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  1. Forward guidance under the cost channel
    Autor*in: Finck, David
    Erschienen: [2020]
    Verlag:  Philipps-University Marburg, School of Business and Economics, Marburg

    A common finding in the literature is that forward guidance cannot be credible under discretionary policy as long as the zero lower bound is an one-off event. However, this is not the case when recurring episodes of zero interest rates are possible.... mehr

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 102
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    A common finding in the literature is that forward guidance cannot be credible under discretionary policy as long as the zero lower bound is an one-off event. However, this is not the case when recurring episodes of zero interest rates are possible. In this paper, we contribute to this new result and assess the sustainability of forward guidance under the cost channel. We find that forward guidance can be sustainable under the cost channel. However, we show that it is less credible compared to a standard New Keynesian model. Our results show that this finding also depends on the strength of the cost channel. Furthermore, provide evidence that ignoring the presence of a cost channel can be costly in terms of steady-state consumption.

     
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    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/216644
    Schriftenreihe: Joint discussion paper series in economics ; no. 2020, 04
    Umfang: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  2. Do credit supply shocks have asymmetric effects?
    Autor*in: Finck, David; Rudel, Paul
    Erschienen: [2020]
    Verlag:  Philipps-University Marburg, School of Business and Economics, Marburg

    They do. Partly. We identify credit supply shocks via sign restrictions in a Bayesian VAR and separate them into positive and negative. Using local projections, we find that positive credit supply shocks leave notably different prints in private... mehr

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    DS 102
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    keine Fernleihe

     

    They do. Partly. We identify credit supply shocks via sign restrictions in a Bayesian VAR and separate them into positive and negative. Using local projections, we find that positive credit supply shocks leave notably different prints in private debt, mortgage debt, and debt: GDP, as opposed to negative credit supply shocks. This pattern is caused by the response of household mortgage debt. Furthermore, we find evidence that positive credit supply shocks are the driving force behind boom-bust cycles. Yet, developments behind the boom-bust cycle cannot explain the strong and persistent response in debt; but house prices tend to. However, if we abstract from potential asymmetries, we get rather mild results, which underestimate the true effects of credit supply shocks.

     
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    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/234724
    Schriftenreihe: Joint discussion paper series in economics ; no. 2020, 26
    Umfang: 1 Online-Ressource (circa 43 Seiten), Illustrationen
  3. Pandemic shocks and household spending
    Autor*in: Finck, David; Tillmann, Peter
    Erschienen: [2020]
    Verlag:  Philipps-University Marburg, School of Business and Economics, Marburg

    We study the response of daily household spending to the unexpected component of the COVID-19 pandemic, which we label as pandemic shock. Based on daily forecasts of the number of fatalities, we construct the surprise component as the difference... mehr

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    We study the response of daily household spending to the unexpected component of the COVID-19 pandemic, which we label as pandemic shock. Based on daily forecasts of the number of fatalities, we construct the surprise component as the difference between the actual and the expected number of deaths. We allow for state-dependent effects of the shock depending on the position on the curve of infections. Spending falls after the shock and is particularly sensitive to the shock when the number of new infections is strongly increasing. If the number of infections grows moderately, the drop in spending is smaller. We also estimate the effect of the shock across income quartiles. In each state, low-income households exhibit a significantly larger drop in consumption than high-income households. Thus, consumption inequality increase after a pandemic shock. Our results hold for the US economy and the key US states. The findings remain unchanged if we choose alternative state-variables to separate regimes.

     
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    Sprache: Englisch
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    Weitere Identifier:
    hdl: 10419/234841
    Schriftenreihe: Joint discussion paper series in economics ; no. 2020, 36
    Schlagworte: COVID-19; pandemic; consumption; smooth-transition model; state-dependence
    Umfang: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  4. Price-setting behavior and inflation dynamics in SEACEN member economies and their implications for inflation
    Beteiligt: Finck, David (HerausgeberIn); Tillmann, Peter (HerausgeberIn)
    Erschienen: [2019]
    Verlag:  The South East Asian Central Banks (SEACEN) Research and Training Centre, [Kuala Lumpur, Malaysia]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Beteiligt: Finck, David (HerausgeberIn); Tillmann, Peter (HerausgeberIn)
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Druck
    Schriftenreihe: Research studies / SEACEN ; RP104
    Schlagworte: Inflation; Wechselkurs; Verbraucherpreisindex; Südostasien
    Umfang: viii, 349 Seiten, Illustrationen
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  5. Optimal monetary policy under heterogeneous beliefs
    Autor*in: Finck, David
    Erschienen: [2022]
    Verlag:  Philipps-University Marburg, School of Business and Economics, Marburg

