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Forward Guidance with Unanchored Expectations 前瞻性指引与无锚定的预期
BOF: Financial Market & Macroeconomics Discussion Papers (Topic) Pub Date : 2021-08-31 DOI: 10.2139/ssrn.3915320
Stefano Eusepi, Christopher G. Gibbs, Bruce Preston
{"title":"Forward Guidance with Unanchored Expectations","authors":"Stefano Eusepi, Christopher G. Gibbs, Bruce Preston","doi":"10.2139/ssrn.3915320","DOIUrl":"https://doi.org/10.2139/ssrn.3915320","url":null,"abstract":"We study zero interest-rate policy in response to a large negative demand shock when long-run expectations can fall over time. Because falling expectations make monetary policy less effective by raising real interest rates, the optimal forward guidance policy makes large front-loaded promises to stabilize expectations. Policy is too stimulatory in the event of transitory shocks, but provides insurance against persistent shocks. The optimal policy is well-approximated by a constant calendar-based forward guidance, independent of the shock’s realised persistence. The insurance property distinguishes our paper from other bounded rationality papers that solve the forward guidance puzzle and generates important quantitative differences.","PeriodicalId":274445,"journal":{"name":"BOF: Financial Market & Macroeconomics Discussion Papers (Topic)","volume":"126 5 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-08-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129797527","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
Precision of Public Information Disclosures, Banks’ Stability and Welfare 公开信息披露的精确性、银行的稳定性与福利
BOF: Financial Market & Macroeconomics Discussion Papers (Topic) Pub Date : 2021-03-04 DOI: 10.2139/ssrn.3798237
T. Takalo, D. Moreno
{"title":"Precision of Public Information Disclosures, Banks’ Stability and Welfare","authors":"T. Takalo, D. Moreno","doi":"10.2139/ssrn.3798237","DOIUrl":"https://doi.org/10.2139/ssrn.3798237","url":null,"abstract":"We study the optimal precision of public information disclosures about banks assets quality. In our model the precision of information affects banks' cost of raising funding and asset profile riskiness. In an imperfectly competitive banking sector, banks'stability and social surplus are non-monotonic functions of precision: an intermediate precision (or low-to-intermediate precision if banks contract their repayment promises on public information) maximizes stability, and also yields the maximum surplus when the social cost of bank failure c is large. When c is small and the banks' asset risk taking is not too sensitive to changes in the precision, the maximum surplus (and maximum risk) are reached at maximal precision. In a perfectly competitive banking sector in which banks' asset risk taking is not too sensitive to the precision of information, the maximum surplus (and maximum risk) are reached at maximal precision, while maximum stability is reached at minimal precision.","PeriodicalId":274445,"journal":{"name":"BOF: Financial Market & Macroeconomics Discussion Papers (Topic)","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127534712","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
Inflationary Household Uncertainty Shocks 通胀性家庭不确定性冲击
BOF: Financial Market & Macroeconomics Discussion Papers (Topic) Pub Date : 2020-04-30 DOI: 10.2139/ssrn.3589564
Gene Ambrocio
{"title":"Inflationary Household Uncertainty Shocks","authors":"Gene Ambrocio","doi":"10.2139/ssrn.3589564","DOIUrl":"https://doi.org/10.2139/ssrn.3589564","url":null,"abstract":"I construct a novel measure of household uncertainty based on survey data for European countries. I show that household uncertainty shocks are not universally like negative demand shocks. Notably, household uncertainty shocks are largely inflationary in Europe. These results lend support to a pricing bias mechanism as an important transmission channel. A comparison of results across countries suggest that demographics and factors related to average markups along with monetary policy play a role in the transmission of household uncertainty to inflation. I develop an Overlapping Generations New Keynesian model with Deep Habits to rationalize these results.","PeriodicalId":274445,"journal":{"name":"BOF: Financial Market & Macroeconomics Discussion Papers (Topic)","volume":"47 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130508010","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
Friends for the Benefits: The Effects of Political Ties on Sovereign Borrowing Conditions 利益之友:政治关系对主权借贷条件的影响
BOF: Financial Market & Macroeconomics Discussion Papers (Topic) Pub Date : 2019-07-22 DOI: 10.2139/ssrn.3424563
Gene Ambrocio, I. Hasan
{"title":"Friends for the Benefits: The Effects of Political Ties on Sovereign Borrowing Conditions","authors":"Gene Ambrocio, I. Hasan","doi":"10.2139/ssrn.3424563","DOIUrl":"https://doi.org/10.2139/ssrn.3424563","url":null,"abstract":"Do closer political ties with a global superpower improve sovereign borrowing conditions? We use data on voting at the United Nations General Assembly along with foreign aid flows to construct an index of political ties and find evidence that suggests closer political ties leads to both better sovereign credit ratings and lower yields on sovereign bonds. We use heads-of-state official visits and coalition forces troop contributions as exogenous instruments to further strengthen the findings.","PeriodicalId":274445,"journal":{"name":"BOF: Financial Market & Macroeconomics Discussion Papers (Topic)","volume":"75 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-07-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122636482","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
How Do Shocks to Bank Capital Affect Lending and Growth? 银行资本冲击如何影响贷款和增长?
