Working Paper - Chr. Michelson Institute最新文献_第2页

The effects of Federal Reserve's quantitative easing and balance sheet normalization policies on long-term interest rates 美联储量化宽松和资产负债表正常化政策对长期利率的影响

Working Paper - Chr. Michelson Institute Pub Date : 2022-06-17 DOI: 10.52903/wp2022299

Sophocles N. Brissimis, Eva Georgiou

引用次数: 0

A functional classification analysis of government spending multipliers 政府支出乘数的功能分类分析

Working Paper - Chr. Michelson Institute Pub Date : 2022-06-17 DOI: 10.52903/wp2022298

P. Konstantinou, Andromachi Partheniou, Athanasios Tagkalakis

引用次数: 0

The credit channel of monetary transmission in the US: is it a bank lending channel, a balance sheet channel, or both, or neither? 美国货币传导的信贷渠道:是银行贷款渠道，还是资产负债表渠道，还是两者兼而有之，还是两者都不是?

Working Paper - Chr. Michelson Institute Pub Date : 2022-06-17 DOI: 10.52903/wp2022300

Sophocles N. Brissimis, Michalis-Panayiotis Papafilis

引用次数: 1

A global monetary policy factor in sovereign bond yields 一个影响主权债券收益率的全球货币政策因素

Working Paper - Chr. Michelson Institute Pub Date : 2022-06-17 DOI: 10.52903/wp2022301

Dimitris Malliaropulos, P. Migiakis

{"title":"A global monetary policy factor in sovereign bond yields","authors":"Dimitris Malliaropulos, P. Migiakis","doi":"10.52903/wp2022301","DOIUrl":"https://doi.org/10.52903/wp2022301","url":null,"abstract":"We document the existence of a global monetary policy factor in sovereign bond yields, related to the size of the aggregate balance sheet of nine major central banks of developed economies that have implemented programs of large-scale asset purchases. Balance sheet policies of these central banks reduced the net supply of safe assets in the global economy, triggering a decline in global yields as investors rebalanced their portfolios towards more risky assets. We find that central banks’ large-scale asset purchases have contributed to significant and permanent declines in long-term yields globally, ranging from around 330 bps for AAA-rated sovereigns to 800 bps for non-investment grade sovereigns. The stronger decline in yields of high-risk sovereigns can be partly attributed to the decline in the foreign exchange risk premium as their currencies appreciated. Global central bank asset purchases during the Covid-19 crisis have more than counterbalanced the effects of expanding fiscal deficits on global bond yields, driving them to even lower levels. Our findings have important policy implications: normalizing monetary policy by scaling down central bank balance sheets to pre-crisis levels may lead to sharp increases in sovereign bond yields globally, widening spreads and currency depreciations of vulnerable sovereigns with severe consequences for financial stability and the global economy.","PeriodicalId":35806,"journal":{"name":"Working Paper - Chr. Michelson Institute","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2022-06-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84239514","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

Did COVID-19 induce a reallocation wave? COVID-19是否引发了再分配浪潮?

Working Paper - Chr. Michelson Institute Pub Date : 2022-04-01 DOI: 10.52903/wp2022295

Agostino Consolo, Filippos Petroulakis

引用次数: 1

New facts on consumer price rigidity in the euro area 欧元区消费者价格刚性的新事实

Working Paper - Chr. Michelson Institute Pub Date : 2022-04-01 DOI: 10.52903/wp2022296

Pavlos Petroulas, E. Gautier, B. Fabo, Jan-Oliver Menz, Pau Roldan-Blanco, Elisabeth Wieland, C. Conflitti, Ludmila Fadejeva, T. Messner, F. Rumler, Hélène Zimmer, Riemer P. Faber, Valentin Jouvanceau, Sergio Santoro