    We use a New Keynesian model that features rational and non-rational households. Assuming that both the fraction of rational households and the expectations formation process are uncertain from the perspective of the central bank, we derive robust... mehr

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    We use a New Keynesian model that features rational and non-rational households. Assuming that both the fraction of rational households and the expectations formation process are uncertain from the perspective of the central bank, we derive robust optimal discretionary monetary policy in a simple min-max framework where the central bank plays a zero-sum game versus a fictitious, malevolent evil agent. We show that the central bank is able to improve welfare if it accounts for uncertainty while the model is being distorted. Even if the central bank accounts for the worst possible outcomes while the model is being undistorted, the central bank can still reduce the welfare loss by implementing a more aggressive targeting rule that favorably affects the inflation-output stabilization trade-off.

     
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    Sprache: Englisch
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    hdl: 10419/273881
    Schriftenreihe: Joint discussion paper series in economics ; no. 2022, 43
    Schlagworte: Heterogeneous Expectations; Robust Monetary Policy; Policy Implementation; Uncertainty
    Umfang: 1 Online-Ressource (circa 26 Seiten), Illustrationen
  6. On the empirical relevance of the exchange rate as a shock absorber at the zero lower bound
    Autor*in: Finck, David; Hoffmann, Mathias; Hürtgen, Patrick
    Erschienen: [2023]
    Verlag:  Deutsche Bundesbank, Frankfurt am Main

    We estimate the effects of a negative asymmetric demand shock on the real exchange rate for the euro area vis-à-vis the United States, Canada, and Japan by state-dependent sign-restricted local projection methods. We find a real depreciation when... mehr

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    We estimate the effects of a negative asymmetric demand shock on the real exchange rate for the euro area vis-à-vis the United States, Canada, and Japan by state-dependent sign-restricted local projection methods. We find a real depreciation when interest rates are not at the ZLB, but also when they are. The exchange rate can accomodate considerable variations in output, confirming its shock-absorbing capacity before and during the ZLB episode. The stabilizing role of the exchange rate is accompanied by a significant expansion of the ECB’s balance sheet at the ZLB, while it remained unaffected in the pre-ZLB period. Our empirical results can be reconciled with an open economy New Keynesian model extended with unconventional monetary policy measures when interest rates are at the ZLB.

     
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    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9783957299413
    Weitere Identifier:
    hdl: 10419/273722
    Auflage/Ausgabe: February 3, 2023
    Schriftenreihe: Discussion paper / Deutsche Bundesbank ; no 2023, 10
    Schlagworte: Zero Lower Bound; Exchange Rate; Local Projections; State-dependent Effects; Unconventional Monetary Policy; Demand Shocks
    Umfang: 1 Online-Ressource (circa 61 Seiten), Illustrationen
  7. The role of global and domestic shocks for inflation dynamics
    evidence from Asia
    Autor*in: Finck, David; Tillmann, Peter
    Erschienen: [2019]
    Verlag:  Philipps-University Marburg, School of Business and Economics, Marburg

    This paper studies the determinants of business cycles in small open economies and adds to the discussion about the changing nature of inflation dynamics. We estimate a series of VAR models for a set of six Asian emerging market economies, in which... mehr

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    This paper studies the determinants of business cycles in small open economies and adds to the discussion about the changing nature of inflation dynamics. We estimate a series of VAR models for a set of six Asian emerging market economies, in which we identify a battery of domestic and global shocks using sign restrictions. We find that global shocks explain large parts of inflation and output dynamics. The global shocks are procyclical with respect to the domestic components of economic activity. We estimate Phillips curve regressions based on alternative decompositions of output into global and domestic components. For the domestic component of GDP we find a positive and significant Phillips curve slope. While the output component driven by oil prices "flattens" the Phillips curve, the component driven by global demand shocks "steepens" the trade-off. Hence, whether or not global shocks flatten the Phillips curve crucially depends on the nature of these global shocks. A series of counterfactuals supports these findings and suggests that the role of monetary policy and exchange rate shocks is limited.

