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Countercyclical Capital Regulation in a Small Open Economy DSGE Model 小型开放经济DSGE模型中的反周期资本监管
ERN: Monetary Policy (Topic) Pub Date : 2018-04-18 DOI: 10.2139/ssrn.3165355
Matija Lozej, Luca Onorante, A. Rannenberg
{"title":"Countercyclical Capital Regulation in a Small Open Economy DSGE Model","authors":"Matija Lozej, Luca Onorante, A. Rannenberg","doi":"10.2139/ssrn.3165355","DOIUrl":"https://doi.org/10.2139/ssrn.3165355","url":null,"abstract":"We examine, conditional on structural shocks, the macroeconomic performance of different countercyclical capital buffer (CCyB) rules in small open economy estimated medium scale DSGE. We find that rules based on the credit gap create a trade-off between the stabilization of fluctuations originating in the housing market and fluctuations caused by foreign demand shocks. The trade-off disappears if the regulator targets house prices instead. As a result, the optimal simple CCyB rule depends only on the house price but not the credit gap. Moreover, the optimal simple rule leads to significant welfare gains compared to the no CCyB case. JEL Classification: F41, G21, G28, E32, E44","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"33 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-04-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125518166","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}
引用次数: 33
Analysis of the Monetary Policy Rule in the Russian Economy 俄罗斯经济中的货币政策规律分析
ERN: Monetary Policy (Topic) Pub Date : 2018-04-02 DOI: 10.32861/jssr.spi3.304.312
O. Salmanov
{"title":"Analysis of the Monetary Policy Rule in the Russian Economy","authors":"O. Salmanov","doi":"10.32861/jssr.spi3.304.312","DOIUrl":"https://doi.org/10.32861/jssr.spi3.304.312","url":null,"abstract":"This article summarizes the results of an empirical study of the monetary policy in the Russian economy. The goal of the work is to establish the conformity of the regulator’s policy to the \"monetary policy rule\". For this purpose, the monetary policy rules are assessed: from the Taylor and McCallum rules to various modifications of rules corresponding to an open economy. Models are assessed using the generalized method of moments. Empirical results are analyzed. The inertia of the regulator’s policy is analyzed, and the estimated smoothing coefficients in the monetary policy rules are compared with estimates in emerging and developed countries.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"67 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-04-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121019046","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}
引用次数: 1
Rules rather than Discretion or Automaticity: Monetary System Performance in Times of Economic Distress 规则而非自由裁量权或自动性:经济困境时期的货币体系表现
ERN: Monetary Policy (Topic) Pub Date : 2018-03-27 DOI: 10.2139/ssrn.3146903
Sinan Krueckeberg
{"title":"Rules rather than Discretion or Automaticity: Monetary System Performance in Times of Economic Distress","authors":"Sinan Krueckeberg","doi":"10.2139/ssrn.3146903","DOIUrl":"https://doi.org/10.2139/ssrn.3146903","url":null,"abstract":"This paper compares monetary system performance in terms of price level stability for the ideal types constrained discretion, rules and automaticity. A proprietary model for annual US gold output dependent on macro-economic factors is developed, to model automaticity under a gold standard with 100% reserve requirement. Within a United States model economy, back-tests for eight episodes of economic distress show that constrained discretion performs worst both in terms of time inconsistency and inflationary bias, while the rule-based Friedman proposals outperform. This challenges current consensus favoring discretionary central bank intervention.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"101 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-03-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132800358","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}
引用次数: 0
A Quarter Century of Inflation Targeting & Exchange Rate Pass-Through: Evidence from the First Three Movers 四分之一世纪的通胀目标制与汇率传递:来自前三个推动者的证据
ERN: Monetary Policy (Topic) Pub Date : 2018-02-26 DOI: 10.2139/ssrn.3130082
M. Nasir, X. Vo
{"title":"A Quarter Century of Inflation Targeting & Exchange Rate Pass-Through: Evidence from the First Three Movers","authors":"M. Nasir, X. Vo","doi":"10.2139/ssrn.3130082","DOIUrl":"https://doi.org/10.2139/ssrn.3130082","url":null,"abstract":"This study has analysed the implications of Inflation Targeting for the Exchange Rate Pass-Through (ERPT) to inflation and trade balance. In this endeavour, we have focused on the first three movers i.e. New Zealand, UK and Canada. Drawing on the monthly data from October 1976 to September 2017, we employed a Time-Varying Structural Vector Auto-regressive framework in which the sources of time variation were both the coefficients and variance-covariance matrix of the innovations. Our key findings suggest that there is significant evidence of time-variation in the ERPT to inflation and trade balance in all three countries. In specific to inflation, the results showed that contrary to the notion that the ERPT to inflation has decreased in the Inflation Targeting economies, in fact, there is strong evidence that if there is anything, it is the other way around. The results using the ADF unit