nep-cba New Economics Papers
on Central Banking
Issue of 2016‒04‒30
25 papers chosen by
Maria Semenova
Higher School of Economics

  1. Macroprudential theory: advances and challenges By Henrique S. Basso; James Costain
  2. On the limits of macroprudential policy By Marcin Kolasa
  3. De-dollarization of credit in Peru: the role of unconventional monetary policy tools By Castillo, Paul; Vega, Hugo; Serrano, Enrique; Burga, Carlos
  4. Monetary Policy and the Current Account: Theory and Evidence By Hjortsoe, Ida; Weale, Martin; Wieladek, Tomasz
  5. Dynamic Debt Deleveraging and Optimal Monetary Policy By Benigno, Pierpaolo; Eggertsson, Gauti; Romei, Federica
  6. Are Low Interest Rates Deflationary? A Paradox of Perfect- Foresight Analysis By Mariana Garcıa-Schmidt; Michael Woodford
  7. Forecast Disagreement and the Inflation Outlook: New International Evidence By Pierre L. Siklos
  8. The impact of monetary strategies on inflation persistence By Evzen Kocenda; Balazs Varga
  9. Real-Time Forecasting for Monetary Policy Analysis: The Case of Sveriges Riksbank By Iversen, Jens; Laséen, Stefan; Lundvall, Henrik; Söderström, Ulf
  10. Inflation and the growth rate of money in the long run and the short run By Díaz-Giménez, Javier; Kirkby, Robert
  11. Elasticity and Discipline in the Global Swap Network By Perry Mehrling
  12. On the influence of the U.S. monetary policy on the crude oil price volatility By Amendola, Alessandra; Candila, Vincenzo; Scognamillo, Antonio
  13. Exchange rates and monetary policy uncertainty By Philippe Mueller; Alireza Tahbaz-Salehi; Andrea Vedolin
  14. An Econometric Evaluation of Bank Recapitalization Programs with Bank- and Loan-level Data By Nakashima, Kiyotaka
  15. Inertia of the U.S. Dollar as a Key Currency through the Two Crises By OGAWA Eiji; MUTO Makoto
  16. Verification of Monetary Policy Effect through Corporate Debt: Empirical analysis using Japanese firm-level data (Japanese) By SHOJI Keishi
  17. Volatility effects of news shocks in New Keynesian models with optimal monetary policy: Updated version By Offick, Sven; Wohltmann, Hans-Werner
  18. Measuring Systemic Risk Across Financial Market Infrastructures By Fuchun Li; Héctor Pérez Saiz
  19. What determines how banks respond to changes in capital requirements? By Bahaj, Saleem; Bridges, Jonathan; Malherbe, Frederic; O’Neill, Cian
  20. The Mechanism of Inflation Expectation Formation among Consumers By Naohito Abe; Yuko Ueno
  21. Evaluation of unconventional monetary policy in a small open economy By Martin Pietrzak
  22. How Monetary Policy Changes Bank Liability Structure and Funding Cost. By M. Girotti
  23. Debt deflation, financial market stress and regime change: Evidence from Europe using MRVAR By Ernst, Ekkehard; Semmler, Willi; Haider, Alexander
  24. Does banknote quality affect counterfeit detection? Experimental evidence from Germany and the Netherlands By van der Horst, Frank; Eschelbach, Martina; Sieber, Susann; Miedema, Jelle
  25. Monetary aggregates in Italy since 1861: evidence from a new dataset By Federico Barbiellini Amidei; Riccardo De Bonis; Miria Rocchelli; Alessandra Salvio; Massimiliano Stacchini

  1. By: Henrique S. Basso (Banco de España); James Costain (Banco de España)
    Abstract: This note discusses recent theoretical work analyzing the causes of financial instability, its consequences for the macroeconomy, and thus the potential role for macroprudential policy. After discussing how information asymmetries and strategic complementarities can cause balance sheet losses to propagate through the financial system and over time, we discuss the role of the major classes of macroprudential instruments in preventing instability ex ante and containing it ex post. We conclude with a discussion of current challenges for macroeconomic modeling and for the design of regulation and policy.
