Sovereign bond holdings and monetary policy operations in the euro area

This paper investigates the relationship between sovereign bond holdings of banks and refinancing operations by the ECB for countries in the euro area. We use data collected by Bruegel as well as a new dataset compiled from the annual statements of national central banks to estimate panel regression models. Our findings support the hypothesis that the ECB’s refinancing operations have increased resident banks’ exposure to domestic sovereign bonds. This is in line with the moral suasion theory advanced in the literature. These results strengthen the case for regulatory changes aimed at reducing the sensitivity of banks to sovereign risk.     

我国货币政策失效的原因分析及对策

1997年以来,我国的货币政策在经济增长中起到了一定的作用,但也存在一些失效,主要表现在利率机制、准备金政策、公开市场业务等方面存在缺陷。因此,必须不断完善我国的货币政策,以便更好地为经济增长提供政策指导。     

Central bank credibility and monetary policy in Indonesia

This paper examines the role of central bank credibility in achieving an inflation target and proposes monetary policy rules for Indonesia. Towards that end, we construct and estimate a forward-looking small scale macroeconomic model (SSMM) of the Indonesian economy by adapting the theoretical underpinnings of the well-known Batini–Haldane model, along with the Taylor policy rule. Our results indicate that it is crucial for the Indonesian central bank to bolster its credibility in order to achieve a lower inflation rate. The inflation–output volatility trade-off frontier we derived from the SSMM shows that a monetary policy rule that targets both inflation and output gaps will result in less macroeconomic volatility. We also found that the inclusion of the exchange rate into the rule as an additional feedback variable warrants consideration in the future course of monetary policy management.     

宏观金融博弈分析与我国货币政策实践

西方经济学界将博弈分析方法推广到金融领域取得了理论成果,尤其以宏观金融博弈分析在20世纪90年代的最新发展为主要内容.完全信息动态博弈和不完全信息动态博弈两类模型,对货币政策的连贯性与可信度以及中央银行声誉做出了重新解释,货币政策目标、货币政策操作程序、中央银行独立性及政策透明度等热点问题在我国金融体制改革实践中的作用是至关重要的.     

Exchange rate and wage policies in Central and Eastern Europe

After the eastern enlargement of the European Union (EU) and due to increasing labor market integration, wage determination in Central and Eastern Europe (CEE) has become a key issue in European economic policy making. In addition, a controversial discussion concerning the monetary integration of CEE countries into the EMU has emerged. Both issues have earned particular academic and political interest because Eastern and Western Europe are at different stages of economic development and volatile international capital flows seem to require either a higher degree of wage or exchange rate flexibility. Based on the Scandinavian model of wage adjustment by Lindbeck (1979), we analyze the role of exchange rates in the wage determination process of the Central and Eastern European countries to identify which exchange rate strategy contributes to faster wage convergence in Europe. Panel estimations suggest that workers in countries with fixed exchange rates are likely to benefit in the long run from higher wage increases.     

The impact of the twin financial crises

We focus on the first 20 years of the Euro, from 1999 to 2019, and we split this period into two approximate decades to examine the performance of three benchmarks: the real GDP quarterly growth, the annualized real per capita GDP changes and unemployment. These illustrate that the underperformance of Europe is more evident during the second decade. Searching for causes we find that the Global Financial Crisis was an exogenous shock to the EU but its impact was large in both the U.S. and the EU. One major reason is that the U.S. responded quickly and aggressively both fiscally and via an unconventional monetary policy. The Euro area was constrained by a European Central Bank that focused on price stability, and fiscal policy was not much of an option. The second shock of the Sovereign Debt Crisis was endogenous to the Euro area and it, more than the Global Financial Crisis, revealed the original weaknesses and fragility of the European monetary union. This financial fragility quickly translated into declines in aggregate demand and economic underperformance.     

