※For English please scroll down.
【日 時】７月５日（水）１６：３０～１８：００
【場 所】早稲田大学 早稲田キャンパス３号館１０階 第一会議室
【報告者】 ギオルゴス ゲオルギアディス 先生 （ECB 欧州中央銀行）
【タイトル】
Financial Globalisation, Monetary Policy Spillovers and Macro-modelling: Tales from 1001 Shocks
【概要】
Financial globalisation and spillovers have gained immense prominence over the last two decades. Yet, powerful cross-border financial spillover channels have not become a standard element of structural monetary models. Against this background, we hypothesise that New Keynesian DSGE models that do not feature powerful financial spillover channels confound the effects of domestic and foreign disturbances when confronted with the data. We derive predictions from this hypothesis and subject them to data on monetary policy shock estimates for 29 economies obtained from more than 280 monetary models in the literature. Consistent with the predictions from our hypothesis we find: Monetary policy shock estimates obtained from New Keynesian DSGE models that do not account for powerful financial spillover channels are contaminated by a common global component; the contamination is more severe for economies that are more susceptible to financial spillovers in the data; and the shock estimates imply implausibly similar estimates of the global output spillovers from monetary policy in the US and the euro area. None of these findings applies to monetary policy shock estimates obtained from VAR and other statistical models, financial market expectations and the narrative approach.
※報告参考資料：
https://www.dallasfed.org/institute/wpapers/0314
【使用言語】英語
【招聘教員】 上田 晃三 先生
現政研セミナーは広くみなさまにひらかれたセミナーです。
皆様の御参加をお待ちしております。
*English
【TIME】5th, July Wednesday 16:30-18:00
【Venue】The meeting room (conference room) #1, BUILDING 3 – Floor 10.
【Presenter】
Prof. Georgios Georgiadis (European Central Bank, International Policy Analysis Division)
【Title】
Financial Globalisation, Monetary Policy Spillovers and Macro-modelling: Tales from 1001 Shocks
【Abstract】
Financial globalisation and spillovers have gained immense prominence over the last two decades. Yet, powerful cross-border financial spillover channels have not become a standard element of structural monetary models. Against this background, we hypothesise that New Keynesian DSGE models that do not feature powerful financial spillover channels confound the effects of domestic and foreign disturbances when confronted with the data. We derive predictions from this hypothesis and subject them to data on monetary policy shock estimates for 29 economies obtained from more than 280 monetary models in the literature. Consistent with the predictions from our hypothesis we find: Monetary policy shock estimates obtained from New Keynesian DSGE models that do not account for powerful financial spillover channels are contaminated by a common global component; the contamination is more severe for economies that are more susceptible to financial spillovers in the data; and the shock estimates imply implausibly similar estimates of the global output spillovers from monetary policy in the US and the euro area. None of these findings applies to monetary policy shock estimates obtained from VAR and other statistical models, financial market expectations and the narrative approach.
** Reference material:
https://www.dallasfed.org/institute/wpapers/0314
【Language】English
【Organizer】Prof. Kozo Ueda
We encourage your participation.
