Papers by Juan Luis Vega Croissier
RePEc: Research Papers in Economics, Sep 8, 2021
The main proposals for the reform of the European Union's fiscal policy framework affect three bl... more The main proposals for the reform of the European Union's fiscal policy framework affect three blocks of issues: (i) simplifying the rules to make them more transparent and flexible; (ii) incorporating new supranational risk-sharing instruments into the Economic and Monetary Union, in particular to facilitate the absorption of severe shocks; and (iii) the fiscal aspects necessarily being accompanied by reforms at the national (structural reforms) and supranational (e.g. pressing forward with the capital markets union) levels. Irrespective of their political feasibility, these proposals do not easily fit the current macroeconomic environment, which is far removed from that of the 1990s: structural trends, such as digitalisation, globalisation, the climate transition and population ageing, affecting the natural rates of interest and potential growth are emerging or taking hold. Also, after the Great Moderation, we have entered a period of severe global shocks. In this paper we argue that this setting calls for a paradigm shift in how the fiscal policy framework is designed, as opposed to the incremental reform approach of recent decades. This should include improved governance of fiscal rules, which should be simpler, more functional and more credible than the current ones, but it should also go a step further and incorporate supranational risk-sharing components enabling the smooth operation of the monetary and fiscal policy mix, from a wider euro area perspective. We provide quantitative elements to illustrate several challenges with a bearing on any reform process in the current setting: (i) medium-term debt anchors should be adapted to the medium and long-term interest rate and potential growth expectations; (ii) economies may remain subject to very severe shocks, meaning that fiscal space must be recovered in the medium term; and (iii) realistic mechanisms for absorbing existing fiscal imbalances must be implemented.
RePEc: Research Papers in Economics, Aug 1, 2021
La serie de Documentos Ocasionales tiene como objetivo la difusión de trabajos realizados en el B... more La serie de Documentos Ocasionales tiene como objetivo la difusión de trabajos realizados en el Banco de España, en el ámbito de sus competencias, que se consideran de interés general. Las opiniones y análisis que aparecen en la serie de Documentos Ocasionales son responsabilidad de los autores y, por tanto, no necesariamente coinciden con los del Banco de España o los del Eurosistema. El Banco de España difunde sus informes más importantes y la mayoría de sus publicaciones a través de la red Internet en la dirección http://www.bde.es. Se permite la reproducción para fines docentes o sin ánimo de lucro, siempre que se cite la fuente.
Banco de Espana Research Paper Series, 2019
This article offers an overview of the monetary policy framework review currently being conducted... more This article offers an overview of the monetary policy framework review currently being conducted by the United States Federal Reserve (Fed). First, we examine the alternative strategies under consideration to address the likely greater incidence of episodes in which monetary policy is influenced by the existence of an effective lower bound (ELB) to which the policy rate can fall. We also discuss how the available empirical evidence drawn from the Fed’s own experience makes it likely that it will retain in its toolkit the non-conventional monetary policy instruments adopted in the wake of the global financial crisis to tackle the problem of the greater incidence of the ELB: namely, quantitative easing and forward guidance. Finally, we analyse possible changes in the Fed’s communications policy.
Tras casi tres anos desde que se anunciara la celebracion del referendum sobre la permanencia del... more Tras casi tres anos desde que se anunciara la celebracion del referendum sobre la permanencia del Reino Unido en la Union Europea (UE) y dos de intensas negociaciones entre las partes, la no ratificacion del Parlamento britanico del acuerdo alcanzado por su Gobierno y por el resto de los socios europeos en noviembre del ano pasado ha dado lugar a una situacion extraordinariamente compleja, en la que, a escasos dias de que se cumpla el plazo (el 29 de marzo de 2019) para la salida del Reino Unido establecido con la activacion del articulo 50, no se vislumbra todavia un plan de consenso. A falta de una alternativa pactada, la salida sin acuerdo en la fecha prevista constituye —salvo prorroga— la actual opcion por defecto. Este documento ocasional hace balance de la situacion actual y de las perspectivas que se abren en relacion con el proceso de salida del Reino Unido de la UE, y recopila y actualiza algunos trabajos que se han venido realizando, en relacion con el seguimiento regular...
