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  1. The distributional effects of conventional monetary policy and quantitative easing
    evidence from an estimated DSGE model
    Autor*in: Hohberger, Stefan; Priftis, Romanos; Vogel, Lukas
    Erschienen: 2018
    Verlag:  Publications Office of the European Union, Luxembourg

    This paper compares the distributional effects of conventional monetary policy and quantitative easing (QE) within an estimated open-economy DSGE model of the euro area. The model includes two groups of households: (i) wealthier households, who own... mehr

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    This paper compares the distributional effects of conventional monetary policy and quantitative easing (QE) within an estimated open-economy DSGE model of the euro area. The model includes two groups of households: (i) wealthier households, who own financial assets and are able to smooth consumption over time, and (ii) poorer households, who only receive labor and transfer income and live 'hand to mouth'. We use the model to compare the impact of policy shocks on constructed measures of income and wealth inequality (net disposable income, net asset position, and relative per-capita income). Except for the short term, expansionary conventional policy and QE shocks tend to mitigate income and wealth inequality between the two population groups. In light of the coarse dichotomy of households that abstracts from richer income and wealth dynamics at the individual level, the analysis emphasizes the functional distribution of income.

     
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    Sprache: Englisch
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    ISBN: 9789279934063
    Weitere Identifier:
    hdl: 10419/202304
    Schriftenreihe: JRC working papers on economics and finance ; 2018, 12
    Umfang: 1 Online-Ressource (circa 36 Seiten), Illustrationen
  2. (Optimal) monetary policy with and without debt
    Autor*in: Chafwehé, Boris; Oikonomou, Rigas; Priftis, Romanos; Vogel, Lukas
    Erschienen: [2021]
    Verlag:  Bank of Canada, [Ottawa]

    We propose a framework of optimal monetary policy where debt sustainability may, or may not, be a relevant constraint for the central bank. We show analytically that in each environment the optimal interest rate path consists of a Taylor rule... mehr

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    We propose a framework of optimal monetary policy where debt sustainability may, or may not, be a relevant constraint for the central bank. We show analytically that in each environment the optimal interest rate path consists of a Taylor rule augmented with forward guidance terms. These terms arise either i) from "twisting interest rates" when the central bank ensures debt sustainability, or ii) under no debt concerns, from committing to keep interest rates low at the exit of the liquidity trap. The optimal policy is isomorphic to Leeper's (1991) "passive monetary/active fiscal policy" regime in the first instance, or "active monetary/passive fiscal policy" regime in the second. We insert our framework into a standard medium scale DSGE model calibrated to the US. Optimal passive monetary policy with debt concerns is ineffective in stabilizing inflation, whereas under no debt concerns, monetary policy is very effective in stabilizing the macroeconomy.

     
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    hdl: 10419/241228
    Auflage/Ausgabe: Last updated: January 26, 2021
    Schriftenreihe: Staff working paper / Bank of Canada ; 2021, 5
    Schlagworte: Monetary policy; Monetary policy framework; Fiscal policy; Economic models
    Umfang: 1 Online-Ressource (circa 59 Seiten), Illustrationen
  3. Fiscal spillovers
    the case of US corporate and personal income taxes
    Autor*in: Hanson, Madeline; Hauser, Daniela; Priftis, Romanos
    Erschienen: [2021]
    Verlag:  Bank of Canada, [Ottawa]

    This paper extends the identification of unanticipated changes in average federal corporate and personal income tax rates in the United States, as proposed in Mertens and Ravn (2013), to the end of 2019, and assesses their propagation to economies... mehr

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    This paper extends the identification of unanticipated changes in average federal corporate and personal income tax rates in the United States, as proposed in Mertens and Ravn (2013), to the end of 2019, and assesses their propagation to economies with tight links to the US economy. While cuts in both taxes lead to significant short-run expansions in the US economy, their spillover effects on other countries differ markedly. A cut in corporate taxes can produce negative spillovers, indicating that the contractionary effects associated to the reallocation of investment and jobs by multinational firms outweigh the potential positive effects of increased demand for country-specific goods through trade with the US. The spillover effects of lower personal income taxes are more heterogeneous across countries but are, on average, expansionary, depending on the country-specific monetary policy stance.

