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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

Financial cycles under diagnostic beliefs

Camous, Antoine; Van der Ghote, Alejandro - 2022

with endoge- nous risk-taking and capital accumulation. Agents form diagnostic expectations about future stochastic …

Persistent link: https://www.econbiz.de/10013189255

Benefits of macro-prudential policy in low interest rate environments

Van der Ghote, Alejandro - 2020

I study macro-prudential policy intervention in economies with secularly low interest rates. Intervention boosts risk …-free real interest rates unintentionally, simply as a by-product of containing systemic risk in financial markets. Thus …, intervention also boosts the natural rate of return in particular (i.e., the equilibrium risk-free rate that is consistent with …

Persistent link: https://www.econbiz.de/10012384490

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

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

On the interaction between monetary and macroprudential policies

Martin, Alberto; Mendicino, Caterina; Van der Ghote, … - 2021

The Global Financial Crisis fostered the design and adoption of macroprudential policies throughout the world. This raises important questions for monetary policy. What, if any, is the relationship between monetary and macroprudential policies? In particular, how does the effectiveness of...

Persistent link: https://www.econbiz.de/10012431776

Product quality, measured inflation and monetary policy

Rodnyansky, Alexander; Van der Ghote, Alejandro; Wales, … - 2022

This paper proposes a tractable New Keynesian (NK) economy with endogenous adjustment in product quality that nests the canonical framework. Endogenous quality choice reduces the slope of the traditional NK Phillips curve and ampliffes the economy's response to productivity shocks. This leads to...

Persistent link: https://www.econbiz.de/10013277166

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