The impact of the term spread in US monetary policy from 1870 to 2013

In this paper, we apply a novel econometric approach joint with an exhaustive revision of the main events in the history of US monetary policy in order to check the effectiveness of monetary policy focused on interest rates. Unlike the traditional cointegration approach, this new methodology allows us to break with the rigidity of traditional approaches in favour of letting the series be cointegrated, and the spread is able to follow a long-memory process; i.e., it does not necessarily need to be I(0) and also rejects the assumption that interest rates could follow the dichotomy I(0)/I(1). To the best of our knowledge, this is one of the first applications of the Fractionally Cointegrated Vector Autoregressive (FCVAR) model (Johansen and Nielsen (2012) and Nielsen and Popiel (2016)). Aiming to achieve this goal, we use two databases, i.e., the Jordà-Schularick-Taylor Macrohistory Database and Shiller’s database. Our results cannot reject the Expectations Hypothesis of Term Structure in this time period, and more importantly, we also find that the long-term rate drives the long-run relationship, contributing to the total proportion to the common trend; the persistence of the spread shows us effective control power over interest rates by the Fed.     

Macroeconomic effects of an open-ended asset purchase programme

We evaluate the effectiveness of an open-ended asset purchase programme (APP) using a New Keynesian model of euro area. We assume that the central bank does not announce the ending date of the programme, and agents form their expectations about possible additional purchases beyond the horizon of the announcement according to the central bank reaction function, that links the purchases to the expected inflation gap. It is showed that the open-ended APP is more effective in stimulating macroeconomic conditions than committing ex ante to an ending date.     

Commodities and monetary policy: Implications for inflation and price level targeting

We examine the relative ability of inflation targeting and price level targeting monetary policy rules to minimize inflation variability and business cycle fluctuations in a commodity-exporting country for supply and demand shocks to global commodity markets. The macroeconomic consequences of oil and non-oil primary commodities differ and affect the relative merits of the alternative monetary policy frameworks. Particularly, the consumption of refined oil products and demand-driven commodity price movements induce highly persistent inflation pressures resulting in a significant deterioration of the inflation-output gap trade-off available to central banks. When such terms-of-trade shocks are prevalent, price level targeting is inferior to inflation targeting.     

货币政策与资本市场关系的理论溯源

货币政策与资本市场之间的关系,其深刻的理论渊源可以从货币数量理论和有效市场理论的有关论述中探寻。这些理论对于货币政策在资本市场预测效力上存在争论,经济学家对这两种理论的维护和相互融通方面做出了重要贡献。     

Zero Lower Bound and negative interest rates: Choices for monetary policy in the UK

There have been relatively few analyses of the policy context and consequences of a Zero Lower Bound (ZLB) for nominal interest rates. This paper sets out monetary policy alternatives, including negative interest rates, a revision of the inflation target, and rendering unconventional policy instruments such as QE conventional (permanent). Following extensive discussion of policy options, we set out a model that explores the impacts of the real policy rate on economic growth, employment and inflation, with particular attention to the British economy. We use a Time-Varying Structural Vector Auto-regressive (TVSVAR) Model where the sources of time variation are both the coefficients and variance–covariance matrix of the innovations. It was found that real rates have significant implications for real growth, the labour market and price stability even when monetary policy was constrained at the ZLB in nominal terms. The study additionally applies a discrete break in the data to focus on the Post-Global Financial Crisis and ZLB period. This indicates that the effectiveness of real rates did not diminish and this has important implications in terms of a policy approach which seeks to exploit real negative rates.     

Modeling U.S. monetary policy during the global financial crisis and lessons for Covid-19

The paper formulates the modeling of unconventional monetary policy and critically evaluates its effectiveness to address the Global Financial Crisis. We begin with certain principles guiding general scientific modeling and focus on Milton Friedman's 1968 Presidential Address that delineates the strengths and limitations of monetary policy to pursue certain goals. The modeling of monetary policy with its novelty of quantitative easing to target unusually high unemployment is evaluated by a Markov switching econometric model using monthly data for the period 2002–2015. We conclude by relating the lessons learned from unconventional monetary policy during the Global Financial Crisis to the recent bold initiatives of the Fed to mitigate the economic and financial impact of the Covid-19 pandemic on U.S. households and businesses.     

Effect of monetary policy credibility on the fear of floating: Evidence from Brazil

Based on the argument that monetary policy credibility can reduce the fear of floating (FF), we analyze this hypothesis for Brazil. Since expectations play a key role under Inflation Targeting, we also analyze whether credibility can affect the expectations of financial markets about the FF of the Central Bank. The results show credibility can reduce the FF, and financial markets expect less intervention by the Central Bank when credibility is higher. Thus, policymakers must pay attention to the credibility of their policies, otherwise they may be misinterpreted regarding both the goals they pursue and how they conduct monetary policy.     

