というNBER論文上がっている。原題は「Systemic Risk and the Macroeconomy: An Empirical Evaluation」で、著者はStefano Giglio(シカゴ大)、Bryan T. Kelly(同)、Seth Pruitt(FRB)。

This article evaluates a large collection of systemic risk measures based on their ability to predict macroeconomic downturns. We evaluate 19 measures of systemic risk in the US and Europe spanning several decades. We propose dimension reduction estimators for constructing systemic risk indexes from the cross section of measures and prove their consistency in a factor model setting. Empirically, systemic risk indexes provide significant predictive information out- of-sample for the lower tail of future macroeconomic shocks.




*1cf. ここ

*2cf. ここ




一昨日はドイツ人研究者によるOMTに否定的な研究を紹介したが、今日は量的緩和に関する別のドイツ人研究者の研究を紹介してみる。表題の論文(まだ執筆途上のようだが)の原題は「The Macroeconomic Impact of Unconventional Monetary Policy Shocks」で、著者はAnnette Meinusch、Peter Tillmann(いずれもユストゥス・リービッヒ大学ギーセン)。


With the Federal Funds rate approaching the zero lower bound, the U.S. Federal Reserve adopted a range of unconventional monetary policy measures known as Quantitative Easing (QE). Quantifying the impact QE has on the real economy, however, is not straightforward as standard tools such as VAR models cannot easily be applied. In this paper we use the Qual VAR model (Dueker, 2005) to combine binary information about QE announcements with an otherwise standard monetary policy VAR. The model filters an unobservable propensity to QE out of the observable data and delivers impulse responses to a QE shocks. In contrast to other empirical approaches, QE is endogenously depending on the business cycle, can easily be studied in terms of unexpected policy shocks and its dynamic effects can be compared to a conventional monetary easing. We show that QE shocks have a large impact on real and nominal interest rates and financial conditions and a smaller impact on real activity.


FF金利がゼロ下限に近付いたことを受けて、米FRBは、量的緩和として知られる一連の非伝統的金融政策の手法を採用した。しかし、実体経済への量的緩和の影響を定量化するのは、VARモデルのような標準的なツールが簡単に適用できないため、容易なことではない。本稿で我々は、定性VARモデル(Dueker, 2005*1)を用いて、量的緩和のアナウンスメントという1か0の情報を、それ以外の点では標準的な金融政策のVARに取り込んだ。このモデルは、観測可能なデータから政策が量的緩和へ向かう観測不可能な傾向をフィルタリングし、量的緩和のショックへのインパルス反応を提示する。他の実証的手法とは対照的に、景気循環に内生的に左右される量的緩和を予期されない政策ショックとして容易に研究することができ、その動学的な影響を伝統的な金融緩和と比較することができる。我々は、量的緩和は実質と名目金利ならびに金融環境に大きな影響を及ぼすが、実体経済への影響はそれより小さいことを示した。





というBIS論文をMikael Juselius(フィンランド銀行)とElőd Takáts(国際決済銀行)が書いている。原題は「Can demography affect inflation and monetary policy?」。


Several countries are concurrently experiencing historically low inflation rates and ageing populations. Is there a connection, as recently suggested by some senior central bankers? We undertake a comprehensive test of this hypothesis in a panel of 22 countries over the 1955-2010 period. We find a stable and significant correlation between demography and low-frequency inflation. In particular, a larger share of dependents (ie young and old) is correlated with higher inflation, while a larger share of working age cohorts is correlated with lower inflation. The results are robust to different country samples, time periods, control variables and estimation techniques. We also find a significant, albeit unstable, relationship between demography and monetary policy.


幾つかの国では歴史的な低インフレ高齢化が同時に進行している。幾人かの中央銀行の高官が最近示唆したように、両者には関係があるのだろうか? 我々は、1955-2010年の期間における22ヶ国のパネルで、この仮説の包括的な検証を行った。我々は、人口動態と低頻度のインフレとの間の安定した有意な相関を見い出した。具体的には、依存人口比率(即ち若年層と高齢層の比率)が高いほどインフレが高いという相関、ならびに、労働人口比率が高いほどインフレが低いという相関が見られた。この結果は、対象国、対象期間、コントロール変数、および推計手法の違いに対し頑健であった。我々はまた、人口動態と金融政策の間の有意だが不安定な関係も見い出した。






という主旨の論文ドイツの4人の研究者書いている論文のタイトルは「Smells Like Fiscal Policy? Assessing the Potential Effectiveness of the ECB s OMT Program」で、著者はNikolay Hristov(Ifo研究所)、Oliver Hülsewig(ミュンヘン応用科学大学)、Thomas Siemsen(ルートヴィヒ・マクシミリアン大学ミュンヘン)、Timo Wollmershäuser(Ifo研究所)。


This paper explores the potential effectiveness of the ECB’s Outright Monetary Transaction (OMT) program in safeguarding an appropriate monetary policy transmission. Since the program aims at manipulating bank lending rates by conducting sovereign bond purchases on secondary markets, a stable relationship between bank lending rates and government bond rates is of prime importance. Using vector autoregressive models with time varying parameters (TVP–VAR) we evaluate the stability of this relationship by focusing on the reaction of bank lending rates to movements in government bond rates over the period 2003–2013. Our results suggest that the potential success of OMTs in restoring the monetary transmission mechanism is limited as the link between bank lending rates and government bond rates has substantially weakened since the end of 2008.




Although the announcement of the ECB’s OMT program has lowered the borrowing costs for sovereigns in the euro area periphery countries, our findings suggest that a significant reduction of bank lending rates would require continuous government bond purchases amounting to about 250 billion euro after 2 years, or 37% of all outstanding periphery bonds with maturities of one to three years. However, continuous purchases of bonds issued by the peripheral sovereigns would come along with a number of serious problems like undermining the incentives for governments to impose structural reforms, violating the prohibition to monetize public debt, or exposing the ECB to huge balance sheet risks, which in turn might threaten the political independence of the monetary authority. As the implementation OMTs would go too far into the terrain of fiscal policy, we conclude that it would rather damage the reputation of the ECB instead of contributing to effectively relax bank lending conditions. In our view the insensitivity of periphery bank lending rates to monetary impulses is the result of a severe undercapitalization of many commercial banks in those economies. Instead of hoping for monetary policy interventions, appropriate and timely measures by European governments should be implemented. Such measures should be aimed at restructuring insolvent financial institutions by freeing balance sheets from doubtful loans and by recapitalizing the banking sector.








For those who think that economics is, above all, a method and not a subject matter, the centerpiece of the whole enterprise is utility. In the canonical set of models, individuals act to maximize their utility, and the purpose of economics is to identify the two-way relationship between factors that impinge on this choice procedure and the choices themselves. The external environment (institutions, policies, claims on resources, technology, preferences of other agents), combine with the decision-maker’s own preferences to generate a choice, and the choices of all the relevant agents cumulatively alter their shared environment. This is the program for all standard microeconomics and for microfounded macro. One convenient feature is that, if you use this approach, the same analysis that provides your positive explanations and predictions does double duty as a normative tool: maximizing utility is why people do things and also the goal to be sought after.





If you devise a heat pump based on a set of assumptions about how its components work, and one of these assumptions violates the Second Law of Thermodynamics, your design might be internally consistent but fail the external consistency test. That’s the state of economics today: it uses models which, if you accept their maintained assumptions, are internally consistent, but the assumptions are inconsistent with what research outside the discipline has demonstrated. Or to put it more crudely, if economics is right, psychology is wrong. Who are you going to believe if the question is about human behavior?