     
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    Sprache: Englisch
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    Weitere Identifier:
    hdl: 10419/200667
    Schriftenreihe: Joint discussion paper series in economics ; no. 2019, 04
    Umfang: 1 Online-Ressource (circa 53 Seiten), Illustrationen
  8. Mortgage debt and time-varying monetary policy transmission
    Autor*in: Finck, David; Schmidt, Jörg; Tillmann, Peter
    Erschienen: [2018]
    Verlag:  Philipps-University Marburg, School of Business and Economics, Marburg

    We study the role of monetary policy for the dynamics of U.S. mortgage debt, which is the largest component of household indebtedness. A timevarying parameter VAR model allows us to study the variation in the mortgage debt sensitivity to monetary... mehr

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    We study the role of monetary policy for the dynamics of U.S. mortgage debt, which is the largest component of household indebtedness. A timevarying parameter VAR model allows us to study the variation in the mortgage debt sensitivity to monetary policy. We find that an identically-sized policy shock became less effective over time. We use a DSGE model to show that a fall in the share of adjustable-rate mortgages (ARMs) could replicate this finding. Calibrating the model to the drop in the ARM share since the 1980s yields a drop in the sensitivity of housing debt to monetary policy which is quantitatively similar to the VAR results. A sacrifice ratio for mortgage debt reveals that a policy tightening directed towards reducing household debt became more expensive in terms of a loss in employment. Counterfactuals show that this result cannot be attributed to changes in monetary policy itself. The results are consistent with the "mortgage rate conundrum" found by Justiniano et al. (2017) and have strong implications for policy.

     
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    Weitere Identifier:
    hdl: 10419/175860
    Schriftenreihe: Joint discussion paper series in economics ; no. 2018, 09
    Umfang: 1 Online-Ressource (circa 39 Seiten), Illustrationen
  9. On the empirical relevance of the exchange rate as a shock absorber at the zero lower bound
    Autor*in: Finck, David; Hoffmann, Mathias; Hürtgen, Patrick
    Erschienen: [2022]
    Verlag:  Philipps-University Marburg, School of Business and Economics, Marburg

    The open economy New Keynesian model with flexible exchange rates postulates that the real exchange rate appreciates in response to an asymmetric negative demand shock in a zero lower bound (ZLB) scenario and exacerbates the adverse macroeconomic... mehr

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    DS 102
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    The open economy New Keynesian model with flexible exchange rates postulates that the real exchange rate appreciates in response to an asymmetric negative demand shock in a zero lower bound (ZLB) scenario and exacerbates the adverse macroeconomic effects. However, when monetary policy is able to accommodate the adverse effects of the negative demand shock via unconventional measures, the model can generate a real depreciation at the ZLB. This paper examines these counteracting exchange rate channels empirically. We estimate the effect of a negative asymmetric demand shock on the real exchange rate and inflation expectations as well as output and prices by employing state-dependent and sign-restricted local projection methods for the euro area vis-Ã -vis the United States, Canada, and Japan. We find that the real exchange rate depreciates when interest rates are not at the ZLB but also when they are. Furthermore, our empirical results show that the real exchange rate can absor considerable variations in output, confirming its shock-absorbing capacity before but also during the ZLB episode. The stabilizing role of the exchange rate is accompanied by a significant expansion of the ECBs balance sheet in the ZLB period, while it remained unaffected in the pre-ZLB period. Overall, our empirical results favor the open economy New Keynesian model with unconventional measures when interest rates are at the ZLB.

