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on Monetary Economics |
| By: | Tarishi Matsuoka; Makoto Watanabe |
| Abstract: | This paper examines the role of Central Bank Digital Currency (CBDC) in a monetary model in which fundamental-based bank runs arise endogenously. We demonstrate that introducing a CBDC designed to replicate the properties of cash displaces physical cash and, when offered at a sufficiently attractive rate, can increase the likelihood of a bank run. In contrast, when the CBDC is designed to resemble bank deposits, cash, CBDC, and deposits can coexist as media of exchange, and a high CBDC rate can eliminate the risk of runs. We further characterize the optimal CBDC policy within this framework. |
| Keywords: | monetary equilibrium, bank run, CBDC |
| JEL: | E42 E58 G21 |
| Date: | 2025 |
| URL: | https://d.repec.org/n?u=RePEc:ces:ceswps:_11922 |
| By: | Pavel Trunin (Gaidar Institute for Economic Policy); Alexandra Bozheckkova (Gaidar Institute for Economic Policy) |
| Abstract: | In 2024, monetary policy of the Bank of Russia was performed amid rapid increase in aggregate demand compared to the supply expansion opportunities, accompanied by a significant growth in consumer prices and inflation expectations. In such circumstances, the CBR pursued a tight monetary policy aimed at achieving price stability. |
| Keywords: | Russian economy, monetary policy, money market, exchange rate, inflation, balance of payments, fiscal policy |
| JEL: | E31 E43 E44 E51 E52 E58 |
| Date: | 2025 |
| URL: | https://d.repec.org/n?u=RePEc:gai:ppaper:ppaper-2025-1404 |
| By: | Makoto WATANABE; Tarishi Matsuoka |
| Abstract: | This paper examines the role of Central Bank Digital Currency (CBDC) in a monetary model in which fundamental-based bank runs arise endogenously. We demonstrate that introducing a CBDC designed to replicate the properties of cash displaces physical cash and, when offered at a sufficiently attractive rate, can increase the likelihood of a bank run. In contrast, when the CBDC is designed to resemble bank deposits, cash, CBDC, and deposits can coexist as media of exchange, and a high CBDC rate can eliminate the risk of runs. We further characterize the optimal CBDC policy within this framework. |
| Date: | 2025–06 |
| URL: | https://d.repec.org/n?u=RePEc:cnn:wpaper:25-015e |
| By: | Galo Nuño (BANCO DE ESPAÑA, CEMFI, CEPR); Philipp Renner (UNIVERSITY OF LANCASTER); Simon Scheidegger (UNIVERSITY OF LAUSANNE) |
| Abstract: | This paper studies monetary policy in a New Keynesian model with persistent supply shocks, that is, sustained increases in production costs due to factors such as wars or geopolitical fragmentation. First, we demonstrate that Taylor rules fail to stabilize long-term inflation due to endogenous shifts in the natural interest rate. Second, we analyze optimal policy responses under discretion and commitment. Under discretion, a systematic inflationary bias emerges when the shock impacts the economy. Under commitment, the optimal policy adopts a lean-against-the-wind approach without compensating for past inflation, implying that “bygones are bygones”. This result is reinforced if monetary policy is constrained by the zero lower bound. |
| Keywords: | deep learning, Markov switching model, cost-push shocks |
| JEL: | E32 E58 E63 |
| Date: | 2025–06 |
| URL: | https://d.repec.org/n?u=RePEc:bde:wpaper:2529 |
| By: | Michal Franta; Jan Vlcek |
| Abstract: | Inflation at Risk provides a coherent description of the risks associated with an inflation outlook. This paper explores the practical applicability of this approach in central banks. The method is applied to Czech inflation to highlight issues related to short data sample. A set of quantile regressions with a non-crossing quantiles constraint is estimated using monthly data from the year 2000 onwards, and the model's in-sample fit and out-of-sample forecasting performance are then assessed. Furthermore, we discuss the Inflation at Risk estimates in the context of several historical events and demonstrate how the approach can inform monetary policy. The estimation results suggest the presence of nonlinearities in the Czech inflation process, which are related to supply-side pressures. In addition, it appears that regime changes have occurred recently. |
| Keywords: | Inflation dynamics, inflation risk, quantile regressions |
| JEL: | E31 E37 E52 |
| Date: | 2025–05 |
| URL: | https://d.repec.org/n?u=RePEc:cnb:wpaper:2025/8 |
| By: | Forbes, Kristin; Jongrim Ha; Ayhan Kose |
| Abstract: | Central banks often face tradeoffs in how their monetary policy decisions impact economic activity (including employment), inflation and the price level. This paper assesses how these tradeoffs have evolved over time and varied across countries, with a focus on understanding the post-pandemic adjustment. To make these comparisons, we compile a cross-country, historical database of “rate cycles” (i.e., easing and tightening phases for monetary policy) for 24 advanced economies from 1970 through 2024. This allows us to quantify the characteristics of interest rate adjustments and corresponding macroeconomic outcomes and tradeoffs. We also calculate Sacrifice Ratios (output losses per inflation reduction) and document a historically low “sacrifice” during the post-pandemic tightening. This popular measure, however, ignores adjustments in the price level—which increased by more after the pandemic than over the past four decades. A series of regressions and simulations suggest monetary policy (and particularly the timing and aggressiveness of rate hikes) play a meaningful role in explaining these tradeoffs and how adjustments occur during tightening phases. Central bank credibility is the one measure we assess that corresponds to only positive outcomes and no difficult tradeoffs. |
