Working paper series / Institute for Monetary and Financial Stability
http://www.imfs-frankfurt.de/de/forschung/imfs-working-papers.html
Refine
Year of publication
Document Type
- Working Paper (118)
Has Fulltext
- yes (118)
Is part of the Bibliography
- no (118)
Keywords
- monetary policy (8)
- DSGE (6)
- Federal Reserve (5)
- Numerical accuracy (5)
- Solution methods (5)
- quantitative easing (4)
- DSGE models (3)
- Hamiltonian Monte Carlo (3)
- Machine Learning (3)
- Monetary Policy (3)
- Neural Networks (3)
- Zero Lower Bound (3)
- central bank independence (3)
- crises (3)
- household finance (3)
- interest rates (3)
- model comparison (3)
- model uncertainty (3)
- policy rules (3)
- zero lower bound (3)
- Bayesian Analysis (2)
- Bayesian Estimation (2)
- Bayesian estimation (2)
- Business Cycles (2)
- Climate change (2)
- DSGE Estimation (2)
- ECB (2)
- Environmental policy (2)
- Geldpolitik (2)
- Heterogeneous Agents (2)
- Optimal policy (2)
- Quantitative Easing (2)
- Transfer Learning (2)
- Transition risk (2)
- bail-in (2)
- banknotes (2)
- consumption (2)
- discretion (2)
- expectation formation (2)
- financial literacy (2)
- forward guidance (2)
- monetary policy strategy (2)
- money (2)
- real-time data (2)
- refugees (2)
- social interactions (2)
- survey (2)
- unemployment (2)
- wealth inequality (2)
- ARMA (1)
- Artificial Intelligence (1)
- Artificial Intelligence; (1)
- Backward error (1)
- Bank of Japan (1)
- Basel regulation (1)
- Bayesian analysis (1)
- Bayesian inference (1)
- Bayesian time-varying parameter estimation (1)
- Behandlungskapazität (1)
- Blue Chip (1)
- Cash (1)
- Central Bank Communication (1)
- Central Bank Losses (1)
- Central Banks and Their Policies (1)
- Classification (1)
- Climate finance (1)
- Complexity (1)
- Computational Methods (1)
- Condition number (1)
- Container Trade (1)
- Corona (1)
- Crises Forecasting (1)
- DSGE model (1)
- Delphic forward guidance (1)
- Determinacy (1)
- Disinflation (1)
- Dunkelziffer (1)
- Dynamic stochastic general equilibrium model (1)
- EZB (1)
- Economic research (1)
- Effective Lower Bound (1)
- Effektivinflation (1)
- Energy crisis (1)
- Epidemiologic model (1)
- Epidemiologisches Modell (1)
- Estimation (1)
- European Central Bank (1)
- European Monetary Fund (1)
- European Monetary Union (1)
- European Stability Mechanism (1)
- Eurosystem (1)
- Exchange rate regime (1)
- FOMC (1)
- Financial Frictions (1)
- Financial Markets and the Macroeconomy (1)
- Financial frictions (1)
- Fiscal stress (1)
- Fokker-Planck equation (1)
- Forecast Comparison/ Competition (1)
- Forecasting (1)
- Forecasting and Simulation (1)
- Forward Guidance (1)
- Forward error (1)
- Frequency Domain (1)
- G-SIB (1)
- Gegenwartspreise (1)
- German Reunification (1)
- German natural gas market (1)
- Global Optimization (1)
- Globalization (1)
- Government spending multiplier (1)
- Great Recession (1)
- Hamilton filter (1)
- Herdenimmunität (1)
- Hierarchies (1)
- Hypothekarkredite (1)
- Income and Wealth Inequality (1)
- Incomplete Markets (1)
- Infektionsdynamik (1)
- Inflation (1)
- Inflation Forecasting (1)
- Interest Rate Forecasting (1)
- International Monetary Fund (1)
- Kalman Filter (1)
- Kaufkraft des Geldes (1)
- Labor cost adjustments (1)
- Lebenskostenindex (1)
- Lebenszeitverlust (1)
- Liquidity Facilities (1)
- Liquiditätseffekte der Zinspolitik (1)
- Local projection (1)
- MREL (1)
- Macroeconomic Forecasting (1)
- Markov-switching DSGE (1)
- Minimum Reserves (1)
- Mixed-frequency data (1)
- Model evaluation (1)
- Model uncertainty (1)
- Models and Applications (1)
- Monetary policy (1)
- Monetary policy rules (1)
- Monetary policy strategy (1)
- Monetary-fiscal interaction (1)
- Monte Carlo Methods (1)
- Narrative Identification (1)
- Natural Language Processing (1)
- Neural Network (1)
- New Keynesian DSGE (1)
- New Keynesian Models (1)
- New Keynesian macro-epidemic models (1)
- Nonlinear Bayesian Estimation (1)
- Occasionally Binding Constraints (1)
- Output Gap (1)
- Phillips Curve (1)
- Potential Output (1)
- Production, Saving, Consumption and Investment Forecasting (1)
