Titre : Long-run Trends in Long-Maturity Real Rates

Mardi, le 18 octobre, 2022

Barbara Rossi
ICREA Professeure de l'Université Pompeu Fabra, Chercheure associé au CREI et professeuer de recherche à la Barcelona School of Economics.

Résumé (en anglais seulement)
Taking advantage of key recent advances in long-run financial and economic data, this paper analyzes the statistical properties of global long-maturity real interest rates over the past seven centuries. In contrast to existing consensus, which has overwhelmingly concentrated on short samples for short-maturity rates, we find that long-maturity real interest rates across advanced economies are in fact trend stationary, and exhibit a persistent downward trend since the Renaissance. We investigate structural breaks in real interest rates over time using multiple statistical approaches, and find that only the Black Death and the “Trinity default” of 1557 appear as consistent inflection points in capital markets on both global and country levels. While a 1914 break is also suggested in multiple series (though less robust than existing literature would lead one to expect), the evidence for an inflection point in 1981 appears much weaker. We further examine trends in persistence, as well as commonly-invoked drivers of global real rates: exploiting significant data advances, we argue that historically, demographic and productivity factors appear to show no promising causal role, and in fact diverge from real interest rates over the long run.

Rick van der Ploeg, Directeur de recherche d'OXCARRE, Université d'Oxford.

Titre: On Current and Future Carbon Prices in a Risky World(Séminaire en anglais seulement) 

Date: 1er avril 2022

Heure: 14h30-16h heure de l'Est

Résumé (en anglais seulement) :

We analyse the optimal paths of abatement and carbon prices under a variety of economic, temperature and damage risks. Carbon prices grow in line with economic growth, but with convex damages and temperature-dependent risks of climatic tipping points grow more quickly and with gradual resolution of uncertainty grow more slowly. With temperature-dependent economic damage tipping points carbon prices are higher, but when the tipping point occurs, the price jumps downward. With a temperature cap the e_cient carbon price rises at the risk-adjusted interest rate. Allowing for damages as well as a cap leads to a higher carbon price which grows more slowly. But as temperature and cumulative emissions approach their caps, the carbon price is ramped up ever more. Policy makers should expect a rising path of carbon prices.

Glenn D. Rudebusch, est Professionnel en Résidence à la Brookings Institution, au Hutchins Center on Fiscal & Monetary Policy.  Il est également Professionel en Résidence à l'Université de New York au Volatility and Risk Institute de la Stern School of Business.

Titre: Le coût croissant du changement climatique : Les données du marché des obligations(Séminaire en anglais seulement) 

Date: 18 février 2022

Heure: 14h30-16h heure de l'Est

Résumé (en anglais seulement):

Social discount rates (SDRs) are crucial for evaluating the costs of climate change. We show that the fundamental anchor for market-based SDRs is the equilibrium or steady-state real interest rate. Empirical interest rate models that allow for shifts in this equilibrium real rate find that it has declined notably since the 1990s, and this decline implies that the entire term structure of SDRs has shifted lower as well. Accounting for this new normal of persistently lower interest rates substantially boosts estimates of the social cost of carbon and supports a climate policy with stronger carbon mitigation strategies.

Dr. Lawrence H. Goulder est le professeur Shuzo Nishihara en économie de l'environnement et des ressources à Stanford et directeur du Stanford Environmental and Energy Policy Analysis Center.

Titre : China’s Unconventional Nationwide CO2 Emissions Trading System: Cost-Effectiveness and Distributional Impact 

Date : 12 novembre 2021

Heure : 14h30 - 16h heure de l'Est

Résumé :
La Chine met en œuvre ce qui devrait devenir le plus grand système d'échange des émissions de dioxyde de carbone. Pour réduire les émissions, la nation utilisera une norme de performance négociable, un instrument qui diffère considérablement d’un plafond d'émissions et d’une taxe sur les émissions, les deux instruments utilisés ailleurs. À l'aide des modèles analytiques et numériques, nous évaluons les coûts et les bénéfices ainsi que les effets de la norme de performance négociable de la Chine pour réduire les émissions de carbone du secteur de l'électricité.

Dr. Nakamura is the Chancellor’s Professor of Economics at the University of California, Berkeley. She is an award winning and highly cited researcher in Inflation and Price Dispersion, Monetary and Fiscal Policy.  

Titre : The Slope of the Phillips curve:  Evidence from U.S. States? 

Date: April 30, 2021

Heure : 3:00 pm – 4:30 pm Eastern DST (note a different than usual starting time!)

Résumé :
Nous estimons la pente de la courbe de Phillips avec des données transversales des États américains en utilisant des indices de prix nouvellement construits pour les biens non échangeables depuis 1978. Nos estimations indiquent que la courbe de Phillips est très plate et qu'elle l'était également au début des années 1980. Nous n'estimons qu'un modeste déclin de la pente de la courbe de Phillips depuis les années 1980. Nous utilisons un modèle multi-régions permettant d'inférer la pente de la courbe de Phillips agrégée à partir de nos estimations régionales. L'application de nos estimations à l'analyse de la dynamique récente du chômage ne produit pratiquement aucune désinflation ou réinflation manquante au cours des derniers cycles économiques. Nos résultats impliquent que la forte baisse de l'inflation de base au début des années 1980 était principalement due à des anticipations changeantes concernant la politique monétaire à long terme, plutôt qu'à une courbe de Phillips pentue, et que la plus grande stabilité de l'inflation depuis les années 1990 est principalement due à un ancrage plus solide des anticipations inflationnistes à long terme.