| Date: | 2025–05–22 |
| URL: | https://d.repec.org/n?u=RePEc:wbk:wbrwps:11130 |
| By: | Christina Anderl; Guglielmo Maria Caporale |
| Abstract: | This paper uses data on 5-year gasoline price expectations from the US Michigan Survey of Consumers to investigate their role as a transmission channel for gasoline price shocks. Specifically, a Structural VAR model is estimated to carry out counterfactual analysis which shows that gasoline price expectations act as a transmitter of gasoline price shocks to US inflation and real activity. Further, nonlinear local projections with high-frequency instrumental variable identification indicate that gasoline price expectations propagate gasoline price shocks to inflation even when headline inflation expectations appear to be anchored, although their effects are not persistent and the strength of the transmission depends to some extent on the chosen definition of anchoring. |
| Keywords: | gasoline price expectations, inflation expectations, anchoring; transmission channel, counterfactual analysis, Structural VAR, nonlinear local projections |
| JEL: | C32 E31 E52 Q43 |
| Date: | 2025 |
| URL: | https://d.repec.org/n?u=RePEc:ces:ceswps:_11924 |
| By: | Takushi Kurozumi; Willem Van Zandweghe |
| Abstract: | Recent research indicates substantial differences in price-setting behavior between small and large firms, as only large firms exhibit strategic complementarities in price setting. Using firm survey data, we present new evidence that the cost-price pass-through decreases with firm size. To examine the implications for inflation dynamics, we develop a DSGE model that features heterogeneous complementarities across firm size. While standard DSGE models with homogeneous firms generate real rigidity in relative prices, there is little such rigidity in our model. Heterogeneity in strategic complementarity by firm size weakens real rigidity because large firms that exhibit strategic complementarities bring their product prices in line with those of small firms that more fully pass through cost changes. Our findings challenge the notion of strategic complementarity as a source of real rigidity in DSGE models. |
| Keywords: | firm heterogeneity; pass-through; monetary non-neutrality |
| JEL: | E31 E52 L11 |
| Date: | 2025–06–02 |
| URL: | https://d.repec.org/n?u=RePEc:fip:fedcwq:100041 |
| By: | Fatih Kansoy; Joel Mundy |
| Abstract: | Central banks increasingly use social media to communicate beyond financial markets, yet evidence on public engagement effectiveness remains limited. Despite 113 central banks joining Twitter between 2008 and 2018, we lack understanding of what drives audience interaction with their content. To examine engagement determinants, we analyzed 3.13 million tweets mentioning the Bank of England from 2007 to 2022, including 9, 810 official posts. We investigate posting patterns, measure engagement elasticity, and identify content characteristics predicting higher interaction. The Bank's posting schedule misaligns with peak audience engagement times, with evening hours generating the highest interaction despite minimal posting. Cultural content, such as the Alan Turing 50 pound note, achieved 1, 300 times higher engagement than routine policy communications. Engagement elasticity averaged 1.095 with substantial volatility during events like Brexit, contrasting with the Federal Reserve's stability. Media content dramatically increased engagement: videos by 1, 700 percent, photos by 126 percent, while monetary policy announcements and readability significantly enhanced all metrics. Content quality and timing matter more than posting frequency for effective central bank communication. These findings suggest central banks should prioritize accessible, media-rich content during high-attention periods rather than increasing volume, with implications for digital communication strategies in fulfilling public transparency mandates. |
| Date: | 2025–06 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2506.02559 |
| By: | Iván Werning; Guido Lorenzoni; Veronica Guerrieri |
| Abstract: | We study the optimal monetary policy response to the imposition of tariffs in a model with imported intermediate inputs. In a simple open-economy framework, we show that a tariff maps exactly into a cost-push shock in the standard closed-economy New Keynesian model, shifting the Phillips curve upward. We then characterize optimal monetary policy, showing that it partially accommodates the shock to smooth the transition to a more distorted long-run equilibrium—at the cost of higher short-run inflation. |
