Macro-prudential Policies in a Commodity Exporting Economy
|
|
- Noel Paul
- 5 years ago
- Views:
Transcription
1 Macro-prudential Policies in a Commodity Exporting Economy Andrés González 1 Franz Hamann 2 Diego Rodríguez 2 1 Department of Economics Universidad de los Andes 2 Gerencia Técnica Banco de la República BIS CCA Research Network Conference, 214 González et al. (214) Macro-prudential policies BIS-CCA / 17
2 Outline Motivation Event-study analysis Oil price shock Event analysis The model Key elements Experiment: unexpected oil price reversal González et al. (214) Macro-prudential policies BIS-CCA / 17
3 Motivation Small, open and commodity exporting economies are subject to large foreign shocks, like commodity prices or international interest rates. González et al. (214) Macro-prudential policies BIS-CCA / 17
4 Motivation Small, open and commodity exporting economies are subject to large foreign shocks, like commodity prices or international interest rates. In good times risk premia shrinks, credit booms, economic activity picks up and the real exchange rate appreciates. González et al. (214) Macro-prudential policies BIS-CCA / 17
5 Motivation Small, open and commodity exporting economies are subject to large foreign shocks, like commodity prices or international interest rates. In good times risk premia shrinks, credit booms, economic activity picks up and the real exchange rate appreciates. Not much is known about how monetary and macroprudential policies cope with foreign shocks in a commodity exporting economy. González et al. (214) Macro-prudential policies BIS-CCA / 17
6 Motivation Small, open and commodity exporting economies are subject to large foreign shocks, like commodity prices or international interest rates. In good times risk premia shrinks, credit booms, economic activity picks up and the real exchange rate appreciates. Not much is known about how monetary and macroprudential policies cope with foreign shocks in a commodity exporting economy. We estimate a model to bring it into a policy environment. We use the model to assess the benefits and the costs of conventional and unconventional policy instruments in the face of foreign shocks. González et al. (214) Macro-prudential policies BIS-CCA / 17
7 Outline Motivation Event-study analysis Oil price shock Event analysis The model Key elements Experiment: unexpected oil price reversal González et al. (214) Macro-prudential policies BIS-CCA / 17
8 Large increases in oil prices Oil shock the maximum value of the oil price during the last 36 months. It occurs when the oil price change is larger than two std. deviations, Hamilton (23). González et al. (214) Macro-prudential policies BIS-CCA / 17
9 Outline Motivation Event-study analysis Oil price shock Event analysis The model Key elements Experiment: unexpected oil price reversal González et al. (214) Macro-prudential policies BIS-CCA / 17
10 Quarters Quarters Quarters Macro variables around oil price shocks Real GDP Private Consumption Trade Balance Real Exchange Rate EMBI index Trade Balance (excl. mining) Manufacturing Credit Construction Credit Total Credit González et al. (214) Macro-prudential policies BIS-CCA / 17
11 Outline Motivation Event-study analysis Oil price shock Event analysis The model Key elements Experiment: unexpected oil price reversal González et al. (214) Macro-prudential policies BIS-CCA / 17
12 Key elements of the model Small open economy DSGE with three sectors: tradable, non-tradable and oil exporting sector González et al. (214) Macro-prudential policies BIS-CCA / 17
13 Key elements of the model Small open economy DSGE with three sectors: tradable, non-tradable and oil exporting sector The oil sector oil does not use domestic labor or capital for production, but generates large foreign income flows. González et al. (214) Macro-prudential policies BIS-CCA / 17
14 Key elements of the model Small open economy DSGE with three sectors: tradable, non-tradable and oil exporting sector The oil sector oil does not use domestic labor or capital for production, but generates large foreign income flows. Sticky nominal prices in NT sector, flexible prices in T sector. González et al. (214) Macro-prudential policies BIS-CCA / 17
15 Key elements of the model Small open economy DSGE with three sectors: tradable, non-tradable and oil exporting sector The oil sector oil does not use domestic labor or capital for production, but generates large foreign income flows. Sticky nominal prices in NT sector, flexible prices in T sector. Capital is specific to both T and NT sectors, labor can move freely between sectors. González et al. (214) Macro-prudential policies BIS-CCA / 17