     
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    hdl: 10419/247421
    Auflage/Ausgabe: Last updated: August 20, 2021
    Schriftenreihe: Staff working paper / Bank of Canada ; 2021, 41
    Schlagworte: Business fluctuations and cycles; Econometric and statistical methods; Exchange rateregimes; Fiscal policy; International topics
    Umfang: 1 Online-Ressource (circa 60 Seiten), Illustrationen
  4. ECB macroeconometric models for forecasting and policy analysis
    development, current practices and prospective challenges
    Beteiligt: Ciccarelli, Matteo (HerausgeberIn); Darracq Pariès, Matthieu (HerausgeberIn); Priftis, Romanos (HerausgeberIn)
    Erschienen: 2024
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    This paper takes stock of the ECB's macroeconometric modelling strategy by focusing on the models and applications used in the Forecasting and Policy Modelling Division. We focus on the guiding principles underpinning the current portfolio of the... mehr

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    This paper takes stock of the ECB's macroeconometric modelling strategy by focusing on the models and applications used in the Forecasting and Policy Modelling Division. We focus on the guiding principles underpinning the current portfolio of the main macroeconomic models and illustrate how they can in principle be used for economic forecasting, scenario and risk analyses. We also discuss the modelling agenda which is currently under development, focusing notably on heterogeneity, machine learning, expectation formation and climate change. The paper makes it clear that the large macroeconometric models typically developed in central banks remain stylised descriptions of our modern economies and can fail to predict or assess the nature of economic events (especially when big crises arise). But even in highly uncertain economic conditions, they can still provide a meaningful contribution to policy preparation. We conclude the paper with a roadmap which will allow the ECB and the Eurosystem to exploit technological advances and cooperation across institutions as a useful means of ensuring that the modelling framework is not only resilient to disruptive events but also innovative.

     
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    Quelle: Staatsbibliothek zu Berlin
    Beteiligt: Ciccarelli, Matteo (HerausgeberIn); Darracq Pariès, Matthieu (HerausgeberIn); Priftis, Romanos (HerausgeberIn)
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9789289964128
    Weitere Identifier:
    Schriftenreihe: Occasional paper series / European Central Bank ; no 344
    Schlagworte: Economic models; monetary policy; forecasting; macroeconometrics
    Umfang: 1 Online-Ressource (circa 117 Seiten), Illustrationen, Diagramme
  5. The long and short of financing government spending
    Autor*in: Mankart, Jochen; Priftis, Romanos; Oikonomou, Rigas
    Erschienen: October 2022
    Verlag:  National Bank of Belgium, Brussels

    This paper shows that debt-financed fiscal multipliers vary depending on the maturity of debt issued to finance spending. Utilizing state-dependent SVAR models and local projections for post-war US data, we show that a fiscal expansion financed with... mehr

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    This paper shows that debt-financed fiscal multipliers vary depending on the maturity of debt issued to finance spending. Utilizing state-dependent SVAR models and local projections for post-war US data, we show that a fiscal expansion financed with short term debt increases output more than one financed with long term debt. The reason for this result is that only the former may lead to a significant increase in private consumption. We then construct an incomplete markets model in which households invest in long and short assets. Short assets have a lower return (in equilibrium) since they provide liquidity services, households can use them to cover sudden spending shocks. An increase in the supply of these assets through a short term debt financed government spending shock makes it easier for constrained households to meet their spending needs and therefore crowds in private consumption. We first prove this analytically in a simplified model and then show it in a calibrated standard New Keynesian model. We finally study the optimal policy under a Ramsey planner. The optimizing government faces a trade-off between the hedging value of long term debt, as its price decreases in response to adverse shocks, and the larger multiplier when it issues short term debt. We find that the latter effect dominates and that the optimal policy for the government is to finance spending predominantly with short term debt.