| JEL: | E5 E6 F4 |
| Date: | 2025–05 |
| URL: | https://d.repec.org/n?u=RePEc:nbr:nberwo:33772 |
| By: | Frida Adjalala; Felipe Alves; William Beaudoin; Hélène Desgagnés; Wei Dong; Ingomar Krohn; Jan David Schneider |
| Abstract: | We assess both the US and Canadian nominal neutral rates to be in the range of 2.25% to 3.25%, unchanged from the range assessed in 2024. |
| Keywords: | Economic models; Interest rates; Monetary policy |
| JEL: | E4 E40 E43 E5 E50 E52 E58 F4 F41 |
| Date: | 2025–06 |
| URL: | https://d.repec.org/n?u=RePEc:bca:bocsan:25-16 |
| By: | Veronica Guerrieri; Guido Lorenzoni; Iván Werning |
| Abstract: | Individual central banks respond to global supply shocks that transmit inflationary pressures—such as oil prices, shipping costs, and bottlenecks in global supply chains—taking these conditions as given. However, their combined global response determines global demand and, thus, the resulting global price pressure. This paper builds a simple monetary open economy model to explore the economic implications of this channel. We show that, following a negative world supply shock, uncoordinated monetary policy may be excessively loose. Our mechanism for this “expansionary bias” applies to an aggregate shock in a symmetric world economy of small open economies having no individual control over their terms of trade. In these ways, it is distinct from asymmetric shocks and terms-of-trade manipulation motives emphasized in the monetary coordination literature. |
| JEL: | E12 E58 F42 |
| Date: | 2025–05 |
| URL: | https://d.repec.org/n?u=RePEc:nbr:nberwo:33840 |
| By: | Wishnu Badrawani |
| Abstract: | This paper evaluates the performance of prominent machine learning (ML) algorithms in predicting Indonesia's inflation using the payment system, capital market, and macroeconomic data. We compare the forecasting performance of each ML model, namely shrinkage regression, ensemble learning, and super vector regression, to that of the univariate time series ARIMA and SARIMA models. We examine various out-of-bag sample periods in each ML model to determine the appropriate data-splitting ratios for the regression case study. This study indicates that all ML models produced lower RMSEs and reduced average forecast errors by 45.16 percent relative to the ARIMA benchmark, with the Extreme Gradient Boosting model outperforming other ML models and the benchmark. Using the Shapley value, we discovered that numerous payment system variables significantly predict inflation. We explore the ML forecast using local Shapley decomposition and show the relationship between the explanatory variables and inflation for interpretation. The interpretation of the ML forecast highlights some significant findings and offers insightful recommendations, enhancing previous economic research that uses a more established econometric method. Our findings advocate ML models as supplementary tools for the central bank to predict inflation and support monetary policy. |
| Date: | 2025–06 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2506.10369 |
| By: | Rice, Jonathan; Guerrini, Giulia Maria |
| Abstract: | This paper examines how the ECB’s 2022–2023 interest-rate hikes affected euro-area banks’ economic net worth and vulnerability to deposit runs. Drawing on granular, confidential data for 139 banks, we estimate each bank’s economic net worth and find that unrealised losses on loans and bonds averaged around 30 per cent of equity. By September 2023, however, roughly half of these losses had been offset by gains from the deposit franchise and interest-rate swaps. We develop a theoretical framework linking banks’ economic net worth and deposit-rate setting to depositor behaviour and run incentives. Further results indicate that banks with larger unrealised losses raised their deposit rates by less - a pattern we interpret as banks leveraging a more valuable deposit franchise to fund longer-duration assets. Although euro-area banks as a whole avoided widespread runs, several institutions nonetheless carried substantial mark-to-market losses, suggesting latent fragilities. JEL Classification: G21, E43, E58, G28 |
| Keywords: | asset valuations, banking system, bank runs, euro area, interest rate risk, monetary policy |
| Date: | 2025–06 |
| URL: | https://d.repec.org/n?u=RePEc:srk:srkwps:2025151 |
| By: | Galo Nuño (BANCO DE ESPAÑA, CEMFI AND CEPR) |
| Abstract: | The natural interest rate is the real rate that would prevail in the long run. The standard view in macroeconomics is that the natural rate depends exclusively on structural factors, such as productivity growth and demographics. This paper challenges this view by discussing three alternative, and complementary, views: i) that the natural rate depends on fiscal policy via the stock of risk-free assets; ii) that it depends on monetary policy via the central bank inflation target; and iii) that it depends on persistent supply shocks, such as tariffs or wars. These three theories share the relevance of precautionary saving motives. The paper concludes by drawing some lessons for monetary policy design. |
| Keywords: | financial HANK model, monetary-fiscal interactions, deep learning, cost-push shocks |
