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 (209)
Has Fulltext
- yes (209)
Is part of the Bibliography
- no (209)
Keywords
- monetary policy (12)
- DSGE (6)
- Federal Reserve (6)
- Monetary Policy (6)
- DSGE models (5)
- Deutschland (5)
- Numerical accuracy (5)
- Solution methods (5)
- model uncertainty (5)
- ECB (4)
- Geldpolitik (4)
- banking union (4)
- central bank independence (4)
- crises (4)
- household finance (4)
- model comparison (4)
- policy rules (4)
- quantitative easing (4)
- Bank (3)
- Bayesian estimation (3)
- Hamiltonian Monte Carlo (3)
- Inflation (3)
- Machine Learning (3)
- Monetary policy (3)
- Neural Networks (3)
- Risikokapital (3)
- Zero Lower Bound (3)
- banknotes (3)
- discretion (3)
- forecasting (3)
- interest rates (3)
- money (3)
- prudential supervision (3)
- real-time data (3)
- sovereign debt (3)
- zero lower bound (3)
- Agency-Theorie (2)
- Aktienkurs (2)
- Bankenaufsicht (2)
- Bayesian Analysis (2)
- Bayesian Estimation (2)
- Business Cycles (2)
- Cash (2)
- Climate change (2)
- DSGE Estimation (2)
- DSGE model (2)
- Deutsche Bundesbank (2)
- Discretion (2)
- Environmental policy (2)
- European Banking Authority (EBA) (2)
- European Central Bank (ECB) (2)
- Europäische Union (2)
- Europäische Zentralbank (2)
- FOMC (2)
- Finanzverfassung (2)
- Fiscal Policy (2)
- Heterogeneous Agents (2)
- Hongkong (2)
- Japan (2)
- Kreditgewährung (2)
- Kreditmarkt (2)
- New Keynesian model (2)
- Optimal policy (2)
- Quantitative Easing (2)
- Recht (2)
- Sign Restrictions (2)
- Single Supervisory Mechanism (SSM) (2)
- Transfer Learning (2)
- Transition risk (2)
- Verbraucherschutz (2)
- Zero nominal interest rate bound (2)
- bail-in (2)
- beliefs (2)
- business cycle (2)
- business cycles (2)
- consumption (2)
- entry (2)
- euro area (2)
- expectation formation (2)
- financial crisis (2)
- financial literacy (2)
- fiscal policy (2)
- forward guidance (2)
- frequency domain (2)
- inflation (2)
- monetary policy strategy (2)
- policy evaluation (2)
- policy robustness (2)
- political economy of bureaucracy (2)
- refugees (2)
- regulatory capture (2)
- social interactions (2)
- stabilization (2)
- survey (2)
- unemployment (2)
- wealth inequality (2)
- Öffentliche Schulden (2)
- ARMA (1)
- Allfinanzkonzern (1)
- Altersversorgung (1)
- Argentinien (1)
- Artificial Intelligence (1)
- Artificial Intelligence; (1)
- Aufsicht (1)
- Backward error (1)
- Bank lending standards (1)
- Bank of Japan (1)
- Bankenaufsichtsrecht (1)
- Bankenkrise (1)
- Bankkredit (1)
- Basel regulation (1)
- Bayes-Lernen (1)
- Bayesian VAR (1)
- Bayesian analysis (1)
- Bayesian inference (1)
- Bayesian learning (1)
- Bayesian time-varying parameter estimation (1)
- Behandlungskapazität (1)
- Bevölkerungsentwicklung (1)
- Blue Chip (1)
- Budgetierung (1)
- Capital Inflows (1)
- Capital-Asset-Pricing-Modell (1)
- Central Bank Communication (1)
- Central Bank Losses (1)
- Central Bank of Cyprus (1)
- Central Banks and Their Policies (1)
- Classification (1)
- Climate finance (1)
- Collateral (1)
- Commitment (1)
- Complexity (1)
- Compliance (1)
- Computational Methods (1)
- Condition number (1)
- Conditional Forecasts (1)
- Conditional Pooling (1)
- Container Trade (1)
- Corona (1)
- Credit (1)
- Credit supply (1)
- Crises Forecasting (1)
- Currency Board (1)
- Cyprus (1)
- Deficit spending (1)
- Deflation (1)
- Delphic forward guidance (1)
- Determinacy (1)
- Disinflation (1)
- Dunkelziffer (1)
- Dynamic stochastic general equilibrium model (1)
- ELA (1)
- EZB (1)
- Economic research (1)
- Effective Lower Bound (1)
- Effektivinflation (1)
- Energy crisis (1)
- Entscheidungsprozess (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)
- Eurozone (1)
- Exchange rate regime (1)
- Financial Frictions (1)
- Financial Markets and the Macroeconomy (1)
- Financial frictions (1)
- Finanzausgleich (1)
- Finanzdienstleistungsaufsicht (1)
- Finanzierung (1)
- Finanzplanung (1)
- Finanzwirtschaft (1)
- Fiscal policy (1)
- Fiscal stress (1)
- Fokker-Planck equation (1)
- Forecast Comparison/ Competition (1)
- Forecasting (1)
- Forecasting and Simulation (1)
- Forward Guidance (1)
- Forward error (1)
- Frankfurt <Main, 2007> (1)
- Frequency Domain (1)