     
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    Sprache: Englisch
    Medientyp: Konferenzschrift
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    Weitere Identifier:
    hdl: 10419/273122
    Körperschaften/Kongresse: International Research Conference on Household Heterogeneity and Policy Relevance (2022, Brüssel)
    Schriftenreihe: Working paper research / National Bank of Belgium ; no 418 (20 & 21 October 2022)
    Schlagworte: Spending multiplier; Fiscal Policy; Debt Maturity; Incomplete Markets; SVAR; Local Projections
    Umfang: 1 Online-Ressource (circa 51 Seiten), Illustrationen
  6. Macroeconomic effects of carbon transition policies
    an assessment based on the ECB's New Area-Wide Model with a disaggregated energy sector
    Autor*in: Coenen, Günter; Lozej, Matija; Priftis, Romanos
    Erschienen: [2023]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    We use scenario analysis to assess the macroeconomic effects of carbon transition policies aimed at mitigating climate change. To this end, we employ a version of the ECB's New Area-Wide Model (NAWM) augmented with a framework of disaggregated energy... mehr

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    We use scenario analysis to assess the macroeconomic effects of carbon transition policies aimed at mitigating climate change. To this end, we employ a version of the ECB's New Area-Wide Model (NAWM) augmented with a framework of disaggregated energy production and use, which distinguishes between "dirty" and "clean" energy. Our central transition scenario is that of a permanent increase in carbon taxes, which are levied as a surcharge on the price of dirty energy. Our findings suggest that increasing euro area carbon taxes to an interim target level consistent with the transition to a net-zero economy entails a transitory rise in inflation and a lasting, albeit moderate decline in GDP. We show that the short and medium-term effects depend on the monetary policy reaction, on the path of the carbon tax increase and on its credibility, while expanding clean energy supply is key for containing the decline in GDP. Undesirable distributional effects can be addressed by redistributing the fiscal revenues from the carbon tax increase to low-income households.

     
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    ISBN: 9789289960823
    Weitere Identifier:
    hdl: 10419/278583
    Schriftenreihe: Working paper series / European Central Bank ; no 2819
    Schlagworte: Climate change; carbon taxation; DSGE model; monetary policy; fiscal policy; euro area
    Umfang: 1 Online-Ressource (circa 72 Seiten), Illustrationen
  7. Complementarities between fiscal policy and monetary policy - literature review
    Autor*in: Dong, Wei; Dunbar, Geoffrey; Friedrich, Christian; Matveev, Dmitry; Priftis, Romanos; Shao, Lin
    Erschienen: [2021]
    Verlag:  Bank of Canada, Ottawa, Ontario, Canada

    This paper reviews and summarizes the literature on the complementary relationship between fiscal policy and monetary policy. We focus on four types of fiscal policy: (1) automatic stabilizers, (2) state-contingent non-discretionary fiscal policy,... mehr

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    This paper reviews and summarizes the literature on the complementary relationship between fiscal policy and monetary policy. We focus on four types of fiscal policy: (1) automatic stabilizers, (2) state-contingent non-discretionary fiscal policy, (3) discretionary fiscal stimulus and (4) government credit policies. The literature shows that automatic fiscal stabilizers can play a role in stabilizing business cycle fluctuation. But because they can have multiple policy objectives, their optimal design remains an open question. An alternative policy framework features state-contingent non-discretionary fiscal expenditures with a pre-committed fiscal spending formula triggered by objective macroeconomic conditions. Such a policy offers the advantage of being timely and easy to communicate; but at the same time, it poses challenges for identifying appropriate triggers and program expenditures with high short-run multipliers. The literature also shows that discretionary fiscal expenditures can support aggregate demand, and some expenditures have short-run multipliers close to, or above, 1. While these expenditures can focus on specific policy priorities that are relevant at the time, their discretionary nature may slow the policy response. When interest rates are close to the effective lower bound (ELB), fiscal stimulus can be particularly effective for complementing the stabilizing efforts of monetary policy. Finally, studies show that government credit policies can mitigate economic downturns that are accompanied by severe financial market distress. However, the effects of scaling up this channel are uncertain.

     
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    hdl: 10419/241096
    Schriftenreihe: Staff discussion paper / Bank of Canada ; 2021, 4
    Schlagworte: Fiscal policy; Monetary policy
    Umfang: 1 Online-Ressource (circa 33 Seiten), Illustrationen
  8. Optimal quantitative easing in a monetary union
    Autor*in: Kabaca, Serdar; Maas, Renske; Mavromatis, Kostas; Priftis, Romanos
    Erschienen: [2020]
    Verlag:  Bank of Canada, [Ottawa]

    This paper explores the optimal allocation of government bond purchases within a monetary union, using a two-region DSGE model, where regions are asymmetric with respect to economic size and portfolio characteristics: the extent of substitutability... mehr