| JEL: | E32 E58 E63 |
| Date: | 2025–06 |
| URL: | https://d.repec.org/n?u=RePEc:bde:wpaper:2528 |
| By: | John H. Cochrane |
| Abstract: | I investigate a generalized form of the Lucas (1972) Phillips curve, in which firms take varying amounts of time to learn aggregate demand, in standard textbook new-Keynesian models. This Phillips curve helps to reconcile the sharp divergence between the standard model on the one hand and the beliefs of most policy analysts and the available evidence on the other. In the standard model, inflation and output rise after interest rates rise, with only the possibility of a one-time downward jump. With the generalized Lucas Phillips curve, inflation is initially unstable, so a small initial disinflation builds up before turning around. The model preserves the desirable long-run stability and neutrality of the standard model. |
| JEL: | E31 E51 |
| Date: | 2025–06 |
| URL: | https://d.repec.org/n?u=RePEc:nbr:nberwo:33888 |
| By: | Emil Holst Partsch; Ivan Petrella; Emiliano Santoro |
| Abstract: | Durable and nondurable consumption comovement is central to monetary policy trans mission. Using a two-sector Heterogeneous Agent New Keynesian model, we generate re alistic sectoral comovement while capturing key household spending patterns. Both direct and indirect effects matter: intertemporal substitution strongly influences durable spend ing, while income effects drive persistence in nondurable responses. Comovement also extends to households sorted by liquid asset holdings. Distinguishing transmission chan nels is crucial for understanding the macroeconomic impact of targeted fiscal policies, as subsidies for durable goods purchases. |
| Keywords: | Durable goods, sectoral comovement, monetary policy, HANK |
| Date: | 2025 |
| URL: | https://d.repec.org/n?u=RePEc:cca:wpaper:736 |
| By: | Dario Caldara; Matteo Iacoviello; David Yu |
| Abstract: | This paper introduces a monthly shortage index spanning 1900 to the present, constructed from 25 million newspaper articles. The index captures shortages across industry, labor, food, and energy, and spikes during economic crises and wars. We validate the index and show that it provides information beyond traditional macroeconomic indicators. Using predictive regressions, we find that shortages are associated with persistently high inflation and lower economic activity. A structural VAR model reveals that, compared to a traditional supply shock, surprise movements in shortages produce less inflation relative to their GDP impact, suggesting that shortages are associated with constraints on price adjustment that limit inflation but magnify the decline in real activity. We also show that post-pandemic shortages and inflation were primarily driven by supply forces, with demand factors playing a less important role. |
| Keywords: | Shortages; Inflation; Textual analysis; Predictive regressions; Structural VAR model |
| JEL: | C32 C55 E31 N10 |
| Date: | 2025–05–09 |
| URL: | https://d.repec.org/n?u=RePEc:fip:fedgif:1407 |
| By: | Bańbura, Marta; Bobeica, Elena; Giammaria, Alessandro; Porqueddu, Mario; van Spronsen, Josha |
| Abstract: | Energy inflation is a major source of headline inflation volatility and forecast errors, therefore it is critical to model it accurately. This paper introduces a novel suite of Bayesian VAR models for euro area HICP energy inflation, which adopts a granular, bottom-up approach – disaggregating energy into subcomponents, such as fuels, gas, and electricity. The suite incorporates key features for energy prices: stochastic volatility, outlier correction, high-frequency indicators, and pre-tax price modelling. These characteristics enhance both in-sample explanatory power and forecast accuracy. Compared to standard benchmarks and official projections, our BVARs achieve better forecasting performance, particularly beyond the very short term. The suite also captures a sizable variation in the impact of commodity price shocks, pointing to higher elasticities at higher levels of commodity prices. Beyond forecasting, our framework is also useful for scenario and sensitivity analysis as an effective tool to gauge risks, which is especially relevant amid ongoing energy market transformations. JEL Classification: C32, C53, E31, E37 |
| Keywords: | Bayesian VAR, gas prices, HICP, oil prices |
| Date: | 2025–06 |
| URL: | https://d.repec.org/n?u=RePEc:ecb:ecbwps:20253062 |
| By: | Pia Stoczek (Paderborn University); Alexander Liss (KU Leuven); Boaz Noiman (The Hebrew University of Jerusalem) |