    Keywords: banks, financial stability, financial regulation, macroeconomic policy.
    JEL: E44 E6 G2 G28
    Date: 2016–03
  2. By: Marcin Kolasa
    Abstract: This paper studies how macroprudential policy tools can complement the interest rate-based monetary policy in achieving a selection of dual stabilization objectives. We show analytically in a canonical New Keynesian model with collateral constraints that using the loan-to-value ratio as an additional policy instrument does not resolve the in flation-output volatility tradeoff. Perfect targeting of in ation and either credit or house prices with monetary and macroprudential policy is possible only if the role of credit in the economy is suciently small. Any of these three dual stabilization objectives can be achieved with the monetary-fiscal policy mix. The identifed limits to the LTV ratio-based policy are related to its predominantly intertemporal effect on decisions made by financially constrained agents.
    Keywords: macroprudential policy, monetary policy, stabilization tradeoffs
    JEL: E32 E58 E63 G21 G28
    Date: 2016–03
  3. By: Castillo, Paul (Banco Central de Reserva del Perú); Vega, Hugo (Banco Central de Reserva del Perú); Serrano, Enrique (Banco Central de Reserva del Perú); Burga, Carlos (Banco Central de Reserva del Perú)
    Abstract: In this paper we document and empirically evaluate the use of unconventional monetary policy tools in Peru to reduce credit dollarization. Our empirical analysis uses the counter-factual test proposed by Pesaran and Smith (2012) and shows that both high reserve requirements, used counter cyclically since 2010, and the de-dollarization program put in place by the Central Reserve Bank of Peru (BCRP) since 2013 had statistically significant effects on reducing credit dollarization in Peru. The paper also discusses the impact on bank’s balance sheet of the complementary tools created as part of the de-dollarization program to inject domestic currency liquidity.
    Keywords: Unconventional policy tools, reserve requirements, Monetary Policy, Dollarization, and Peru.
    JEL: E52 E58 E61 G38
    Date: 2016–04
  4. By: Hjortsoe, Ida; Weale, Martin; Wieladek, Tomasz
    Abstract: Does the current account improve or deteriorate following a monetary policy expansion? We examine this issue theoretically and empirically. We show that a standard open economy DSGE model predicts that the current account response to a monetary policy shock depends on the degree of economic regulation in different markets. In particular, financial (product market) liberalisation makes it more likely that the current account deteriorates (improves) following a monetary expansion. We test these theoretical predictions with a varying coefficient Bayesian panel VAR model, where the coefficients are allowed to vary as a function of the degree of financial, product and labour market regulation on data from 1976Q1-2006Q4 for 19 OECD countries. Our empirical results support the theory. We therefore conclude that following a monetary policy expansion, the current account is more likely to go into deficit (surplus) in countries with more liberalised financial (product) markets.
    Keywords: Balance of Payments; Current Account; Bayesian Panel VAR; Economic Liberalisation; Monetary Policy. JEL classification: F32; E52
    JEL: C11 C23 E52 F32
    Date: 2016–03
  5. By: Benigno, Pierpaolo; Eggertsson, Gauti; Romei, Federica
    Abstract: This paper studies optimal monetary policy under dynamic debt deleveraging once the zero bound is binding. Unlike much of the existing literature, the natural rate of interest is endogenous and depends on macroeconomic policy. We provide microfoundation for debt deleveraging based both on household over accumulation of debt and leverage constraint on banks; and show that they are isomorphic in our proposed post-crisis New Keynesian model, thus integrating two popular narrative for the crisis. Optimal monetary policy successfully raises the natural rate of interest by creating an environment that speeds up deleveraging, thus endogenously shortening the duration of the crisis and a binding zero bound. Inflation should be front loaded. Fiscal-policy multipliers can be even higher than in existing models, but depend on the way in which public spending is financed.