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    This paper explores the optimal allocation of government bond purchases within a monetary union, using a two-region DSGE model, where regions are asymmetric with respect to economic size and portfolio characteristics: the extent of substitutability between assets of different maturity and origin, asset home bias, and steady-state levels of government debt. An optimal quantitative easing (QE) policy under commitment does not only reflect different region sizes but is also a function of these dimensions of portfolio heterogeneity. By calibrating the model to the euro area, we show that optimal QE favors purchases from the smaller region (Periphery instead of Core), given that the former faces stronger portfolio frictions. A fully optimal policy consisting of both the short-term interest rate and QE lifts the monetary union away from the zero lower bound faster than an optimal interest rate policy alone, which entails forward guidance.

     
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    hdl: 10419/241215
    Auflage/Ausgabe: Last updated: November 24, 2020
    Schriftenreihe: Staff working paper / Bank of Canada ; 2020, 49
    Umfang: 1 Online-Ressource (circa 77 Seiten), Illustrationen
  9. Implementation and effectiveness of extended monetary policy tools: lessons from the literature
    Autor*in: Johnson, Grahame; Kozicki, Sharon; Priftis, Romanos; Suchanek, Lena; Witmer, Jonathan; Yang, Jing
    Erschienen: [2020]
    Verlag:  Bank of Canada, Ottawa, Ontario, Canada

    This paper summarizes the literature on the performance of various extended monetary policy tools when conventional policy rates are constrained by the effective lower bound. We highlight issues that may arise when these tools are used by central... mehr

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    This paper summarizes the literature on the performance of various extended monetary policy tools when conventional policy rates are constrained by the effective lower bound. We highlight issues that may arise when these tools are used by central banks of small open economies. Tools that have already been used by various central banks include forward guidance and balance sheet policies-such as quantitative easing, yield curve targeting, credit easing, funding-for-lending and purchases of other assets. The paper also touches on the use of negative interest rates. The evidence to date suggests that such tools have allowed central banks to ease financial conditions and thereby stimulate aggregate demand. The article also considers overt monetary financing (often referred to as "helicopter money") as an additional tool if conditions require even more aggressive easing. We review the sequencing and pacing of the use of such tools, as well as spillover effects and financial stability concerns, as important aspects of implementation strategies.

     
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    hdl: 10419/241092
    Schriftenreihe: Staff discussion paper / Bank of Canada ; 2020, 16
    Umfang: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  10. Growth effects of corporate balance sheet adjustments in the EU
    an econometric & model-based assessment
    Autor*in: Priftis, Romanos; Theofilakou, Anastasia
    Erschienen: 2018
    Verlag:  Publications Office of the European Union, Luxembourg

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    ISBN: 9789279774065
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    Schriftenreihe: Array ; 076 (March 2018)
    Schlagworte: corporate deleveraging; growth effects; IV estimation; DSGE model; collateral constraints; European Union
    Umfang: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  11. The economic effects of a tax shift from direct to indirect taxation in France
    Autor*in: Castro, Francisco de; Perelle, Marion; Priftis, Romanos
    Erschienen: 2018
    Verlag:  Publications Office of the European Union, Luxembourg

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    ISBN: 9789279774140
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    Schriftenreihe: Array ; 077 (March 2018)
    Schlagworte: Tax-shift; tax incidence; DSGE model
    Umfang: 1 Online-Ressource (circa 23 Seiten), Illustrationen
  12. Sources of borrowing and fiscal multipliers
    Autor*in: Priftis, Romanos; Zimic, Srecko
    Erschienen: [2018]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    This paper finds that debt-financed fiscal multipliers vary depending on the location of the debt buyer. In a sample of 33 countries fiscal multipliers are larger when government purchases are financed by issuing debt to foreign investors... mehr

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    This paper finds that debt-financed fiscal multipliers vary depending on the location of the debt buyer. In a sample of 33 countries fiscal multipliers are larger when government purchases are financed by issuing debt to foreign investors (non-residents), compared to when they are financed by issuing debt to home investors (residents). In a theoretical model, the location of the government creditor produces these differential responses through the extent that private investment is crowded out. International capital mobility of the resident private sector decreases the difference between the two types of financing both in the model and in the data.

