nep-mon New Economics Papers
on Monetary Economics
Issue of 2024‒03‒18
forty-six papers chosen by
Bernd Hayo, Philipps-Universität Marburg

  1. Central bank digital currency and the monetary policy and financial stability implications By Ozili, Peterson Kitakogelu
  2. Measuring market-based core inflation expectations By Munch Grønlund, Asger; Jørgensen, Kasper; Schupp, Fabian
  3. Impact of Excess Reserves on Monetary Policy Transmission in Papua New Guinea By Thomas Wangi
  4. Taylor Rule and Shadow Rates: theory and empirical analysis By Camilla Lupiani
  5. On Digital Currencies By Harald Uhlig
  6. Inflation is not equal for all: the heterogenous effects of energy shocks By Francesco Corsello; Marianna Riggi
  7. "Monetary policy tightening in response to uncertain stagflationary shocks: a model-based analysis" By Anna Bartocci; Alessandro Cantelmo; Alessandro Notarpietro; Massimiliano Pisani
  8. Decomposing the monetary policy multiplier By Piergiorgio Alessandri; Fabrizio Venditti; Oscar JordÃ
  9. The external financial spillovers of CBDCs By Alessandro Moro; Valerio Nispi Landi
  10. National central banks and the governance of the European system of central banks By Martin F. Hellwig
  11. Regulatory capital requirements, inflation targeting, and equilibrium determinacy. By Chrysanthopoulou Xakousti; Mylonidis Nikolaos; Sidiropoulos Moise
  12. The Long-term Effects of Inflation on Inflation Expectations By Fabio Braggion; Felix von Meyerinck; Nic Schaub; Michael Weber
  13. Monetary and fiscal policy responses to fossil fuel price shocks By Anna Bartocci; Alessandro Cantelmo; Pietro Cova; Alessandro Notarpietro; Massimiliano Pisani
  14. Implications of a U.S. CBDC for International Payments and the Role of the Dollar By Jean Flemming; Ruth A. Judson
  15. Monetary policy and the resilience of the German banking system: From Deutsche Bundesbank to ECB By Sepp, Tim Florian; Israel, Karl-Friedrich; Treitz, Benjamin; Hartl, Tom
  16. Core Strength: International Evidence on the Impact of Energy Prices on Core Inflation By Gertjan Vlieghe
  17. Do Monetary Policy and Economic Conditions Impact Innovation? Evidence from Australian Administrative Data By Omer Majeed; Jonathan Hambur; Robert Breunig
  18. The role of central bank in greening the Nigerian financial system By Ozili, Peterson K
  19. Gas price shocks and euro area inflation By Adolfsen, Jakob Feveile; Ferrari Minesso, Massimo; Mork, Jente Esther; Van Robays, Ine
  20. Decoding Bank of Sierra Leone's Monetary Policy Communications: A Text Mining Analysis. By Barrie, Mohamed Samba
  21. Inflation expectations and misallocation of resources: evidence from Italy By Tiziano Ropele; Yuriy Gorodnichenko; Olivier Coibion
  22. Monetary-Fiscal Policy Interactions in Africa: Fiscal Dominance or Monetary Dominance? By Mogaji, Peter Kehinde
  23. Announcement and implementation effects of central bank asset purchases By Marco Bernardini; Antonio M. Conti
  24. Long Run Money Superneutrality Evaluation of the Relevance of Money in Africa: An ARDL Approach By Mogaji, Peter Kehinde
  25. Drivers of large recessions and monetary policy responses By Giovanni Melina; Stefania Villa
  26. Households' response to the wealth effects of inflation By Schnorpfeil, Philip; Weber, Michael; Hackethal, Andreas
  27. Regional Dissent: Do Local Economic Conditions Influence FOMC Votes? By Anton E. Bobrov; Rupal Kamdar; Mauricio Ulate
  28. Money Is the Root of Asset Bubbles By Yu Awaya; Kohei Iwasaki; Makoto Watanabe
  29. What Does the Yield Curve Control Policy Do?* By Shigenori SHIRATSUKA
  30. Economic Similarities and their Application to Inflation By Addie, Ron; Taranto, Aldo
  31. Central bank losses and commercial bank profits: Unexpected and unfair? By Jost, Thomas; Mink, Reimund
  32. Exchange rate shocks and equity prices: the role of currency denomination By Dr. Romain Baeriswyl; Alex Oktay; Dr. Marc-Antoine Ramelet
  33. Unit Cost Expectations and Uncertainty: Firms' Perspectives on Inflation By Brent Meyer; Xuguang Sheng
  34. Explaining the Life Cycle of Bank-Sponsored Money Market Funds: An Application of the Regulatory Dialectic By Stefan Jacewitz; Jonathan Pogach; Haluk Unal; Chengjun Wu
  35. Inflation, capital structure and firm value By Andrea Fabiani; Fabio Massimo Piersanti
  36. Mobile Money Taxes: Knowledge, Perceptions and Politics. The Case of Ghana By Abounabhan, Mary; Diouf, Awa; Santoro, Fabrizio; Sakyi-Nyarko, Carlos; Scarpini, Celeste
  37. Consumer adoption and use of financial technology: "tap and go" payments By Martin Brown; Laura Felber; Dr. Christoph Meyer
  38. Carbon Prices and Inflation in the Euro Area By Maximilian Konradt; Thomas McGregor; Mr. Frederik G Toscani
  39. The euro in a world of dollar dominance: Between strategic autonomy and structural weakness By Tokarski, Paweł
  40. Aggregate uncertainty, HANK, and the ZLB By Lin, Alessandro; Peruffo, Marcel
  41. The heterogeneous impact of inflation across the joint distribution of household income and wealth By Luigi Infante; David Loschiavo; Andrea Neri; Matteo Spuri; Francesco Vercelli
  42. The origins of yield curve theory: Irving Fisher and John Maynard Keynes By BRILLANT, Lucy
  43. The Fluctuation Of The Policy Rate And Inflation In The Moroccan Banking Sector By Mamoun Alaoui
  44. Estimating the Welfare Costs of Very High Inflations and Hyperinflations By Luca Benati, Juan-Pablo Nicolini
  45. Monetary Policy and the Gendered Labor Market Dynamics: Evidence from Developing Economies By Marjan Petreski; Stefan Tanevski; Alejandro D. Jacobo
  46. Causes and consequences of the 2023 banking crisis By Ozili, Peterson K

  1. By: Ozili, Peterson Kitakogelu
    Abstract: The chapter analyzes the implication of central bank digital currency (CBDC) issuance for financial stability and monetary policy. It was shown that widespread central bank digital currency adoption and usage may accelerate bank deposit to CBDC migration which could elevate liquidity risk in the banking sector, increase interest rate, reduce bank loan supply, lower bank profit, increase the likelihood of bank panic, and transmit financial stability risks to the financial system. Also, issuing a central bank digital currency can strengthen monetary policy transmission if there is effective coordination between the monetary policy rate and the central bank digital currency deposit rate. If done properly, changes in the central bank digital currency deposit rate will affect households and businesses and compel commercial banks to respond by adjusting their deposit rates too, thereby enhancing the interest rate channel of monetary policy.