- G-SIB (1)
- Garantie (1)
- Gegenwartspreise (1)
- German Reunification (1)
- German natural gas market (1)
- Geschichte 1980-2007 (1)
- Geschichte 1983-2008 (1)
- Geschichte 1986-2006 (1)
- Geschäftsleiterermesse (1)
- Gewinnverwendung (1)
- Global Optimization (1)
- Global financial crisis (1)
- Globalization (1)
- Government spending multiplier (1)
- Great Recession (1)
- Greenbook (1)
- Hamilton filter (1)
- Haushalt (1)
- Hedge Fund (1)
- Herdenimmunität (1)
- Hierarchies (1)
- Hong Kong (1)
- House Prices (1)
- Hypothekarkredite (1)
- IMF Program Participation (1)
- Income and Wealth Inequality (1)
- Incomplete Markets (1)
- Infektionsdynamik (1)
- Inflation Forecasting (1)
- Information (1)
- Innovation (1)
- Interest Rate Forecasting (1)
- International Monetary Fund (1)
- Internationaler Kreditmarkt (1)
- Investition (1)
- Kalman Filter (1)
- Kapitalstruktur (1)
- Kaufkraft des Geldes (1)
- Keynesian models (1)
- Kongress (1)
- Konkurrent (1)
- Konzernrecht (1)
- Konzernverantwortung (1)
- Kostenplanung (1)
- Kreditgeber (1)
- Kreditsicherung (1)
- Kreditwürdigkeitsprüfung (1)
- Labor cost adjustments (1)
- Landesbank (1)
- Lebenskostenindex (1)
- Lebenszeitverlust (1)
- Leistungsbilanz (1)
- Liquidity Facilities (1)
- Liquiditätseffekte der Zinspolitik (1)
- Loan market competition (1)
- Local projection (1)
- Länder (1)
- MREL (1)
- Maastricht criteria (1)
- Macroeconomic Forecasting (1)
- Macroeconomic Models (1)
- Markov-switching DSGE (1)
- Minimum Reserves (1)
- Mixed-frequency data (1)
- Model Comparison (1)
- Model Uncertainty (1)
- Model evaluation (1)
- Model uncertainty (1)
- Models and Applications (1)
- Monetary macroeconomics (1)
- Monetary policy rules (1)
- Monetary policy strategy (1)
- Monetary-fiscal interaction (1)
- Monte Carlo Methods (1)
- Moral Hazard (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)
- New Keynesian models (1)
- New Neoclassical synthesis (1)
- Nonlinear Bayesian Estimation (1)
- Nordrhein-Westfalen (1)
- Occasionally Binding Constraints (1)
- Organisationspflichten von Banken (1)
- Output Gap (1)
- Output Growth (1)
- Panel Sample Selection Models (1)
- Panel VAR (1)
- Phillips Curve (1)
- Phillips curve (1)
- Planungsrechnung (1)
- Policy Rules (1)
- Potential Output (1)
- Production, Saving, Consumption and Investment Forecasting (1)
- Production-based asset pricing (1)
- QE (1)
- RCT (1)
- Real-Time Data (1)
- Rechtsordnung (1)
- Relationship lending (1)
- Reproduktionszahlen (1)
- Restrukturierung (1)
- Reversible Jump Markov Chain Monte Carlo (1)
- Revisions (1)
- Risiko (1)
- Risikomanagement (1)
- Risk channel (1)
- Robustness (1)
- SVAR (1)
- Sachbearbeiter (1)
- Sanktionen (1)
- Schadensindex (1)
- Sensitivität (1)
- Short-run and long-run inflation expectations (1)
- Sicherstellungspflichten von Geschäftsleitern (1)
- Soft Information (1)
- Soft infomation (1)
- Sparkasse (1)
- Spezifität (1)
- Stabilisierung (1)
- Stability and Growth Pact (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)
- Unternehmensgründung (1)
- Unternehmenswachstum (1)
- Value at Risk (1)
- Verdopplungszeit (1)
- Vergütung (1)
- Vermögenspreise (1)
- Versicherungsaufsicht (1)
- Versicherungsaufsichtsrecht (1)
- Vorteil (1)
- Wechselkurs (1)
- Welfare (1)
- Westdeutsche Landesbank (1)
- Wettbewerb (1)
- Wirtschaftsaufsicht (1)
- Wirtschaftsberichterstattung (1)
- Wohnraum (1)
- Wohnungsfinanzierung (1)
- Word Embedding (1)
- Zentralbankautonomie (1)
- Zero lower bound (1)
- Zinsen (1)
- adaptive learning (1)
- aggregate uncertainty (1)
- asset prices (1)
- asset pricing (1)
- bailouts (1)
- balance sheet risk (1)
- bank resolution (1)
- behavioral inattention (1)
- biased beliefs (1)
- bond markets (1)
- boom-bust (1)
- borrowing (1)
- branches (1)
- bubbles (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)
- central bank mandates (1)
- cliff effect (1)
- climate change (1)
- climate-economy models (1)
- cognitive load (1)
- cognitive sophistication (1)
- collateral (1)
- common factor models (1)
- compensation design (1)
- competition (1)
- complexity (1)
- conditional forecasts (1)
- consolidating supervision (1)
- controlled diffusions and jump processes (1)