    Date: 2016–03
  6. By: Mariana Garcıa-Schmidt (Columbia University); Michael Woodford (Columbia University)
    Abstract: A prolonged period of extremely low nominal interest rates has not resulted in high inflation. This has led to increased interest in the “Neo-Fisherian†proposition according to which low nominal interest rates may themselves cause inflation to be lower. The fact that standard models of the effects of monetary policy have the property that perfect foresight equilibria in which the nominal interest rate remains low forever necessarily involve low inflation (at least eventually) might seem to support such a view. Here, however, we argue that such a conclusion depends on a misunderstanding of the circumstances under which it makes sense to predict the effects of a monetary policy commitment by calculating the perfect foresight equilibrium consistent with the policy. We propose an explicit cognitive process by which agents may form their expectations of future endogenous variables. Under some circumstances, such as a commitment to follow a Taylor rule, a perfect foresight equilibrium (PFE) can arise as a limiting case of our more general concept of reflective equilibrium, when the process of reflection is pursued sufficiently far. But we show that an announced intention to fix the nominal interest rate for a long enough period of time creates a situation in which reflective equilibrium need not resemble any PFE. In our view, this makes PFE predictions not plausible outcomes in the case of policies of the latter sort. According to the alternative approach that we recommend, a commitment to maintain a low nominal interest rate for longer should always be expansionary and inflationary, rather than causing deflation; but the effects of such “forward guidance†are likely, in the case of a long horizon commitment, to be much less expansionary or inflationary than the usual PFE analysis would imply.
    JEL: E31 E43 E52
  7. By: Pierre L. Siklos (Lazaridis School of Business and Economics, Balsillie School of International Affairs, Wilfrid Laurier University (E-mail:
    Abstract: Short-term inflation forecast disagreement in nine advanced economies is examined. Domestic versus global determinants are considered. Disagreement is evaluated vis-à-vis several benchmarks. An indicator of central bank communication is added. A quasi-confidence interval for disagreement is also estimated. Disagreement is sensitive to the chosen group of forecasters examined. The GFC led to a spike in inflation forecast disagreement that was short- lived. Forecast disagreement can be reasonably seen as a variable that can change abruptly from high to low disagreement regimes. Furthermore, low and high levels of forecast disagreement can coexist with high levels of uncertainty. There is a global component in forecast disagreement but domestic determinants appear to be of first order importance. There appear to be relatively few indications that forecasts are coordinated with those of central banks with the possible exception of professional forecasters. Finally, central bank communication appears to play an only small role in explaining forecast disagreement.
    Keywords: forecast disagreement, inflation, central bank communication
    JEL: E52 E58 C53
    Date: 2016–03
  8. By: Evzen Kocenda (Institute of Economic Studies, Charles University); Balazs Varga (Corvinus University of Budapest)
    Abstract: We analyze the impact of price stability-oriented monetary strategies (inflation targeting - IT - and constraining exchange rate arrangements) on inflation persistence using a timevarying coefficients framework in a panel of 68 countries (1993-2013). We show that explicit IT has a stronger effect on taming inflation persistence than implicit IT and is effective even during and after the financial crisis. Regimes with the U.S. dollar as a reserve currency are less effective than those using the Euro; this effect correlates with the level of the reserve currency's inflation persistence. Further, we document the existence of structure in inflation persistence data. Our results are robust to differences in four well established inflation persistence measures and are not affected by existing structural breaks or the endogeneity of monetary strategies.
    Keywords: Inflation persistence; inflation targeting; exchange rate regime; flexible least squares; structural breaks
    JEL: C22 C32 E31 E52 F31
    Date: 2016–04
  9. By: Iversen, Jens (Monetary Policy Department, Central Bank of Sweden); Laséen, Stefan (IMF); Lundvall, Henrik (National Institute of Economic Research (NIER)); Söderström, Ulf (Monetary Policy Department, Central Bank of Sweden)
    Abstract: We evaluate forecasts made in real time to support monetary policy decisions at Sveriges Riksbank (the central bank of Sweden) from 2007 to 2013. We compare forecasts made with a DSGE model and a BVAR model with judgemental forecasts published by the Riksbank, and we evaluate the usefulness of conditioning information for the model-based forecasts. We also study the perceived usefulness of model forecasts for central bank policymakers when producing the judgemental forecasts.
