Volker Clausen

Asymmetric monetary policy effects in EMU

This paper develops a semi-structural modelling approach to study asymmetric monetary transmission in Europe. A system of dynamic equations containing reaction functions for monetary policy as well as output gap and inflation equations is simultaneously estimated for France, Germany and Italy. We find asymmetries on the demand side in the strength of interest rate transmission and on the supply side in the effects of the output gap on inflation. The responses are similar in Germany and Italy and generally stronger than in France. Out-of-sample tests do not find a structural break in the transmission mechanisms prior to the establishment of the European Monetary Union.

Monetary and fiscal policy dynamics in an asymmetric monetary union

This paper investigates the dynamic effects of monetary and fiscal policy in a monetary union, which is characterized by asymmetric interest rate transmission. This asymmetry gives rise to intertemporal reversals in the relative effectiveness of policy on member country outputs. The direction and the number of these reversals depend on whether policies are unanticipated or anticipated. We also study the coordination between monetary and fiscal policy in a monetary union. Monetary policy may completely stabilize European output after unanticipated fiscal policy shocks. With anticipated fiscal policy shocks, complete stabilization throughout the overall adjustment process requires monetary policy to be time-inconsistent.

Asymmetric monetary transmission in Europe

Introduction.- Sources od Asymmetric Monetary Transmission in Europe.- Classification of Asymmetries in the Structure of Output.- Asymmetries in Financial Structure.- Asymmetries in Openness.- Asymmetries in Wage-Price Mechanisms.- Implications of Partial Asymmetries.- Financial Structure and Asymmetric Monetary Transmission: Implications of a Differential Role of Asset Markets.- Introduction.- The Model.- Effects of Monetary Policy.- Implications for the ECB.- Appendix: Analytical Solution.- Financial Structure and Asymmetric Monetary Transmission: Implications of a Differential Interest Elasticity of Aggregte Demand.- Introduction.- The Model.- Effects of Monetary Policy.- Implications for the ECB.- Appendix: Analytical Solution.- Financial Structure, Asymmetric National Money Demand Functions and the Stability of European Money Demand.- Introduction.- Alternative Concepts of Money Demand Stability.- Empirical Evidence.- Implications for the ECB.- Appendix.- Asymmetric Degrees of Openness and Monetary Transmission in Europe.- Introduction.- The Model.- Effects of Monetary Policy.- Effects of Disturbances in the Rest of the World.- Implications for the ECB.- Asymmetric Wage-Price Mechanisms and Monetary Transmission in Europe.- Introduction.- The Model.- Effects of Monetary Policy.- Implications for the ECB.- Empirical Evidence on Asymmetric Monetary Transmission in Europe.- Large National Central Bank Models.- Structural Multi-Country Models.- Small Vector Autoregressive Models.- Small Structural Models.- Implications for the ECB.- Monetary Policy in an Era of Structural Change.- Structural Changes in Financial Markets.- Structural Changes in Goods Markets.- Structural Changes in Labor Markets.- Implications for the ECB.

Money demand and monetary policy in Europe

Money Demand and Monetary Policy in Europe.—The European Central Bank will soon have to decide on her monetary strategy. This paper discusses properties of money demand functions and implications for monetary policy in a monetary targeting regime. Special attention is paid to different concepts of stability of money demand, to the length and variability of adjustment lags, and to the controllability of the money stock. At the European level, stable money demand functions are identified for M1 and M3. However, M3 appears to be less controllable than M1. Long and variable adjustment lags in the demand for M3 weaken the case for broad money as a monetary target. JEL no. E41, E52ZusammenfassungGeldnachfrage und Geldpolitik in Europa.—Die Europäische Zentralbank wird bald über ihre geldpolitische Strategie zu entscheiden haben. Der Verfasser diskutiert Eigenschaften von Geldnachfragefunktionen und Folgerungen für die Geldpolitik in einem Regime der Geldmengensteuerung. Besondere Aufmerksamkeit widmet er unterschiedlichen Konzepten der Stabilität der Geldnachfrage, der Länge und Variabilität der Anpassungsverzögerungen und der Kontrollierbarkeit der Geldmenge. Auf europäischer Ebene werden stabile Geldnachfragefunktionen für M1 und M3 identifiziert. Allerdings erscheint M3 weniger kontrollierbar als M1. Lange und variable Anpassungsverzögerungen bei der Nachfrage nach M3 schmälern die Brauchbarkeit dieser breiter definierten Geldgröße als monetäres Ziel.