- convergence (1)
- corporate debt (1)
- corporate taxes (1)
- counterfactual analysis (1)
- credit constraints (1)
- crisis (1)
- cross-border banking (1)
- current account fluctuations (1)
- debt relief to households (1)
- default premium (1)
- deflation (1)
- demographic trends (1)
- density forecasts (1)
- disaggregated prices (1)
- disagreement (1)
- doubling time (1)
- dynamic factor models (1)
- dynamic investment (1)
- dynamic stochastic general equilibrium models (1)
- education (1)
- elections (1)
- employment (1)
- endogenous growth (1)
- equilibrium interest rate (1)
- equity prices (1)
- euro area regional and sectoral inflation (1)
- euro crisis (1)
- expectations (1)
- external instruments (1)
- financial cycles (1)
- financial frictions (1)
- financial regulation (1)
- financial sector (1)
- financial stability (1)
- financial system (1)
- fiscal dominance (1)
- fiscal policy transmission (1)
- fiscal rules (1)
- fiscal stimulus (1)
- forecast combination (1)
- forecasts (1)
- front loading Effekte (1)
- front loading effects (1)
- furlough (1)
- general equilibrium (1)
- geopolitical risk (1)
- global co-movement (1)
- government finance (1)
- green central bank policy (1)
- growth (1)
- growth and development (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 expectations (1)
- inflation forecasting (1)
- inflation persistence (1)
- inflation surge (1)
- inflation target (1)
- information (1)
- information networks (1)
- internal ratings (1)
- labor income taxes (1)
- laboratory experiment (1)
- learning about jumps (1)
- lender of last resort (1)
- leverage (1)
- liftoff (1)
- liquidity premium (1)
- loss index (1)
- loss sharing (1)
- low frequency trends (1)
- lumpy investment (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)
- markups (1)
- menu costs (1)
- micro-prudential supervision (1)
- monetary and fiscal policy (1)
- monetary financing (1)
- monetary institutions (1)
- monetary law (1)
- monetary policy real-time output gap (1)
- monetary policy rule (1)
- monetary policy rules (1)
- monetary policy transmission (1)
- monetary 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)
- optimal monetary policy (1)
- output gap (1)
- output gap estimates (1)
- output hysteresis (1)
- panel VAR (1)
- panel vector autoregression (1)
- peer effects (1)
- perceived wealth (1)
- persistent or transitory inflation shock (1)
- policy normalization (1)
- policy rule (1)
- political economy (1)
- populism (1)
- portfolio choice (1)
- potential output (1)
- price stability (1)
- principal-agent models (1)
- product market competition (1)
- productivity growth (1)
- propagation of inequality (1)
- proportionality (1)
- quantile regressions (1)
- quantity theory (1)
- randomized control trial (1)
- randomized controlled trial (1)
- rational expectations (1)
- rational learning (1)
- real estate lending (1)
- regulatory arbitrage (1)
- reproduction number (1)
- robust monetary policy (1)
- robust policy (1)
- robust simple rules (1)
- rules (1)
- rules vs discretion (1)
- saving (1)
- savings accounts (1)
- search and matching (1)
- seigniorage (1)
- sensitivity (1)
- shadow banking (1)
- shadow banking system (1)
- simple rules (1)
- skewness (1)
- sovereign credit rating (1)
- specificity (1)
- spectral regression (1)
- spending cuts (1)
- state-owned enterprises (1)
- sticky information (1)
- sticky wages (1)
- stochastic volatility (1)
- stock market reaction (1)
- structural breaks (1)
- structural scenario analysis (1)
- subjective expectations (1)
- subsidiaries (1)
- survey experiment (1)
- survey forecasts (1)
- sustainable finance (1)
- synchronization (1)
- tax reform (1)
- technological growth (1)
- time-varying parameter (1)
- time-varying risk premia (1)
- too low for too long (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)
- venture capital (1)
- war (1)
- working hours (1)
- yield curve (1)
- yields (1)
- z-Transform (1)
73