16 Key elements of the model Small open economy DSGE with three sectors: tradable, non-tradable and oil exporting sector The oil sector oil does not use domestic labor or capital for production, but generates large foreign income flows. Sticky nominal prices in NT sector, flexible prices in T sector. Capital is specific to both T and NT sectors, labor can move freely between sectors. Key: financial accelerator (BGG) in both sectors where net worth is influenced by valuation effects. González et al. (214) Macro-prudential policies BIS-CCA / 17
17 Key 1: Financial accelerator tradable and nontradable (j = N,T ) Perfectly competitive banks make commercial loans to entrepreneurs, b j t, by taking deposits from households, d t, and borrowing from international financial markets, b t. González et al. (214) Macro-prudential policies BIS-CCA / 17
18 Key 1: Financial accelerator tradable and nontradable (j = N,T ) Perfectly competitive banks make commercial loans to entrepreneurs, b j t, by taking deposits from households, d t, and borrowing from international financial markets, b t. Financial intermediation subject to frictions (CSV problem) on the side of the asset side of the banks. Thus, spreads depend on firms net worth, n j t and the value of capital, p kj t k j t. ( ) [ ] n j ν j t E t rt+1 kj t = pt kj kt j (1 + r t )(rp t ) González et al. (214) Macro-prudential policies BIS-CCA / 17
19 Key 1: Financial accelerator tradable and nontradable (j = N,T ) Perfectly competitive banks make commercial loans to entrepreneurs, b j t, by taking deposits from households, d t, and borrowing from international financial markets, b t. Financial intermediation subject to frictions (CSV problem) on the side of the asset side of the banks. Thus, spreads depend on firms net worth, n j t and the value of capital, p kj t k j t. ( ) [ ] n j ν j t E t rt+1 kj t = pt kj kt j (1 + r t )(rp t ) We define a regulation premium, rp t, as any policy that increases credit costs. González et al. (214) Macro-prudential policies BIS-CCA / 17
20 Key 2: Conventional and unconventional tools Monetary policy rule: reacts to deviations of total inflation relative to the target π ( ( i t = i ρ i πt ) ) ϕπ t 1 i exp ( ε µ ) t π González et al. (214) Macro-prudential policies BIS-CCA / 17
21 Key 2: Conventional and unconventional tools Monetary policy rule: reacts to deviations of total inflation relative to the target π ( ( i t = i ρ i πt ) ) ϕπ t 1 i exp ( ε µ ) t π Regulation premium rule: reacts to credit deviations from its long-run value ( ( crt )) rp t = exp µ rp cr 1 González et al. (214) Macro-prudential policies BIS-CCA / 17
22 Key 3: Oil production and country risk Changes in oil revenues are ultimately transferred to households, relaxing their budgets. In addition, oil affects the country risk premium: ( ( )) exp ν qt b b (1 + it ) = (1 + r )(1 + πt )z i t GDP t b t exp ( ( ν oil oilt oil )) The value of oil activities is exoegenous oil t = ρ z oil oil t 1 + (1 ρ z oil )log ( oil ) + ε oil t González et al. (214) Macro-prudential policies BIS-CCA / 17
23 Outline Motivation Event-study analysis Oil price shock Event analysis The model Key elements Experiment: unexpected oil price reversal González et al. (214) Macro-prudential policies BIS-CCA / 17
24 Unexpected oil price reversal 6 oil t González et al. (214) Macro-prudential policies BIS-CCA / 17
25 Conventional policy response to persistent oil shock 6 pib t.5 Total inflation (π c t ) Nominal interest rate (i t ) RER (q t ) 1 Tradable Output (y T t ) 4 Non Tradable Output (y N t ) credit 5 Tradable Credit (b T t ) 4 Non Tradable Credit (b N t ) std policy 2 González et al. (214) Macro-prudential policies BIS-CCA / 17
26 Conventional policy response to unexpected oil price reversal 6 pib t.5 Total inflation (π c t ) Nominal interest rate (i t ) RER (q t ) Tradable Output (y T t ) 4 Non Tradable Output (y N t ) credit 5 Tradable Credit (b T t ) 4 Non Tradable Credit (b N t ) persistent reversal 2 González et al. (214) Macro-prudential policies BIS-CCA / 17
27 Conventional policy response to unexpected oil price reversal 6 pib t.5 Total inflation (π c t ) Nominal interest rate (i t ) RER (q t ) Tradable Output (y T t ) 4 Non Tradable Output (y N t ) credit 5 Tradable Credit (b T t ) 4 Non Tradable Credit (b N t ) persistent reversal macro prudential 2 González et al. (214) Macro-prudential policies BIS-CCA / 17
Asset Price Bubbles and Monetary Policy in a Small Open Economy
Asset Price Bubbles and Monetary Policy in a Small Open Economy Martha López Central Bank of Colombia Sixth BIS CCA Research Conference 13 April 2015 López (Central Bank of Colombia) (Central A. P. Bubbles
More informationLecture 4. Extensions to the Open Economy. and. Emerging Market Crises
Lecture 4 Extensions to the Open Economy and Emerging Market Crises Mark Gertler NYU June 2009 0 Objectives Develop micro-founded open-economy quantitative macro model with real/financial interactions
More informationCommodity Price Beliefs, Financial Frictions and Business Cycles