    Keywords: Real-time forecasting; Forecast evaluation; Monetary policy; Inflation targeting
    JEL: E37 E52
    Date: 2016–03–01
  10. By: Díaz-Giménez, Javier; Kirkby, Robert
    Abstract: Between 1960 and 2013, in the United States the inflation rate was essentially proportional to the growth rate of money in the long run, but that relationship did not hold in the short run. We ask whether three standard monetary model economies from the Cash-in-Advance, the New-Keynesian, and the Search-Money frameworks replicate these two facts. We find that all three deliver the first fact, but that they fail to deliver the second fact, since in all three of them the inflation rate is proportional to the growth rate of money both in the long run and in the short run. This is because in all three model economies the price level responds too quickly to changes in the growth rate of money.
    Keywords: Monetary Economics, Quantity Theory of Money, Cash-in-Advance, New-Keynesian, Search-Money,
    Date: 2016
  11. By: Perry Mehrling (Barnard College)
    Abstract: This paper sketches the outlines of the new international monetary system that has emerged in the aftermath of the global financial crisis. At the center of the system, a network of central bank swaps between the six major central banks serves as an elastic backstop for private foreign exchange operations. Farther out on the periphery, a further network of central bank swaps operates to economize on scarce reserves of the major currencies. Meanwhile, in the private foreign exchange market, basis swaps are emerging as the central location where liquidity is explicitly priced, inside the bounds set by central bank swaps.
    JEL: E58 F33 G15
    Date: 2015–11
  12. By: Amendola, Alessandra; Candila, Vincenzo; Scognamillo, Antonio
    Abstract: Modeling crude oil volatility is of substantial interest for both energy researchers and policy makers. This paper aims to investigate the impact of the U.S. monetary policy on crude oil future price (COFP) volatility. By means of the recently proposed generalized autoregressive conditional hetroskedasticity mixed data sampling (GARCH-MIDAS) model, a proxy of the U.S. monetary policy is included into the COFP volatility equation, alongside with other macroeconomic determinants. Strong evidence that an expansionary monetary policy is associated with an increase of the COFP volatility is found. In particular, an expansionary (restrictive) variation in monetary policy anticipates a positive (negative) variation in COFP volatility. Furthermore, an out of sample forecasting procedure shows that the estimated GARCH-MIDAS model has a superior predictive ability with respect to that of the GARCH(1,1), when the U.S. monetary policy exhibits severe changes in the run-up period.
    Keywords: volatility, garch-midas, firecasting, crude oil, Agricultural and Food Policy, c22, c58, e30, q43,
    Date: 2015–06
  13. By: Philippe Mueller; Alireza Tahbaz-Salehi; Andrea Vedolin
    Abstract: We document that a trading strategy that is short the U.S. dollar and long other currencies exhibits significantly larger excess returns on days with scheduled Federal Open Market Committee (FOMC) announcements. We also show that these excess returns (i) are higher for currencies with higher interest rate differentials vis-à-vis the U.S.; (ii) increase with uncertainty about monetary policy; and (iii) intensify when the Federal Reserve adopts a policy of monetary easing. We interpret these excess returns as a compensation for monetary policy uncertainty within a parsimonious model of constrained financiers who intermediate global demand for currencies.
    Keywords: Monetary policy; foreign exchange; uncertainty
    JEL: J1 F3 G3
    Date: 2016–01–15
  14. By: Nakashima, Kiyotaka
    Abstract: Public capital injections into the banking system are a comprehensive policy program aimed at reducing the financial risks faced by capital-injected banks, thereby stimulating their lending and profitability. This paper evaluates empirically two large-scale bank capital injections in Japan in 1998 and 1999. We begin by extracting the treatment effects of the public injections using bank-level panel data. Using a difference-in-difference estimator in two-way fixed-effects regression models, we find that the public injections significantly reduced the financial risks faced by the capital-injected banks, but did not stimulate their lending and profitability. Next, we investigate the factors that impeded bank lending following the capital injections using a matched sample of Japanese banks and their borrowers. By employing three-way fixed-effects regression models corresponding to the matched sample, we provide evidence that the deterioration of borrower creditworthiness inhibited not only the capital-injected banks, but also other banks, from lending more.
