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Firm-Specific Shocks and Contagion: Are Banks Special? 企业特有的冲击和传染:银行是特殊的吗?
ECB: Working Paper Series (Topic) Pub Date : 2020-10-01 DOI: 10.2139/ssrn.3712244
Hannah Katharina Engljähringer, Livio Stracca
{"title":"Firm-Specific Shocks and Contagion: Are Banks Special?","authors":"Hannah Katharina Engljähringer, Livio Stracca","doi":"10.2139/ssrn.3712244","DOIUrl":"https://doi.org/10.2139/ssrn.3712244","url":null,"abstract":"This paper builds a database of idiosyncratic shocks (events) in global banks and car manufacturers (as representative of non-financial firms), and focuses on how these influence a number of macroeconomic and firm-specific variables in the short- and medium-term. We find that these shocks spawn large and persistent effects on the firms’ own market valuation in terms of their equity prices, CDS spreads and expected default probabilities, while contagion across firms in both sectors is generally small. Surprisingly, we find that spill-overs of bank-related events are not significantly different from the car sector, suggesting that, at least from this perspective, banks are not special. We also investigate whether our events are “granular”, i.e. influencing aggregate variables such as the VIX, equity indexes and key exchange rates, with mixed results.","PeriodicalId":269524,"journal":{"name":"ECB: Working Paper Series (Topic)","volume":"63 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124273392","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
Rational Inattention: A Review 理性疏忽:回顾
ECB: Working Paper Series (Topic) Pub Date : 2020-10-01 DOI: 10.2866/417246
Bartosz Mackowiak, Filip Matějka, Mirko Wiederholt
{"title":"Rational Inattention: A Review","authors":"Bartosz Mackowiak, Filip Matějka, Mirko Wiederholt","doi":"10.2866/417246","DOIUrl":"https://doi.org/10.2866/417246","url":null,"abstract":"We review the recent literature on rational inattention, identify the main theoretical mechanisms, and explain how it helps us understand a variety of phenomena across fields of economics. The theory of rational inattention assumes that agents cannot process all available information, but they can choose which exact pieces of information to attend to. Several important results in economics have been built around imperfect information. Nowadays, many more forms of information than ever before are available due to new technologies, and yet we are able to digest little of it. Which form of imperfect information we possess and act upon is thus largely determined by which information we choose to pay attention to. These choices are driven by current economic conditions and imply behavior that features numerous empirically supported departures from standard models. Combining these insights about human limitations with the optimizing approach of neoclassical economics yields a new, generally applicable model. (JEL D83, D91, E71)","PeriodicalId":269524,"journal":{"name":"ECB: Working Paper Series (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114400890","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: 97
The Influence of Opec+ on Oil Prices: A Quantitative Assessment 欧佩克+对油价的影响:一个定量评估
ECB: Working Paper Series (Topic) Pub Date : 2020-09-01 DOI: 10.2139/ssrn.3692343
Dominic Quint, F. Venditti
{"title":"The Influence of Opec+ on Oil Prices: A Quantitative Assessment","authors":"Dominic Quint, F. Venditti","doi":"10.2139/ssrn.3692343","DOIUrl":"https://doi.org/10.2139/ssrn.3692343","url":null,"abstract":"Between January 2017 and March 2020 a coalition of oil producers led by OPEC and Russia (known as OPEC+) cut oil production in an attempt to raise the price of crude oil. In March 2020 the corona virus shock led to a collapse of this coalition, as members did not agree on keeping the oil market tight in the face of a large negative demand shock. Yet, was OPEC+ actually effective in sustaining the price of oil? Between 2017 and early 2020 when the OPEC+ strategy was in place, oil inventories fell substantially and the price of oil reached a peak of around 80 USD per barrel, from a minimum of 30 USD in 2016. This suggests that the OPEC+ strategy had a significant impact on the global oil market. Yet, to what extent did crude prices actually reflect OPEC+ production cuts rather than other factors, like swings in demand for oil? How would the price of oil have evolved had OPEC+ not cut supply? This paper provides an answer to these questions through a counterfactual analysis based on two structural models of the global oil market. We find the impact of OPEC+ on the market was overall quite limited, owing to significant deviations from the assigned quotas. On average, without the OPEC+ cuts, the price of oil would have been 6 percent (4 USD) lower.","PeriodicalId":269524,"journal":{"name":"ECB: Working Paper Series (Topic)","volume":"60 8","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132802041","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: 5
Banking Euro Area Stress Test Model 银行业欧元区压力测试模型
ECB: Working Paper Series (Topic) Pub Date : 2020-09-01 DOI: 10.2866/322312
K. Budnik, Mirco Balatti, I. Dimitrov, Johannes Groß, M. Kleemann, Tomas Reichenbachas, Francesco Sanna, A. Sarychev, N. Siņenko, M. Volk
{"title":"Banking Euro Area Stress Test Model","authors":"K. Budnik, Mirco Balatti, I. Dimitrov, Johannes Groß, M. Kleemann, Tomas Reichenbachas, Francesco Sanna, A. Sarychev, N. Siņenko, M. Volk","doi":"10.2866/322312","DOIUrl":"https://doi.org/10.2866/322312","url":null,"abstract":"The Banking Euro Area Stress Test (BEAST) is a large scale semi-structural model developed to assess the resilience of the euro area banking system from a macroprudential perspective. The model combines the dynamics of a high number of euro area banks with that of the euro area economies. It reflects banks’ heterogeneity by replicating the structure of their balance sheets and profit and loss accounts. In the model, banks adjust their assets, interest rates, and profit distribution in line with the economic conditions they face. Bank responses feed back to the macroeconomic environment affecting credit supply conditions. When applied to a stress test of the euro area banking system, the model reveals higher system-wide capital depletion than the analogous constant balance sheet exercise. JEL Classification: E37, E58, G21, G28","PeriodicalId":269524,"journal":{"name":"ECB: Working Paper Series (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115282138","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: 10
Does the Phillips Curve Help to Forecast Euro Area Inflation? 菲利普斯曲线有助于预测欧元区通胀吗?