    Keywords: CBDC, interest rate, central bank digital currency, financial system, banks monetary policy, financial stability
    JEL: E42 E51 E52 G21
    Date: 2024
  2. By: Munch Grønlund, Asger; Jørgensen, Kasper; Schupp, Fabian
    Abstract: We build a novel term structure model for pricing synthetic euro area core inflation-linked swaps, a hypothetical swap contract indexed to core inflation. Our approach relies on a term structure model of traded headline inflation-linked swap rates, which we assume span core inflation. The model provides estimates of market-based expectations for core inflation, as well as core inflation risk premia, at daily frequency, whereas core inflation expectations from surveys or macroeconomic projections are typically only available monthly or quarterly. We find that core inflation-linked swap rates are generally less volatile than headline inflation linked swap rates and that market participants expected core inflation to be substantially more persistent than headline inflation following the 2022 energy price spike. Using an event-study methodology, we also find that monetary policy shocks significantly lower core inflation expectations. JEL Classification: E31, E44, E52
    Keywords: affine term structure model, inflation-linked swaps, inflation expectations
    Date: 2024–02
  3. By: Thomas Wangi
    Abstract: The accumulation of excess reserves in the banking system of PNG may have undesired implications on the effectiveness of monetary policy transmission. Hence, this paper employs a structural VAR model to measure the flow-on effects of positive shocks to excess reserves and the lending rate on private sector loans, the exchange rate, the CPI and real GDP using quarterly time-series data from March 2001 to December 2020. The study uses quarterly data since high frequency data for some variables are not available. The shocks are measured by the orthogonalized innovations to the monetary policy variables. The impulse response results show that the lending rate and excess reserves shocks have unanticipated effects on the exchange rate and the CPI in the short run. Similarly, in the long run, the response of GDP to the shocks is not consistent with monetary theory. Furthermore, the variance decomposition results indicate that excess reserves account for minimal components of the shocks to all variables in the short horizon. The historical decomposition results suggest that the excess reserves shock contributes weakly to the fluctuations of the CPI and GDP over the sample period. The findings determine that excess reserves reduce the effectiveness of monetary policy transmission mechanism in PNG. The study suggests that in order to promote an effective monetary policy transmission, the central bank should consider improving the monetary policy framework and modernizing the financial market system.
    Keywords: excess reserves, monetary policy transmission, structural VAR
    JEL: C5 E52 G21
    Date: 2024–02
  4. By: Camilla Lupiani
    Abstract: In view of the persistent zero lower bound, which has dominated the European financial landscape since December 2012, the European Central Bank (ECB) has implemented unconventional monetary policies. However, the effects of these unconventional policies have not been fully captured by the traditional reference rates, which have remained anchored at values close to or below the zero lower bound. In order to assess the impact of these measures in more detail, the concept of "shadow rates" was introduced. These shadow rates, often based on financial indicators, provide a more comprehensive view of the overall macroeconomic situation. The present study aims to compare the predictive accuracy of a Taylor rule based on shadow rates with that based on the reference rate, the €str, in an out-of-sample period. The results of this analysis highlight that a Taylor rule based on shadow rates offers a more accurate representation of the stance of the monetary policy, and is even used by monetary analysts to form expectations, especially when the central bank does not provide clear guidance. This study suggests that incorporating the shadow rate into the Taylor rule could provide valuable insights for guiding monetary policy and get a deeper understanding of the macroeconomic landscape.
    Keywords: central bank, ECB, interest rate, shadow rate, GMM, efficiency, zero lower bound, effective lower bound
    JEL: E02 E43 E52 E58 F01
    Date: 2024
  5. By: Harald Uhlig
    Abstract: I discuss private and central-bank-issued digital currencies, summarizing my prior research. I argue that prices of private digital currencies such as bitcoin follow random walks or, more generally, risk-adjusted martingales. For central bank digital currencies, I argue that they enhance the “CBDC trilemma” facing a central bank: out of the three objectives, price stability, efficiency, and monetary trust, it can achieve at most two.
    JEL: E31 E42 E44 E52 G12 G21
    Date: 2024–02
  6. By: Francesco Corsello (Bank of Italy); Marianna Riggi (Bank of Italy)
    Abstract: Energy price shocks broaden inflation inequality, measured by the gap between consumer prices for households at the bottom and top of the expenditure distribution, which is due to different consumption baskets. We provide a VAR-based quantification of the impact of energy shocks on inflation inequality. We then develop and estimate a general equilibrium two-agent model with imported energy to rationalize the empirical results and show why this effect becomes stronger when monetary policy responds aggressively to inflation. Indeed, though less affluent consumers too benefit from the containment of inflation resulting from monetary policy action, they do so to a lesser extent than more affluent ones, given the relatively lower share of consumption spent on items whose prices are sensitive to cyclical conditions. Our results call for the need to complement the monetary policy response with targeted fiscal measures.
    Keywords: energy shocks, inflation inequality, VAR, dynamic general equilibrium, two-agent model
    JEL: E31 E32 E50 E52
    Date: 2023–11
  7. By: Anna Bartocci (Bank of Italy); Alessandro Cantelmo (Bank of Italy); Alessandro Notarpietro (Bank of Italy); Massimiliano Pisani (Bank of Italy)
    Abstract: We evaluate the 'robust' monetary policy rate tightening in response to a stagflationary shock of uncertain magnitude using a medium-scale New Keynesian model. Under uncertainty, the tightening should generally be milder than under no uncertainty in order to 'perform well' in different states of the world. The results hold true especially when financial tensions materialize under an excessive tightening of monetary policy. On the contrary, if the policy response to large stagflationary shocks is perceived as insufficient in a context of high inflation persistence, then the tightening of monetary policy should be as strong as in the case of no uncertainty.
    Keywords: monetary policy, uncertainty, robustness, minimax, bayesian decision making.
    JEL: E52 E58 E61
    Date: 2023–12
  8. By: Piergiorgio Alessandri (Bank of Italy); Fabrizio Venditti (Bank of Italy); Oscar Jordà (Federal Reserve Bank of San Francisco and University of California, Davis)
    Abstract: We show that financial markets play an important role in rendering the transmission of monetary policy shocks asymmetric in the US. Credit spreads only adjust to unexpected increases in interest rates, causing output and prices to respond more to a tightening than an expansion. The ‘financial multiplier’ of monetary policy – defined as the ratio between the cumulative responses of employment and credit spreads at the one-year horizon – is small and subject to significant estimation uncertainty for a monetary expansion, it is about -2 for a monetary tightening, and it reaches -4 for a monetary tightening that take place under tense credit market conditions.
