-
作者：Hubert, Paul; Blot, Christophe; Bozou, Caroline; Creel, Jerome
作者单位：European Central Bank; Bank of France; Institut d'Etudes Politiques Paris (Sciences Po); heSam Universite; ESCP Business School
摘要：This paper explores the signaling effect of central bank announcements clarifying the reaction function of policy interventions. We exploit the unique setting provided by ECB asset purchase programs. We find that the same action - purchases of identical assets - undertaken under different titles generates different responses. PSPP affects inflation swaps whereas PEPP impacts sovereign spreads, so that only the variables associated with the communicated rationale of each program react. We highl...
-
作者：Ferroni, Filippo; Fisher, Jonas D. M.; Melosi, Leonardo
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Chicago; University of Warwick
摘要：We propose a method to allow usual business cycle models to account for the unusual COVID episode. The pandemic and the public and private responses to it are represented by a new shock called the Covid shock, , which loads onto wedges that underlie the usual shocks and comes with news about its evolution. We apply our method to a standard medium-scale model, estimating the loadings with 2020q2 data and the evolving news using professional forecasts. The Covid shock accounts for most of the ea...
-
作者：Hensel, Jannik; Mangiante, Giacomo; Moretti, Luca
作者单位：University of Zurich; European Central Bank; Bank of Italy
摘要：We study how firms' price expectations and decisions are affected by carbon pricing, using a survey of French manufacturing firms. Exogenous variations in the price of carbon are obtained by high-frequency identification. A change in carbon price increases firms' inflation expectations as well as their own expected and realized price growth. Initially, positive forecast errors emerge, but over time, the impact on price expectations proves to be more enduring than on actual price growth, leadin...
-
作者：Hajdini, Ina; Knotek, Edward S., II; Leer, John; Pedemonte, Mathieu; Rich, Robert; Schoenle, Raphael
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Cleveland; Brandeis University
摘要：Based on indirect utility theory, we ask consumers about the change in their incomes that would be required to offset expected price changes and buy the same amounts of goods and services one year ahead in a large-scale, high-frequency survey of consumers in the US and 14 other countries. Aggregating responses across consumers provides an alternative, indirect measure of inflation expectations compared with conventional, direct measures, but with theoretically lower ex-post forecast errors. Th...
-
作者：Kerssenfischer, Mark; Schmeling, Maik
作者单位：Deutsche Bundesbank; Goethe University Frankfurt; Centre for Economic Policy Research - UK
摘要：What share of asset price movements is driven by news? We build a large, time-stamped event database covering scheduled macro news as well as unscheduled events and find that news account for up to 35% of bond and stock price movements in the United States and euro area since 2002. This suggests that a much larger share of return variation can be traced back to observable news than previously thought. Moreover, we provide stylized facts about the type of news that matter most for asset prices,...
-
作者：Malherbe, Frederic; Mcmahon, Michael
作者单位：University of London; University College London; University of London; University College London; Centre for Economic Policy Research - UK; University of Oxford
摘要：Government guarantees of bank liabilities have a long-standing history and are now ubiquitous. We study a model where financial sophistication enhances banks' ability to exploit government guarantees and fuels inefficient economic booms. Driven by financial engineering, bank rent extraction creates a disconnect between lending decisions and borrower repayment prospects: In equilibrium, banks over-lend and only break-even courtesy of trading book profit. Exploitability is affected not only by f...
-
作者：Coskun, Sena; Dalgic, Husnu C.
作者单位：University of Erlangen Nuremberg; University of Mannheim
摘要：Fertility in the US exhibits an increasingly more procyclical pattern. We argue that women's breadwinner status is behind procyclical and lower fertility: (i) women's relative income in the family has increased over time; and (ii) women are more likely to work in relatively stable and countercyclical industries whereas men tend to work in volatile and procyclical industries. This creates a countercyclical gender income gap as women become breadwinners in recessions, producing an insurance effe...
-
作者：Odendahl, Florens; Sole Pagliari, Maria; Penalver, Adrian; Rossi, Barbara; Sestieri, Giulia
作者单位：Banco de Espana; European Central Bank; De Nederlandsche Bank NV; European Central Bank; Bank of France; ICREA; Pompeu Fabra University; Centre de Recerca en Economia Internacional (CREI)
摘要：This paper investigates the effects of monetary policy in the euro area. We make three contributions to the literature. The first is to use the information from movements in the entire yield curve around monetary policy events to shed light on the efficacy of monetary policy. The second contribution is to provide a novel and easy-to-update database of surprises based on intra-day quotes of Euro Area OIS forward rates and sovereign yields of France, Germany, Italy and Spain. Our third contribut...
-
作者：Potter, Tristan
作者单位：Drexel University
摘要：Modern job search technologies enable job seekers to monitor the arrival of newly posted vacancies. This paper conceptualizes search as a monitoring decision and shows that monitoring technologies give rise to a novel source of strategic complementarities in search and can thus lead to potentially destabilizing multiplicity of equilibria. The model provides a theory of belief- driven fluctuations in labor supply that can permanently shift the path of the economy, and offers an explanation for ...
-
作者：Walz, Stefan
作者单位：Columbia University
摘要：Surprise changes in monetary policy rates have a causal impact on credit risk measures, which display a significant post-FOMC drift. I employ a tight identification strategy to decompose the influence of firm -specific and creditor -specific factors across horizons. Firms with narrower income gaps and lower Tobin's Q ratios exhibit heightened sensitivity at both short and long horizons. Bonds predominantly held by bond funds demonstrate only temporarily more sensitivity, indicating that credit...
