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Why gradual and predictable? : bank lending during the sharpest quantitative tightening ever
Burlon, Lorenzo; Ferrari, Alessandro; Kho, Stephen; … - 2025
Exploiting the recalibration of ECB's outstanding central bank funding in 2022, we show that a sharp reabsorption of bank liquidity induces a tightening impact on credit supply, as intended when central banks reduce their balance sheets. The tightening originates from the sudden relative...
Persistent link: https://www.econbiz.de/10015179820
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The optimal quantity of CBDC in a bank-based economy
Burlon, Lorenzo; Montes-Galdón, Carlos; Muñoz, Manuel A. - 2022
. Welfare- maximizing CBDC policy rules are effective in mitigating the risk of bank disintermediation and induce significant …
Persistent link: https://www.econbiz.de/10013328782
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Mitigating the forward guidance puzzle : inattention, credibility, finite planning horizons and learning
De Groot, Oliver; Mazelis, Falk - 2020
This paper develops a simple, consistent methodology for generating empirically realistic forward guidance simulations using existing macroeconomic models by modifying expectations about policy announcements. The main advantage of our method lies in the exact preservation of all other shock...
Persistent link: https://www.econbiz.de/10012241145
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The (unobservable) value of central bank's refinancing operations
Albertazzi, Ugo; Burlon, Lorenzo; Jankauskas, Tomas; … - 2020
document that the quantitative relevance of non-fundamental risk is potentially large in the euro area banking sector, as … crucial role in containing fundamental as well as non-fundamental risk. Our counterfactuals show that 1 percentage point … reduction (increase) in the ECB lending rate of its refinancing operations reduces (increases) the median of banks' default risk …
Persistent link: https://www.econbiz.de/10012299010
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Asymmetric monetary policy rules for the euro area and the US
Maih, Junior; Mazelis, Falk; Motto, Roberto; … - 2021
We analyse the implications of asymmetric monetary policy rules by estimating Markovswitching DSGE models for the euro area (EA) and the US. The estimations show that until mid-2014 the ECB's response to in ation was more forceful when in ation was above 2% than below 2%. Since then, the ECB's...
Persistent link: https://www.econbiz.de/10012617047
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A toolkit for computing Constrained Optimal Policy Projections (COPPs)
De Groot, Oliver; Mazelis, Falk; Motto, Roberto; … - 2021
This paper presents a toolkit1 for generating optimal policy projections. It makes five contributions. First, the toolkit requires a minimal set of inputs: only a baseline projection for target and instrument variables and impulse responses of those variables to policy shocks. Second, it solves...
Persistent link: https://www.econbiz.de/10012519365
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Disciplining expectations and the forward guidance puzzle
Müller, Tobias; Christoffel, Kai; Mazelis, Falk; … - 2020
Forward guidance operates via the expectations formation process of the agents in the economy. In standard quantitative macroeconomic models, the expectations are unobserved state variables and little scrutiny is devoted to analysing the dynamic behaviour of these expectations. We show that the...
Persistent link: https://www.econbiz.de/10012241110
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Monetary policy strategies for the euro area : optimal rules in the presence of the ELB
Mazelis, Falk; Motto, Roberto; Ristiniemi, Annukka - 2023
We study alternative monetary policy strategies in the presence of the lower bound on nominal interest rates and a low equilibrium real rate using an estimated DSGE model for the euro area. We demonstrate that simple feedback rules that implement inflation targeting result in a binding lower...
Persistent link: https://www.econbiz.de/10014278603