    Keywords: monetary policy, credit spreads, local projections, Kitagawa decomposition
    JEL: C13 C32 E32 E52
    Date: 2023–10
  9. By: Alessandro Moro (Bank of Italy); Valerio Nispi Landi (Bank of Italy)
    Abstract: Using a DSGE model, we study the macroeconomic consequences of a foreign central bank digital currency (CBDC) being available to residents in a small open economy. We find that a gradual and permanent increase in domestic households' preference for a foreign CBDC leads to a structural reduction in economic activity, especially when the CBDC is designed to be similar to domestic deposits. Imposing capital flow management measures on outflows, relaxing macroprudential policy, or selling foreign reserves can help smooth the transition. A Taylor rule that targets PPI inflation is more effective in limiting the disruptive effects than CPI targeting or an exchange-rate peg. We also show that an economy with a large stock of foreign CBDC is better shielded from exogenous increases in the interest rate on foreign debt if the CBDC remuneration remains constant.
    Keywords: central bank digital currency, DSGE model, open economy macroeconomics, financial globalization
    JEL: E44 E58 F38 F41
    Date: 2023–07
  10. By: Martin F. Hellwig (Max Planck Institute for Research on Collective Goods, Bonn)
    Abstract: The paper analyses the role of national central banks (NCBs) in the governance of the European System of Central Banks (ESCB). NCBs are the owners of the European Central Bank (ECB), and their governors dominate the ECB’s Governing Council, but in monetary policy operations, NCBs are subordinated to the ECB. The dominance of NCB governors has materially affected Governing Council decisions on relations between NCBs and the ECB, allowing the NCBs to maintain some of their erstwhile glory, sometimes in contradiction to the primary law. Examples involve the monetary funding of investments declared as non-monetary, violations of Treaty provisions for the allocation of income from monetary policy operations, and accounting rules that obfuscate the boundary between ECB-subordinate and independent activities of NCBs. The net effect of these developments is to enlarge the domain of NCB activities.
    Keywords: European Monetary Union, European System of Central Banks, Governance of the Eurosystem, ANFA, ELA, PSPP, Central-Bank Accounting and Balance Sheets
    JEL: E50 E58 F53
    Date: 2024–02
  11. By: Chrysanthopoulou Xakousti; Mylonidis Nikolaos; Sidiropoulos Moise
    Abstract: This paper studies the stability properties of inflation-targeting interest rate rules in an economy with regulatory capital requirements. We derive the conditions for rational expectations equilibrium determinacy in a sticky-price model augmented with the cost channel of monetary policy transmission. We find that when tightening Basel II-type capital regulations, strict inflation targeting leads to significant expansions in regions of determinacy. This result is attributed to the supply side of credit markets, and especially to the procyclical nature of bank leverage and the restricted interest rate pass-through. However, when banks maintain capital ratios beyond the required thresholds, strict inflation targeting suffers from considerable shrinking regions of determinacy. Moreover, excessive bank capital holdings may give rise to self-fulfilling business cycles. The availability of countercyclical capital buffers, as proposed by Basel III, and/or a flexible inflation targeting regime offer an antidote to these problems.
    Keywords: Equilibrium determinacy; Inflation targeting; Monetary policy; Regulatory capital requirements.
    JEL: E44 E52 E58 G28
    Date: 2024
  12. By: Fabio Braggion; Felix von Meyerinck; Nic Schaub; Michael Weber
    Abstract: We study the long-term effects of inflation surges on inflation expectations. German households living in areas with higher local inflation during the hyperinflation of the 1920s expect higher inflation today, after partialling out determinants of historical inflation and current inflation expectations . Our evidence points towards transmission of inflation experiences from parents to children and through collective memory. Differential historical inflation also modulates the updating of expectations to current inflation, the response to economic policies affecting inflation, and financial decisions. We obtain similar results for Polish households residing in formerly German areas. Overall, our findings are consistent with inflationary shocks having a long-lasting impact on attitudes towards inflation.
    JEL: D14 E31 E71 G41 N14
    Date: 2024–02
  13. By: Anna Bartocci (Bank of Italy); Alessandro Cantelmo (Bank of Italy); Pietro Cova (Bank of Italy); Alessandro Notarpietro (Bank of Italy); Massimiliano Pisani (Bank of Italy)
    Abstract: We use a dynamic equilibrium model featuring different sources of energy to assess the macroeconomic effects, in the euro area, of a temporary reduction in excise taxes on fossil fuels and an increase in lump-sum transfers to the poorest ('hand-to-mouth') households, and of raising the monetary policy rate in response to a temporary increase in the global prices of fossil fuels. In the model, the central bank should raise the monetary policy rate to stabilize inflation even if excise taxes are lowered, in particular if price- and wage-setting decisions are not strongly anchored to the central bank's inflation target. Lump-sum transfers to hand-to-mouth households can stabilize their consumption with limited inflationary effects.
    Keywords: monetary policy, fiscal policy, dynamic general equilibrium model, euro area, fossil fuel price shocks
    JEL: D58 E52 E62 Q43
    Date: 2023–12
  14. By: Jean Flemming; Ruth A. Judson
    Abstract: Technological advances in recent decades have brought about a wave of private-sector innovation in payments and have led central banks to explore a variety of improvements to their payment systems, including the possibility of issuing a central bank digital currency (CBDC). Survey evidence from the Bank for International Settlements (BIS) shows that over 90% of central banks are exploring CBDCs (Kosse & Mattei, 2022). The Federal Reserve is also exploring the implications of, and options for, introducing a CBDC.
    Date: 2024–02–16
  15. By: Sepp, Tim Florian; Israel, Karl-Friedrich; Treitz, Benjamin; Hartl, Tom
    Abstract: The resilience of the German banking system is studied on the semiaggregated level from 1968 to 2022. We distinguish between Large Banks, Regional Banks, Landesbanken, Sparkassen and Credit Unions and study their z-scores as a measure of resilience in response to the monetary policy stances of the Bundesbank and the ECB, respectively. We estimate two-way fixed effects panel regression models for both periods separately. The results suggest that monetary policy was more effective in enhancing resilience during the period of a national currency controlled by the Deutsche Bundesbank. The effect across bank types is much more heterogeneous after the inception of the ECB. In particular, decreasing resilience of Large Banks is associated with expansionary (un)conventional monetary policy in recent years.