Commodity Price Beliefs, Financial Frictions and Business Cycles Jesús Bejarano Franz Hamann Enrique G. Mendoza 1 Diego Rodríguez Preliminary Work Closing Conference - BIS CCA Research Network on The commodity
More informationCountry Risk, Exchange Rates and Economic Fluctuations in Emerging Economies
Country Risk, Exchange Rates and Economic Fluctuations in Emerging Economies Luis Felipe Céspedes Roberto Chang Central Bank of Chile Rutgers University & NBER September 2009 Luis Felipe Céspedes Roberto
More informationSpillovers: The Role of Prudential Regulation and Monetary Policy in Small Open Economies
Spillovers: The Role of Prudential Regulation and Monetary Policy in Small Open Economies Paul Castillo, César Carrera, Marco Ortiz & Hugo Vega Presented by: Marco Ortiz Closing Conference of the BIS CCA
More informationSpillovers, Capital Flows and Prudential Regulation in Small Open Economies
Spillovers, Capital Flows and Prudential Regulation in Small Open Economies Paul Castillo, César Carrera, Marco Ortiz & Hugo Vega Presented by: Hugo Vega BIS CCA Research Network Conference Incorporating
More informationAsset Prices, Collateral and Unconventional Monetary Policy in a DSGE model
Asset Prices, Collateral and Unconventional Monetary Policy in a DSGE model Bundesbank and Goethe-University Frankfurt Department of Money and Macroeconomics January 24th, 212 Bank of England Motivation
More informationHousehold income risk, nominal frictions, and incomplete markets 1
Household income risk, nominal frictions, and incomplete markets 1 2013 North American Summer Meeting Ralph Lütticke 13.06.2013 1 Joint-work with Christian Bayer, Lien Pham, and Volker Tjaden 1 / 30 Research
More informationOn the Merits of Conventional vs Unconventional Fiscal Policy
On the Merits of Conventional vs Unconventional Fiscal Policy Matthieu Lemoine and Jesper Lindé Banque de France and Sveriges Riksbank The views expressed in this paper do not necessarily reflect those
More informationReforms in a Debt Overhang
Structural Javier Andrés, Óscar Arce and Carlos Thomas 3 National Bank of Belgium, June 8 4 Universidad de Valencia, Banco de España Banco de España 3 Banco de España National Bank of Belgium, June 8 4
More informationMonetary and Macroprudential Policy in Small Open Economies
Economic Studies Division FLAR X Meeting of Monetary Policy Managers, Asunción - Paraguay Monetary and Macroprudential Policy in Small Open Economies Febrero 08 de 2012 Bogotá D.C., Colombia Index Pg.
More informationFinancial Factors in Business Cycles
Financial Factors in Business Cycles Lawrence J. Christiano, Roberto Motto, Massimo Rostagno 30 November 2007 The views expressed are those of the authors only What We Do? Integrate financial factors into
More informationCapital Flows, Financial Intermediation and Macroprudential Policies
Capital Flows, Financial Intermediation and Macroprudential Policies Matteo F. Ghilardi International Monetary Fund 14 th November 2014 14 th November Capital Flows, 2014 Financial 1 / 24 Inte Introduction
More informationA Policy Model for Analyzing Macroprudential and Monetary Policies
A Policy Model for Analyzing Macroprudential and Monetary Policies Sami Alpanda Gino Cateau Cesaire Meh Bank of Canada November 2013 Alpanda, Cateau, Meh (Bank of Canada) ()Macroprudential - Monetary Policy
More informationA dynamic approach to short run economic fluctuations. The DAD/DAS model. Part 3 The long run equilibrium & short run fluctuations.
A dynamic approach to short run economic fluctuations. The DAD/DAS model Part 3 The long run equilibrium & short run fluctuations. The DAD-DAS model s long-run equilibrium Recall the long-run equilibrium
More informationGroupe de Travail: International Risk-Sharing and the Transmission of Productivity Shocks
Groupe de Travail: International Risk-Sharing and the Transmission of Productivity Shocks Giancarlo Corsetti Luca Dedola Sylvain Leduc CREST, May 2008 The International Consumption Correlations Puzzle
More informationCapital Controls and Optimal Chinese Monetary Policy 1
Capital Controls and Optimal Chinese Monetary Policy 1 Chun Chang a Zheng Liu b Mark Spiegel b a Shanghai Advanced Institute of Finance b Federal Reserve Bank of San Francisco International Monetary Fund
More informationDSGE Models with Financial Frictions
DSGE Models with Financial Frictions Simon Gilchrist 1 1 Boston University and NBER September 2014 Overview OLG Model New Keynesian Model with Capital New Keynesian Model with Financial Accelerator Introduction
More informationExchange Rate Adjustment in Financial Crises
Exchange Rate Adjustment in Financial Crises Michael B. Devereux 1 Changhua Yu 2 1 University of British Columbia 2 Peking University Swiss National Bank June 2016 Motivation: Two-fold Crises in Emerging
More informationStabilization Policies: Equity Injections into Banks or Purchases of Assets?
