&nbsp;Andrés Sansone","doi":"10.1016/j.latcb.2023.100094","DOIUrl":"https://doi.org/10.1016/j.latcb.2023.100094","url":null,"abstract":"<div><p>There is no unifying framework for evaluating core inflation measures, so we propose a methodological framework to close this gap. It allows us to construct, evaluate, and rank core inflation measures by applying it to countries and regions with different characteristics, such as Chile, Colombia, Peru, the euro area, and the United States. Our methodology uses highly disaggregated data of consumer price indexes, and hinges on a standard quadratic loss function. We show that the usual indicator that excludes food and energy, which is the most widespread measure of core inflation among central banks, performs poorly across the five countries analyzed, due to substantial bias, low persistence, high volatility, and low forecasting power. Therefore, our recommendation is to revise its use. By optimally selecting the CPI components to be excluded, the properties of core inflation measures can be significantly improved. Finally, we argue that when there is a preference regarding the use of fixed exclusion measures, nothing is lost and much can be gained by optimally selecting the excluded items, instead of sticking with the usual ad hoc criteria of excluding food and energy. Results remain robust to changes in the sample and methodology.</p></div>","PeriodicalId":100867,"journal":{"name":"Latin American Journal of Central Banking","volume":"4 3","pages":"Article 100094"},"PeriodicalIF":0.0,"publicationDate":"2023-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"50191599","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}