    Keywords: Resilience, Monetary Policy, Banking, Financial Stability, Germany, Deutsche Bundesbank, ECB, Credit Union, Sparkasse
    JEL: E42 E52 G21
    Date: 2024
  16. By: Gertjan Vlieghe (London School of Economics (LSE); Centre for Macroeconomics (CFM); Resolution Foundation)
    Abstract: In the post-pandemic period, there was substantial cross-country heterogeneity in energy prices faced by consumers, due to variation in countries’ energy mix, as well as variation in government energy subsidy policies. The main contribution of this paper is to exploit this country-level variation to show that countries with higher domestic energy prices faced higher subsequent core inflation. Core inflation rises gradually after an energy shock, for a little over a year, before falling back to the pre-shock rate of inflation. We argue that, in the aftermath of large energy price shocks, core inflation is not a reliable measure of underlying or persistent inflation, and should be adjusted for the predicted, country-specific, energy cost pass-through. Focusing more narrowly on services inflation rather than core inflation does not solve the problem, as services inflation responds similarly, in both magnitude and duration, to energy price shocks.
    Keywords: OECD, cross-country, core inflation, energy, monetary policy
    JEL: E30 Q43
    Date: 2024–02
  17. By: Omer Majeed; Jonathan Hambur; Robert Breunig
    Abstract: This paper examines whether monetary policy and economic conditions affect innovative activity and productivity in Australia, a small open economy that tends to import innovation from overseas. Most interestingly, United States monetary policy spills over and affects Australian firms’ innovation. Within Australia, contractionary monetary policy reduces aggregate R&D spending and this leads to reduced productivity growth. However, using firm-level data and a survey measure of innovation that also captures adoption, we find heterogenous responses across different firm types. Small firms decrease innovation in response to contractionary monetary policy shocks whereas large firms increase innovation. This heterogeneity appears to reflect differing exposures to the demand and financial constraint channels of monetary policy. Overall, our results suggest that monetary policy and economic conditions have medium-run effects on productivity, though the effects are more heterogeneous than previously documented.
    Keywords: innovation, monetary policy, firm-level data
    JEL: E32 E52 G32 O30
    Date: 2024–02
  18. By: Ozili, Peterson K
    Abstract: The chapter explores the role of the central bank of Nigeria (CBN) in greening the financial system. I explore the ways in which the central bank could green the financial system. Some of the offered suggestions include disclosure requirements, establishing green finance labs, creating a green bank, and the use of differentiated cash reserve requirement based on environmental impact. The insights offered in this chapter are useful to bank supervisors and the monetary authority in understanding how financial and monetary decisions affect the environment.
    Keywords: Central bank, green finance, financial institutions, financial system, green bonds.
    JEL: E51 Q54 Q58
    Date: 2024
  19. By: Adolfsen, Jakob Feveile; Ferrari Minesso, Massimo; Mork, Jente Esther; Van Robays, Ine
    Abstract: This paper develops a Bayesian VAR model to identify three structural shocks driving the European gas market: demand, supply and inventory shocks. We document how gas price fluctuations have a heterogeneous pass-through to euro area prices depending on the underlying shock driving them. The pass-through is stronger and more persistent when gas prices are driven by aggregate demand or supply pressures, while inventory shocks have a weaker impact. Supply shocks, moreover, are found to pass through to all components of euro area inflation – producer prices, wages and core inflation, which has implications for monetary policy. We finally document how the response of gas prices to shocks is non-linear and is significantly magnified in periods of low unemployment. JEL Classification: C50, C54, E30, E31, Q43
    Keywords: euro area, gas price, pass-through, price
    Date: 2024–02
  20. By: Barrie, Mohamed Samba
    Abstract: This research paper presents the results of a text mining analysis conducted on the quarterly monetary policy statements published by the Bank of Sierra Leone. This study examines the effectiveness and readability of monetary policy communication by the Bank of Sierra Leone. The research focuses on evaluating the clarity and simplicity of the Bank's communication efforts from 2019Q1 to 2023Q1. Utilizing techniques such as word cloud extraction, keyword density analysis, and text readability metrics assessment, we analyzed 17 quarterly monetary policy statements, our corpus consist of 43 pages of text data. The findings reveal insights into the prominent themes, and linguistic characteristics embedded within the Bank's monetary policy statements. Through an examination of keyword frequency and thematic trends, the research shows that the Bank of Sierra Leone's monetary policy statements place emphasis on inflation management, economic growth, and consideration of exogenous factors affecting monetary policy implementation, with language and structure varying across quarters. Moreover, the analysis suggests that understanding these statements typically requires a college-level education, posing accessibility challenges for a significant portion of Sierra Leone’s population. The policy implications drawn from this analysis accentuate the importance of stakeholder engagement, transparency, adoption of digital outreach tools, local language communication, continuous monitoring and evaluation of the Bank’s communication strategy. This research contributes empirical evidence on monetary policy communication in Sierra Leone, offering insights for policymakers on how best to improve its communication strategies to financial market participants and the general public.
    Keywords: Text mining, monetary policy, communication, Bank of Sierra Leone, Effectiveness, Readability, Clarity, Comprehensibility
    JEL: E52 E58 G14 G28 C88
    Date: 2024
  21. By: Tiziano Ropele (Bank of Italy); Yuriy Gorodnichenko (University of California, Berkeley); Olivier Coibion (University of Texas at Austin)
    Abstract: Using Italian data that includes both firms' inflation forecasts and external information on their balance sheets, we study the causal effect of changes in the dispersion of beliefs about future inflation on the misallocation of resources. We find that as disagreement increases, so does misallocation. In times of low inflation, the aggregate TFP loss from the dispersed expectations-induced misallocation is moderate, but we argue that it is likely to become quite significant in times of high inflation.
    Keywords: misallocation, inflation expectations
    JEL: E31 C83 D84 O47
    Date: 2023–12
  22. By: Mogaji, Peter Kehinde
    Abstract: This paper evaluates the interactions of monetary policy and fiscal policy in countries within regional economic communities and monetary blocs of Africa (AMU, EAC, ECCA, ECOWAS and SADC) as well as establish the extent of monetary dominance and/or fiscal dominance in the 48 African countries assessed by this study. The modelling of monetary policy in this study followed the standard Taylor rule which makes the nominal interest rate a function of inflation and output gap. On the fiscal policy side, this study applied the fiscal rule suggested by Davig and Leeper (2006) and Leeper (2013, 2016) in which government revenue/GDP ratio reacts to government expenditure ratio, public debt ratio and output gap in modelling fiscal policy. This study applied annual data of monetary policy and fiscal policy rules of the 48 African countries spanning over the period of 33 years between 1990 and 2021. The econometric estimation method employed is the regime switching regressions of Markov regime switching models of the Taylor monetary rule (augmented by interest rate smoothing) and of the fiscal rule augmented with lagged values of government revenue scaled by output. Although, many of the determining coefficient of inflation (for monetary policy) and the coefficient of public debt/GDP ratio (for fiscal policy) yielded in this empirical study are not statistically significant at choice level of significance, results generated reflect combinations of passive monetary policy and passive fiscal policy in the two Markov switching regimes, for all the economies evaluated, with the exception of Cape Verde that demonstrated monetary dominance with the interaction ‘active’ monetary policy and ‘passive’ fiscal policy, only in the switching regime 1. Although, there are apparent similarities in monetary policy and fiscal policy direction in all the five economic and monetary areas of Africa as revealed in this work, the failure to record ‘monetary dominance’ by majority of the African countries does not portend positive implications for the adoption and implementation of a single monetary policy and the supra-national level of Africa if the African Monetary Union project and the dream monetary integration of Africa would come into fruition.