This paper analyzes the evolving architecture for the prudential supervision of banks in the euro area. It is primarily concerned with the likely effectiveness of the SSM as a regime that intends to bolster financial stability in the steady state. By using insights from the political economy of bureaucracy it finds that the SSM is overly focused on sharp tools to discipline captured national supervisors and thus underincentives their top-level personnel to voluntarily contribute to rigid supervision. The success of the SSM in this regard will hinge on establishing a common supervisory culture that provides positive incentives for national supervisors. In this regard, the internal decision making structure of the ECB in supervisory matters provides some integrative elements. Yet, the complex procedures also impede swift decision making and do not solve the problem adequately. Ultimately, a careful design and animation of the ECB-defined supervisory framework and the development of inter-agency career opportunities will be critical.
The ECB will become a de facto standard setter that competes with the EBA. A likely standoff in the EBA’s Board of Supervisors will lead to a growing gap in regulatory integration between SSM-participants and other EU Member States.
Joining the SSM as a non-euro area Member State is unattractive because the current legal framework grants no voting rights in the ECB’s ultimate decision making body. It also does not supply a credible commitment opportunity for Member States who seek to bond to high quality supervision.
116
This paper analyzes the bail-in tool under the Bank Recovery and Resolution Directive (BRRD) and predicts that it will not reach its policy objective. To make this argument, this paper first describes the policy rationale that calls for mandatory private sector involvement (PSI). From this analysis, the key features for an effective bail-in tool can be derived.
These insights serve as the background to make the case that the European resolution framework is likely ineffective in establishing adequate market discipline through risk-reflecting prices for bank capital. The main reason for this lies in the avoidable embeddedness of the BRRD’s bail-in tool in the much broader resolution process, which entails ample discretion of the authorities also in forcing private sector involvement. Moreover, the idea that nearly all positions on the liability side of a bank’s balance sheet should be subjected to bail-in is misguided. Instead, a concentration of PSI in instruments that fall under the minimum requirements for own funds and eligible liabilities (MREL) is preferable.
Finally, this paper synthesized the prior analysis by putting forward an alternative regulatory approach that seeks to disentangle private sector involvement as a precondition for effective bank-resolution as much as possible form the resolution process as such.
187
Climate change has become one of the most prominent concerns globally. In this paper, the authors study the transition risk of greenhouse gas emission reduction in structural environmental-macroeconomic DSGE models. First, they analyze the uncertainty in model prediction on the effect of unanticipated and pre-announced carbon price increases. Second, they conduct optimal model-robust policy in different settings. They find that reducing emissions by 40% causes 0.7% to 4% output loss with 2% on average. Pre-announcement of carbon prices affects the inflation dynamics significantly. The central bank should react slightly less to inflation and output growth during the transition risk. With optimal carbon price designs, it should react even less to inflation, and more to output growth.
184
We assemble a data set of more than eight million German Twitter posts related to the war in Ukraine. Based on state-of-the-art methods of text analysis, we construct a daily index of uncertainty about the war as perceived by German Twitter. The approach also allows us to separate this index into uncertainty about sanctions against Russia, energy policy and other dimensions. We then estimate a VAR model with daily financial and macroeconomic data and identify an exogenous uncertainty shock. The increase in uncertainty has strong effects on financial markets and causes a significant decline in economic activity as well as an increase in expected inflation. We find the effects of uncertainty to be particularly strong in the first months of the war.