     
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    ISBN: 9789289933148
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    hdl: 10419/208243
    Schriftenreihe: Working paper series / European Central Bank ; no 2209 (November 2018)
    Schlagworte: Öffentliche Schulden; Multiplikator; Ausländisch; Gläubiger; Kapitalmobilität; Welt
    Umfang: 1 Online-Ressource (circa 49 Seiten), Illustrationen
  13. Endogenous forward guidance
    Autor*in: Chafwehé, Boris; Oikonomou, Rigas; Priftis, Romanos; Vogel, Lukas
    Erschienen: October 2018
    Verlag:  National Bank of Belgium, Brussels

    We propose a novel framework where forward guidance (FG) is endogenously determined. Our model assumes that a monetary authority solves an optimal policy problem under commitment at the zero-lower bound. FG derives from two sources: 1. from... mehr

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    We propose a novel framework where forward guidance (FG) is endogenously determined. Our model assumes that a monetary authority solves an optimal policy problem under commitment at the zero-lower bound. FG derives from two sources: 1. from commiting to keep interest rates low at the exit of the liquidity trap, to stabilize inflation today. 2. From debt sustainability concerns, when the planner takes into account the consolidated budget constraint in optimization. Our model is tractable and admits an analytical solution for interest rates in which 1 and 2 show up as separate arguments that enter additively to the standard Taylor rule. In the case where optimal policy reflects debt sustainability concerns (satisfies the consolidated budget) monetary policy becomes subservient to fiscal policy, giving rise to more volatile inflation, output and interest rates. Liquidity trap (LT) episodes are longer, however, the impact of interest rate policy commitments on inflation and output are moderate. "Keeping interest rates low" for a long period, does not result in positive inflation rates during the LT, in contrast our model consistently predicts negative inflation at the onset of a LT episode. In contrast, in the absence of debt concerns, LT episodes are shorter, but the impact of commitments to keep interest rates low at the exit from the LT, on inflation and output is substantial. In this case monetary policy accomplishes to turn inflation positive at the onset of the episode, through promising higher inflation rates in future periods. We embed our theory into a DSGE model and estimate it with US data. Our findings suggest that FG during the Great Recession may have partly reflected debt sustainability concerns, but more likely policy reflected a strong commitment to stabilize inflation and the output gap. Our quantitative findings are thus broadly consistent with the view that the evolution of debt aggregates may have had an impact on monetary policy in the Great Recession, but this impact is likely to be small.

     
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    hdl: 10419/207734
    Schriftenreihe: Working paper research / National Bank of Belgium ; no 354 (October 2018)
    Umfang: 1 Online-Ressource (circa 52 Seiten), Illustrationen
  14. The distributional effects of conventional monetary policy and quantitative easing
    evidence from an estimated DSGE model
    Autor*in: Hohberger, Stefan; Priftis, Romanos; Vogel, Lukas
    Erschienen: [2019]
    Verlag:  Bank of Canada, [Ottawa]

    This paper compares the distributional effects of conventional monetary policy and quantitative easing (QE) within an estimated open-economy DSGE model of the euro area. The model includes two groups of households: (i) wealthier households, who own... mehr

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    This paper compares the distributional effects of conventional monetary policy and quantitative easing (QE) within an estimated open-economy DSGE model of the euro area. The model includes two groups of households: (i) wealthier households, who own financial assets and can smooth consumption over time, and (ii) poorer households, who only receive labor and transfer income and live "hand to mouth." We compare the impact of policy shocks on constructed measures of income and wealth inequality (net disposable income, net asset position, and relative per-capita income). Except for the short term, expansionary conventional policy and QE shocks tend to mitigate income and wealth inequality between the two population groups.

     
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    hdl: 10419/197920
    Schriftenreihe: Staff working paper / Bank of Canada ; 2019, 6 (January 2019)
    Umfang: 1 Online-Ressource (circa 34 Seiten), Illustrationen
  15. Sources of borrowing and fiscal multipliers
    Autor*in: Priftis, Romanos; Zimic, Srecko
    Erschienen: [2018]
    Verlag:  Bank of Canada, [Ottawa]

    This paper finds that debt-financed government spending multipliers vary considerably depending on the location of the debt buyer. In a sample of 33 countries, we find that government spending multipliers are larger when government purchases are... mehr

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    This paper finds that debt-financed government spending multipliers vary considerably depending on the location of the debt buyer. In a sample of 33 countries, we find that government spending multipliers are larger when government purchases are financed by issuing debt to foreign investors (non-residents), compared with when government purchases are financed by issuing debt to home investors (residents). A theoretical model (with flexible or sticky prices) shows that the location of the government creditor produces these differential responses to the extent that private investment is crowded out in each case. Increasing international capital mobility of the resident private sector decreases the difference between the two types of financing, both in the model and in the data.