    Keywords: Monetary-Fiscal Policy Interaction, Monetary Dominance, Fiscal Dominance, AMU, EAC, ECCA, ECOWAS, SADC
    JEL: E52 E62 E63 F02 F33 F45
    Date: 2023–01–10
  23. By: Marco Bernardini (Bank of Italy); Antonio M. Conti (Bank of Italy)
    Abstract: What is the overall impact of announcement and implementation effects of asset purchases on financial conditions? Existing research lacks a unified approach for answering this question. We fill this gap by estimating a VAR model based on two pillars: a unique daily dataset covering ECB's asset purchases over the period 2014-2021 and a novel identification strategy combining survey-based external instruments and narrative sign restrictions. The findings underscore the relevance of both purchase announcements and actual purchases in influencing bond yields and stock prices. Neglecting how purchases are actually implemented may severely distort the assessment of their effectiveness.
    Keywords: monetary policy, asset purchases, stock effects, and flow effects, high-frequency, VAR.
    JEL: E52 E58 E44 C32 C54
    Date: 2023–12
  24. By: Mogaji, Peter Kehinde
    Abstract: Neutrality of money holds that the real economy is not affected by the level of the money supply level. Superneutrality of money as a property stronger than neutrality of money connotes that the rate of money supply growth has no effect on real variables. The hypothesis of money superneutrality is about what the long run relationship between money supply growth and growth in real output and changes in price levels and what these suggest for the use of monetary aggregates in the conduct of monetary policy. This paper assesses the validity of the hypothesis of money superneutrality in the long run by gathering empirical evidence for 50 African economies within five (5) monetary and economic blocs of Africa (EAC, ECCAS, ECOWAS, AMU/MENA, and SADC), including Djibouti and Ethiopia. This study determines if money supply growth is influential across economies in Africa. The autoregressive distributed lag (ARDL) bound testing cointegration approach developed by Pesaran et al (2001) was employed to test money superneutrality in this study. Relevant time series annual data of money supply growth, and real GDP growth and inflation spanning over a period of 42 years between 1980 and 2022 were sourced and applied for 53 African countries under the study. Findings and results generated from the ARDL estimation results produced evidence to suggest that money is not superneutral in monetary policy outcomes and implementation virtually all the economies of Africa evaluated, from both perspectives of the influence of money supply growth on real output and on inflation. However, it is necessary to state that the assessments of the influence of money supply growth on inflation rate yield establish the relevance of money across African economies.
    Keywords: Money Neutrality, Money Superneutrality, ARDL, EAC, ECCAS, ECOWAS, AMU, MENA, SADC
    JEL: E4
    Date: 2023–09–07
  25. By: Giovanni Melina (International Monetary Fund); Stefania Villa (Bank of Italy)
    Abstract: Shocks to capital utilization are introduced into a structural macroeconomic closed-economy model with financial frictions to capture disruptions to the ability of the capital stock to provide capital services used in production. Estimates for the euro area and the United States show that these shocks were among the most important drivers of the output contraction during the Global Financial Crisis and the COVID-19 crisis, while financial shocks were more significant only during the Global Financial Crisis. Thanks to the timely and strong intervention of the European Central Bank and the US Federal Reserve, monetary policy shocks exerted a sizeable and positive contribution to output and inflation during the COVID-19 crisis.
    Keywords: COVID-19, Global Financial Crisis, Great Lockdown, monetary policy, capital utilization
    JEL: E4 E5 E6
    Date: 2023–10
  26. By: Schnorpfeil, Philip; Weber, Michael; Hackethal, Andreas
    Abstract: We study the redistributive effects of surprise inflation combining administrative bank data with an information provision experiment during an episode of historic inflation. On average, households are well-informed about prevailing inflation and are concerned about its impact on their wealth; yet, while many households know about inflation eroding nominal assets, most are unaware of nominal-debt erosion. Once they receive information on the debt-erosion channel, households view nominal debt more positively and increase estimates of their own real net wealth. These changes causally affect actual consumption and hypothetical debt decisions. Our findings suggest that real wealth mediates the sensitivity of consumption to inflation once households are aware of the wealth effects of inflation JEL Classification: D12, D14, D83, D84, E21, E31, E52
    Keywords: Consumption, Inflation Beliefs, Information Treatment, Monetary Policy
    Date: 2024–02
  27. By: Anton E. Bobrov; Rupal Kamdar; Mauricio Ulate
    Abstract: U.S. monetary-policy decisions are made by the 12 voting members of the Federal Open Market Committee (FOMC). Seven of these members, coming from the Federal Reserve Board of Governors, inherently represent national-level interests. The remaining five members, a rotating group of presidents from the 12 Federal Reserve districts, come instead from sub-national jurisdictions. Does this structure have relevant implications for the monetary policy-making process? In this paper, we first build a panel dataset on economic activity across Fed districts. We then provide evidence that regional economic conditions influence the voting behavior of district presidents. Specifically, a regional unemployment rate that is one percentage point higher than the U.S. level is associated with an approximately nine percentage points higher probability of dissenting in favor of looser policy at the FOMC. This result is statistically significant, robust to different specifications, and indicates that the regional component in the structure of the FOMC could matter for monetary policy.
    Keywords: monetary policy; Federal Open Market Committee (FOMC); regional economics; Taylor Rule
    JEL: E32 E52 E58 E61
    Date: 2024–02–26
  28. By: Yu Awaya; Kohei Iwasaki; Makoto Watanabe
    Abstract: This paper examines how monetary expansion causes asset bubbles. When there is no monetary expansion, a bubbly asset is not created due to a hold-up problem. Monetary expansion increases buyers’ money holdings, and then, dealers are willing to buy a worthless asset from sellers, in hopes of selling it to buyers who may not know that it is worthless—a bubble now occurs.