Stabilization Policies: Equity Injections into Banks or Purchases of Assets? Michael Kühl 27-28 October 216 Annual Global Conference of the European Banking Institute The presentation represents the personal
More informationMonetary and Macro-Prudential Policies
Monetary and Macro-Prudential Policies Jorge Roldos IMF-CEMLA Course Central Bank of Brazil, Brasilia October 213 This training material is the property of the International Monetary Fund (IMF) and is
More informationA Model with Costly-State Verification
A Model with Costly-State Verification Jesús Fernández-Villaverde University of Pennsylvania December 19, 2012 Jesús Fernández-Villaverde (PENN) Costly-State December 19, 2012 1 / 47 A Model with Costly-State
More informationRoundheads versus Cavaliers: An Early Assessment of Quantitative Easing
Roundheads versus Cavaliers: An Early Assessment of Quantitative Easing "...I wouldn t start from here if I were you..." Professor Jagjit S. Chadha University of Kent and Cambridge CIMF 13th May 2011 School
More informationMonetary and Macroprudential Policy in an Estimated DSGE Model of the Euro Area
12TH JACQUES POLAK ANNUAL RESEARCH CONFERENCE NOVEMBER 10 11, 2011 Monetary and Macroprudential Policy in an Estimated DSGE Model of the Euro Area Jesper Lindé Federal Reserve Board Presentation presented
More informationMonetary Economics. Financial Markets and the Business Cycle: The Bernanke and Gertler Model. Nicola Viegi. September 2010
Monetary Economics Financial Markets and the Business Cycle: The Bernanke and Gertler Model Nicola Viegi September 2010 Monetary Economics () Lecture 7 September 2010 1 / 35 Introduction Conventional Model
More informationMonetary Policy and the Predictability of Nominal Exchange Rates
Monetary Policy and the Predictability of Nominal Exchange Rates Martin Eichenbaum Ben Johannsen Sergio Rebelo Disclaimer: The views expressed here are those of the authors and do not necessarily reflect
More informationMonetary and Exchange Rate Policy Responses to the Global Financial Crisis: The Case of Colombia
Monetary and Exchange Rate Policy Responses to the Global Financial Crisis: The Case of Colombia Hernando Vargas Banco de la República Colombia March, 2009 Contents I. The state of the Colombian economy
More informationA Small Open Economy DSGE Model for an Oil Exporting Emerging Economy
A Small Open Economy DSGE Model for an Oil Exporting Emerging Economy Iklaga, Fred Ogli University of Surrey f.iklaga@surrey.ac.uk Presented at the 33rd USAEE/IAEE North American Conference, October 25-28,
More informationMacroprudential Policies in a Low Interest-Rate Environment
Macroprudential Policies in a Low Interest-Rate Environment Margarita Rubio 1 Fang Yao 2 1 University of Nottingham 2 Reserve Bank of New Zealand. The views expressed in this paper do not necessarily reflect
More informationBank Capital, Agency Costs, and Monetary Policy. Césaire Meh Kevin Moran Department of Monetary and Financial Analysis Bank of Canada
Bank Capital, Agency Costs, and Monetary Policy Césaire Meh Kevin Moran Department of Monetary and Financial Analysis Bank of Canada Motivation A large literature quantitatively studies the role of financial
More informationOutput Gap, Monetary Policy Trade-Offs and Financial Frictions
Output Gap, Monetary Policy Trade-Offs and Financial Frictions Francesco Furlanetto Norges Bank Paolo Gelain Norges Bank Marzie Taheri Sanjani International Monetary Fund Seminar at Narodowy Bank Polski
More informationOptimal Monetary Policy Rules and House Prices: The Role of Financial Frictions
Optimal Monetary Policy Rules and House Prices: The Role of Financial Frictions A. Notarpietro S. Siviero Banca d Italia 1 Housing, Stability and the Macroeconomy: International Perspectives Dallas Fed
More informationUncertainty Shocks In A Model Of Effective Demand
Uncertainty Shocks In A Model Of Effective Demand Susanto Basu Boston College NBER Brent Bundick Boston College Preliminary Can Higher Uncertainty Reduce Overall Economic Activity? Many think it is an
More informationRisk Shocks and Economic Fluctuations. Summary of work by Christiano, Motto and Rostagno
Risk Shocks and Economic Fluctuations Summary of work by Christiano, Motto and Rostagno Outline Simple summary of standard New Keynesian DSGE model (CEE, JPE 2005 model). Modifications to introduce CSV
More informationFinancial Frictions, Monetary Policy, and Exchange Rates. Roberto Chang May 2016
Financial Frictions, Monetary Policy, and Exchange Rates Roberto Chang May 2016 Introduction and Motivation In our discussion of the NK model, we stressed the assumption of frictionless financial markets
More informationCommodity price shocks and impefectly credible macroeconomic policies
Commodity price shocks and impefectly credible macroeconomic policies Juan Pablo Medina (IMF) Claudio Soto (Central Bank of Chile) November 2012 uan Pablo Medina (IMF), Claudio Soto (Central Commodity
More informationFiscal Consolidations in Currency Unions: Spending Cuts Vs. Tax Hikes
Fiscal Consolidations in Currency Unions: Spending Cuts Vs. Tax Hikes Christopher J. Erceg and Jesper Lindé Federal Reserve Board June, 2011 Erceg and Lindé (Federal Reserve Board) Fiscal Consolidations
More informationThe new Kenesian model
The new Kenesian model Michaª Brzoza-Brzezina Warsaw School of Economics 1 / 4 Flexible vs. sticky prices Central assumption in the (neo)classical economics: Prices (of goods and factor services) are fully
More informationCredit Risk and the Macroeconomy
and the Macroeconomy Evidence From an Estimated Simon Gilchrist 1 Alberto Ortiz 2 Egon Zakrajšek 3 1 Boston University and NBER 2 Oberlin College 3 Federal Reserve Board XXVII Encuentro de Economistas
More informationLeverage Restrictions in a Business Cycle Model
Leverage Restrictions in a Business Cycle Model Lawrence J. Christiano Daisuke Ikeda Disclaimer: The views expressed are those of the authors and do not necessarily reflect those of the Bank of Japan.