ECB: Working Paper Series (Topic) Pub Date : 2020-09-01 DOI: 10.2139/ssrn.3699467
Marta Bańbura, Elena Bobeica
{"title":"Does the Phillips Curve Help to Forecast Euro Area Inflation?","authors":"Marta Bańbura, Elena Bobeica","doi":"10.2139/ssrn.3699467","DOIUrl":"https://doi.org/10.2139/ssrn.3699467","url":null,"abstract":"We find that it does, but choosing the right specification is not trivial. We unveil notable model instability, with breaks in the performance of most simple Phillips curves. Euro area inflation was particularly hard to forecast in the run-up to the EMU and after the sovereign debt crisis, when the trend and for the latter period, also the amount of slack, were harder to pin down. Yet, some specifications outperform a univariate benchmark most of the time and are thus a useful element in a forecaster's toolkit. We base these conclusions on an extensive forecast evaluation over 1994 - 2018, an extraordinarily long period by euro area standards. We complement the analysis using real-time data over 2005-2018. As lessons for practitioners, we find that: (i) the key type of time variation to consider is an inflation trend; (ii) a simple filter-based output gap works well overall as a measure of economic slack, but after the Great Recession it is outperformed by endogenously estimated slack or by estimates from international economic institutions; (iii) external variables do not bring forecast gains; (iv) newer generation Phillips curve models with several time-varying features are a promising avenue for forecasting, especially when density forecasts are of interest, and finally, (v) averaging over a wide range of modelling choices offers some hedge against breaks in forecast performance. JEL Classification: C53, E31, E37","PeriodicalId":269524,"journal":{"name":"ECB: Working Paper Series (Topic)","volume":"5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114139709","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: 13
What is the Tipping Point? Low Rates and Financial Stability 什么是引爆点?低利率与金融稳定
ECB: Working Paper Series (Topic) Pub Date : 2020-07-01 DOI: 10.2139/ssrn.3657086
Davide Porcellacchia
{"title":"What is the Tipping Point? Low Rates and Financial Stability","authors":"Davide Porcellacchia","doi":"10.2139/ssrn.3657086","DOIUrl":"https://doi.org/10.2139/ssrn.3657086","url":null,"abstract":"To study the effect on financial stability of persistent changes in the interest rate, this paper develops a recursive model of liquidity creation based on Diamond and Dybvig (1983). The model features two stable balanced growth paths: a good one with a healthy banking system and a bad one with a failed banking system. The paper’s main result is that a critical interest-rate level exists, below which a financial crisis takes place and the economy transitions from the good to the bad BGP. At this tipping point for the economy, banks’ franchise value of deposits goes down, since their net interest margins are compressed. This leads to a fall in bank equity, which gives depositors an incentive to run. The tipping point is not necessarily negative or zero. It is an increasing function of the persistence of the change in the interest rate. Since a persistent fall in the interest rate compresses the net interest margin further in the future, it damages the franchise value of deposits more for any given interest-rate cut.","PeriodicalId":269524,"journal":{"name":"ECB: Working Paper Series (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129922661","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: 5
Inflation Volatility in Small and Large Advanced Open Economies 小型和大型发达开放经济体的通胀波动
ECB: Working Paper Series (Topic) Pub Date : 2020-07-01 DOI: 10.2139/ssrn.3657088
Mirco Balatti
{"title":"Inflation Volatility in Small and Large Advanced Open Economies","authors":"Mirco Balatti","doi":"10.2139/ssrn.3657088","DOIUrl":"https://doi.org/10.2139/ssrn.3657088","url":null,"abstract":"Inflation volatility is clearly important for structural analysis, forecasting and policy purposes, yet it is often overlooked in the literature. This paper compares inflation volatility among advanced open economies with inflation targeting monetary policy frameworks. The results of the empirical exercise using a panel dataset suggest that, over the last two decades, the volatility of inflation was similar among countries, even when controlling for monetary policy activity and other factors. In particular, there is only a weak and statistically not significant correlation between inflation volatility and country size. Also, point-targeting central banks (in contrast with range-targeters) and commodity exporters are only weakly associated with higher inflation swings. Equivalent conclusions are reached when decomposing inflation volatility in a transitory and a permanent component. I thus argue that small and large advanced open economies are exposed to global fluctuations to a comparable extent. A range of robustness tests confirm that the results are not sensitive to methodological choices and the relationship was not altered by the Great Recession or the low interest rate environment. JEL Classification: E31, E42, E50, F10, F41","PeriodicalId":269524,"journal":{"name":"ECB: Working Paper Series (Topic)","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130293524","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: 2