     
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    Sprache: Englisch
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    Format: Online
    Weitere Identifier:
    hdl: 10419/266032
    Schriftenreihe: Joint discussion paper series in economics ; no. 2022, 34
    Schlagworte: Zero Lower Bound; Exchange Rate; Local Projections; State-dependent Effects
    Umfang: 1 Online-Ressource (circa 47 Seiten), Illustrationen
  10. The macroeconomic effects of global supply chain disruptions
    Autor*in: Finck, David; Tillmann, Peter
    Erschienen: 29 December 2022
    Verlag:  BOFIT, the Bank of Finland Institute for Emerging Economies, Helsinki

    Highly interconnected global supply chains make countries vulnerable to sup ply chain disruptions. This paper estimates the macroeconomic effects of global supply chain shocks for the euro area. Our empirical model combines busi ness cycle variables... mehr

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 686
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    Highly interconnected global supply chains make countries vulnerable to sup ply chain disruptions. This paper estimates the macroeconomic effects of global supply chain shocks for the euro area. Our empirical model combines busi ness cycle variables with data from international container trade. Using a novel identification scheme, we augment conventional sign restrictions on the impulse responses by narrative information about three episodes: the Tohoku earthquake ¯ in 2011, the Suez Canal obstruction in 2021, and the Shanghai backlog in 2022. We show that a global supply chain shock causes a drop in euro area real economic activity and a strong increase in consumer prices. Over a horizon of one year, the global supply chain shock explains about 30% of inflation dynamics. We also use regional data on supply chain pressure to isolate shocks originating in China. Our results show that supply chain disruptions originating in China are an important driver for unexpected movements in industrial production, while disruptions originating outside China are an especially important driver for the dynamics of consumer prices.

     
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    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9789523234291
    Weitere Identifier:
    hdl: 10419/267906
    Schriftenreihe: BOFIT discussion papers ; 2022, 14
    Schlagworte: Container Trade; Supply Chain; Inflation; Narrative Identification; Sign Restrictions
    Umfang: 1 Online-Ressource (circa 52 Seiten), Illustrationen
  11. The macroeconomic effects of global supply chain disruptions
    Autor*in: Finck, David; Tillmann, Peter
    Erschienen: [2023]
    Verlag:  Institute for Monetary and Financial Stability, Goethe University Frankfurt, Frankfurt am Main

    Highly interconnected global supply chains make countries vulnerable to supply chain disruptions. This paper estimates the macroeconomic effects of global supply chain shocks for the euro area. Our empirical model combines business cycle variables... mehr

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 464
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    Highly interconnected global supply chains make countries vulnerable to supply chain disruptions. This paper estimates the macroeconomic effects of global supply chain shocks for the euro area. Our empirical model combines business cycle variables with data from international container trade. Using a novel identification scheme, we augment conventional sign restrictions on the impulse responses by narrative information about three episodes: the Tohoku ¯ earthquake in 2011, the Suez Canal obstruction in 2021, and the Shanghai backlog in 2022. We show that a global supply chain shock causes a drop in euro area real economic activity and a strong increase in consumer prices. Over a horizon of one year, the global supply chain shock explains about 30% of inflation dynamics. We also use regional data on supply chain pressure to isolate shocks originating in China. Our results show that supply chain disruptions originating in China are an important driver for unexpected movements in industrial production, while disruptions originating outside China are an especially important driver for the dynamics of consumer prices.

     
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    Weitere Identifier:
    hdl: 10419/268227
    Schriftenreihe: Working paper series / Institute for Monetary and Financial Stability ; no. 178 (2023)
    Schlagworte: Container Trade; Supply Chain; Inflation; Narrative Identification; Sign Restrictions
    Umfang: 1 Online-Ressource (circa 52 Seiten), Illustrationen
  12. The FOMC attention cycle
    Autor*in: Finck, David; Tillmann, Peter
    Erschienen: [2024]
    Verlag:  Philipps-University Marburg, School of Business and Economics, Marburg

    We use a new data set of daily visits of the website of the Federal Reserve Board to study the acquisition of information about monetary policy around meetings of the FOMC. mehr

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    We use a new data set of daily visits of the website of the Federal Reserve Board to study the acquisition of information about monetary policy around meetings of the FOMC.

     
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    hdl: 10419/301242
    Schriftenreihe: Joint discussion paper series in economics ; no. 2024, 15
    Schlagworte: monetary policy; communication; Federal Reserve; information acquisition
    Umfang: 1 Online-Ressource (circa 12 Seiten), Illustrationen