     
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    Weitere Identifier:
    hdl: 10419/197885
    Schriftenreihe: Staff working paper / Bank of Canada ; 2018, 32 (July 2018)
    Schlagworte: Öffentliche Schulden; Multiplikator; Ausländisch; Gläubiger; Kapitalmobilität; Welt
    Umfang: 1 Online-Ressource (circa 36 Seiten), Illustrationen
  16. The macroeconomic effects of quantitative easing in the Euro area
    evidence from an estimated DSGE model
    Autor*in: Hohberger, Stefan; Priftis, Romanos; Vogel, Lukas
    Erschienen: [2018]
    Verlag:  Bank of Canada, [Ottawa]

    This paper estimates an open-economy dynamic stochastic general equilibrium model with Bayesian techniques to analyse the macroeconomic effects of the European Central Bank's (ECB’s) quantitative easing (QE) programme. Using data on government debt... mehr

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    This paper estimates an open-economy dynamic stochastic general equilibrium model with Bayesian techniques to analyse the macroeconomic effects of the European Central Bank's (ECB’s) quantitative easing (QE) programme. Using data on government debt stocks and yields across maturities, we identify the parameter governing portfolio adjustment in the private sector. Shock decompositions suggest a positive contribution of ECB QE to annual euro area output growth and inflation in 2015-16 of up to 0.3 and 0.6 percentage points (pp) in the linearised version of the model. Allowing for an occasionally binding zero-bound constraint by using piecewise linear solution techniques raises the positive impact to up to 0.7 and 0.8 pp.

     
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    Schriftenreihe: Staff working paper / Bank of Canada ; 2018, 11 (March 2018)
    Umfang: 1 Online-Ressource (circa 50 Seiten), Illustrationen
  17. Endogenous forward guidance
    Autor*in: Chafwehé, Boris; Oikonomou, Rigas; Priftis, Romanos; Vogel, Lukas
    Erschienen: 2019
    Verlag:  Verein für Socialpolitik, [Leipzig]

    We propose a novel framework where forward guidance (FG) is endogenously determined. Our model assumes that a monetary authority solves an optimal policy problem under commitment at the zero-lower bound. FG derives from two sources: 1. from commiting... mehr

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    We propose a novel framework where forward guidance (FG) is endogenously determined. Our model assumes that a monetary authority solves an optimal policy problem under commitment at the zero-lower bound. FG derives from two sources: 1. from commiting to keep interest rates low at the exit of the liquidity trap, to stabilize inflation today. 2. From debt sustainability concerns, when the planner takes into account the consolidated budget constraint in optimization. Our model is tractable and admits an analytical solution for interest rates in which 1 and 2 show up as separate arguments that enter additively to the standard Taylor rule. In the case where optimal policy reflects debt sustainability concerns (satisfies the consolidated budget) monetary policy becomes subservient to fiscal policy, giving rise to more volatile inflation, output and interest rates. Liquidity trap (LT) episodes are longer, however, the impact of interest rate policy commitments on inflation and output are moderate. "Keeping interest rates low" for a long period, does not result in positive inflation rates during the LT, in contrast our model consistently predicts negative inflation at the onset of a LT episode. In contrast, in the absence of debt concerns, LT episodes are shorter, but the impact of commitments to keep interest rates low at the exit from the LT, on inflation and output is substantial. In this case monetary policy accomplishes to turn inflation positive at the onset of the episode, through promising higher inflation rates in future periods. We embed our theory into a DSGE model and estimate it with US data. Our findings suggest that FG during the Great Recession may have partly reflected debt sustainability concerns, but more likely policy reflected a strong commitment to stabilize inflation and the output gap. Our quantitative findings are thus broadly consistent with the view that the evolution of debt aggregates may have had an impact on monetary policy in the Great Recession, but this impact is likely to be small.