    Keywords: public capital injection, treatment effect, capital crunch, default risk, difference-in-difference estimator, three-way fixed-effects model.
    JEL: G01 G21 G28
    Date: 2015–09–17
  15. By: OGAWA Eiji; MUTO Makoto
    Abstract: The current international monetary system with the U.S. dollar as a key currency is considered as the background of the U.S. dollar liquidity shortage during the global financial crisis. However, once facing a U.S. dollar liquidity shortage or crisis, financial institutions are likely to avoid their overdependence on the U.S. dollar. This implies that the international monetary system with the U.S. dollar as a key currency may be changed, especially during the global financial crisis even though key currencies show inertia due to network externalities in using international currencies. In this paper, we focus on the effects of both the global financial crisis and the euro zone crisis on the position of the U.S. dollar as a key currency in the current international monetary system. We base this on a theoretical framework in Ogawa and Sasaki (1998) in which a money-in-the-utility model is used to take into account the U.S. dollar's functions as both a medium of exchange and a store of value in the international currency competition. A parameter on the real balance of the U.S. dollar or its contribution to utility in the model is focused on, analyzing empirically whether both the global financial crisis and the euro zone crisis have changed its contribution to utility. One of the main empirical results from our models is that the contribution of the U.S. dollar to utility decreased during the global financial crisis. This corresponds to a period when financial institutions faced liquidity shortages from mid 2007 to late 2008. U.S. dollar liquidity shortage may have decreased the contribution of the U.S. dollar to utility.
    Date: 2016–03
  16. By: SHOJI Keishi
    Abstract: Monetary policy has benefits such as seigniorage and an economic stimulus effect while government bonds held-appraisal loss, interest payments to current accounts, and increasing reserve deposit rates occur in the exit strategy. In particular, the expanded monetary base and prolonged average life resulting from quantitative and qualitative easing are risks for increasing the cost. In this paper, under such awareness of these problems, in terms of setting a model that takes into account the financial constraints on Tobin's q type capital investment function, the effect of monetary policy on corporate investment is examined using a multi-level analysis on firm-level panel data and macro level data. The following is a summary of this paper's results: (i) Policy interest rates have an effect on corporate investment in theory as expected, (ii) On the other hand, quantitative easing has a limited effect, (iii) However, if quantitative easing lowers the real interest rate, there is an effect on the expected inflation rate, (iv) In the case of a relatively higher debt company and/or a zero-interest-rate policy that was introduced later in 1999, quantitative easing has only a limited stimulus effect on corporate investment through the reduction of debt. Therefore, it is likely that the ripple effects of monetary policy differ depending on firm heterogeneity and differences in nominal interest rates, (v) As in the secular stagnation hypothesis which was proposed by Summers (2014), a lower natural interest rate seems likely to reduce corporate investment demand. Thus, judging its effects cautiously, quantitative easing should be restrained as much as possible from the perspective of its cost. Furthermore, it is important for the government to improve productivity through structural reforms such as deregulation.
    Date: 2016–03
  17. By: Offick, Sven; Wohltmann, Hans-Werner
    Abstract: This paper studies the volatility implications of anticipated cost-push shocks (i.e. news shocks) in a New Keynesian model with hybrid price setting both under optimal unrestricted and discretionary monetary policy with flexible inflation targeting. If the degree of backward-looking price setting behavior is sufficiently small (large), anticipated cost-push shocks lead in both policy regimes to a higher (lower) volatility in the output gap and in the central bank's loss than an unanticipated shock of the same size. This inversion of the volatility effects of news shocks follows from the inverse relation between the price-setting behavior and the optimal monetary policy. Under a fully microfounded hybrid New Keynesian Phillips curve with price indexation, this inversion of volatility results is not possible since the Phillips curve remains hybrid even in the limit case of full price indexation.