- Production-based asset pricing (1)
- QE (1)
- RCT (1)
- Real-Time Data (1)
- Reproduktionszahlen (1)
- Reversible Jump Markov Chain Monte Carlo (1)
- Revisions (1)
- Schadensindex (1)
- Sensitivität (1)
- Sign Restrictions (1)
- Soft Information (1)
- Spezifität (1)
- Sticky Information (1)
- Structural policies (1)
- Supply Chain (1)
- Swiss Army Knife (1)
- TLAC (1)
- Taylor Rule (1)
- Taylor rule (1)
- Temporal aggregation (1)
- Top Income Taxation (1)
- Twitter (1)
- US top-wealth shares (1)
- Verdopplungszeit (1)
- Vermögenspreise (1)
- Welfare (1)
- Wohnungsfinanzierung (1)
- Word Embedding (1)
- Zero lower bound (1)
- Zinsen (1)
- aggregate uncertainty (1)
- asset pricing (1)
- bailouts (1)
- balance sheet risk (1)
- bank resolution (1)
- banking union (1)
- behavioral inattention (1)
- beliefs (1)
- biased beliefs (1)
- bond markets (1)
- borrowing (1)
- bubbles (1)
- business cycle (1)
- capital injection to banks (1)
- capital regulation (1)
- capital taxation (1)
- capital taxes (1)
- career concerns (1)
- cash (1)
- cash flow effects of interest rate policy (1)
- central bank (1)
- central bank accountability (1)
- central bank communication (1)
- central bank governance (1)
- cliff effect (1)
- climate change (1)
- climate-economy models (1)
- cognitive load (1)
- cognitive sophistication (1)
- collateral (1)
- compensation design (1)
- corporate debt (1)
- corporate taxes (1)
- counterfactual analysis (1)
- credit constraints (1)
- debt relief to households (1)
- default premium (1)
- demographic trends (1)
- disagreement (1)
- doubling time (1)
- dynamic factor models (1)
- education (1)
- elections (1)
- employment (1)
- endogenous growth (1)
- equilibrium interest rate (1)
- euro area (1)
- euro crisis (1)
- financial crisis (1)
- financial cycles (1)
- financial frictions (1)
- financial regulation (1)
- fiscal policy (1)
- fiscal policy transmission (1)
- fiscal stimulus (1)
- forecasting (1)
- forecasts (1)
- frequency domain (1)
- front loading Effekte (1)
- front loading effects (1)
- furlough (1)
- geopolitical risk (1)
- global co-movement (1)
- government finance (1)
- green central bank policy (1)
- growth (1)
- herd immunity (1)
- heterogeneous agents (1)
- heterogeneous expectations (1)
- hours per capita measurement (1)
- household debt (1)
- housing debt crisis (1)
- housing investments (1)
- index of lost lifetime (1)
- infection dynamics (1)
- inflation (1)
- inflation expectations (1)
- inflation forecasting (1)
- inflation target (1)
- information (1)
- information networks (1)
- internal ratings (1)
- labor income taxes (1)
- laboratory experiment (1)
- lender of last resort (1)
- leverage (1)
- liftoff (1)
- liquidity premium (1)
- loss index (1)
- loss sharing (1)
- low frequency trends (1)
- machine learning (1)
- macro-finance (1)
- macro-financial models (1)
- macro-prudential supervision (1)
- macroeconomic conditions (1)
- macroeconomic experiences (1)
- macrofinancial linkages (1)
- macroprudential policy transmission (1)
- market discipline (1)
- monetary financing (1)
- monetary institutions (1)
- monetary law (1)
- monetary policy rule (1)
- monetary policy rules (1)
- monetary policy transmission (1)
- mortgage loans (1)
- multiple equilibria (1)
- narrative sign restrictions (1)
- natural experiment (1)
- natural gas price (1)
- net wealth (1)
- nominal rigidity (1)
- nonlinearity (1)
- numerical solution method (1)
- online experiments (1)
- opportunity (1)
- output gap (1)
- output gap estimates (1)
- output hysteresis (1)
- peer effects (1)
- perceived wealth (1)
- policy evaluation (1)
- policy normalization (1)
- policy robustness (1)
- political economy (1)
- portfolio choice (1)
- potential output (1)
- price stability (1)
- principal-agent models (1)
- productivity growth (1)
- propagation of inequality (1)
- proportionality (1)
- prudential supervision (1)
- randomized controlled trial (1)
- real estate lending (1)
- regulatory arbitrage (1)
- reproduction number (1)
- robust monetary policy (1)
- rules vs discretion (1)
- saving (1)
- savings accounts (1)
- search and matching (1)
- seigniorage (1)
