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We quantify global US monetary policy spillovers by employing a high-frequency identification and big data techniques, in conjunction with a large harmonised dataset covering 30 economies. We report three novel stylised facts. First, a US monetary policy tightening has large contractionary effects onto both advanced and emerging economies. Second, flexible exchange rates cannot fully insulate domestic economies, due to movements in risk premia that limit central banks’ ability to control the yield curve. Third, financial channels dominate over demand and exchange rate channels in the transmission to real variables, while the transmission via oil and commodity prices determines nominal spillovers.

We study the monetary-fiscal mix in the European Monetary Union. The medium and long-run effects of conventional and unconventional monetary policy are analysed by combining monetary policy shocks identified in a Structural VAR, and the general government budget constraint featuring a single central bank and multiple fiscal authorities. In response to a conventional easing of the policy rate, the cumulated response of the fiscal deficit is positive. Conversely, in response to an unconventional easing affecting the long end of the yield curve, the primary fiscal position barely moves. This is consistent with the long-run effect of unconventional monetary easing on the price index, which is about half that of conventional easing. The aggregate long-run cumulated surplus is mainly driven by Germany’s fiscal policy during the period in which unconventional monetary policy was adopted.

We evaluate the role of financial conditions as predictors of macroeconomic risk first in the quantile regression framework of Adrian et al. (2019b), which allows for non-linearities, and then in a novel linear semi-structural model as proposed by Hasenzagl et al. (2018). We distinguish between price variables such as credit spreads and stock variables such as leverage. We find that (i) although the spreads correlate with the left tail of the conditional distribution of GDP growth, they provide limited advanced information on growth vulnerability; (ii) nonfinancial leverage provides a leading signal for the left quantile of the GDP growth distribution in the 2008 recession; (iii) measures of excess leverage conceptually similar to the Basel gap, but cleaned from business cycle dynamics via the lenses of the semi-structural model, point to two peaks of accumulation of risks - the eighties and the first eight years of the new millennium, with an unstable relationship with business cycle chronology.

Que se passe-t-il avec l’inflation et la productivité dans la zone euro ? La Banque centrale européenne semble avoir perdu la capacité de relever l’inflation et les anticipations de prix ont glissé depuis la dernière récession. Une grande partie du débat politique a porté sur l’aplatissement de la courbe de Phillips. Pourtant, les estimations du processus conjoint d’inflation et de production indiquent que les éléments les plus pertinents du puzzle sont la diminution du potentiel de production et de l’inflation tendancielle.

Nous constatons que la situation conjointe du déficit public et de la dette publique des pays de la zone euro de 2008 à 2013, caractérisée par une dette publique élevée et persistante malgré un assainissement budgétaire sévère depuis 2009, ne peut pas être expliquée par l’effondrement sans précédent du PIB, compte tenu des relations historiques entre les variables macroéconomiques, fiscales et financières. Elle reflète plutôt les caractéristiques spécifiques des années de crise et surtout l’importance et la nature de l’aide publique au secteur financier.

This paper discusses the conditions for identification in SVAR-IVs when only the shock of interest or a subset of the structural shocks can be recovered as a linear combination of the VAR residuals. This condition of partial invertibility is very general, often of empirical relevance, and less stringent than the standard full invertibility that is routinely assumed in the SVAR literature. We show that, underpartial invertibility, the dynamic responses can be correctly recovered using an external instrument even when this correlates with leads and lags of other invertible shocks. We call this a limited lead-lag exogeneity condition. We evaluate our results in a simulated environment, and provide an empirical application to the case of monetary policy shocks.

This paper discusses the conditions for indentification with external instruments in Structural VARs under partial invertibility. We observe that in this case the shocks of interest and their effects can be recovered using an external instrument, provided that a condition of limited lag exogeneity holds. This condition is weaker than that required for LP-IV, and allows for recoverability of impact effects also une VAR misspecification. We assess our claims in a simulated environment, and provide an emirical application to the relevant cas of identification of monetary policy shocks.