    Keywords: Anticipated shocks,Optimal monetary policy,Volatility
    JEL: E32 E52
    Date: 2016
  18. By: Fuchun Li; Héctor Pérez Saiz
    Abstract: We measure systemic risk in the network of financial market infrastructures (FMIs) as the probability that two or more FMIs have a large credit risk exposure to the same FMI participant. We construct indicators of credit risk exposures in three main Canadian FMIs during the period 2007–11 and use extreme value methods to estimate this probability. We find large differences in the contribution to systemic risk across participants. We also find that when participants are in financial distress, they tend to create large credit exposures in two or more FMIs. Our results suggest that an appropriate oversight of FMIs may benefit from an in-depth system-wide analysis, which may have useful implications for the macroprudential regulation of the financial system.
    Keywords: Econometric and statistical methods, Financial stability, Payment clearing and settlement systems
    JEL: G21 G23 C58
    Date: 2016
  19. By: Bahaj, Saleem (Bank of England); Bridges, Jonathan (Bank of England); Malherbe, Frederic (London Business School and CEPR); O’Neill, Cian (Bank of England)
    Abstract: Legacy asset overhang and incentive to shift risk due to government guarantees can both affect bank capital issuance and lending decisions. We show that such frictions lead to ambiguous predictions on how one should expect a bank to react to a change in capital requirements. One sustained prediction is that lending is less sensitive to a change in capital requirements when lending prospects are good and legacy assets are healthy. Using UK bank regulatory data from 1989 to 2007, we find strong empirical support for this prediction.
    Keywords: Debt overhang; risk-shifting; bank capital; local projections
    JEL: G21 G32
    Date: 2016–04–15
  20. By: Naohito Abe (Institute of Economic Research Hitotsubashi University); Yuko Ueno (Institute of Economic Research Hitotsubashi University)
    Abstract: How do we determine our expectations of inflation? Because inflation expectations greatly influence the economy, researchers have long considered this question. Using a survey with randomized experiments among 15,000 consumers, we investigate the mechanism of inflation expectation formation. Learning theory predicts that once people obtain new information on future inflation, they change their expectations. In this regard, such expectations are the weighted average of prior belief and information. We confirm that the weight for prior belief is a decreasing function of the degree of uncertainty. Our results also show that monetary authority information affects consumers to a greater extent when expectations are updated. With such information, consumers change their inflation expectations by 32% from the average. This finding supports improvements to monetary policy publicity.
    Keywords: inflation expectations, Bayesian updating, rational expectation, randomized survey experiments.
    JEL: E31 C81 D80
    Date: 2016–03
  21. By: Martin Pietrzak
    Abstract: This paper shows what are the consequences of omitting international dimension issues like international trade and financial channels when modeling the effects of unconventional monetary policy tools. To evaluate the size of discrepancies between consequences of a large-scale asset purchase program in a small open economy and a closed one, we extend one of the existing models analyzing a large-scale asset purchases by adding small open economy features. Finally we compare it with the original version. We find that previous studies might overestimate the extent to what large-scale asset purchases affect real activity. Allowing agents to trade internationally with goods as well as saving via foreign, currency denominated deposits leads to a leakages that result in substantial differences between large-scale asset purchases in a small open economy and an autarky. Moreover, our results show that negative supply side shocks have less severe consequences in a small open economy comparing to an autarky, because they are offset by the real exchange rate depreciation which boosts competitiveness.
    Keywords: unconventional monetary policy, financial frictions, small open economy
    JEL: E52 F41
    Date: 2016–03
  22. By: M. Girotti
    Abstract: U.S. banks obtain most of their funding from a combination of zero-interest deposits and interest-bearing deposits. Using local demographic variations as instruments for banks' liability composition, I show that when monetary policy tightens, banks with a larger proportion of zero-interest deposits on their balance sheet experience larger increases in their interest-bearing deposit rate. This happens because tight monetary policy reduces the quantity of zero-interest deposits available to banks. Banks react issuing more interest-bearing deposits, but pay an interest rate that increases with the quantity being borrowed. This new evidence supports the existence of the bank lending channel of monetary policy.
