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Negative Interest Rate Policy (NIRP) : Implications for Monetary Transmission and Bank Profitability in the Euro Area

Jobst, Andreas (Andy) - 2016

More than two years ago the European Central Bank (ECB) adopted a negative interest rate policy (NIRP) to achieve its price stability objective. Negative interest rates have so far supported easier financial conditions and contributed to a modest expansion in credit, demonstrating that the zero...

Persistent link: https://www.econbiz.de/10012977791

Inflation News and Euro Area Inflation Expectations

Garcia, Juan A. - 2019

Do euro area inflation expectations remain well-anchored? This paper finds that the protractedperiod of low (and below-target) inflation in the euro area since 2013 has weakened theiranchoring. Testing their sensitivity to inflation and macroeconomic news, this paper expandsexisting results in...

Persistent link: https://www.econbiz.de/10012892921

Monetary Policy Surprises and Inflation Expectation Dispersion

Grigoli, Francesco; Gruss, Bertrand; Lizarazo, Sandra - 2021

Anchoring of inflation expectations is of paramount importance for central banks' ability to deliver stable inflation and minimize price dispersion. Relying on daily interest rates and inflation forecasts from major financial institutions in the United States, we calculate monetary policy...

Persistent link: https://www.econbiz.de/10013252031

The Euro-Area Government Spending Multiplier at the Effective Lower Bound

Amendola, Adalgiso - 2019

We build a factor-augmented interacted panel vector-autoregressive model of the Euro Area (EA) and estimate it with Bayesian methods to compute government spending multipliers. The multipliers are contingent on the overall monetary policy stance, captured by a shadow monetary policy rate. In the...

Persistent link: https://www.econbiz.de/10012866218

Disagreement About Future Inflation : Understanding the Benefits of Inflation Targeting and Transparency

Brito, Steve - 2018

We estimate the determinants of disagreement about future inflation in a large and diversesample of countries, focusing on the role of monetary policy frameworks. We offer novelinsights that allow us to reconcile mixed findings in the literature on the benefits of inflationtargeting regimes and...

Persistent link: https://www.econbiz.de/10012925001

Biases in Survey Inflation Expectations : Evidence from the Euro Area

Chen, Jiaqian; Górnicka, Lucyna; Zdarek, Vaclav - 2022

This paper documents five facts about inflation expectations in the euro area. First, individual inflation forecasts overreact to individual news. Second, the cross-section average of individual forecasts of inflation underreact to shocks initially, but overreacts in the medium term. Third,...

Persistent link: https://www.econbiz.de/10014238518

Autonomous Factor Forecast Quality : The Case of the Eurosystem

Veyrune, Romain - 2020

of Eurosystem forecasts as a case study; and (3) analyzes the Eurosystem forecast errors to determine the factors … influencing forecast quality. A supporting factor for a high-quality forecast is the contemporaneousness of the information used …, whereas money market segmentation can weigh on forecast quality …

Persistent link: https://www.econbiz.de/10012843300

The Scarcity Effect of Quantitative Easing on Repo Rates : Evidence from the Euro Area

Arrata, William - 2019

Most short-term interest rates in the Euro area are below the European Central Bank deposit facility rate, the rate at which the central bank remunerates banks' excess reserves. This unexpected development coincided with the start of the Public Sector Purchase Program (PSPP). In this paper, we...

Persistent link: https://www.econbiz.de/10012895124

U.S. And Euro Area Monetary and Fiscal Interactions During the Pandemic : A Structural Analysis

Hodge, Andrew; Jakab, Zoltan; Lindé, Jesper; Nguyen, … - 2022

This paper employs a two-country New Keynesian DSGE model to assess the macroeconomic impact of the changes in monetary policy frameworks and the fiscal support in the U.S. and euro area during the pandemic. Moving from a previous target of “below, but close to 2 percent” to a formal...

Persistent link: https://www.econbiz.de/10014237881

Shocks to Inflation Expectations

Barrett, Philip; Adams, Jonathan J. - 2022

The consensus among central bankers is that higher inflation expectations can drive up inflation today, requiring tighter policy. We assess this by devising a novel method for identifying shocks to inflation expectations, estimating a semi-structural VAR where an expectation shock is identified...

Persistent link: https://www.econbiz.de/10013289451

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