- sensitivity (1)
- shadow banking (1)
- simple rules (1)
- skewness (1)
- sovereign credit rating (1)
- sovereign debt (1)
- specificity (1)
- spending cuts (1)
- stabilization (1)
- state-owned enterprises (1)
- stochastic volatility (1)
- stock market reaction (1)
- structural scenario analysis (1)
- subjective expectations (1)
- survey forecasts (1)
- sustainable finance (1)
- synchronization (1)
- tax reform (1)
- technological growth (1)
- time-varying parameter (1)
- time-varying risk premia (1)
- treatment capacity (1)
- trend inflation (1)
- trend-cycle decomposition (1)
- trend-extrapolation (1)
- uncertainty (1)
- unconfirmed cases (1)
- unconventional monetary policy (1)
- updating (1)
- vector-autoregression (1)
- war (1)
- working hours (1)
- yield curve (1)
- yields (1)
- z-Transform (1)
Institute
- Sustainable Architecture for Finance in Europe (SAFE) (118) (remove)
90
In its meeting on 6 September 2012, the Governing Council of the ECB took decisions on a number of technical features regarding the Eurosystem’s outright transactions in secondary sovereign bond markets (OMT). This decision was challenged in the German Federal Constitutional Court (GFCC) by a number of constitutional complaints and other petitions. In its seminal judgment of 14 January 2014, the German court expressed serious doubts on the compatibility of the ECB’s decision with the European Union law.
It admitted the complaints and petitions even though actual purchases had not been executed and the control of acts of an organ of the EU in principle is not the task of the GFCC. As justification for this procedure the court resorted to its judicature on a reserved “ultra vires” control and the defense of the “constitutional identiy” of Germany. In the end, however, the court referred the case pursuant to Article 267 TFEU to the European Court of Justice (ECJ) for preliminary rulings on several questions of EU law. In substance, the German court assessed OMT as an act of economic policy which is not covered by the competences of the ECB. Furthermore, it judged OMT as a – by EU primary law – prohibited monetary financing of sovereign debt. The defense of the ECB (disruption of monetary policy transmission mechanism) was dismissed without closer scrutiny as being “irrelevant”. Finally the court opened, however, a way for a compromise by an interpretation of OMT in conformity with EU law under preconditions, specified in detail.
Procedure and findings of this judgment were harshly criticized by many economists but also by the majority of legal scholars. This criticism is largely convincing in view of the admissibility of the complaints. Even if the “ultra vires” control is in conformity with prior decisions of court it is in this judgment expanded further without compelling reasons. It is also questionable whether the standing of the complaining parties had to be accepted and whether the referral to the ECJ was indicated. The arguments of the court are, however, conclusive in respect of the transgression of competences by the ECB and – to somewhat lesser extent – in respect of the monetary debt financing. The dismissal of the defense as “irrelevant” is absolutey persuasive.
89
The Treaty of Maastricht imposed the strict obligation on the European Union (EU) to establish an economic and monetary union, now Article 3(4) TEU. This economic and monetary union is, however, not designed as a separate entity but as an integral part of the EU. The single currency was to become the currency of the EU and to be the legal tender in all Member States unless an exemption was explicitly granted in the primary law of the EU, as in the case of the UK and Denmark. The newly admitted Member States are obliged to introduce the euro as their currency as soon as they fulfil the admission criteria. Technically, this has been achieved by transferring the exclusive competence for the monetary policy of the Member States whose currency is the euro on the EU, Article 3(1)(c) TFEU and by bestowing the euro with the quality of legal tender, the only legal tender in the EU, Article 128(1) sentence 3 TFEU.