{"title":"New facts on consumer price rigidity in the euro area","authors":"Pavlos Petroulas, E. Gautier, B. Fabo, Jan-Oliver Menz, Pau Roldan-Blanco, Elisabeth Wieland, C. Conflitti, Ludmila Fadejeva, T. Messner, F. Rumler, Hélène Zimmer, Riemer P. Faber, Valentin Jouvanceau, Sergio Santoro","doi":"10.52903/wp2022296","DOIUrl":"https://doi.org/10.52903/wp2022296","url":null,"abstract":"Using CPI micro data for 11 euro area countries covering about 60% of the euro area consumption basket over the period 2010-2019, we document new findings on consumer price rigidity in the euro area: (i) each month on average 12.3% of prices change, which compares with 19.3% in the United States; when we exclude price changes due to sales, however, the proportion of prices adjusted each month is 8.5% in the euro area versus 10% in the United States; (ii) differences in price rigidity are rather limited across euro area countries but much larger across sectors; (iii) the median price increase (resp. decrease) is 9.6% (13%) when including sales and 6.7% (8.7%) when excluding sales; cross-country heterogeneity is more pronounced for the size than for the frequency of price changes; (iv) the distribution of price changes is highly dispersed: 14% of price changes in absolute values are lower than 2% whereas 10% are above 20%; (v) the overall frequency of price changes does not change much with inflation and does not react much to aggregate shocks; (vi) changes in inflation are mostly driven by movements in the overall size; when decomposing the overall size, changes in the share of price increases among all changes matter more than movements in the size of price increases or the size of price decreases. These findings are consistent with the predictions of a menu cost model in a low inflation environment where idiosyncratic shocks are a more relevant driver of price adjustment than aggregate shocks.","PeriodicalId":35806,"journal":{"name":"Working Paper - Chr. Michelson Institute","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2022-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76643963","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: 37

Novel techniques for Bayesian inference in univariate and multivariate stochastic volatility models 单变量和多变量随机波动模型中贝叶斯推理的新技术

Working Paper - Chr. Michelson Institute Pub Date : 2022-04-01 DOI: 10.52903/wp2022294

Tsionas Mike G.

引用次数: 1

Disaggregate income and wealth effects on private consumption in Greece 总收入和财富对希腊私人消费的影响

Working Paper - Chr. Michelson Institute Pub Date : 2021-12-01 DOI: 10.52903/wp2021293

D. Sideris, Georgia Pavlou

引用次数: 1

Nobody's child: the Bank of Greece in the interwar years 不是谁的孩子:两次世界大战期间的希腊银行(Bank of Greece)

Working Paper - Chr. Michelson Institute Pub Date : 2021-07-01 DOI: 10.52903/wp2021290

Andreas Kakridis

{"title":"Nobody's child: the Bank of Greece in the interwar years","authors":"Andreas Kakridis","doi":"10.52903/wp2021290","DOIUrl":"https://doi.org/10.52903/wp2021290","url":null,"abstract":"Neither history nor economic historians have been kind to Greece’s central bank in the interwar years. Born at the behest of the League of Nations to help the country secure a new international loan, the Bank of Greece was treated with a mixture of suspicion and hostility. The onset of the Great Depression pitted its statutory objective to defend the exchange rate against the incentive to reflate the domestic economy. Its policy response has generally been criticized as either ineffectual or detrimental: the Bank is accused of having pursued an unduly orthodox and restrictive policy, both during but also after the country’s exit from the gold exchange standard, some going as far as to argue that the 1932 devaluation failed to produce genuine recovery. Relying primarily on archival material, this paper combines qualitative and quantitative sources to revisit the Bank of Greece’s birth and operation during the Great Depression. In doing so, it hopes to put Greece on the map of international comparisons of the Great Depression and debates on the role of the League of Nations, the effectiveness of money doctoring and foreign policy interventions more generally. What is more, the paper seeks to revise several aspects of the conventional narrative surrounding the Bank’s role. First, it argues that monetary policy was neither as ineffective nor as restrictive as critics suggest; this was largely thanks to a continued trickle of foreign lending, but also to the Bank’s own decision to sterilize foreign exchange outflows, thus breaking the ‘rules of the game’. Second, it revisits Greece’s attempt to cling to gold after sterling’s devaluation, a decision routinely denounced as a critical policy mistake. Last but not least, it challenges the notion that Greece constitutes an exception to the rule that wants countries who shed their ‘golden fetters’ recovering faster.","PeriodicalId":35806,"journal":{"name":"Working Paper - Chr. Michelson Institute","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2021-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73068171","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

The Greek tourism-led growth revisited: insights and prospects 希腊旅游业带动的经济增长:洞见与前景

Working Paper - Chr. Michelson Institute Pub Date : 2021-06-01 DOI: 10.52903/wp2021289

Sarantis Lolos, Panagiotis Palaios, Evangelia Papapetrou

引用次数: 4