     
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    Schriftenreihe: Array ; Array
    Working paper research / National Bank of Belgium ; no 354 (October 2018)
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  18. Optimal quantitative easing in a monetary union
    Autor*in: Kabaca, Serdar; Maas, Renske; Mavromatis, Kostas; Priftis, Romanos
    Erschienen: [2020]
    Verlag:  De Nederlandsche Bank NV, Amsterdam, the Netherlands

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    Schriftenreihe: Working paper / De Nederlandsche Bank NV ; no. 697 (November 2020)
    Umfang: 1 Online-Ressource (circa 80 Seiten), Illustrationen
  19. ECB macroeconometric models for forecasting and policy analysis
    development, current practices and prospective challenges
    Beteiligt: Ciccarelli, Matteo (HerausgeberIn); Darracq Pariès, Matthieu (HerausgeberIn); Priftis, Romanos (HerausgeberIn)
    Erschienen: 2024
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    This paper takes stock of the ECB's macroeconometric modelling strategy by focusing on the models and applications used in the Forecasting and Policy Modelling Division. We focus on the guiding principles underpinning the current portfolio of the... mehr

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    This paper takes stock of the ECB's macroeconometric modelling strategy by focusing on the models and applications used in the Forecasting and Policy Modelling Division. We focus on the guiding principles underpinning the current portfolio of the main macroeconomic models and illustrate how they can in principle be used for economic forecasting, scenario and risk analyses. We also discuss the modelling agenda which is currently under development, focusing notably on heterogeneity, machine learning, expectation formation and climate change. The paper makes it clear that the large macroeconometric models typically developed in central banks remain stylised descriptions of our modern economies and can fail to predict or assess the nature of economic events (especially when big crises arise). But even in highly uncertain economic conditions, they can still provide a meaningful contribution to policy preparation. We conclude the paper with a roadmap which will allow the ECB and the Eurosystem to exploit technological advances and cooperation across institutions as a useful means of ensuring that the modelling framework is not only resilient to disruptive events but also innovative.

     
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    Quelle: Staatsbibliothek zu Berlin
    Beteiligt: Ciccarelli, Matteo (HerausgeberIn); Darracq Pariès, Matthieu (HerausgeberIn); Priftis, Romanos (HerausgeberIn)
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9789289964128
    Weitere Identifier:
    hdl: 10419/299572
    Schriftenreihe: Occasional paper series / European Central Bank ; no 344
    Schlagworte: Economic models; monetary policy; forecasting; macroeconometrics
    Umfang: 1 Online-Ressource (circa 117 Seiten), Illustrationen, Diagramme
  20. Monetary policy strategies to navigate post-pandemic inflation
    an assessment using the ECB's New Area-Wide Model
    Autor*in: Darracq Pariès, Matthieu; Kornprobst, Antoine; Priftis, Romanos
    Erschienen: [2024]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    We evaluate how the euro area economy would have performed since mid-2021 under alternative monetary policy strategies. We use the ECB's workhorse estimated DSGE model and contrast actual policy conduct against alternative strategies which differ in... mehr

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    We evaluate how the euro area economy would have performed since mid-2021 under alternative monetary policy strategies. We use the ECB's workhorse estimated DSGE model and contrast actual policy conduct against alternative strategies which differ in their "lower-for-longer" commitment as well as policymaker preferences regarding inflation and output volatility. Assuming that the monetary authority had full knowledge of prevailing conditions from mid-2021 onwards, the alternative policy strategies would call for anticipated timing of the start of the hiking cycle: earlier tightening would prevent inflation from peaking at 10%, but the forceful tightening since 2022:Q3 prevented higher inflation from becoming entrenched. However, once evaluating monetary policy on real-time quarterly vintages of incoming data and projections, the alternative interest rate paths would be broadly consistent with the observed policy conduct. The proximity of some benchmark optimal policy counterfactuals with the baseline, brings further indication that the actual policy conduct succeeded in implementing an efficient management of the output-inflation trade-off.