186
We analyze the repercussions of different kinds of uncertainty on cash demand, including uncertainty of the digital infrastructures, confidence crises of the financial system, natural disasters, political uncertainties, and inflationary crises. Based on a comprehensive literature survey, theoretical considerations and complemented by case studies, we derive a classification scheme how cash holdings typically evolve in each of these types of uncertainty by separating between demand for domestic and international cash as well as between transaction and store of value balances. Hereby, we focus on the stabilizing macroeconomic properties of cash and recommend guidelines for cash supply by central banks and the banking system. Finally, we exemplify our analysis with five case studies from the developing world, namely Venezuela, Zimbabwe, Afghanistan, Iraq, and Libya.
196
We investigate how unconventional monetary policy, via central banks’ purchases of corporate bonds, unfolds in credit-saturated markets. While this policy results in a loosening of credit market conditions as intended by policymakers, we report two unintended side effects. First, the policy impacts the allocation of credit among industries. Affected banks reallocate loans from investment-grade firms active on bond markets almost entirely to real estate asset managers. Other industries do not obtain more loans, particularly real estate developers and construction firms. We document an increase in real estate prices due to this policy, which fuels real estate overvaluation. Second, more loan write-offs arise from lending to these firms, and banks are not compensated for this risk by higher interest rates. We document a drop in bank profitability and, at the same time, a higher reliance on real estate collateral. Our findings suggest that central banks’ quantitative easing has substantial adverse effects in credit-saturated economies.
143
Using a nonlinear Bayesian likelihood approach that fully accounts for the zero lower bound on nominal interest rates, the authors analyze US post-crisis business cycle dynamics and provide reference parameter estimates. They find that neither the inclusion of financial frictions nor that of household heterogeneity improve the empirical fit of the standard model, or its ability to provide a joint explanation for the post-2007 dynamics. Associated financial shocks mis-predict an increase in consumption. The common practice of omitting the ZLB period in the estimation severely distorts the analysis of the more recent economic dynamics.
139
Das Working Paper bietet die zusammenfassende Stellungnahme von Prof. Volker Wieland zum Ankaufprogramm der Europäischen Zentralbank für Anleihen des öffentlichen Sektors (Public Sector Purchase Programme, PSPP) am Bundesverfassungsgericht am 30.07.2019. Dabei liegt der Schwerpunkt auf der Frage der Einordnung des PSPP als monetäre, geldpolitische Maßnahme und der Verhältnismäßigkeit des Programms und seiner Umsetzung. Ebenfalls wird kurz auf die weiteren Fragen zur Umsetzung, insbesondere Ankündigung, Begrenzung und Abstand zum Primärmarkt für Staatsanleihen eingegangen.
161
The authors present evidence of a new propagation mechanism for wealth inequality, based on differential responses, by education, to greater inequality at the start of economic life. The paper is motivated by a novel positive cross-country relationship between wealth inequality and perceptions of opportunity and fairness, which holds only for the more educated. Using unique administrative micro data and a quasi-field experiment of exogenous allocation of households, the authors find that exposure to a greater top 10% wealth share at the start of economic life in the country leads only the more educated placed in locations with above-median wealth mobility to attain higher wealth levels and position in the cohort-specific wealth distribution later on. Underlying this effect is greater participation in risky financial and real assets and in self-employment, with no evidence for a labor income, unemployment risk, or human capital investment channel. This differential response is robust to controlling for initial exposure to fixed or other time-varying local features, including income inequality, and consistent with self-fulfilling responses of the more educated to perceived opportunities, without evidence of imitation or learning from those at the top.
79
What happened in Cyprus? The economic consequences of the last communist government in Europe
(2014)
This paper reviews developments in the Cypriot economy following the introduction of the euro on 1 January 2008 and leading to the economic collapse of the island five years later. The main cause of the collapse is identified with the election of a communist government in February 2008, within two months of the introduction of the euro, and its subsequent choices for action and inaction on economic policy matters. The government allowed a rapid deterioration of public finances, and despite repeated warnings, damaged the country's creditworthiness and lost market access in May 2011. The destruction of the island's largest power station in July 2011 subsequently threw the economy into recession. Together with the intensification of the euro area crisis in the summer and fall of 2011, these events weakened the banking system which was vulnerable due to its exposure in Greece. Rather than deal with its fiscal crisis, the government secured a loan from the Russian government that allowed it to postpone action until after the February 2013 election. Rather than protect the banking system, losses were imposed on banks and a campaign against them was coordinated and used as a platform by the communist party for the February 2013 election. The strategy succeeded in delaying resolution of the crisis and avoiding short-term political cost for the communist party before the election, but also in precipitating a catastrophe right after the election.