Financial intermediaries’ instability and euro area macroeconomic dynamics

Lhuissier, Stéphane

doi:10.1016/j.euroecorev.2017.06.004

Cited by 12 publications

(6 citation statements)

References 36 publications

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“…A first strand of the literature relies on a two-step approach: an event-study, typically conducted at high frequency 3 , is first used to estimate the impact of policy interventions on a financial variable (typically a long-term rate), then plugged in an estimated macroeconomic model to derive their impact on prices and output. Examples of this approach include for instance Chung, Laforte, Reifschneider, andWilliams (2011), Baumeister andBenati (2013) and Liu, Theodoridis, Mumtaz, and Zanetti (2019) in the U.S., and Altavilla, Giannone, and Lenza (2016), Lhuissier (2017) and Rostagno, Altavilla, Carboni, Lemke, Motto, Saint Guilhem, and Yiangou (2019) in the context of the euro area. This strategy crucially relies for the identification on the interpretation of high frequency changes in the price of market instruments around policy announcements, which can raise its own questions (see, for instance, Wright (2019) on the identification of APP, Andrade and Ferroni (2020) and Miranda-Agrippino and Ricco (forthcoming) on whether these changes are really unpredictable, and Swanson (2020) on the interpretation of high frequency surprises).…”

Section: Literature Reviewmentioning

confidence: 99%

The Dynamic Effects of the ECB’s Asset Purchases: A Survey-Based Identification

Lhuissier

Nguyen

2021

SSRN Journal

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This paper estimates the dynamic effects of the ECB's asset purchase programme (APP) using a proxy structural vector autoregression. We construct a novel proxy for structural APP shocks as unexpected changes in the size of additional purchases announced by the ECB. Unexpected changes are inferred from public expectations released in quantitative surveys just before monetary policy announcements. The results consistently show that innovations to APP have expansionary effects on both output and prices: an immediate increase in asset purchases of one percent of GDP leads to a maximum impact in industrial production and consumer prices by 0.15 percent and 0.06 percent, respectively. Overall, APP shocks account for less than a fifth of the long-run macroeconomic variability. Finally, our counterfactual analyses indicate that APP and its successive recalibrations were central in supporting inflation. For example, we find inflation would have fallen into negative territory without December 2015 and March 2016 APP recalibrations.

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Section: Literature Reviewmentioning

confidence: 99%

The Dynamic Effects of the ECB’s Asset Purchases: A Survey-Based Identification

Lhuissier

Nguyen

2021

SSRN Journal

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“…There is broad agreement that overall the ECB programmes were effective in easing sovereign spreads, with some variations regarding their estimated respective contributions (Falagiarda and Reitz, 2015, Szczerbowicz, 2015, Gibson et al, 2016, Lhuissier, 2017, Krishnamurthy et al, 2018, De Santis, 2019. However, views differ more regarding the role of the "redenomination risk" (i.e.…”

Section: The Sovereign Debt Crisis and Ecb Responsesmentioning

confidence: 99%

Unconventional monetary policies: A stock-taking exercise

Pfister¹,

Sahuc²

2020

Revue d'Économie Politique

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This paper takes stock of the literature on unconventional monetary policies, from their implementation to their effects on the economy. In particular, we discuss in detail the two main measures implemented in most developed economies, namely forward guidance and large-scale asset purchases. Overall, there is near consensus that these measures have been useful, although there are a few dissenting views. Because unconventional monetary policies have left their mark on economies and on the balance sheets of central banks, we offer insights into their legacy and ask whether they have led to a change in "the rules of the game" for setting interest rates and choosing the size and composition of central banks' balance sheets. Finally, we discuss whether to modify the objectives and the instruments of monetary policy in the future, in comparison with the pre-crisis situation.

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“…2 See, for example, Lhuissier (2017) and Lhuissier and Tripier (2019), for applications of such a method in the context of multivariate-equation Markov-switching models. 3 Albert and Chib (1993) develop a Gibbs sampling for AR time series subject to Markov mean and variance shifts.…”

Section: A Gibbs Samplermentioning

confidence: 99%

Bayesian Inference for Markov-switching Skewed Autoregressive Models

Lhuissier

2019

SSRN Journal

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We examine Markov-switching autoregressive models where the commonly used Gaussian assumption for disturbances is replaced with a skew-normal distribution. This allows us to detect regime changes not only in the mean and the variance of a specified time series, but also in its skewness. A Bayesian framework is developed based on Markov chain Monte Carlo sampling. Our informative prior distributions lead to closed-form full conditional posterior distributions, whose sampling can be efficiently conducted within a Gibbs sampling scheme. The usefulness of the methodology is illustrated with a real-data example from U.S. stock markets.

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Financial intermediaries’ instability and euro area macroeconomic dynamics

Cited by 12 publications

References 36 publications

The Dynamic Effects of the ECB’s Asset Purchases: A Survey-Based Identification

The Dynamic Effects of the ECB’s Asset Purchases: A Survey-Based Identification

Unconventional monetary policies: A stock-taking exercise

Bayesian Inference for Markov-switching Skewed Autoregressive Models

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