More informationFiscal Consolidation in a Currency Union: Spending Cuts Vs. Tax Hikes
Fiscal Consolidation in a Currency Union: Spending Cuts Vs. Tax Hikes Christopher J. Erceg and Jesper Lindé Federal Reserve Board October, 2012 Erceg and Lindé (Federal Reserve Board) Fiscal Consolidations
More informationAsset Price Bubbles and Monetary Policy in a Small Open Economy
Asset Price Bubbles and Monetary Policy in a Small Open Economy Martha López Abstract In this paper we expanded the closed economy model by Bernanke and Gertler (1999) in order to account for the macroeconomic
More informationHouse Prices, Credit Growth, and Excess Volatility:
House Prices, Credit Growth, and Excess Volatility: Implications for Monetary and Macroprudential Policy Paolo Gelain Kevin J. Lansing 2 Caterina Mendicino 3 4th Annual IJCB Fall Conference New Frameworks
More informationDoes a Big Bazooka Matter? Central Bank Balance-Sheet Policies and Exchange Rates
Does a Big Bazooka Matter? Central Bank Balance-Sheet Policies and Exchange Rates Luca Dedola,#, Georgios Georgiadis, Johannes Gräb and Arnaud Mehl European Central Bank, # CEPR Monetary Policy in Non-standard
More informationReserve Requirements and Optimal Chinese Stabilization Policy 1
Reserve Requirements and Optimal Chinese Stabilization Policy 1 Chun Chang 1 Zheng Liu 2 Mark M. Spiegel 2 Jingyi Zhang 1 1 Shanghai Jiao Tong University, 2 FRB San Francisco 2nd Ann. Bank of Canada U
More informationInterbank Market Turmoils and the Macroeconomy 1
Interbank Market Turmoils and the Macroeconomy 1 Paweł Kopiec Narodowy Bank Polski 1 The views presented in this paper are those of the author, and should not be attributed to Narodowy Bank Polski. Intro
More informationDiscussion of. An Estimated Two-Country DSGE Model for the Euro Area and the US Economy. by Gregory de Walque, Frank Smets and Raf Wouters
Discussion of An Estimated Two-Country DSGE Model for the Euro Area and the US Economy by Gregory de Walque, Frank Smets and Raf Wouters Martin Ellison University of Warwick and CEPR Summary of the contribution
More informationThe Risky Steady State and the Interest Rate Lower Bound
The Risky Steady State and the Interest Rate Lower Bound Timothy Hills Taisuke Nakata Sebastian Schmidt New York University Federal Reserve Board European Central Bank 1 September 2016 1 The views expressed
More informationMA Advanced Macroeconomics: 11. The Smets-Wouters Model
MA Advanced Macroeconomics: 11. The Smets-Wouters Model Karl Whelan School of Economics, UCD Spring 2016 Karl Whelan (UCD) The Smets-Wouters Model Spring 2016 1 / 23 A Popular DSGE Model Now we will discuss
More informationProbably Too Little, Certainly Too Late. An Assessment of the Juncker Investment Plan
Probably Too Little, Certainly Too Late. An Assessment of the Juncker Investment Plan Mathilde Le Moigne 1 Francesco Saraceno 2,3 Sébastien Villemot 2 1 École Normale Supérieure 2 OFCE Sciences Po 3 LUISS-SEP
More informationReserve Requirements and Optimal Chinese Stabilization Policy 1
Reserve Requirements and Optimal Chinese Stabilization Policy 1 Chun Chang 1 Zheng Liu 2 Mark M. Spiegel 2 Jingyi Zhang 1 1 Shanghai Jiao Tong University, 2 FRB San Francisco ABFER Conference, Singapore
More informationThe Role of Investment Wedges in the Carlstrom-Fuerst Economy and Business Cycle Accounting
RIETI Discussion Paper Series 9-E-3 The Role of Investment Wedges in the Carlstrom-Fuerst Economy and Business Cycle Accounting INABA Masaru The Canon Institute for Global Studies NUTAHARA Kengo Senshu
More informationMacroeconomic Modelling at the Central Bank of Brazil. Angelo M. Fasolo Research Department
Macroeconomic Modelling at the Central Bank of Brazil Angelo M. Fasolo Research Department Introduction Economic analysis at the BCB based on three type of models: Small-scale semi-structural models, focused
More informationDiscussion on International Spillovers of Quantitative Easing
Discussion on International Spillovers of Quantitative Easing by M. Kolasa and G. Weso lowski Soňa Benecká First Annual Workshop ESCB Research Cluster 1 on Monetary Economics 10 October 2017 Summary and
More informationCredit Frictions and Optimal Monetary Policy. Vasco Curdia (FRB New York) Michael Woodford (Columbia University)
