Presenter: Şebnem Kalemli-Özcan Affiliation: University of Maryland, Department of Economics. Paper: Five Facts about the UIP Premium. Date: February 8, 2022 Time: 13:00 GMT Abstract: We document five novel facts about Uncovered Interest Parity (UIP) deviations vis-à-vis the U.S. dollar for 34 currencies of advanced economies and emerging markets, using survey data on expected exchange … Read more
Presenter: Stephanie Schmitt-Grohé Affiliation: Columbia University, Department of Economics Paper: Optimal Bank Reserve Remuneration and Capital Control Policy (slides) Date: February 1st, 2022 Time: 13:00 GMT Abstract: A central prediction of open economy models with a pecuniary externality due to a collateral constraint is that the unregulated economy overborrows relative to what occurs under optimal … Read more
Presenter: Ricardo Reis Affiliation: London School of Economics and Political Science Paper: TBA. Date: January 11, 2022 Time: 13:00 GMT Abstract: The prices of inflation options hold the promise of giving the probability of inflation being either very high or very low at long horizons. To realize this promise requires making three adjustments to option … Read more
Presenter: Toni Whited Affiliation: University of Michigan, Ross School of Business. Paper: Bank Market Power and Monetary Policy Transmission: Evidence from a Structural Estimation (Journal of Finance, forthcoming). Date: January 4, 2022 Time: 13:00 GMT Abstract: We quantify the impact of bank market power on monetary policy transmission through banks to borrowers. We estimate a … Read more
Presenter: Cynthia Wu Affiliation: University of Notre Dame, Department of Economics Paper: Average Inflation Targeting: Time Inconsistency and Intentional Ambiguity Date: December 28, 2021. Time: 13:00 GMT We study the implications of the Fed’s new policy framework of average inflation targeting (AIT) and its ambiguous communication. The central bank has the incentive to deviate from … Read more
Presenter: Jean Tirole Affiliation: Toulouse School of Economics Paper: Industrial Monetary Policy Date: December 14, 2021 Time: 13:00 GMT Abstract: We consider “industrial monetary policies”: Liquidity support policies through which authorities shape the location and continuation of economic activity on their soil, with consequences for banks’ international specialization, place of incorporation, charter of affiliates and … Read more
Presenter: Nikolai Roussanov Affiliation: University of Pennsylvania, Wharton School Paper: Getting to the Core: Inflation Risks Within and Across Asset Classes (slides) Date: November 30, 2021 Time: 13:00 GMT Abstract: Decomposing inflation into core and non-core components (e.g., energy) sheds new light on the nature of inflation risk and risk premia. While stocks have insignificant … Read more
Presenter: Ricardo Reis Affiliation: London School of Economics and Political Science Paper: The Constraint on Public Debt when r < g but g < m. Date: November 16, 2021 Time: 13:00 GMT Abstract: With real interest rates below the growth rate of the economy, but the marginal product of capital above it, the public debt ... Read more
We study the monetary-fiscal mix in the European Monetary Union. The medium and long-run effects of conventional and unconventional monetary policy can be analysed by combining monetary policy shocks identified in a Structural VAR, and the general government budget constraint featuring a single central bank and multiple fiscal authorities. In response to a conventional easing of the policy rate, the real discount rate declines, absorbing the increase in deficit due to the fiscal policy leaning towards the easing. Conversely, in response to an unconventional easing of the long end of the yield curve, the discount rate declines strongly, while the primary fiscal surplus barely moves. The long-run effect of unconventional monetary easing on inflation is about half than that of conventional, a result which also explains the muted response of fiscal policy. Results do not point to large differences across countries.
Before the 2008 crisis, the cross-sectional skewness of banks’ leverage went up and macro risk concentrated in the balance sheets of large banks. Using a model of profit-maximizing banks with heterogeneous Value-at-Risk constraints, we extract the distribution of banks’ risk-taking parameters from balance sheet data. The time series of these estimates allow us to understand systemic risk and its concentration in the banking sector over time. Counterfactual exercises show that (1) monetary policymakers confront the trade-off between stimulating the economy and financial stability, and (2) macroprudential policies can be effective tools to increase financial stability.