Documentos De Trabajo Del Banco De Espana, 1993
El papel del crédito en el mecanismo de transmisión monetaria
Paridad del poder de compra: un análisis empírico
SSRN Electronic Journal, 2011
The view that central banks must play a greater role in preserving financial stability has gained... more The view that central banks must play a greater role in preserving financial stability has gained considerable ground in the aftermath of the crisis and macroprudential policy has become a central pillar to deal with financial stability. The policy frame of macroprudential policy, its toolbox and interactions with other policies is not completely established yet, though. In this context, Spain's ten-year experience with its dynamic provision is a key reference. The analysis shows that, during the current financial crisis, dynamic provisions have proved useful to mitigate-to a limited extent-the build-up of risks and, above all, to provide substantial loss absorbency capacity to the financial institutions, suggesting that it could be an important tool for other banking systems. However, it is not the macroprudential panacea: it needs to be complemented and be consistent with the rest of policies, either within the macro-prudential or in the broader context of macroeconomic management, including monetary policy. While there is a higher awareness of the contribution of monetary policy to financial stability, its role is in practice limited. The case of the euro area is particularly telling in this respect: macro-financial imbalances developed in sectors where financial integration was low and the effects hence were confined to the domestic economies. The asymmetry between a supranational monetary policy plus macroprudential surveillance and domestic implementation of macroprudential policies raises a set of issues which are worth exploring.
Spanish Economic Review, 2000
This paper studies the dynamic behavior of inflation and unemployment in Spain during the period ... more This paper studies the dynamic behavior of inflation and unemployment in Spain during the period 1964-1997. In particular, we analyze the implications of high persistence in both unemployment and inflation dynamics for inference regarding the size of Phillips trade-offs and sacrifice ratios in the Spanish economy, in response to a demand shock. To do so we use a Stuctural VAR approach with several identification outlines which give rise to alternative interpretations of the joint unemployment-inflation dynamics. When using a bivariate VAR we cannot reject the existence of a permanent output loss of one-half of one percentage point for each percentage point of permanent disinflation. However, when the VAR is augmented with a third variable, in order to disentangle monetary from non-monetary shocks within the demand class, the evidence favours a lower and marginally permanent trade-off with an output loss of about one-fourth of one percentage point.
The information content of M3 for future inflation in the Euro area
Weltwirtschaftliches Archiv, 2002
A First Assessment of Some Measures of Core Inflation for the Euro Area
German Economic Review, 2003
Core inflation plays an important role in the deliberations of monetary policy-makers. In this pa... more Core inflation plays an important role in the deliberations of monetary policy-makers. In this paper we evaluate a number of measures of core inflation constructed using euro-area data. In addition to the traditional exclusion-type core measures, we examine two newer ones, documenting their properties and evaluating their performance in terms of their ability to track underlying or trend inflation in real time. We focus on core measures derived from the Harmonized Index of Consumer Prices (HICP) as the European Central Bank has chosen to define its mandate for price stability in terms of this index, and because this is the only index of consumer prices that is compiled in a comparable manner across all members of the European Union. We document significant excess kurtosis in the cross-section distribution of price changes in the euro area, and show that several categories of prices are more volatile than those typically excluded from traditional measures of core inflation. Contrary ...
Is the ALP long-run demand function stable?
Banco de España Working Papers, 1994
By Juan L. Vega; Is the ALP Long-Run Demand Function Stable?
Empirical Economics, 1998
Using several tests for structural stability in regressions with I(1) variables and for the exist... more Using several tests for structural stability in regressions with I(1) variables and for the existence of cointegration in models with regime shifts, the empirical evidence on the existence of a structural break in the Spanish long-run demand for broad money (ALP2) is analysed. The results indicate that shifts a¨ecting the demand for ALP2 in recent years have substantially altered its long-run properties. As to the cause of this structural break, emphasis is placed on the role played by the increasing openness of the Spanish ®nancial system to international markets as obstacles to free capital movements have progressively disappeared.