    Keywords: Banks, Deposits, Lending Channel, Monetary Policy.
    JEL: E44 E50 G21 L16
    Date: 2016
  23. By: Ernst, Ekkehard; Semmler, Willi; Haider, Alexander
    Abstract: The economic meltdown since 2008-9 has created disinflation, and even deflation in some countries in the Euro-area, in a period with large debt overhang, creating the condition for a continuing financial market stress in the Euro-area. As disinflation and deflation push up the real interest rate, while growth and income declines, the leveraging problem becomes more severe and the economy risks shifting into a regime with high insolvency risk, high financial stress, rising credit spreads, possibly accompanied by strong adverse macroeconomic feedback loops. Investigating the consequences of those magnifying feedback loops, given the debt deflation, we demonstrate the possibility of unstable dynamics and downward spirals in the presence of regime-dependent macro feedback loops, using a theoretical model with decentralized matching mechanisms on both labor and financial markets. To explore the amplifying linkages between deflation, output, labor and financial markets, we employ a new solution procedure called NMPC to solve our models variants for out-of-steady-state dynamics. We empirically explore deflationary trends in Europe and employ a Global VAR (GVAR) model for a large euro area macro data set to estimate the impact of deflation on output. Moreover, we use a four variable Multi-Regime VAR (MRVAR) model with regime dependent IRs to study deflationary as well as well as the financial risk drivers in a MRVAR setting. New measures for financial risk drivers are employed and multi-regime IRs for output, inflation rates, interest rates and financial stress are explored. We also study regime changes in central macro relationships such as regime change in the credit - output link, the Phillips curve and in Okun's law.
    Date: 2016
  24. By: van der Horst, Frank; Eschelbach, Martina; Sieber, Susann; Miedema, Jelle
    Abstract: Counterfeit prevention is a major task for central banks, as it helps to maintain public confidence in the currency. It is often maintained that a high quality of the banknotes in circulation helps the public detect counterfeits. However, there has not been any scientific evidence in support of this assertion so far. The present study is a first attempt to fill this research gap. To investigate whether banknote quality affects counterfeit detection, De Nederlandsche Bank (DNB) and the Deutsche Bundesbank (DBB) conducted a field study in 2014 and 2015 amongst 250 consumers and 261 cashiers in the Netherlands and Germany. Participants received a set of 200 banknotes with either a high or a low average soil level, based on the actual circulation in two different countries. Real-life circulation in both Germany and the Netherlands is in between these values. Each set contained 20 counterfeit notes, which testees were asked to detect. On average, untrained consumers detect 79% of the counterfeits, whereas retail cashiers detect 88%. Cashiers are found to detect more counterfeits when the set is clean, even after controlling for a wide range of personal characteristics in a regression. The estimated effect of cleanliness on the cashiers' detection rate is an additional 0.87 out of 20 counterfeits (4.4%) For consumers, the quality of the sets does not change the hit rate in a statistically significant way.
    Keywords: banknotes,counterfeits,banknote quality,signal detection theory
    JEL: E40 E41 E50 E58
    Date: 2016
  25. By: Federico Barbiellini Amidei (Bank of Italy); Riccardo De Bonis (Bank of Italy); Miria Rocchelli (Bank of Italy); Alessandra Salvio (Bank of Italy); Massimiliano Stacchini (Bank of Italy)
    Abstract: The paper builds annual time series of Italian monetary aggregates. While previous contributions focused on certain periods in Italy’s economic history, our work covers the years 1861-2014 uninterruptedly; we improve the quality of the existing time series and provide further details on the components of aggregates. The paper also documents the sources and methods used for the estimates. Finally, we discuss the key trends of the aggregates since 1861 and present an econometric analysis of money demand.
    Keywords: moneta, circolante, M1, M2, M3, domanda di moneta
    JEL: E51 E52 G21 N10
    Date: 2016–04

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