This paper highlights the anomalous characteristics of the Euro Area `twin crises' by contrasting the aggregate macroeconomic dynamics in the period 2009-2013 with the business cycle fluctuations of the previous decades. We report three stylised facts. First, the contraction in output was marked by an anomalous downfall in investment, while consumption, savings and unemployment followed their historical relation with GDP. Second, households' and financial corporations' debts, and house prices deviated from their pre-crisis trends. Third, the jump in the public deficit-GDP ratio in 2008-2009 was unprecedented and so was the fiscal consolidation that followed. Our analysis points to the financial nature of the crisis as a likely explanation for these facts. Importantly, the `anomaly' in public deficit is in large part explained by extraordinary measures in support of the financial sector, which show up in the stock-flow adjustments and reveal a key interaction between the fiscal and the financial sectors.\ud

This article reviews Bayesian inference methods for Vector Autoregression models, commonly used priors for economic and financial variables, and applications to structural analysis and forecasting.

L’enquête de la BCE auprès des prévisionnistes professionnels confirme le point de vue de la BCE selon lequel l’inflation dans la zone euro se redressera et sera de nouveau dans la fourchette cible de la banque centrale en 2019. Ce billet discute et conteste ce diagnostic. En utilisant un modèle qui formalise l’idée selon laquelle la dynamique de l’inflation est fonction de trois composantes – les anticipations à long terme, la courbe de Phillips et le mouvement du prix du pétrole – elle prévoit une inflation de la zone euro de seulement 1,1% en 2019, un taux proche du taux implicite selon les marchés obligataires.

A hybrid fusion-Mssion (HFF) reactor based on a Reversed Field Pinch (RFP) conMguration looks as an attractive option from both a technical (simple design, easy machine assembly and maintenance) as well as economic perspective (low investment costs due the absence of large Heating and Current Drive systems and superconductive toroidal Meld coils). The hybrid reactor studied here has a RFP fusion core generating 40MWth fusion power via D-T reactions. The reactor size (R=6 m, a =1), its components design and plasma performances have been extrapolated from the results of RFX-mod, the largest RFP experiment built so far. With a plasma temperature of 9.6 keV and an ohmically driven plasma current of 20 MA, the fusion reactions produce 2.2E+19 n/s which are used to both breed tritium and induce Mssion reactions. A breeding blanket is located between the superconductive central solenoid and the torus. Being composed of a lithium-lead eutectic mixture, it also acts as neutron shield. Instead, in the conMguration studied here, the circular area around the torus (16 cm width) is half dedicated to further breed tritium while the rest is occupied by the Mssion blanket. The three sectors (~3.5 m radial extension) containing Pu+MA (60%)-Zr (40%) rods embedded in solid lead for nuclear transmutation (keff~0.94, P~200 MWth) are spaced out by two intermediate regions (~1.75 m radial extension) that can be used for inducing fast and slow transmutations. The results corroborate the interest for the RFP as a HFF reactor due to the simple design of the fusion reactor, the high accessibility to the blankets for maintenance and the multiple applications of the neutron `ux (transmutation of plutonium, minor actinides and nuclear Mssion products, radiopharmaceuticals production) favoured by the blanket modularity.

Les effets de la politique monétaire dépendent-ils de l’information dont disposent les ménages et les entreprises ? Dans ce billet, nous analysons dans quelle mesure la façon dont la banque centrale surprend les acteurs économiques affecte les effets de sa politique, et dans quelle mesure la publication par la banque centrale de son information privée modifie les effets de sa politique. Dans une économie où l’information serait parfaite et où les anticipations des agents privés sont rationnelles, les annonces de politique monétaire n’ont pas d’effet réel (sur l’activité) sauf s’il s’agit de « surprises », c’est-à-dire de décisions non anticipées. Dans la mesure où les agents privés connaissent les raisons économiques justifiant les décisions de politique monétaire, une surprise de politique monétaire correspond donc à un changement temporaire de préférence des banquiers centraux. [Premiers paragraphes] Do the effects of monetary policy depend on the information available to consumers and business? In this note we analyze how the way in which the central bank surprises economic actors affects the impact of its policy and the extent to which the central bank’s publication of its private information modifies the effects of its policy. In an economy that had perfect information and where the expectations of private agents were rational, monetary policy announcements would have no real effect (on activity) unless they constitute “surprises”, that is, unanticipated decisions. To the extent that private agents know the economic reasons behind monetary policy decisions, a surprise in monetary policy thus corresponds to a temporary change in the preferences of the central bankers. [Firsts paragraphs]