root test with a structural break (with innovation and additive outliers) suggested that the coefficients for inflation showed a decrease in oscillations which corresponded with the start of inflation targeting. However, this coincident cannot lead to infer that the ERPT has lost its significance. There is also a considerable amount of heterogeneity in the ERPT in the under-analysis countries. Specifically, in response to the positive Real Effective Exchange Rate (REER) shock, the inflation fell in the UK and New Zealand whereas, in Canada, it had the opposite effect. On the ERPT to the Trade Balance, the results on the UK showed a clear evidence of J-curve whereas in Canada, the impact was rather instantaneous and the trade balance quickly deteriorated. In New Zealand, the trade balance also showed deterioration in response to the REER shocks, although comparatively there was milder response than Canada and UK. Our findings have profound implications for monetary policy formulation under inflation targeting regimes and the influence of EPRT on price stability and external balance.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"69 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-02-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130346435","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}
引用次数: 4
Finance Market and Currency Union Integration in the Americas, in Regard to Foreign Corporate Activity on the American Stock Markets 美洲金融市场与货币联盟一体化:从外国公司在美国股票市场的活动看
ERN: Monetary Policy (Topic) Pub Date : 2017-12-20 DOI: 10.2139/ssrn.3091405
K. Sleem
{"title":"Finance Market and Currency Union Integration in the Americas, in Regard to Foreign Corporate Activity on the American Stock Markets","authors":"K. Sleem","doi":"10.2139/ssrn.3091405","DOIUrl":"https://doi.org/10.2139/ssrn.3091405","url":null,"abstract":"The purpose of this study is to provide a contribution to the analysis of foreign cross-listing behaviour in general, and on the state of the integration of the American region's capital markets and economies in specific; while also examining the market preferences of U.S. firms in the Americas and around the world in the context of their integration within the Americas; as well as analysing the role of the growth and integration of the Mexican stock exchange into the American financial markets in regard to the 2008 credit crisis and in general. A logistic regression model is developed which takes into consideration exchange, firm, geographic, and industrial regressors in order to determine whether firms prefer listing on the New York Stock Exchange as compared to the Toronto Stock Exchange. Logistic regressions are also run on foreign corporations operating in Bermuda, Mexico and Brazil. Unit-root causality tests and ARCH regressions are run on the economic specific characteristics of the American economies to analyse currency union and finance market integration possibilities. The American economies are more integrated than their stock exchanges, though due to the fact that currency unions are much more political than stock market mergers, it is suggested that stock markets in the Americas will continue to integrate with a greater propensity than currency unions.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"11 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-12-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130890333","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}
引用次数: 0
How Low Can Central Banks Go? The Banking Threshold to Negative Interest Rates 央行能走多低?银行业走向负利率的门槛
ERN: Monetary Policy (Topic) Pub Date : 2017-12-15 DOI: 10.2139/ssrn.3160982
Tiago C. Berriel, Fernanda Guardado
{"title":"How Low Can Central Banks Go? The Banking Threshold to Negative Interest Rates","authors":"Tiago C. Berriel, Fernanda Guardado","doi":"10.2139/ssrn.3160982","DOIUrl":"https://doi.org/10.2139/ssrn.3160982","url":null,"abstract":"Abstract Negative interest rates policies (NIRP), usually depicted in economic textbooks as an impossibility due to the prospect of infinite demand for money, are now a reality in several countries due to different reasons. But while the ZLB has been surpassed when it comes to Central Banks, it has been transferred to commercial banks through the fear of a flight from savings and time deposits, making banks suffer additional losses in profits, and limiting the reach of NIRP. In this paper we develop a model to study the adoption of NIRP in an environment of elevated excess reserves. We find that 1) despite the central banks being freed from the ZLB, having banks put a cap on the rate charged on its deposits effectively maintains the negative economic effects of the ZLB and; 2) NIRP is helpful and very negative rates feasible for a short time, but it might become a growing burden and can actually hurt the economic recovery, specially if accompanied by heavy liquidity intervention by the CB.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-12-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114609405","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}
引用次数: 0
The Effects of Quantitative Easing: Taking a Cue from Treasury Auctions 量化宽松的影响:从国债拍卖中得到启示
ERN: Monetary Policy (Topic) Pub Date : 2017-12-01 DOI: 10.3386/W24122
Y. Gorodnichenko, Walker Ray