Foreign Price Shocks and Monetary Policy in an Asymmetric Monetary Union

This paper analyzes the dynamic effects of anticipated and unanticipated foreign price increases of imported raw materials for a small two-country monetary union, which is simultaneously characterized by asymmetric wage adjustments and asymmetric interest rate sensitivities of private absorption. It is shown that both types of input price disturbances lead to temporary divergences in output developments across the monetary union. In the case of anticipated materials price increases the relative cyclical position of output effects is reversed in the course of the adjustment process. With anticipated input price increases complete stabilization of the output variables throughout the overall adjustment process requires restrictive monetary policy to be time-inconsistent from a quantitative but time-consistent from a qualitative point of view. That means that the central bank credibly announces a future reduction in the growth rate of nominal money stock but actually realizes a decrease in the monetary growth rate, which is less restrictive than the announcement.

Oil Price Shocks and Cyclical Dynamics in an Asymmetric Monetary Union

This paper analyzes the dynamic effects of anticipated and unanticipated oil price increases in a small two-country monetary union, which is simultaneously characterized by asymmetric wage adjustments and asymmetric interest rate sensitivities of private absorption. Common external oil price disturbances lead in this asymmetric macroeconomic setup to temporary divergences in output developments across the monetary union. In the case of anticipated oil price increases the relative cyclical position is reversed in the course of the adjustment process. Complete stabilization of the output variables throughout the overall adjustment process requires a restrictive monetary policy being time inconsistent from a quantitative but time consistent from a qualitative point of view. That means that the central bank credibly announces a future reduction in the growth rate of the nominal money stock but actually implements a reduction, which is less restrictive than the original announcement.

Oil Price Dynamics and Monetary Policy in a Heterogeneous Monetary Union

Summary This paper analyzes the dynamic effects of oil price increases in a small two-country monetary union with asymmetric wage adjustment equations. Common oil price shocks lead during the adjustment process to temporary divergences in output and inflation and also to reversals in the relative cyclical position across the monetary union. We distinguish between three types of oil price shocks: (1) an unanticipated permanent shock, (2) an unanticipated temporary shock and (3) an anticipated permanent shock.We illustrate the macroeconomic effects of these shocks by means of dynamic simulations and examine the respective stabilization role of monetary policy. While permanent oil price hikes always lead to stagflation, temporary shocks are associated with deflation in the very short run as the reduction of real income lowers the demand for the domestically produced good. The implications for monetary policy are also shock-specific. Monetary policy faces a signal extraction problem as it needs to determine whether oil price shocks are transitory or permanent in order to make appropriate decisions not only about the strength, but also the direction of monetary policy.

Unterschiedliche nationale Konsumfunktionen als Quelle konjunktureller Asymmetrien in Europa

In allen Landern der Eurozone stellt der private Verbrauch die bei weitem wichtigste Komponente der gesamtwirtschaftlichen Nachfrage dar. Dem privaten Konsumverhalten kommt deshalb bei der Analyse und Prognose der konjunkturellen Entwicklung eine be sondere Bedeutung zu.

Optimale Geld- und Fiskalpolitik unter Unsicherheit

Die internationale Finanzund Wirtschaftskrise hat in vielen Ländern zu einer Renaissance der Stabilisierungspolitik geführt. Sowohl die Geldwie auch die Fiskalpolitik wurden in sehr starkem Umfang eingesetzt, um die Auswirkungen des weltweiten Nachfrageeinbruchs abzufedern. Dabei war die Unsicherheit über die Wirkungen dieser Maßnahmen selten so groß wie in jüngerer Zeit. Der Ansatz von Brainard (1967) liefert eine anschauliche Analyse der Implikationen dieser speziellen Form von Unsicherheit für die optimale Ausgestaltung der Stabilisierungspolitik. Es wird gezeigt, dass demnach die Stabilisierungspolitik im Regelfall umso zurückhaltender und vorsichtiger agieren sollte, je größer die Unsicherheit über die Wirksamkeit der Instrumente (Multiplikatoren) ist. Neuere Beiträge kommen teilweise zu entgegengesetzten Ergebnissen.

Internationale Kapitalmobilität und nationale Wirtschaftspolitik

In den neunziger Jahren hat die Bedeutung internationaler Kapitalbewegungen spurbar zugenommen. Dieses gilt insbesondere fur viele Entwicklungsund Schwellenlander. Der nachfolgende Beitrag untersucht die mit einer Veranderung der internationalen Kapitalmobilitat verbundenen makrookonomischen Anpassungsprobleme und diskutiert die diesbezuglichen Implikationen fur die nationale Wirtschaftspolitik. Von zentraler Bedeutung sind hierbei die Richtung der Nettokapitalstrome in der Ausgangslage und das Wechselkurssystem des betrachteten Landes.