MACRO-LINKAGES, OIL PRICES AND DEFLATION WORKSHOP JANUARY 6 9, 2009 Credit Frictions and Optimal Monetary Policy Vasco Curdia (FRB New York) Michael Woodford (Columbia University) Credit Frictions and
More informationAssessing the Spillover Effects of Changes in Bank Capital Regulation Using BoC-GEM-Fin: A Non-Technical Description
Assessing the Spillover Effects of Changes in Bank Capital Regulation Using BoC-GEM-Fin: A Non-Technical Description Carlos de Resende, Ali Dib, and Nikita Perevalov International Economic Analysis Department
More informationOptimal Monetary Policy in a Sudden Stop
... Optimal Monetary Policy in a Sudden Stop with Jorge Roldos (IMF) and Fabio Braggion (Northwestern, Tilburg) 1 Modeling Issues/Tools Small, Open Economy Model Interaction Between Asset Markets and Monetary
More informationNot All Oil Price Shocks Are Alike: A Neoclassical Perspective
Not All Oil Price Shocks Are Alike: A Neoclassical Perspective Vipin Arora Pedro Gomis-Porqueras Junsang Lee U.S. EIA Deakin Univ. SKKU December 16, 2013 GRIPS Junsang Lee (SKKU) Oil Price Dynamics in
More informationFinancial Shocks, Two Sector Labour Markets, and Unemployment
Financial Shocks, Two Sector Labour Markets, and Unemployment Yahong Zhang July 23, 212 Abstract After the recent financial crisis, it is becoming increasingly important to understand how the Canadian
More informationMonetary Policy Implications of State-Dependent Prices and Wages
Monetary Policy Implications of State-Dependent Prices and Wages James Costain, Anton Nakov, Borja Petit Bank of Spain, ECB and CEPR, CEMFI The views expressed here are personal and do not necessarily
More informationBanks balance sheets, uncertainty and macroeconomy
Banks balance sheets, uncertainty and macroeconomy Ekaterina Pirozhkova Birkbeck College, University of London Recent Developments in Money, Macroeconomics and Finance University of Portsmouth 3rd April
More information2. Preceded (followed) by expansions (contractions) in domestic. 3. Capital, labor account for small fraction of output drop,
Mendoza (AER) Sudden Stop facts 1. Large, abrupt reversals in capital flows 2. Preceded (followed) by expansions (contractions) in domestic production, absorption, asset prices, credit & leverage 3. Capital,
More informationExchange Rate Valuation and its Impact on the Real Economy. Enzo Cassino and David Oxley
Exchange Rate Valuation and its Impact on the Real Economy Enzo Cassino and David Oxley We try to understand the relationship between New Zealand s exchange rate and the wider economy......and review the
More informationCAPITAL FLOWS, TERMS OF TRADE, AND REAL EXCHANGE RATE FLUCTUATIONS
CAPITAL FLOWS, TERMS OF TRADE, AND REAL EXCHANGE RATE FLUCTUATIONS After financial openings, like that in Spain and Mexico in the late 1980s, large capital inflows have been accompanied by substantial
More informationQuantitative Easing and Financial Stability
Quantitative Easing and Financial Stability Michael Woodford Columbia University Nineteenth Annual Conference Central Bank of Chile November 19-20, 2015 Michael Woodford (Columbia) Financial Stability
More informationMicrofoundations of DSGE Models: III Lecture
Microfoundations of DSGE Models: III Lecture Barbara Annicchiarico BBLM del Dipartimento del Tesoro 2 Giugno 2. Annicchiarico (Università di Tor Vergata) (Institute) Microfoundations of DSGE Models 2 Giugno
More informationMacroprudential Policy Implementation in a Heterogeneous Monetary Union
Macroprudential Policy Implementation in a Heterogeneous Monetary Union Margarita Rubio University of Nottingham ECB conference on "Heterogenity in currency areas and macroeconomic policies" - 28-29 November
More informationState-Dependent Pricing and the Paradox of Flexibility
State-Dependent Pricing and the Paradox of Flexibility Luca Dedola and Anton Nakov ECB and CEPR May 24 Dedola and Nakov (ECB and CEPR) SDP and the Paradox of Flexibility 5/4 / 28 Policy rates in major
More informationNobel Symposium Money and Banking
Nobel Symposium Money and Banking https://www.houseoffinance.se/nobel-symposium May 26-28, 2018 Clarion Hotel Sign, Stockholm Money and Banking: Some DSGE Challenges Nobel Symposium on Money and Banking
More informationRisky Mortgages in a DSGE Model
1 / 29 Risky Mortgages in a DSGE Model Chiara Forlati 1 Luisa Lambertini 1 1 École Polytechnique Fédérale de Lausanne CMSG November 6, 21 2 / 29 Motivation The global financial crisis started with an increase
