Research




Working papers

Macroeconomic Effects of Bank Capital Regulation

with Sandra Eickmeier and Esteban Prieto; Bundesbank Discussion Paper 44/2018, Dec. 2018


Monetary Policy Communication Shocks and the Macroeconomy

with Robert Goodhead; Bundesbank Discussion Paper 46/2018, Dec. 2018


Effects of Bank Capital Requirement Tightenings on Inequality

with Sandra Eickmeier and Esteban Prieto; CAMA Working Paper 43/2018, Sep. 2018


Early Warning System for Economic and Financial Risks in Kazakhstan

with B. Bhattacharyay, D. Dlugosch, K. Lahiri, I. Mukhametov and G. Nerb (2009). CESifo Working Papers no 2832


Other projects

Low Inflation in the Euro Area: Shocks or Structural Change? (with Johan Grip, Andresa Lagerborg and Carlos Montes-Galdon; last update: June 2016)

To what degree is the current low inflation in the euro area due to temporary shocks versus effects of longer-lasting structural change? The policy response of a central bank will differ if the low inflation derives from shocks like a decline in import prices or external demand, or if it stems from structural adjustments or policy reforms on labour and product markets. We use an open-economy New Keynesian DSGE model to capture the dynamics of euro area aggregates. Main features of the model are trade, incomplete financial markets, monopolistic wage and price setting, and downwardly rigid nominal wages. We want to investigate to what degree time-variation in parameters or purely exogenous shocks explain the European data best. Currently, we are working on a second-order estimation of the model, using a novel method with a deterministic filter to obtain the model likelihood, instead of drawing from a particle filter.


Spoilt for Choice? Which Assets to Purchase to Combat Disinflation (thesis chapter; last update: July 2017)

Abstract: Which asset classes should a central bank buy in order to combat disinflationary pressures? The current asset-purchase programmes (APPs) by ECB focus on different assets: government debt (public sector purchase programme), securitised financial paper (third covered bond purchase programme and asset-backed securities purchase programme) and bonds directly issued by firms (corporate sector purchase programme). This paper presents a DSGE model to compare the effect of different APPs when used to stimulate inflation in an economy. The model contains a bank balance sheet channel, a securitising financial sector and a preferred-habitat channel to give a role to the direct intermediation of firm debt and to the purchases of financial assets as well as long-term government bonds, respectively. Using Bayesian techniques, I estimate the model with mixed-frequency Euro Area data for the period 2009m1 to 2015m2. My analysis suggests that the effectiveness of QE measures is overstated when financial asset markets, in which QE measures take place in practise, are not explicitly modelled. There are important spillovers and interactions between different purchases, and some relative advantages arise. I also compare the effectiveness of QE measures in combatting inflation to alternatives like forced bank re-capitalisations or simple government spending.


The Effects of Common Banking Regulation in a Monetary Union (last update: June 2015)

Abstract: This paper investigates the effects of introducing common banking regulation in a monetary union. I argue that under national regulation, there will be differences in the choice and enforcement of the appropriate bank capital requirements across countries. If national regulation is joint by a union-wide authority, these differences are likely to diminish. Estimating a two-country DSGE model for Spain and Germany, I find that shocks to the lending conditions explain about one fifth of German and two fifth of Spanish GDP growth volatility for the period 1998 to 2013. The estimation suggests that during that period, German banks were more leveraged than their Spanish peers, while Spanish frms were slightly more leveraged than their German counterparts. My model predicts that enforcing the same capital requirements across countries 1) would change considerably the transmission of financial and business cycles in the Euro area, 2) would reduce volatility in output and inflation in the Euro area and increase welfare and 3) might have reduced the negative effect of the Great Recession on the real economy.