    Keywords: bubbles, dealers, higher-order uncertainty, money
    JEL: D82 D83 D84 E44 E52 G12 G14
    Date: 2024
  29. By: Shigenori SHIRATSUKA (Faculty of Economics, Keio University)
    Abstract: The current monetary policy framework of the Bank of Japan (BOJ) is the Quantitative and Qualitative Monetary Easing (QQE) with Yield Curve Control (YCC). The YCC framework targets two interest rates with different maturity: the overnight policy interest rate at ?0.1 percent and the longer-term 10-year Japanese Government Bond (JGB) yields at zero percent. It appears to work effectively in stabilizing interest rates from short- to long-term at low levels. This paper addresses the question of what the BOJ fs YCC policy does through the lens of the yield curve dynamics in the JGB market and the overnight index swap (OIS) market, with due consideration of practical details of the BOJ fs JGB market operations. Empirical evidence shows two points. First, the BOJ fs JGB market interventions amplify the fluctuations of the overall yield curves, in contrast to its policy purpose of fostering the smooth formation of a mild upwardsloping shape of the JGB yield curve. Second, the BOJ fs outright JGB purchases in highstress times are seemingly aggressive but actually reactive to counter the market pressure on the YCC cap. These findings indicate that the YCC policy is carried out to sustain the YCC policy framework without producing effective easing effects but with significant side effects.
    Keywords: Unconventional Monetary Policy, Yield Curve Control, Nelson-Siegel Model, OIS-JGB Spread
    JEL: E43 E52 E58 G12
    Date: 2024–02–05
  30. By: Addie, Ron; Taranto, Aldo
    Abstract: An economic similarity between two economies is defined, which is a correspondence between the futures of two economies in which all, or a certain subset of all acts of production and consumption, are the same. Prices and inflation can be different in similar economies so an economic similarity is the ideal tool for studying inflation and for expressing monetary neutrality, as one aspect of money. A formula for an economic similarity from an arbitrary economy to an economy with a different rate of inflation is stated and proved. An economic similarity is used to formulate and prove a rigorous expression of the quantity theory of money and a different economic similarity is used to elucidate how raising interest rates reduces inflation. The distortion of economic activity caused by raising interest rates to control inflation is identified and quantified. A strategy for managing inflation that avoids distortion of economic activity by focusing on loan repayments rather than on interest rates is identified. The existence of a “painless” inflation management strategy, which adjusts repayment rates as well as interest rates, is deduced by means of the more precise understanding of the neutrality aspect of money that is obtained through economic similarity. Although it is unexpected to discover a purely “technical” mechanism for managing inflation, the theoretical justification, provided through economic similarity, is strong. The practical implications of such a mechanism are considerable.
    Keywords: economic, similarity, inflation, interest, stochastic, neutral
    Date: 2024
  31. By: Jost, Thomas; Mink, Reimund
    Abstract: The Eurosystem and the Deutsche Bundesbank will incur substantial losses in 2023 that are likely to persist for several years. Due to the massive purchases of securities in the last 10 years, especially of government bonds, the banks' excess reserves have risen sharply. The resulting high interest payments to the banks since the turnaround in monetary policy, with little income for the large-scale securities holdings, led to massive criticism. The banks were said to be making "unfair" profits as a result, while the fiscal authorities had to forego the previously customary transfers of central bank profits. Populist demands to limit bank profits by, for example, drastically increasing the minimum reserve ratios in the Eurosystem to reduce excess reserves are creating new severe problems and are neither justified nor helpful. Ultimately, the EU member states have benefited for a very long time from historically low interest rates because of the Eurosystem's extraordinary loose monetary policy and must now bear the flip side consequences of the massive expansion of central bank balance sheets during the necessary period of monetary policy normalisation.
    Abstract: Das Eurosystem und die Deutsche Bundesbank werden im Jahr 2023 und wahrscheinlich auch in den kommenden Jahren beträchtliche Verluste einfahren. Durch die massiven Wertpapierkäufe der letzten zehn Jahre, insbesondere von Staatsanleihen, sind die Überschussreserven der Banken stark gestiegen. Die daraus resultierenden hohen Zinszahlungen an die Banken seit der Wende in der Geldpolitik, bei zugleich geringer Verzinsung der hohen Wertpapierbestände, führten zu massiver Kritik. Die Banken machten dadurch "unfaire" Gewinne, während der Fiskus auf die bisher üblichen Abführungen von Zentralbankgewinnen verzichten musste. Populistische Forderungen, die Gewinne der Banken zu begrenzen, indem z.B. die Mindestreservesätze im Eurosystem drastisch erhöht werden, um die Überschussreserven zu reduzieren, schaffen neue Probleme und sind weder sachlich gerechtfertigt noch hilfreich. Schließlich haben die EWU-Staaten aufgrund der ultra-expansiven Geldpolitik des Eurosystems sehr lange in beispielloser Weise von historisch niedrigen Zinsen profitiert und müssen nun die fiskalischen Folgen der massiven Ausweitung der Zentralbankbilanzen in der Phase der notwendigen geldpolitischen Normalisierung tragen.
    Keywords: Central Bank Losses, Eurosystem, Quantitative Easing, Minimum Reserves, Monetary Policy
    JEL: E50 E58
    Date: 2024
  32. By: Dr. Romain Baeriswyl; Alex Oktay; Dr. Marc-Antoine Ramelet
    Abstract: We find that the response of stock prices to the exchange rate reflects a currency denomination effect—that is, a change in the relative international value of firms’ cash flows and equity—rather than a change in domestic economic conditions. To do so, we compute exogenous movements for the Swiss franc on SNB announcement days and trace their effects on Swiss stocks. Exploiting firm heterogeneity reveals that the prices of stocks with foreign-denominated cash flows are considerably more sensitive to the exchange rate. Using the staggered introduction of American Depositary Receipts in Switzerland, we provide causal evidence that cross-listing markedly amplifies the sensitivity of domestic stock prices to exchange rate fluctuations, consistent with the law of one price. Stock market movements that follow central bank announcements should therefore be interpreted with caution because they partially reflect parity movements and not only economic information.
    Keywords: International asset pricing, Law of one price, Exchange rate shocks, Cross-listing
    JEL: F31 G12 G15
    Date: 2023
  33. By: Brent Meyer; Xuguang Sheng
    Abstract: We propose a novel, survey-based measure of nominal marginal cost expectations held by business decision makers to track building inflationary pressures and augment the existing set of inflation expectations data policymakers frequently monitor. Unlike other surveys of firms or households that elicit "aggregate" expectations, we focus on idiosyncratic costs that firms are well-aware of and plan for, and which matter for price setting. We document five key findings. First, once aggregated, firms' unit cost realizations closely comove with US inflation statistics. Second, in aggregate, firms' unit cost expectations significantly outperform households' inflation expectations when inflation is low and are at least as accurate as the expectations of professional forecasters in out-of-sample forecasting exercises. Third, we find that up until early 2020, the evolution of firms' views was similar to other survey and market-based measures of inflation uncertainty. Fourth, using special questions, we find evidence that information treatments about aggregate inflation and policymakers' forecasts do little to alter firms' unit cost expectations. And lastly, we show that unit costs, at the firm level, are an important determinant of their own price setting behavior.