88
Savings accounts are owned by most households, but little is known about the performance of households’ investments. We create a unique dataset by matching information on individual savings accounts from the DNB Household Survey with market data on account-specific interest rates and characteristics. We document considerable heterogeneity in returns across households, which can be partly explained by financial sophistication. A one-standard deviation increase in financial literacy is associated with a 13% increase compared to the median interest rate. We isolate the usage of modern technology (online accounts) as one channel through which financial literacy has a positive association with returns.
87
A theory of the boundaries of banks with implications for financial integration and regulation
(2015)
We offer a theory of the "boundary of the
rm" that is tailored to banking, as it builds on a single ine¢ ciency arising from risk-shifting and as it takes into account both interbank lending as an alternative to integration and the role of possibly insured deposit funding. Amongst others, it explains both why deeper economic integration should cause also greater financial integration through both bank mergers and interbank lending, albeit this typically remains ine¢ ciently incomplete, and why economic disintegration (or "desychronization"), as currently witnessed in the European Union, should cause less interbank exposure. It also suggests that recent policy measures such as the preferential treatment of retail deposits, the extension of deposit insurance, or penalties on "connectedness" could all lead to substantial welfare losses.
86
In this paper, we examine how the institutional design affects the outcome of bank bailout decisions. In the German savings bank sector, distress events can be resolved by local politicians or a state-level association. We show that decisions by local politicians with close links to the bank are distorted by personal considerations: While distress events per se are not related to the electoral cycle, the probability of local politicians injecting taxpayers’ money into a bank in distress is 30 percent lower in the year directly preceding an election. Using the electoral cycle as an instrument, we show that banks that are bailed out by local politicians experience less restructuring and perform considerably worse than banks that are supported by the savings bank association. Our findings illustrate that larger distance between banks and decision makers reduces distortions in the decision making process, which has implications for the design of bank regulation and supervision.
83
How special are they? - Targeting systemic risk by regulating shadow banking : (October 5, 2014)
(2014)
This essay argues that at least some of the financial stability concerns associated with shadow banking can be addressed by an approach to financial regulation that imports its functional foundations more vigorously into the interpretation and implementation of existing rules. It shows that the general policy goals of prudential banking regulation remain constant over time despite dramatic transformations in the financial and technological landscape. Moreover, these overarching policy goals also legitimize intervention in the shadow banking sector. On these grounds, this essay encourages a more normative construction of available rules that potentially limits both the scope for regulatory arbitrage and the need for ever more rapid updates and a constant increase in the complexity of the regulatory framework. By tying the regulatory treatment of financial innovation closely to existing prudential rules and their underlying policy rationales, the proposed approach potentially ends the socially wasteful race between hare and tortoise that signifies the relation between regulators and a highly dynamic industry. In doing so it does not generally hamper market participants’ efficient discoveries where disintermediation proves socially beneficial. Instead, it only weeds-out rent-seeking circumventions of existing rules and standards.
82
In this paper, we investigate how the introduction of complex, model-based capital regulation affected credit risk of financial institutions. Model-based regulation was meant to enhance the stability of the financial sector by making capital charges more sensitive to risk. Exploiting the staggered introduction of the model-based approach in Germany and the richness of our loan-level data set, we show that (1) internal risk estimates employed for regulatory purposes systematically underpredict actual default rates by 0.5 to 1 percentage points; (2) both default rates and loss rates are higher for loans that were originated under the model-based approach, while corresponding risk-weights are significantly lower; and (3) interest rates are higher for loans originated under the model-based approach, suggesting that banks were aware of the higher risk associated with these loans and priced them accordingly. Further, we document that large banks benefited from the reform as they experienced a reduction in capital charges and consequently expanded their lending at the expense of smaller banks that did not introduce the model-based approach. Counter to the stated objectives, the introduction of complex regulation adversely affected the credit risk of financial institutions. Overall, our results highlight the pitfalls of complex regulation and suggest that simpler rules may increase the efficacy of financial regulation.
81
The recent decline in euro area inflation has triggered new calls for additional monetary stimulus by the ECB in order to counter the threat of a self‐reinforcing deflation and recession spiral. This note reviews the available evidence on inflation expectations, output gaps and other factors driving current inflation through the lens of the Phillips curve. It also draws a comparison to the Japanese experience with deflation in the late 1990s and the evidence from Japan concerning the outputinflation nexus at low trend inflation. The note concludes from this evidence that the risk of a selfreinforcing deflation remains very small. Thus, the ECB best await the impact of the long‐term refinancing operations decided in June that have the potential to induce substantial monetary accommodation once implemented for the first time in September.