Transmission of monetary policy in the US and EU in times of expansion and crisis

In this work, the effectiveness of monetary policy and its transmission channels are analyzed before and after the 2007 economic crisis in the United States and the Eurozone by using a VAR model. We find that, in the United States, monetary policy before and after the crisis have been effective, with special emphasis on the “risk channel”. In the Eurozone, monetary policy was also effective before the crisis, being transmitted through the “credit channel”. Once the crisis erupted, unconventional monetary policy remained effective only at the start of the crisis; the risk channel then became the effective transmission mechanism.     

Trust and health in Eastern Europe: Conceptions of a new society

Little attention has been paid to why trends and levels of mortality and morbidity differ in Eastern Europe and few studies have addressed people's own perceptions of their new political system – perceptions which per se may be important for social development. The aim of the present study was to analyse the extent to which trust and economic circumstances affect self‐rated health in Poland, Estonia and Russia and how much health differences between the countries can be explained by these factors. A better economy and higher trust were related to better individual health, while economic factors seemed most important for inter‐country differences. It is probable that both institutional factors and individual perceptions contribute to people's well‐being, but in terms of social policy, an improved welfare system may be the most effective way forward.     

The impact of policy measures and coaching on the availability and accessibility of early child care: A longitudinal study

We conducted a study of changes in the availability, accessibility and enrolment of children from low‐income, single‐parent and ethnic minority families in early child care centres. The study was carried out in Brussels which offers unique possibilities to study accessibility in a context in which quality and costs are controlled across centres. A survey on access policies in 89 day care centres, and on 150 mothers regarding their search process, was complemented by two focus groups attended by centre directors. The results were compared with data from a similar study we conducted in 2005. The results show that while inequality in availability has remained, centre directors' awareness of social priority criteria has changed, resulting in a significant increase in the enrolment of children from single‐parent and ethnic minority families, and – to a lesser extent – an increase in the enrolment of children from low‐income families. The results support the hypothesis that policy measures, combined with support, can influence inequalities in enrolment rates.     

Ageing and the politics of pension reforms in Central Europe,South‐Eastern Europe and the Baltic States

Cerami A. Ageing and the politics of pension reforms in Central Europe, South‐Eastern Europe and the Baltic States Int J Soc Welfare 2011: 20: 331–343 © 2010 The Author(s), Journal compilation © 2010 Blackwell Publishing Ltd and the International Journal of Social Welfare. This article investigates ageing and the politics of pension reforms in Central Europe, South‐Eastern Europe and the Baltic States. It emphasises the importance of historical legacies, presence of veto points, trade unions' power, electoral rules and country‐specific patterns of political competition, but it also highlights the central role in institutional change played by other concomitant factors, such as those associated with the communicative actions of national and international actors. The role played by power politics, class conflicts and strategic use of social policies is also emphasised. The main argument put forward in this article is that pressures for reforms in the pension systems have not only been the response of demographic, economic and financial pressures but have also been the result of a new consensus found on new economic ideas and discourses that saw in the privatisation of the economy a new modernisation paradigm.     

Different macroclosures of the original Johansen model and their impact on policy evaluation

It seems necessary to get a better understanding of the economics involved in the rather large and complicated computable general equilibrium models now being implemented in several countries. This paper contributes to the discussion on how the results from such models depend on the choice of closure rule. Within a very general setup, the original Johansen model, the different behaviors of the model are discussed under different closure rules, and the effects of fiscal policy under the alternative closures are quantified by numerical experiments.     

Hybridization instead of Clustering: Transformation Processes of Welfare Policies in Central and Eastern Europe

Welfare state theories tend to use concepts of clustering for defining the affiliation of national social security systems to overarching worlds of welfare. A closer look at the transformation processes of welfare policies in Central and Eastern Europe shows a great variability among those countries in approximating their welfare states to Western European standards. In the design of their pension systems, their health care provision and their unemployment protection, Central and Eastern European Countries (CEEC) follow different reform paths. Welfare clusters in Western Europe are used as reference models, but no single example applies to all sectors of social security. Thus, a generalizing picture of welfare provision cannot be drawn for Central and Eastern Europe. Instead of constituting a new individual type of welfare arrangement, a hybridization process is observable.