    Keywords: inflation expectations; probability distributions; randomized controlled trials; uncertainty; unit cost expectations
    JEL: E6 E31 E52 L2
    Date: 2024–03–01
  34. By: Stefan Jacewitz; Jonathan Pogach; Haluk Unal; Chengjun Wu
    Abstract: In this paper, we present empirical evidence of the regulatory dialectic in the prime institutional money market fund (PI-MMF) industry. The “regulatory dialectic”, developed by Kane (1977, 1981), describes how banks and regulators react to each other. For decades, a cap on commercial deposit interest rates fueled dramatic growth in bank-sponsored PI-MMFs as a form of shadow banking. During the growth period, banks with more commercial deposits were more likely to enter the PI-MMF industry in an effort to keep their commercial customers in affiliated subsidiaries. However, the 2008 crisis and subsequent regulatory changes halted the rapid growth of PI-MMFs. In the post-crisis regulatory regime, bank-sponsored funds were more likely to exit the industry than nonbank-sponsored funds. Simultaneously, the industry shifted from PI-MMFs to government institutional MMFs as substitute products. We conjecture that the collapse of the PI-MMF can lead further to the emergence of substitute products, such as stablecoins as part of the continuing dialectical process.
    Keywords: bank; bank holding company; bank run; financial crisis; liquidity risk; money market funds; systemic financial risk; too big to fail
    JEL: G2 G21 G23 G28 H12 H81
    Date: 2024–02–05
  35. By: Andrea Fabiani (Bank of Italy); Fabio Massimo Piersanti (Bank of Italy)
    Abstract: How does inflation affect firms' performance, conditional on their capital structure? To answer this question, we exploit survey-based inflation surprises from the Eurozone and analyze the cross-section of stock returns for non-financial companies on days of release of inflation data over the period 2020-2022. Our results suggest that, in reaction to a positive inflation surprise, firms with relatively higher financial leverage experience larger stock returns. Moreover, long-term leverage drives the adjustment, consistent with Fisherian theories emphasizing the fall in the real value of debt liabilities associated with higher inflation.
    Keywords: inflation, capital structure, leverage, debt maturity, stock returns, high-frequency
    JEL: E31 E50 G12 G30 G32
    Date: 2023–12
  36. By: Abounabhan, Mary; Diouf, Awa; Santoro, Fabrizio; Sakyi-Nyarko, Carlos; Scarpini, Celeste
    Abstract: This study investigates the intricate dynamics surrounding the implementation and reception of mobile money taxes, focusing on Ghana as a case study. Consumer-level mobile money taxes, particularly controversial, have sparked large-scale protests, prompting policy revisions in various countries, including Uganda, Cote d'Ivoire and Benin. Ghana’s electronic transfer levy (e-levy) not only followed this trend of public dissent, but also triggered the country’s first budgetary rejection since 1981. The particularly strong reactions, followed by two rounds of revisions, makes understanding what lies behind public perceptions especially important to inform the ongoing debate within Ghana and the region.
    Keywords: Finance,
    Date: 2024
  37. By: Martin Brown; Laura Felber; Dr. Christoph Meyer
    Abstract: Financial intermediaries play an important role in consumer adoption and use of payment technology. Card schemes and card-issuing banks set rules for cashless payments between consumers and merchants. We document that these rules have a strong causal impact on the use of digital payment technology. We study an increase in the value limit for contactless cardholder verification (“tap-and-go” limit) that was introduced at the onset of the COVID-19 pandemic. Our analysis is based on anonymized, transaction-level data for a large sample of point-of-sale (POS) debit card payments between 2019 and 2021. We show that the increase in the “tap-and-go” limit caused a significant increase in the consumer use of contactless payments but only a minor increase in first-time adoption of this payment technology. Our results suggest that policy-makers are advised to consider the role of intermediaries and verification rules when evaluating payment innovations, such as instant payment systems or central bank digital currencies (CBDCs).
    Keywords: Payment choice, Financial intermediation, Technology adoption, Contactless payments, COVID-19
    JEL: D14 E42 G21 G23 G50 O33
    Date: 2023
  38. By: Maximilian Konradt; Thomas McGregor; Mr. Frederik G Toscani
    Abstract: What is the effect of carbon pricing on inflation? This paper shows empirically that the consequences of the European Union’s Emission Trading System (ETS) and national carbon taxation on inflation have been limited in the euro area, so far. This result is supported by analysis based on a panel local projections approach, as well as event studies based on individual countries. Our estimates suggest that carbon taxes raised the price of energy but had limited effects on overall consumer prices. Since future climate policy will need to be much more ambitious compared to what has been observed so far, including the need for larger increases in carbon prices, possible non-linearities might make extrapolating from historical results difficult. We thus also use input-output tables to simulate the mechanical effect of a carbon tax consistent with the EU’s ‘Fit-for-55’ commitments on inflation. The required increase of effective carbon prices from around 40 Euro per ton of CO2 in 2021 to around 150 Euro by 2030 could raise annual euro area inflation by between 0.2 and 0.4 percentage points. It is worth noting that the energy price increases caused by the rise in the effective carbon price to 150 Euro is substantially smaller than the energy price spike seen in 2022 following the invasion of Ukraine.
    Keywords: Green transition; carbon taxes; climate policy; inflation
    Date: 2024–02–16
  39. By: Tokarski, Paweł
    Abstract: The inquiry into the global significance of the euro, which is the second most important currency in the international financial system after the US dollar (hereinafter, the dollar), should be treated as a priority in efforts to strengthen the EU's strategic autonomy. The main obstacles impeding the further internationalisation of the euro include the lack of a sovereign behind it and the heterogeneity and structural problems of the euro area member states. The international status of the euro can be actively improved by strengthening its role in the green transformation as well as in the further deepening and integration of the financial markets in Europe - and by promoting the 'digital euro' project. The current trends of growing geopolitical rivalry, digitalisation, and the rise of platform companies in the global economy will steer the international financial system towards greater regionalisation.