{"title":"The Effects of Quantitative Easing: Taking a Cue from Treasury Auctions","authors":"Y. Gorodnichenko, Walker Ray","doi":"10.3386/W24122","DOIUrl":"https://doi.org/10.3386/W24122","url":null,"abstract":"To understand the effects of large-scale asset purchase programs recently implemented by central banks, we study how markets absorb large demand shocks for risk-free debt. Using high-frequency identification, we exploit the structure of the primary market for U.S. Treasuries to isolate demand shocks. These shocks are sizable, leading to large movements in Treasury yields and impacting corporate borrowing rates. Informed by a preferred habitat model of the term structure, we test for “local” demand effects and find evidence consistent with theoretical predictions. Crucially, this local effect is strongest when financial markets are disrupted. Our estimates are consistent with the view that quantitative easing worked mainly via market segmentation, with a potentially limited role for other channels.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"56 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122558465","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}
引用次数: 33
European Spreads at the Interest Rate Lower Bound 利率下限下的欧洲利差
ERN: Monetary Policy (Topic) Pub Date : 2017-09-18 DOI: 10.2139/ssrn.2973285
Laura Coroneo, S. Pastorello
{"title":"European Spreads at the Interest Rate Lower Bound","authors":"Laura Coroneo, S. Pastorello","doi":"10.2139/ssrn.2973285","DOIUrl":"https://doi.org/10.2139/ssrn.2973285","url":null,"abstract":"This paper analyzes the effect of the interest rate lower bound on long term sovereign bond spreads in the Euro area. We specify a joint shadow rate term structure model for the risk-free, the German and the Italian sovereign yield curves. In our model, the behavior of long term spreads becomes strongly nonlinear in the underlying factors when interest rates are close to the lower bound, which in the data occurs since the beginning of 2012. We fit the model by Quasi-Maximum Likelihood and highlight three important consequences of sovereign spreads’ nonlinear behavior: i) their distribution is skewed, ii) they are affected by (possibly exogenous) changes in the lower bound, and iii) they become less informative about the countries’ sovereign risk. Shadow spreads, however, still provide reliable information.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-09-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115306411","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}
引用次数: 7
Firms’ Money Demand and Monetary Policy 企业货币需求与货币政策
ERN: Monetary Policy (Topic) Pub Date : 2017-08-01 DOI: 10.1111/1468-0106.12234
Romina Bafile, A. Piergallini
{"title":"Firms’ Money Demand and Monetary Policy","authors":"Romina Bafile, A. Piergallini","doi":"10.1111/1468-0106.12234","DOIUrl":"https://doi.org/10.1111/1468-0106.12234","url":null,"abstract":"Standard New Keynesian models for monetary policy analysis are \"cashless\". When the nominal interest rate is the central bank's operating instrument, the LM equation is endogenous and, it is argued, can be ignored. The modern theoretical and quantitative debate on the importance of money for the conduct of monetary policy, however, overlooks firms' money demand. Working in an otherwise baseline New Keynesian setup, this paper shows that the monetary policy transmission mechanism is critically affected by the firms' money demand choice. Specifically, we prove that equilibrium determinacy may require either an active interest-rate policy (i.e., overreacting to inflation) or a passive interest-rate policy (i.e., underreacting to inflation), depending on the elasticity of production with respect to real money balances. We then calibrate the model to U.S. quarterly data and develop a sensitivity analysis in order to investigate the quantitative implications of our theoretical results. We find that macroeconomic stability is more likely to be guaranteed under an active, although not overly aggressive, monetary-policy stance.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121759189","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}
引用次数: 1
Transitions in Central Bank Leadership 中央银行领导层的过渡
ERN: Monetary Policy (Topic) Pub Date : 2017-07-06 DOI: 10.2139/ssrn.2997879
Carlos M. Carvalho, T. Flórido, Eduardo Zilberman
{"title":"Transitions in Central Bank Leadership","authors":"Carlos M. Carvalho, T. Flórido, Eduardo Zilberman","doi":"10.2139/ssrn.2997879","DOIUrl":"https://doi.org/10.2139/ssrn.2997879","url":null,"abstract":"We assemble a novel dataset on transitions in central bank leadership in several countries, and study how monetary policy is conducted around those events. We find that policy is tighter both at the last meetings of departing governors and first meetings of incoming leaders. This finding cannot be fully explained by endogenous transitions, the effects of the zero lower bound, surges in inflation expectations, omitted variables such as fiscal policy and uncertainty nor electoral cycles. We conclude by offering two possible, perhaps complementary, explanations for these results. One based on a simple signalling story, another based on career and reputation concerns.","PeriodicalId":111923,"journal":{"name":"ERN: Monetary Policy (Topic)","volume":"219 2","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-07-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114014359","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}
引用次数: 0
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