Swiss Journal of Economics and Statistics ( …, 2002
Downloadable! A short overview of the organisation of research in the Eurosystem and in the ECB i... more Downloadable! A short overview of the organisation of research in the Eurosystem and in the ECB is provided in the paper together with some preliminary, tentative evidence on the research output. Given that the ECB was created only on 1 June 1998, and the lags associated with ...
La revisión del marco de política monetaria de la Reserva Federal
Este articulo presenta una panoramica de la revision del marco de politica monetaria que la Reser... more Este articulo presenta una panoramica de la revision del marco de politica monetaria que la Reserva Federal de Estados Unidos (Fed) esta llevando a cabo en la actualidad. En primer lugar, se examinan las estrategias alternativas que se estan considerando para hacer frente a una probable mayor incidencia de episodios en los que la politica monetaria se ve condicionada por la existencia de un limite inferior efectivo al recorrido a la baja de los tipos de interes (ELB, por sus siglas en ingles). Tambien se discute como la evidencia empirica disponible a partir de la experiencia de la propia Fed hace probable que esta mantenga entre su conjunto de herramientas disponibles los instrumentos no convencionales de politica monetaria adoptados tras la crisis financiera global para afrontar el problema de la mayor incidencia del ELB: principalmente, las politicas de expansion cuantitativa y el uso de orientaciones sobre el curso futuro de los tipos de interes (forward-guidance). Finalmente, s...
Brexit: balance de situación y perspectivas (Brexit: Current Situation and Outlook)
Social Science Research Network, 2019
We examine two measures of core inflation which have been proposed in recent years: the limited-i... more We examine two measures of core inflation which have been proposed in recent years: the limited-influence estimators of core inflation pioneered by Bryan and Cecchetti (1994); and the Edgeworth or variance-weighted price index discussed by Diewert (1995). We compare these measures with traditional 'Ex. Food & Energy'-type measures and evaluate them on the basis of two criteria: their ability to track movements in trend inflation; and their ability to predict future headline inflation. We do find evidence that traditional 'Ex. Food & Energy'-type measure of core inflation may be dominated by alternative measures and conclude that trimmed-mean measures of core inflation may be a useful input to the monetary policy process. These conclusions, nonetheless, are necessarily tentative and subject to strong caveats due to the short span of data on which inference can be drawn JEL Classification: E31
Working Paper Series, Sep 1, 1999
In this paper, an empirically stable money demand model for M3 in the euro area is constructed. S... more In this paper, an empirically stable money demand model for M3 in the euro area is constructed. Starting with a multivariate system, three cointegrating relationships with economic content are found: (i) the spread between the long-and the short-term nominal interest rates, (ii) the long-term real interest rate, and (iii) a long-run demand for broad money M3. There is evidence that the determinants of M3 money demand are weakly exogenous with respect to the long-run parameters. Hence, following a general-to-specific modelling approach, a parsimonious conditional error-correction model for M3 money demand is derived which can be interpreted economically. For the conditional model, longand short-run parameter stability is extensively tested and not rejected. Insights into the dynamics of money demand are gained by means of SVAR techniques exploring the impulse response functions of the cointegrated multivariate system.
Empirical Economics, 1998
Abstract. Using several tests for structural stability in regressions with I(1) variables and for... more Abstract. Using several tests for structural stability in regressions with I(1) variables and for the existence of cointegration in models with regime shifts, the empirical evidence on the existence of a structural break in the Spanish long-run demand for broad money (ALP2) is ...
We examine two measures of core inflation which have been proposed in recent years: the limited-i... more We examine two measures of core inflation which have been proposed in recent years: the limited-influence estimators of core inflation pioneered by Bryan and Cecchetti (1994); and the Edgeworth or variance-weighted price index discussed by Diewert (1995). We compare these measures with traditional "Ex. Food & Energy"-type measures and evaluate them on the basis of two criteria: their ability to
Uploads
Papers by Juan Luis Vega Croissier