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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

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

Targeted monetary policy, dual rates and bank risk taking

Barbiero, Francesca; Burlon, Lorenzo; Dimou, Maria; … - 2022

bank lending conditions and bank risk-taking. For identification, we use high-frequency reactions of bank bonds around the …. The increase in lending was not accompanied by excessive risk-taking, especially for banks with low intermediation margin …

Persistent link: https://www.econbiz.de/10013285962

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

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

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

Macroprudential policy measures : macroeconomic impact and interaction with monetary policy

Cozzi, Guido; Darracq Pariès, Matthieu; Karadi, Peter; … - 2020

This paper examines the interactions of macroprudential and monetary policies. We find, using a range of macroeconomic models used at the European Central Bank, that in the long run, a 1% bank capital requirement increase has a small impact on GDP. In the short run, GDP declines by 0.15-0.35%....

Persistent link: https://www.econbiz.de/10012165315

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

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