BOF: Financial Market & Macroeconomics Discussion Papers (Topic) Pub Date : 2018-11-28 DOI: 10.2139/ssrn.3292737
Eero Tölö, Paavo Miettinen
{"title":"How Do Shocks to Bank Capital Affect Lending and Growth?","authors":"Eero Tölö, Paavo Miettinen","doi":"10.2139/ssrn.3292737","DOIUrl":"https://doi.org/10.2139/ssrn.3292737","url":null,"abstract":"We examine bank capital shocks using a recent new approach based on non-normal errors in vector autoregressive models. Using a sample of 14 European economies over January 2004 through March 2018 we identify two distinct classes of bank capital shocks, capital tightening shocks, and bank profitability shocks. We find that both bank capital shocks frequently lead to changes in lending volume and interest rates for new loans. In contrast to some recent similar studies, we find less evidence for impact on production. Bank capital shocks have further effects on the substitution between the bank and market-based financing and on credit allocation across different borrower sectors. Policymakers may find these results useful when considering counter-cyclical adjustments to the bank capital requirements.","PeriodicalId":274445,"journal":{"name":"BOF: Financial Market & Macroeconomics Discussion Papers (Topic)","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-11-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133556197","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
The Power of Forward Guidance and the Fiscal Theory of the Price Level 前瞻指导的力量与物价水平的财政理论
BOF: Financial Market & Macroeconomics Discussion Papers (Topic) Pub Date : 2018-10-29 DOI: 10.2139/ssrn.3596828
Nigel McClung
{"title":"The Power of Forward Guidance and the Fiscal Theory of the Price Level","authors":"Nigel McClung","doi":"10.2139/ssrn.3596828","DOIUrl":"https://doi.org/10.2139/ssrn.3596828","url":null,"abstract":"Standard New Keynesian models predict implausibly large and favorable responses of inflation and output to expansionary forward guidance on interest rates. We find that the introduction of permanent or recurring active fiscal policy dampens the response of output and inflation to forward guidance in the New Keynesian model. Moreover, the presence of regime-switching policy introduces expectation e ects that cause forward guidance to be less stimulative in our regime-switching model's active money, passive fiscal policy regime. Finally, the introduction of long-term debt a ects the magnitude of the stimulus resulting from forward guidance in models with active fiscal policy.","PeriodicalId":274445,"journal":{"name":"BOF: Financial Market & Macroeconomics Discussion Papers (Topic)","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-10-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134237176","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
Measuring the Effects of Conventional and Unconventional Monetary Policy in the Euro Area 衡量欧元区常规和非常规货币政策的影响
BOF: Financial Market & Macroeconomics Discussion Papers (Topic) Pub Date : 2018-05-29 DOI: 10.2139/ssrn.3186505
J. Anttila
{"title":"Measuring the Effects of Conventional and Unconventional Monetary Policy in the Euro Area","authors":"J. Anttila","doi":"10.2139/ssrn.3186505","DOIUrl":"https://doi.org/10.2139/ssrn.3186505","url":null,"abstract":"I estimate the effects of conventional and unconventional monetary policy in the euro area by using a factor-augmented vector autoregression.I complement the standard monetary policy analysis using the short rate with models where the shadow rates by Kortela (2016) and Wu and Xia (2017) are used as proxies for unconventional monetary policy. I quantify the effects of unanticipated monetary policy shocks using impulse response functions, forecast-error variance decompositions, and counterfactual simulations. The results indicate that unconventional monetary policy shocks have similar, expansionary effects on the economy as conventional monetary policy shocks.","PeriodicalId":274445,"journal":{"name":"BOF: Financial Market & Macroeconomics Discussion Papers (Topic)","volume":"98 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-05-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122623252","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: 12
Modelling a Small Open Economy Using a Wavelet-Based Control Model 基于小波控制模型的小型开放经济建模
BOF: Financial Market & Macroeconomics Discussion Papers (Topic) Pub Date : 2017-10-18 DOI: 10.2139/ssrn.3055068
David Hudgins, Patrick M. Crowley