Une réévaluation des règles de croissance monétaire

Vendredi 20 novembre 2020

Un nouveau modèle keynésien, estimé à l’aide de méthodes bayésiennes sur une période de référence comprenant l’épisode récent de taux d’intérêt nominaux nuls, illustre les effets du remplacement de l’ancienne politique de gestion des taux d’intérêt de la Réserve fédérale par une politique axée sur la croissance monétaire. Les simulations contrefactuelles montrent qu’une règle permettant d’ajuster, de façon modérée et graduelle, le taux de croissance monétaire au fil des fluctuations de l’écart de production donne des résultats comparables à la règle du taux d’intérêt estimé lorsqu’il s’agit de stabiliser la production et l’inflation. Ces simulations révèlent également que, selon la même règle de croissance monétaire, l’économie américaine se serait rétablie plus rapidement de la récession de 2007-2009 et que la période de taux d’intérêt exceptionnellement bas aurait été beaucoup plus courte. Ces résultats indiquent que les règles de croissance monétaire peuvent servir de guides simples, mais utiles pour orienter la politique monétaire et dissiper les incertitudes quant à son efficacité en présence d’une contrainte de non-négativité associée à la borne du zéro.

The Department of Economics and the Faculty of Social Sciences at the University of Ottawa invite you to the Marleau Lecture Series on Economic and Monetary Policy. Please join our virtual workshop “Digital Currency and Monetary Policy” to discuss the design and consequences of a central bank digital currency. The keynote speaker will be Professor Fernández-Villaverde (University of Pennsylvania, NBER and CEPR). In his presentation, Professor Fernández-Villaverde will build on his recent research, which is featured in Cryptocurrencies: A Crash Course in Digital Monetary Economics and Central Bank Digital Currency: Central Banking for All?

Friday, October 30, 2020

Agenda

Research panel session: 10 a.m. – 12 p.m., Eastern DST

• Anil Ari (IMF) Designing Central Bank Digital Currencies
• Janet Jiang (Bank of Canada) Bank Market Power and Central Bank Digital Currency: Theory and Quantitative Assessment
• Michael Kumhof (Bank of England) The Macroeconomics of Central Bank Issued Digital Currencies
• Pierpaolo Benigno (Luiss Guido Carli University, EIEF) Cryptocurrencies, Currency Competition and the Impossible Trinity

Keynote presentation: 2:30 p.m. – 4 p.m., Eastern DST

• Jesús Fernández-Villaverde (University of Pennsylvania) Cryptocurrencies, Fintech, and All That: Monetary Economics in the 21st Century

Time-Varying Expectation Effects of Switching Financial Uncertainty

Friday, September 18, 2020

This paper investigates how regime switches in capital market conditions affect macroeconomic variables by employing a dynamic stochastic general equilibrium (DSGE) model with financial frictions derived from costly-state-verification and a risk process of switching steady-state means. Defining switches to the financial regimes as uncertainty shocks, transition probabilities between financial regimes influence entrepreneurial choices: upon an adverse shock, a bleak outlook of the capital market causes slow recovery of investment. By utilizing a latent factor method, our approach explicitly estimates time-varying transitions resulting from statistical feedbacks from past fundamental shocks to switching of financial regimes. We uncover evidence of time-varying expectations significantly affected by the feedback in the U.S. data and quantify the contribution of each fundamental shock. We also find that our uncertainty factor significantly explains the existing credit market uncertainty measures.

An empirical defence of inflation targeting and the open-economy Phillips Curve from a data-rich perspective

On Friday, September 20, 2019, Professor Morley presented the results of his two ongoing research projects related to empirical analysis of inflation. The first project evaluates inflation targeting in Australia using a factor modelling approach. The second project conducts a cross-country analysis of the open-economy Phillips Curve for a number of advanced and emerging economies (including Canada). 

James Morley was appointed as Professor of Macroeconomics at the University of Sydney in 2017 and is Co-Director of the "Global Perspectives on Economic Policy" initiative for the Faculty of Arts & Social Sciences. He received his PhD from the University of Washington in 1999 and previously held positions at Washington University in St. Louis and the University of New South Wales, most recently as Associate Dean (Research) of the UNSW Business School from 2014-2017. His research focuses on the empirical analysis of business cycles, stabilization policy, and sources of persistent changes in macroeconomic and financial conditions.

He is an Academic Fellow of the Reserve Bank of New Zealand and has been a visiting scholar at various policy institutions worldwide, including the Bank of Canada, Bank Negara Malaysia, and the Bank for International Settlements. He is a former President of the Society for Nonlinear Dynamics and Econometrics and is currently Co-Editor of The Economic Record.

A Sufficient Statistic Approach for Optimal Monetary Policy (with G. Mesters)

Wednesday, May 15, 2019

If a monetary policy path is chosen optimally, any perturbation to that path should have no first-order effect on welfare. Drawing on this insight, we show that the impulse responses to monetary shocks are sufficient statistics to evaluate the optimality of a given policy, and we propose a “sufficient statistic targeting rule” that preserves all the benefits of targeting rules ---simplicity, transparency and immunity to time-consistency problems---, while remedying their one major limitation: non-robustness to model variations. The sufficient statistic targeting rule encompasses earlier targeting rules from the literature and generalizes the Brainard conservatism principle to a model-free setting. We test the optimality of the Fed monetary policy over the recent period, and we reject that the Fed policy was/is optimal.