| Abstract: | We examine risk-taking by lending syndicates as a response to central banks’ corporate quantitative easing (QE) targeting non-financial firms, specifically within the European Central Bank’s Corporate Sector Purchase Programme (CSPP). This setting allows us to investigate how syndicates adjust to decreased credit demand from CSPP-eligible borrowers in environments characterized by higher risk and lower returns. Our analysis reveals that these syndicates engage in “controlled” risk-taking by directing capital towards first-time and non-relationship borrowers, especially in the leveraged loan sector, while implementing mechanisms to manage increased risk. Our study explores controlled risk-taking across four dimensions. Firstly, we observe adjustments in loan contracting terms, such as stricter collateral requirements and cross-default clauses, coupled with reductions in loan sizes and maturities. Secondly, our findings indicate that syndicate size and the intensity of relationships within syndicates increase. Thirdly, we highlight the influence of the borrower country’s debt enforcement regime on lending decisions. Lastly, we report no significant changes in loan spreads. These results suggest that following corporate QE, syndicates actively utilize risk mitigation mechanisms, demonstrating a cautious approach to managing elevated risks rather than excessive risk-taking. |
| Keywords: | Loan contracting, Relationship lending, Unconventional monetary policy, Quantitative easing |
| JEL: | E52 E60 G12 G21 G28 G30 |
| Date: | 2025–05 |
| URL: | https://d.repec.org/n?u=RePEc:pdn:dispap:142 |
| By: | Federico Ravenna; Carl E. Walshy |
| Abstract: | Central banks are increasingly debating monetary policies aimed at reducing inequality and ensuring employment gains are spread widely across all parts of the labor market. What are the trade-offs faced by íinclusive policiesí, and the implications for the e¢ ciency of the aggregate economy? We address this question within a model that allows for workers with different levels of productivity competing in the same job market. We compare traditional and íinclusiveípolicies in terms of their impact on earnings and employment inequality, on the labor market outcomes of lower-productivity, lower-income workers, and in terms of their ináation outcomes. Inclusive policies come at a high cost in terms of ináation, but they can substantially reduce the uneven burden of a recessionary shock on the lowest productivity workers. We provide a normative assessment, and show that while making monetary policy more inclusive is beneÖcial for the overall economy, making monetary policy much more inclusive results in sizeable deviations from the Örst best allocation. |
| Keywords: | Unemployment, heterogeneity, selection, COVID-19, monetary policy. |
| Date: | 2024 |
| URL: | https://d.repec.org/n?u=RePEc:cca:wpaper:734 |
| By: | Alexander Abramov (RANEPA); Alexander Radygin (Gaidar Institute for Economic Policy); Maria Chernova (RANEPA) |
| Abstract: | Between 2023 and 2024, global financial markets recovered from the 2022 downturn amid expectations of declining central bank interest rates, slowing inflation, and market actors’ confidence that major economies escaped recession. Completion oftheUS presidential election, removing uncertainties in expectations of the country’s future economic course, had an important stabilizing effect on financial markets in 2024. After the FRS top discount rate rose from 0.25% in March 2021to 5.0% in March 2023, causing a shock in the markets of almost all investment assets in the USA, it fell to 4.5% in December 2024. The ECB refinancing rate, after rising from 0% to 4.5% from June 2022 to October 2023, has fallen to 3.15% in December 2024 and 2.65% in March 2025. In 2024, China adopted a series of measures to ease monetary policy and support financial market, its economy maintained steady growth at 5%. |
| Keywords: | Russian economy, stock market, bond market, corporate bond market, derivatives market, private investors |
| JEL: | G01 G12 G18 G21 G24 G28 G32 G33 |
| Date: | 2025 |
| URL: | https://d.repec.org/n?u=RePEc:gai:ppaper:ppaper-2025-1406 |
| By: | Fatih Kansoy |
| Abstract: | This research presented an empirical investigation of the determinants of the net interest margin in Turkish Banking sector with a particular emphasis on the bank ownership structure. This study employed a unique bank-level dataset covering Turkey`s commercial banking sector for the 2001-2012. Our main results are as follows. Operation diversity, credit risk and operating costs are important determinants of margin in Turkey. More efficient banks exhibit lower margin and also price stability contributes to lower margin. The effect of principal determinants such as credit risk, bank size, market concentration and inflation vary across foreign-owned, state-controlled and private banks. At the same time, the impacts of implicit interest payment, operation diversity and operating cost are homogeneous across all banks |
| Date: | 2025–06 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2506.04384 |
| By: | Jonathan Benchimol; Itamar Caspi; Sophia Kazinnik |
| Abstract: | We use text-mining techniques to measure the accessibility and quality of information within the texts of interest rate announcements published by the Bank of Israel over the past decade. We find that comprehension of interest rate announcements published by the Bank of Israel requires fewer years of education than interest rate announcements published by the Federal Reserve and the European Central Bank. In addition, we show that the sentiment within these announcements is aligned with economic fluctuations. We also find that textual uncertainty is correlated with the volatility of the domestic financial market. |
| Date: | 2025–06 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2506.09868 |