More informationOn the Implications of Structural Transformation for Inflation and Monetary Policy (Work in Progress)
On the Implications of Structural Transformation for Inflation and Monetary Policy (Work in Progress) Rafael Portillo and Luis Felipe Zanna IMF Workshop on Fiscal and Monetary Policy in Low Income Countries
More informationFinancial intermediaries in an estimated DSGE model for the UK
Financial intermediaries in an estimated DSGE model for the UK Stefania Villa a Jing Yang b a Birkbeck College b Bank of England Cambridge Conference - New Instruments of Monetary Policy: The Challenges
More informationA DSGE model to assess the post crisis regulation of universal banks
A DSGE model to assess the post crisis regulation of universal banks O. de Bandt 1 M. Chahad 2 1 Banque de France - ACPR and University of Paris Ouest 2 Banque de France 4 th EBA Policy Research Workshop
More informationHousehold Debt, Financial Intermediation, and Monetary Policy
Household Debt, Financial Intermediation, and Monetary Policy Shutao Cao 1 Yahong Zhang 2 1 Bank of Canada 2 Western University October 21, 2014 Motivation The US experience suggests that the collapse
More informationEstimating Macroeconomic Models of Financial Crises: An Endogenous Regime-Switching Approach
Estimating Macroeconomic Models of Financial Crises: An Endogenous Regime-Switching Approach Gianluca Benigno 1 Andrew Foerster 2 Christopher Otrok 3 Alessandro Rebucci 4 1 London School of Economics and
More informationUnemployment Fluctuations in a SOE model with Segmented Labour Markets: the case of Canada
Unemployment Fluctuations in a SOE model with Segmented Labour Markets: the case of Canada Yahong Zhang March 17, 213 Abstract A distinct feature of recent financial crisis in Canada is that the job loss
More informationFiscal Multipliers in Recessions. M. Canzoneri, F. Collard, H. Dellas and B. Diba
1 / 52 Fiscal Multipliers in Recessions M. Canzoneri, F. Collard, H. Dellas and B. Diba 2 / 52 Policy Practice Motivation Standard policy practice: Fiscal expansions during recessions as a means of stimulating
More informationExchange Rate Adjustment in Financial Crises
Exchange Rate Adjustment in Financial Crises Michael B. Devereux University of British Columbia Changhua Yu Peking University June 3, 2016 1 Introduction In the 1990 s many economists criticized emerging
More informationMacro from Micro: Estimates and Implications of Sector-Specific Technical Change. Susanto Basu Boston College and NBER
Macro from Micro: Estimates and Implications of Sector-Specific Technical Change Susanto Basu Boston College and NBER CompNet Conference, Frankfurt, July 1, 2014 Why should central banks care about disaggregated
More informationAsset purchase policy at the effective lower bound for interest rates
at the effective lower bound for interest rates Bank of England 12 March 2010 Plan Introduction The model The policy problem Results Summary & conclusions Plan Introduction Motivation Aims and scope The
More informationFiscal Devaluations. Emmanuel Farhi Gita Gopinath Oleg Itskhoki Harvard Harvard Princeton. Cambridge University April / 23
Fiscal Devaluations Emmanuel Farhi Gita Gopinath Oleg Itskhoki Harvard Harvard Princeton Cambridge University April 2013 1 / 23 Motivation Currency devaluation: response to loss of competitiveness New
More informationThe design of the funding scheme of social security systems and its role in macroeconomic stabilization
The design of the funding scheme of social security systems and its role in macroeconomic stabilization Simon Voigts (work in progress) SFB 649 Motzen conference 214 Overview 1 Motivation and results 2
More informationEnergy and Capital in a New-Keynesian Framework
Energy and Capital in a New-Keynesian Framework Verónica Acurio Vásconez, Gaël Giraud, Florent Mc Isaac, Ngoc Sang Pham CES, PSE, University Paris I March 27, 2014 Outline Goals Model Household Firms The
More informationQuantitative Tightening
Quantitative Tightening Vadim Elenev Johns Hopkins Carey Miguel Faria-e-Castro FRB St. Louis Daniel L. Greenwald MIT Sloan January 5, 2019, ASSA/AEA Atlanta The views expressed on this paper do not necessarily
More informationCAPITAL FLOWS AND FINANCIAL FRAGILITY IN EMERGING ASIAN ECONOMIES: A DSGE APPROACH α. Nur M. Adhi Purwanto