    Keywords: euro, euro area, currency, dollar, international financial system, geopolitical rivalry, digitalisation, platform companies
    Date: 2024
  40. By: Lin, Alessandro; Peruffo, Marcel
    Abstract: We propose a novel methodology for solving Heterogeneous Agents New Keynesian (HANK) models with aggregate uncertainty and the Zero Lower Bound (ZLB) on nominal interest rates. Our efficient solution strategy combines the sequence-state Jacobian methodology in Auclert et al. (2021) with a tractable structure for aggregate uncertainty by means of a two-regimes shock structure. We apply the method to a simple HANK model to show that: 1) in the presence of aggregate non-linearities such as the ZLB, a dichotomy emerges between the aggregate impulse responses under aggregate uncertainty against the deterministic case; 2) aggregate uncertainty amplifies downturns at the ZLB, and household heterogeneity increases the strength of this amplification; 3) the effects of forward guidance are stronger when there is aggregate uncertainty. JEL Classification: D14, E44, E52, E58
    Keywords: computational methods, liquidity traps, monetary policy, new-Keynesian models, zero lower bound
    Date: 2024–02
  41. By: Luigi Infante (Bank of Italy); David Loschiavo (Bank of Italy); Andrea Neri (Bank of Italy); Matteo Spuri (Bank of Italy); Francesco Vercelli (Bank of Italy)
    Abstract: This paper assesses the impact of the 2022 inflationary shock on Italian households’ wealth along the joint distribution of income and net wealth. The analysis was carried out by dividing households into four groups based on their median income and net wealth, using a methodology similar to the Distributional Wealth Accounts developed at European level. The erosion of the real value of net financial wealth due to inflation was heterogeneous across households. While capital losses were small for the least wealthy households, for the wealthiest group they exceeded one tenth of annual disposable income. Conversely, the reduction in the real value of financial liabilities allowed the group of households with high income and low net wealth to realize a capital gain of nearly one tenth of their income.
    Keywords: distributional wealth accounts, inflation, joint income and wealth distribution
    JEL: D14 D31 D51 E31
    Date: 2023–11
  42. By: BRILLANT, Lucy
    Abstract: The purpose of the paper is to rescue Irving Fisher’s theorizing of the yield curve (1896, 1907, 1930) from relative obscurity and to contrast it with the better known and equally pioneering theory of John Maynard Keynes (1930, 1936). The paper also adduces evidence that Fed economists and the U.S. monetary experience in the 1920s greatly influenced these authors, both of whom were concerned with the management of the long-term interest rate.
    Date: 2024–01–26
  43. By: Mamoun Alaoui (UH2MC - Université Hassan II [Casablanca])
    Abstract: This article aims to analyze and study the fluctuation of the key rate and inflation on the Moroccan banking sector during the period between June 2022 and July 2023. In addition, the study of the impact of the fluctuation of the policy rate and inflation on outstanding bank loans, bank deposits and on the effectiveness of the policy rate in lowering the inflation rate and consequently, their impact on the Moroccan banking sector. In order to achieve greater objectivity and scientific clarity in the analysis and processing of data relating to our subject, I have mainly used a static method and a dynamic method to verify our assertions arising from the main problem and to confirm or refute our hypotheses. The result allows us to conclude that the relationship between the fluctuation of the key interest rate and inflation on the Moroccan banking sector is significant, since with the increase in inflation and the key interest rate, we can see that outstanding loans decreased immediately afterwards. Key words: Policy rate, inflation, bank deposits, outstanding bank loans, Moroccan banking sector.
    Abstract: Cet article vise à analyser et étudier la fluctuation du taux directeur et de l'inflation sur le secteur bancaire Marocain pendant la durée entre Juin 2022 et Juillet 2023. En outre, l'étude de l'impact de la fluctuation du taux directeur et de l'inflation sur l'encours des crédits bancaire, des dépôts bancaires et sur l'efficacité du taux directeur dans la baisse du taux d'inflation et par conséquent leurs impact sur le secteur bancaire Marocain. Afin d'atteindre une plus grande objectivité et une clarté scientifique dans l'analyse et le traitement des données relatives à notre sujet, nous avons utilisé principalement une méthode statique et une méthode dynamique pour vérifier nos affirmations qui découlent de la problématique principale et confirmer ou infirmer nos hypothèses. Le résultat nous permet de conclure que la relation entre la fluctuation du taux directeur et de l'inflation sur le secteur bancaire Marocain est significative car avec l'augmentation de l'inflation et du taux directeur on constate que les encours de crédits ont connu une diminution juste après. Mots clés : Taux directeur, inflation, dépôts bancaires, encours des crédits bancaire, secteur bancaire Marocain.
    Keywords: Taux directeur, inflation, dépôts bancaires, encours des crédits bancaire, secteur bancaire Marocain
    Date: 2024–02–03
  44. By: Luca Benati, Juan-Pablo Nicolini
    Abstract: We explore the welfare costs of inflation originating from lack of liquidity satiation for Weimar Republic’s hyperinflation and three high-inflation countries. Towards the peak of Weimar’s hyperinflation the costs are estimated to have been equal to nearly 20 per cent of income. For Israel, Mexico, and Argentina the costs had been materially lower, but still in the range of 3-5 percent of GDP.
    Date: 2024–01
  45. By: Marjan Petreski; Stefan Tanevski; Alejandro D. Jacobo
    Abstract: Using a Taylor rule amended with official reserves movements, we derive country-specific monetary shocks and employ a local projections-estimator for tracking gender-disaggregated labor-market responses in 99 developing economies from 2009 to 2021. Results show that women experience more negative post-shock employment responses than men, contributing to a deepening of the gender gaps on the labor market. After the shock, women leave the labor market more so than men, which results in an apparently intact or even improved unemployment outcome for women. We find limited evidence of sector-specific reaction to interest rates. Additionally, we identify an intense worsening of women-s position on the labor market in high-growth environments as well under monetary policy tightening. Developing Asia and Latin America experience the most significant detrimental effects on women's employment, Africa exhibits a slower manifestation of the monetary shocks-impact and developing Europe shows the mildest effects.
    Date: 2024–02
  46. By: Ozili, Peterson K
    Abstract: This paper presents a discussion about the causes and consequences of the 2023 banking crisis in the United States. Using discourse analysis, the paper show that the 2023 banking crisis was the worst crisis in the US and Europe since the 2007-2008 global financial crisis. This banking crisis was caused by aggressive interest rate hikes by the US Federal Reserve. The increase in interest rates led to huge losses on the portfolio of government bonds held by US banks. The losses led to fears of bank collapse and triggered unprecedented deposit outflows which led to funding and liquidity problems for some banks and the eventual collapse of four banks – Silicon Valley Bank, Signature Bank, First Republic Bank and Credit Suisse. This crisis showed that the increase in interest rates can unmask hidden vulnerabilities in the banking system
    Keywords: Banking crisis, interest rates, Silicon Valley Bank, regional banks, financial crisis, United States, Europe.
    JEL: G00 G01 G21 G28
    Date: 2024

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