| By: | Ally Manengu Manengu (UNIKIN - Département des Sciences économiques, Université de Kinshasa) |
| Abstract: | This study takes part in the debate about nature of the relationship between exchange rate fluctuations and inflation. The goal is to demonstrate that the exchange rate evolves in a volatile manner, and that its effects on inflation are positive and non-linear for the case of the Democratic Republic of Congo (DRC), with annual data for the period from 1970 to 2022. Two econometric models are fitted for this purpose : (i) the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model, which was developed by Robert Engle, F., (1986); (ii) the Nonlinear Staggered Lag Autoregressive (NARDL) model, which was developed by Shin, Y.; Yu, B. C., and Greenwood-Nimmo, M. (2014). The results obtained from the estimations attest to the following : (i) the exchange rate in the DRC evolves in a volatile manner ; (ii) in the short term, the effects of exchange rate volatility on inflation are positive and non-linear, while they are linear in the long term. Positive shocks have an inflationary effect ; while negative shocks have a negative and statistically insignificant effect (prices are rigid to exchange rate depreciation in the DRC). |
| Abstract: | Cette étude participe au débat sur la nature de la relation entre les fluctuations du taux de change et l'inflation. L'objectif est de démontrer que le taux de change évolue de manière volatile, et que ses effets sur l'inflation sont positifs et non-linéaires pour le cas de la République Démocratique du Congo (RDC), avec les données annuelles pour la période allant de 1970 à 2022. A cet effet, deux modèles économétriques ont été construits : (i) le modèle d'Hétéroscédasticité Conditionnelle Autorégressive Généralisée (GARCH), qui a été développé par Robert Engle, F., (1986) ; (ii) le modèle autorégressif à retard échelonné non-linéaire (NARDL), qui a été développé par Shin, Y. ; Yu, B. C., et Greenwood-Nimmo, M. ( 2014). Les résultats obtenus des estimations attestent ce qui suit : (i) le taux de change en RDC évolue de manière volatile ; (ii) à court terme, les effets de la volatilité du taux de change sur l'inflation sont positifs et non-linéaires, tandis qu'ils sont linéaires à long terme. Les chocs positifs ont un effet inflationniste, alors que les chocs négatifs ont un effet négatif et statistiquement non significatif (les prix sont rigides à la baisse du taux de change en RDC). |
| Keywords: | Taux de change Inflation volatilité et GARCH effets non-linéaires et NARDL. Classification JEL : E31 F41 E44 et C52 C53 C22 Exchange rate Inflation volatility and GARCH non-linear effects and NARDL. JEL code : E31 F41 E44 and C52 C53 C22, Taux de change, Inflation, volatilité et GARCH, effets non-linéaires et NARDL. Classification JEL : E31, F41, E44 et C52, C53, C22 Exchange rate, volatility and GARCH, non-linear effects and NARDL. JEL code : E31, E44 and C52, C22 |
| Date: | 2025–05–25 |
| URL: | https://d.repec.org/n?u=RePEc:hal:journl:hal-05083768 |
| By: | Juan Pablo Bermudez-Cespedes; Luis Fernando Melo-Velandia; Daniel Parra-Amado |
| Abstract: | This research investigates the influence of natural disasters and climate-related announcements, particularly those associated with the El Niño Southern Oscillation (ENSO), on inflation expectations within the Colombian economy. Employing an event study framework, we analyze daily data on inflation expectations derived from the Colombian public debt market spanning October 2004 to August 2022, in conjunction with the Emergency Events Database (EM-DAT) and ENSO announcements from international agencies. Our findings provide evidence that both types of events significantly influence the mean of the inflation expectations. Moreover, while natural disasters increase the volatility of inflation expectations, ENSO announcements do not exhibit a similar effect. *****RESUMEN: Esta investigación analiza la influencia de los desastres naturales y los anuncios relacionados con el clima, en particular aquellos asociados con el fenómeno de El Niño-Oscilación del Sur (ENSO), sobre las expectativas de inflación en la economía colombiana. Empleando un enfoque de estudio de eventos donde se analizan datos diarios de expectativas de inflación derivadas del mercado de deuda pública de Colombia, abarcando el período de octubre de 2004 a agosto de 2022, en conjunto con la base de datos de eventos de emergencia (EM-DAT) y los anuncios de ENSO emitidos por agencias internacionales. Nuestros hallazgos evidencian que ambos tipos de eventos influyen significativamente en la media de las expectativas de inflación. Además, mientras que los desastres naturales aumentan la volatilidad de estas expectativas, los anuncios de ENSO no muestran un efecto similar. |
| Keywords: | Natural disasters, inflation expectations, GARCH, Event study, Desastres naturales, Expectativas de inflación, Estudio de eventos |
| JEL: | C58 C4 E31 Q54 |
| Date: | 2025–06 |
| URL: | https://d.repec.org/n?u=RePEc:bdr:borrec:1315 |
| By: | De Nora, Giorgia; Pereira, Ana; Pirovano, Mara; Stammwitz, Florian |