CAPITAL FLOWS AND FINANCIAL FRAGILITY IN EMERGING ASIAN ECONOMIES: A DSGE APPROACH α Nur M. Adhi Purwanto Abstract The objective of this paper is to study the interaction of monetary, macroprudential and
More informationA Macroeconomic Model with Financial Panics
A Macroeconomic Model with Financial Panics Mark Gertler, Nobuhiro Kiyotaki, Andrea Prestipino NYU, Princeton, Federal Reserve Board 1 September 218 1 The views expressed in this paper are those of the
More informationLeverage Restrictions in a Business Cycle Model
Leverage Restrictions in a Business Cycle Model Lawrence J. Christiano Daisuke Ikeda SAIF, December 2014. Background Increasing interest in the following sorts of questions: What restrictions should be
More informationUnprecedented changes in the terms of trade
Unprecedented changes in the terms of trade Mariano Kulish and Daniel M. Rees September 9, 214 Preliminary Draft Abstract The development of Asia exposed many commodity-exporting economies to unprecedented
More informationLeverage Restrictions in a Business Cycle Model. Lawrence J. Christiano Daisuke Ikeda
Leverage Restrictions in a Business Cycle Model Lawrence J. Christiano Daisuke Ikeda Background Increasing interest in the following sorts of questions: What restrictions should be placed on bank leverage?
More informationA Macroeconomic Model with Financial Panics
A Macroeconomic Model with Financial Panics Mark Gertler, Nobuhiro Kiyotaki, Andrea Prestipino NYU, Princeton, Federal Reserve Board 1 March 218 1 The views expressed in this paper are those of the authors
More informationDefault Risk and Aggregate Fluctuations in an Economy with Production Heterogeneity
Default Risk and Aggregate Fluctuations in an Economy with Production Heterogeneity Aubhik Khan The Ohio State University Tatsuro Senga The Ohio State University and Bank of Japan Julia K. Thomas The Ohio
More informationInterest-rate pegs and central bank asset purchases: Perfect foresight and the reversal puzzle
Interest-rate pegs and central bank asset purchases: Perfect foresight and the reversal puzzle Rafael Gerke Sebastian Giesen Daniel Kienzler Jörn Tenhofen Deutsche Bundesbank Swiss National Bank The views
More informationSpecification of DSGE Models: A Business Cycle Accounting Application for Colombia
Specification of DSGE Models: A Business Cycle Accounting Application for Colombia Juan Carlos Parra Alvarez Aarhus University and CREATES jparra@econ.au.dk November 211 Abstract In this document we apply
More informationEuro Area and U.S. External Adjustment: The Role of Commodity Prices and Emerging Market Shocks
Euro Area and U.S. External Adjustment: The Role of Commodity Prices and Emerging Market Shocks Massimo Giovannini (European Commission, Joint Research Centre) Robert Kollmann (ECARES, Université Libre
More informationMonetary policy and the asset risk-taking channel
Monetary policy and the asset risk-taking channel Angela Abbate 1 Dominik Thaler 2 1 Deutsche Bundesbank and European University Institute 2 European University Institute Trinity Workshop, 7 November 215
More information6. The Aggregate Demand and Supply Model
6. The Aggregate Demand and Supply Model 1 Aggregate Demand and Supply Curves The Aggregate Demand Curve It shows the relationship between the inflation rate and the level of aggregate output when the
More informationPolicy options at the zero lower bound
Policy options at the zero lower bound Session 5: How to implement stabilization policies with high public debt? Timo Wollmershäuser & Atanas Hristov Ifo Institute Introduction very weak recovery from
More informationFinancial Development and the Effects of Trade Liberalizations
Financial Development and the Effects of Trade Liberalizations David Kohn Pontificia Universidad Católica de Chile Fernando Leibovici Federal Reserve Bank of St. Louis Michal Szkup University of British
More informationOptimal Credit Market Policy. CEF 2018, Milan
Optimal Credit Market Policy Matteo Iacoviello 1 Ricardo Nunes 2 Andrea Prestipino 1 1 Federal Reserve Board 2 University of Surrey CEF 218, Milan June 2, 218 Disclaimer: The views expressed are solely
More informationThe Basic New Keynesian Model
Jordi Gali Monetary Policy, inflation, and the business cycle Lian Allub 15/12/2009 In The Classical Monetary economy we have perfect competition and fully flexible prices in all markets. Here there is
More information