{"title":"Modelling a Small Open Economy Using a Wavelet-Based Control Model","authors":"David Hudgins, Patrick M. Crowley","doi":"10.2139/ssrn.3055068","DOIUrl":"https://doi.org/10.2139/ssrn.3055068","url":null,"abstract":"This paper develops a wavelet-based control system model that can be used to simulate fiscal and monetary strategies in an open economy context in the time-frequency domain. As the emphasis on real exchange rate stability is increased, the model simulates the effects on both the aggregate and decomposed trade balance under both constant and depreciating real exchange rate targets, and also the effects on the real GDP expenditure components. This paper adds to recent research in this area by incorporating an external sector via the use of a real effective exchange rate as a driver of output. The research is also the first to analyze exchange rate effects within a time-frequency model with integrated fiscal and monetary policies in an open-economy applied wavelet-based optimal control setting. To demonstrate the usefulness of this model, we use post-apartheid South African macro data under a political targeting design for the frequency range weights, where we simulate jointly optimal fiscal and monetary policy under varying preferences for real exchange rate stability.","PeriodicalId":274445,"journal":{"name":"BOF: Financial Market & Macroeconomics Discussion Papers (Topic)","volume":"38 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-10-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122595978","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: 9
Business Cycle Synchronisation in a Currency Union: Taking Stock of the Evidence 货币联盟中的商业周期同步性:评估证据
BOF: Financial Market & Macroeconomics Discussion Papers (Topic) Pub Date : 2017-09-20 DOI: 10.2139/ssrn.3039993
N. Campos, J. Fidrmuc, I. Korhonen
{"title":"Business Cycle Synchronisation in a Currency Union: Taking Stock of the Evidence","authors":"N. Campos, J. Fidrmuc, I. Korhonen","doi":"10.2139/ssrn.3039993","DOIUrl":"https://doi.org/10.2139/ssrn.3039993","url":null,"abstract":"This paper offers a first systematic evaluation of the evidence on the effects of currency unions on the synchronisation of economic activity. Focusing on Europe, we construct a database of about 3,000 business cycles synchronisation coefficients and their design and estimation characteristics. We find that: (1) synchronisation increased from about 0.4 before the introduction of the euro in 1999 to 0.6 afterwards; (2) this increase occurred in both euro and non-euro countries (larger in former); (3) there is evidence of country-specific publication bias; (4) our differences-in-differences estimates suggest the euro accounted for approximately half of the observed increase in synchronisation.","PeriodicalId":274445,"journal":{"name":"BOF: Financial Market & Macroeconomics Discussion Papers (Topic)","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-09-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134394624","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: 23
How to Explain Errors in Budget Balance Forecasts in Euro Area Countries? Empirical Evidence Based on Real-Time Data 如何解释欧元区国家预算平衡预测中的错误?基于实时数据的经验证据
BOF: Financial Market & Macroeconomics Discussion Papers (Topic) Pub Date : 2016-06-17 DOI: 10.2139/ssrn.2798049
Maritta Paloviita, P. Ikonen
{"title":"How to Explain Errors in Budget Balance Forecasts in Euro Area Countries? Empirical Evidence Based on Real-Time Data","authors":"Maritta Paloviita, P. Ikonen","doi":"10.2139/ssrn.2798049","DOIUrl":"https://doi.org/10.2139/ssrn.2798049","url":null,"abstract":"The aim of this study is to explore budget planning in the euro area countries in 2004-2014. Our analyses are based on annual real-time data from the IMF World Economic Outlook publications. As forecasts made by different institutions are strongly correlated, our dataset reasonably reflects information available for policy makers in real-time. We examine whether real-time forecasts of overall budget balance, real GDP growth and output gap have been systematically biased. We also analyse forecast accuracy of potential output growth, which we construct using different vintages of real-time data. Our results indicate systematic biases in forecasts. Further, we study how real-time macroeconomic conditions affect budget planning. For comparison, we also consider how ex post economic conditions and ex post budget balance developments are related. We find robust evidence of mean reversion in budget balances, in both real-time and revised data. Mean reversion is related only to negative budget balances, and it is systematically stronger with respect to revised information. Finally, we analyse errors in budget balance forecasts. We provide robust evidence that revisions to current budget balance have contributed to errors in budget balance forecasts. We also find that forecasted macroeconomic conditions (potential output growth and real GDP growth) and their revisions have affected errors in budget balance forecasts. Overall, our results indicate that real-time uncertainty and revisions materially affect budget planning.","PeriodicalId":274445,"journal":{"name":"BOF: Financial Market & Macroeconomics Discussion Papers (Topic)","volume":"56 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-06-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130993875","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: 14
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