| Abstract: | We study the impact of cyclical systemic risks on banks’ profitability in the euro area within a panel quantile regression model, with the ultimate goal to inform the calibration of the Countercyclical Capital buffer (CCyB). Compared to previous studies, we augment our model to control for unobserved bank-specific characteristics and year-fixed effects and find a lower degree of heterogeneity in the estimated effects across the conditional distribution of bank returns on assets. We propose a simple yet intuitive framework to calibrate the CCyB through the cycle, including the socalled "positive neutral" rate. The model suggests a target positive neutral rate for the euro area ranging from 1.1% to 1.8%. Furthermore, the calibrated CCyB rates are consistent with the evolution of domestic cyclical systemic risks in the countries considered. The results further show that the adoption of a positive neutral CCyB approach allows for an earlier and more gradual build-up of the buffer, but does not lead to higher CCyB requirements at the peak of the cycle. Importantly, a positive neutral CCyB strategy would have implied that most euro area countries would have had a positive CCyB in place at the onset of the COVID-19 pandemic. JEL Classification: E52, G11, G23 |
| Keywords: | bank capital, local projection, macropudential policy, quantile regression, systemic risk |
| Date: | 2025–06 |
| URL: | https://d.repec.org/n?u=RePEc:ecb:ecbwps:20253061 |
| By: | CHOI, Hongseok (KOREA INSTITUTE FOR INTERNATIONAL ECONOMIC POLICY (KIEP)) |
| Abstract: | The global economy experienced disinflation from 1980 up until the COVID-19 pandemic of 2020. However, the pandemic disrupted global supply chains, which led to sharp inflation in the global economy between 2021 and 2022. In view of this significant shift in the global economy, Choi et al. (2024) analyzed how global inflation affects domestic prices and other macroeconomic variables in Korea, and the purpose of this report is to present their key findings. (the rest omitted) |
| Keywords: | COVID-19; FX rate; global supply chain; domestic spillover effect |
| Date: | 2025–05–30 |
| URL: | https://d.repec.org/n?u=RePEc:ris:kiepwe:2025_017 |
| By: | Nicoletta Berardi; Federico Ravenna; Mario Samano |
| Abstract: | Using a novel dataset from a large grocery retailer in a European country that never engages in temporary sale promotions, we establish that prices behave very similarly to regular prices set by retailers engaging in temporary promotional sales. We find evidence of state-dependent price setting in a multi-product firm when es timating the responsiveness of prices to exogenous demand shifts. The ’everyday regular prices’ dataset is characterized by a more than trivial share of small price changes, and low synchronization of price changes across items. Price rigidity, se lection and the extent of state-dependence are heterogeneous across items. Pricing of top sales items is more flexible and state-dependent compared to items that rep resent a small share of total revenues, a result consistent with price setting in a multi-product firm characterized by rational inattention. This result implies that inferences about firm-level price setting mechanisms from price microdata may be inaccurate if heterogeneity in price setting within the same firm is not taken into account. |
| Keywords: | price setting, multi-product firm, state-dependence, synchronization, rational inattention, promotional price, regular price |
| Date: | 2024 |
| URL: | https://d.repec.org/n?u=RePEc:cca:wpaper:733 |
| By: | Erik Bostrom; David Bowman; Amy Rose; Andy Xia |
| Abstract: | Over the course of the past two years, repo rates have begun to rise modestly around quarter-ends and, to a lesser extent, on some month-ends. As seen in Figure 1, after some time of the Secured Overnight Financing Rate (SOFR) remaining below or near the Overnight Reverse Repurchase (ON RRP) rate and with no or very little movement around quarter-ends, SOFR rose 7 basis points above the ON RRP rate at the end of March 2023, when banks' demand for liquid assets increased following the collapse of Silicon Valley Bank, and has temporarily increased over each quarter-end since then. |
| Date: | 2025–06–06 |
| URL: | https://d.repec.org/n?u=RePEc:fip:fedgfn:2025-06-06-1 |
| By: | Daniel Levy (Department of Economics, Bar-Ilan University, Israel; Department of Economics, Emory University, USA; ICEA; ISET, TSU; Rimini Centre for Economic Analysis); Haipeng (Allan) Chen (Tippie College of Business, University of Iowa, USA); Sourav Ray (G.S. Lang School of Business and Economics, University of Guelph, Canada); Elliot Charette (Department of Applied Economics, University of Minnesota, USA; Federal Reserve Bank of Minneapolis, Minneapolis, USA); Xiao Ling (School of Business, Central Connecticut State University, USA); Weihong Zhao (Smith School of Business, University of Maryland, USA); Mark Bergen (Carlson School of Management, University of Minnesota, USA); Avichai Snir (Department of Economics, Bar-Ilan University, Israel) |
