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Financial stability considerations for monetary policy at the European Central Bank: conceptual framework and quantitative tools (2020, ECB DP)
Financial stability considerations for monetary policy at the European Central Bank: conceptual framework and quantitative tools (2020, ECB DP)
with Ugo Albertazzi, Paul Bochmann, Miguel Boucinha, Lorenzo Burlon, Cyril Couaillier, Giorgia De Nora, Daniel Dieckelmann, Stephan Fahr, Finn Faber, Juan Manuel Figueres, Marco Forletta, Alberto Grassi, Hannah S. Hempell, Marie Hoerova, Barbara Jarmulska, Marek Jarociński, Peter Karadi, Jan Hannes Lang, Marco Lo Duca, Caterina Mendicino, Julian Metzler, Anton Nakov, Kalin Nikolov, Aurea Ponte Marques, Niki Papadopoulou, Elena Rancoita, Costanza Rodriguez d’Acri, Marek Rusnák, Ellen Ryan, Enrico Sette, Valerio Scalone, Bernd Schwaab, Frances Shaw, Manuela Storz, Matthias Sydow, Dominik Thaler, Alejandro Van der Ghote, Peter Welz, Elmar Mertens, Emiliano Toni. (All ECB)
Abstract: The paper documents models used to analyse the interactions and trade-offs between price and financial stability at the European Central Bank. The paper describes a simple conceptual framework to think about the short- and medium-term trade-offs between price and financial stability. Short-term trade-offs arise whenever current inflationary pressure is high, but the financial system is experiencing stress. Medium-term trade-offs arise whenever current inflationary pressure is low, but risk is building up in the financial system. We document four main sets of models used to quantify trade-offs: time series models, balance sheet models, credit risk models and DSGE models with banking and financial frictions.
The Expected Real Interest Rate in the Long Run: Time Series Evidence with the Effective Lower Bound (2016, FEDS Note)
The Expected Real Interest Rate in the Long Run: Time Series Evidence with the Effective Lower Bound (2016, FEDS Note)
with Benjamin K. Johannsen (Federal Reserve Board)
Abstract: In this note, we present estimates of the expected long-run level of the real federal funds rate, which--together with long-run inflation expectations--makes up the level of the nominal federal funds rate that is expected to prevail in the long run.
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