Mitigating the Forward Guidance Puzzle: Inattention, Credibility, Finite Planning Horizons and Learning 缓解前瞻指导难题:注意力不集中、可信度、有限规划视野和学习
ECB: Working Paper Series (Topic) Pub Date : 2020-06-01 DOI: 10.2139/ssrn.3634528
O. Groot, Falk Mazelis
{"title":"Mitigating the Forward Guidance Puzzle: Inattention, Credibility, Finite Planning Horizons and Learning","authors":"O. Groot, Falk Mazelis","doi":"10.2139/ssrn.3634528","DOIUrl":"https://doi.org/10.2139/ssrn.3634528","url":null,"abstract":"This paper develops a simple, consistent methodology for generating empirically realistic forward guidance simulations using existing macroeconomic models by modifying expectations about policy announcements. The main advantage of our method lies in the exact preservation of all other shock transmissions. We describe four scenarios regarding how agents incorporate information about future interest rate announcements: “inattention”, “credibility”, “finite planning horizon”, and “learning”. The methodology consists of describing a single loading matrix that augments the equilibrium decision rules and can be applied to any standard DSGE, including large-scale policy-institution models. Finally, we provide conditions under which the forward guidance puzzle is resolved. JEL Classification: C63, E32, E52","PeriodicalId":269524,"journal":{"name":"ECB: Working Paper Series (Topic)","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123547822","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: 3
Fiscal Multipliers with Financial Fragmentation Risk and Interactions with Monetary Policy 金融碎片化风险下的财政乘数及其与货币政策的互动
ECB: Working Paper Series (Topic) Pub Date : 2020-06-01 DOI: 10.2139/ssrn.3625534
Matthieu Darracq Pariès, Niki Papadopoulou, G. Müller
{"title":"Fiscal Multipliers with Financial Fragmentation Risk and Interactions with Monetary Policy","authors":"Matthieu Darracq Pariès, Niki Papadopoulou, G. Müller","doi":"10.2139/ssrn.3625534","DOIUrl":"https://doi.org/10.2139/ssrn.3625534","url":null,"abstract":"We quantify the size of fiscal multipliers under financial fragmentation risk and demonstrate how non-standard monetary policy can support the macroeconomic transmission of fiscal interventions. We employ a DSGE model with financial frictions whereby the interplay of corporate, banks and sovereign solvency risk affect the transmission of fiscal policy. The output multiplier of fiscal expansion is found to be significantly dampened by tighter financial conditions in case households are less certain about implicit and explicit state-guarantees for the banking system, or banks are weakly capitalized and highly exposed to the government sector. In this context, we show that central bank asset purchases or liquidity operations designed to ensure favourable bank funding conditions can restore fiscal multipliers. JEL Classification: E44, E52, E62","PeriodicalId":269524,"journal":{"name":"ECB: Working Paper Series (Topic)","volume":"80 6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131282780","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: 2
Macroeconomic Stabilisation Properties of a Euro Area Unemployment Insurance Scheme 欧元区失业保险计划的宏观经济稳定性
ECB: Working Paper Series (Topic) Pub Date : 2020-06-01 DOI: 10.2139/ssrn.3635348
Christoph Kaufmann, M. Attinasi, Sebastian Hauptmeier
{"title":"Macroeconomic Stabilisation Properties of a Euro Area Unemployment Insurance Scheme","authors":"Christoph Kaufmann, M. Attinasi, Sebastian Hauptmeier","doi":"10.2139/ssrn.3635348","DOIUrl":"https://doi.org/10.2139/ssrn.3635348","url":null,"abstract":"In this paper we use a medium-scale DSGE model to quantitatively assess the macroeconomic stabilisation properties of a supranational unemployment insurance scheme. The model is calibrated to the euro area's core and periphery and features a rich fiscal sector, sovereign risk premia and labour market frictions. Adopting both simple policy rules and optimal policies, our simulations point to enhanced business cycle synchronisation and interregional consumption smoothing. Depending on the exact specification, the results suggest a reduction in the volatility of consumption by up to 49% at the region-level, while the cross-regional correlation of unemployment and inflation increases by up to 52% and 27%, respectively, compared to the decentralised setting. The higher degree of inter-regional risk-sharing comes at the cost of sizable fiscal transfers. Limiting such transfers via claw-back mechanisms implies a much weaker degree of stabilisation across countries.","PeriodicalId":269524,"journal":{"name":"ECB: Working Paper Series (Topic)","volume":"54 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121300603","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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