     
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    ISBN: 9789289966832
    Weitere Identifier:
    hdl: 10419/297375
    Schriftenreihe: Working paper series / European Central Bank ; no 2935
    Schlagworte: estimated DSGE model; monetary policy frameworks; optimal policy; dual mandate; euro area
    Umfang: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  21. Inflation Preferences
    Autor*in: Afrouzi, Hassan; Dietrich, Alexander M.; Myrseth, Kristian Ove R.; Priftis, Romanos; Schoenle, Raphael
    Erschienen: April 2024
    Verlag:  National Bureau of Economic Research, Cambridge, Mass

    We document novel survey-based facts on preferred long-run inflation rates among U.S. consumers. Consumers on average prefer a 0.20% annual inflation rate, considerably below the Federal Reserve's 2% target. Inflation preferences not only correlate... mehr

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    We document novel survey-based facts on preferred long-run inflation rates among U.S. consumers. Consumers on average prefer a 0.20% annual inflation rate, considerably below the Federal Reserve's 2% target. Inflation preferences not only correlate with demographic and socioeconomic characteristics, but also with economic reasoning. A randomized control trial reveals that two narratives based on economic models--describing how inflation lowers the real value of wages as well as money holdings--affect inflation preferences. While our results can inform the design of central bank communication on inflation targets, they also raise questions about the alignment between such targets and consumer preferences

     
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    Schriftenreihe: NBER working paper series ; no. w32379
    Schlagworte: Konsumentenpräferenzen; Inflationsrate; USA; Central Banks and Their Policies; Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on the Macro Economy
    Umfang: 1 Online-Ressource, illustrations (black and white)
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  22. Inflation preferences
    Autor*in: Afrouzi, Hassan; Dietrich, Alexander M.; Myrseth, Kristian Ove R.; Priftis, Romanos; Schoenle, Raphael
    Erschienen: 18 April 2024
    Verlag:  Centre for Economic Policy Research, London

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    Schriftenreihe: Array ; DP19006
    Schlagworte: Household expectations; Survey; Inflation preferences
    Umfang: 1 Online-Ressource (circa 46 Seiten), Illustrationen
  23. Reallocation, productivity, and monetary policy in an energy crisis
    Autor*in: Chafwehé, Boris; Colciago, Andrea; Priftis, Romanos
    Erschienen: [2024]
    Verlag:  Department of Economics, Management and Statistics, University of Milano-Bicocca, Milan, Italy

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    Schriftenreihe: DEMS working paper series ; no. 534 (May 2024)
    Schlagworte: Energy; productivity; firm entry and exit; monetary policy
    Umfang: 1 Online-Ressource (circa 49 Seiten), Illustrationen
  24. Inflation preferences
    Autor*in: Dietrich, Alexander M.; Afrouzi, Hassan; Myrseth, Kristian O. R.; Schoenle, Raphael; Priftis, Romanos
    Erschienen: [2024]
    Verlag:  Danmarks Nationalbank, Copenhagen

    We document novel survey-based facts about preferred long-run inflation rates among US consumers. Consumers on average prefer a 0.20% annual inflation rate, well below the Federal Reserve's 2% target. Inflation preferences not only correlate with... mehr

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    We document novel survey-based facts about preferred long-run inflation rates among US consumers. Consumers on average prefer a 0.20% annual inflation rate, well below the Federal Reserve's 2% target. Inflation preferences not only correlate with demographic and socioeconomic characteristics, but also with economic reasoning. A randomized control trial reveals that two narratives based on economic models-describing how inflation lowers the real value of wages and money holdings-affect inflation preferences. While our results can inform the design of central bank communication on inflation targets, they also raise questions about the alignment between such targets and consumer preferences.

     
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    hdl: 10419/299301
    Schriftenreihe: Array ; no. 204 (13 May 2024)
    Schlagworte: Household expectations; Survey; Inflation preferences
    Umfang: 1 Online-Ressource (circa 47 Seiten), Illustrationen
  25. Reallocation, productivity, and monetary policy in an energy crisis
    Autor*in: Chafwehe, Boris; Colciago, Andrea; Priftis, Romanos
    Erschienen: [2024]
    Verlag:  De Nederlandsche Bank NV, Amsterdam, The Netherlands

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    Schriftenreihe: DNB working paper ; no. 811 (April 2024)
    Schlagworte: Energy; productivity; firm entry and exit; monetary policy
    Umfang: 1 Online-Ressource (circa 51 Seiten), Illustrationen