| Abstract: | Studies of micro-level price datasets find more frequent small price increases than decreases, which can be explained by consumer inattention because time-constrained shoppers might ignore small price changes. Recent empirical studies of the link between shopping behavior and price attention over the business cycle find that consumers are more (less) attentive to prices during economic downturns (booms). These two sets of findings have a testable implication: the asymmetry in small price changes should vary over the business cycle—it should diminish during recessions and strengthen during expansions. We test this prediction using a large US store-level dataset with more than 98 million weekly price observations for the years 1989–1997, which includes an 8-month recession period, as defined by the NBER. We compare price adjustments between periods of recession (high unemployment) and expansion (low unemployment). Focusing on small price changes, we find, consistent with our hypothesis, that there is a greater asymmetry in small price changes during periods of low unemployment compared to the periods of high unemployment, implying that firms’ price-setting behavior varies over the business cycle. |
| Keywords: | Asymmetric Price Adjustment, Small Price Changes, Consumer Inattention, Price Rigidity, Sticky Prices, Business Cycles, Unemployment, Recessions, Expansions |
| JEL: | E31 E32 D11 D21 D80 D91 L11 L16 M31 |
| Date: | 2025–06 |
| URL: | https://d.repec.org/n?u=RePEc:rim:rimwps:25-05 |
| By: | Frantisek Brazdik; Karel Musil; Tomas Pokorny; Tomas Sestorad; Jaromir Tonner; Jan Zacek |
| Abstract: | We present the upgraded version of g3+, the Czech National Bank's core forecasting model, which became operational in April 2024 and summarizes its additional modifications over 2024. This paper outlines the innovative features of the model and the motivations behind their adoption. The enhancements also reflect the period from 2020 to 2022, which was marked by extraordinary events such as the Covid-19 pandemic and a significant surge in energy commodity prices. The upgraded g3+ now includes, among others, the endogenous decomposition of foreign economic activity into gap and trend components, a refined structure of foreign producer prices, and adjusted links between foreign and domestic economies. In addition, several model parameters have been recalibrated to reflect current and anticipated economic conditions. The introduction of these model changes and parameter adjustments lead to improved forecasting performance relative to the previous version of the model. |
| Keywords: | Conditional forecast, DSGE, energy, g3+ model, small open economy, two-country model |
| JEL: | C51 C53 E27 E37 F41 |
| Date: | 2025–05 |
| URL: | https://d.repec.org/n?u=RePEc:cnb:wpaper:2025/7 |
| By: | Sergio Correia; Stephan Luck; Emil Verner |
| Abstract: | Why do banks fail? We create a panel covering most commercial banks from 1863 through 2024 to study the history of failing banks in the United States. Failing banks are characterized by rising asset losses, deteriorating solvency, and an increasing reliance on expensive noncore funding. These commonalities imply that bank failures are highly predictable using simple accounting metrics from publicly available financial statements. Failures with runs were common before deposit insurance, but these failures are strongly related to weak fundamentals, casting doubt on the importance of non-fundamental runs. Furthermore, low recovery rates on failed banks' assets suggest that most failed banks were fundamentally insolvent, barring strong assumptions about the value destruction of receiverships. Altogether, our evidence suggests that the primary cause of bank failures and banking crises is almost always and everywhere a deterioration of bank fundamentals. |
| Date: | 2025–06 |
| URL: | https://d.repec.org/n?u=RePEc:arx:papers:2506.06082 |
| By: | Tassinari, Arianna; Di Carlo, Donato; Ibsen, Christian; Molina Romo, Oscar |
| Abstract: | This special issue analyses governments’ and social partners’ responses to the cost-of-living crisis of 2021–2023, and dynamics of coordination and conflict underlying them. The study of inflation responses needs updating. First, because compared to the 1970s–1980s, the recent inflation crisis was hardly intensified by high wage demands. Secondly, because industrial relations and collective bargaining institutions have over the last three decades undergone liberalisation reforms that have eroded coordination capacities. Contributions to this special issue show cross-country variation in real wage dynamics, inflation’s distributional impacts and governments’ policies to tackle them. The interaction between government policies, collective bargaining institutions and social partners’ strategies largely accounts for this variation. In most cases, governments no longer coordinate with social partners nor use them to enforce wage restraint to internalise inflation shocks. Rather, governments actively manage inflation through direct intervention, framing policies and steering them to either shield competitiveness, support domestic demand or reduce inequalities. |
| Keywords: | inflation; collective bargaining; energy crisis; wage setting; real wages; social pacts |
| JEL: | J1 R14 J01 |
| Date: | 2025–08–31 |
| URL: | https://d.repec.org/n?u=RePEc:ehl:lserod:127878 |