Politique monétaire unique, taux bancaires et prix immobiliers dans la zone euro

L’objectif de notre contribution est d’analyser empiriquement les mécanismes de transmission de la politique monétaire vers les prix immobiliers dans les principales économies de la zone euro. Nous tenons compte explicitement du rôle des banques, via le canal du taux d’intérêt. Notre approche est en deux étapes : la première permet d’illustrer la répercussion des taux contrôlés par la BCE sur les taux pratiqués par les banques pour les crédits immobiliers, tandis que la deuxième fait le lien entre les taux bancaires et les prix immobiliers. Cette analyse permet de comprendre les différentes sources de l’hétérogénéité de la transmission de la politique monétaire. Il apparaît en effet que le canal du taux d’intérêt est de plus en plus homogène dans la zone euro. Mais ce résultat masque le rôle des effets d’offre de crédit qui ont pu induire une hétérogénéité de la transmission de la politique monétaire. La transmission des taux bancaires aux prix immobiliers et à l’ensemble de l’économie demeure dépendante des structures propres à chaque État membre

Central Bank Sentiment and Policy Expectations

We explore empirically the theoretical prediction that waves of optimism or pessimism may have aggregate effects, in the context of monetary policy. We investigate whether the sentiment conveyed by ECB and FOMC policymakers in their statements affect the term structure of private short-term interest rate expectations. First, we quantify central bank tone using a computational linguistics approach. Second, we identify sentiment as exogenous shocks to these quantitative measures using an augmented narrative approach following the information friction literature. Third, we estimate the impact of sentiment on private agents’ expectations about future short-term interest rates using a high-frequency methodology and an ARCH model. We find that sentiment shocks increase private interest rate expectations around maturities of one and two years. We also find that this effect is non-linear and depends on the state of the economy and on the characteristics (precision, sign and size) of the sentiment signal

Financial Stability and Economic Performance

This paper aims at establishing the link between economic performance, financial depth and financial stability in the European Union from 1998 to 2011. We use the standard framework – both in terms of variables and econometric method – of Beck and Levine (2004) to estimate these relationships. Our results suggest that the traditional result that financial depth positively influences economic performance (or components of aggregate dynamics like consumption, investment or disposable income) is not confirmed for European countries. Furthermore, we use different measures of financial instability (institutional index, microeconomic indicators, and our own statistical index derived from a Principal Component Analysis) and find that financial instability has a negative effect on economic growth

La politique monétaire crée-t-elle des bulles ?

La mise en place par les banques centrales de politiques monétaires très expansionnistes depuis quelques années fait craindre que ces liquidités alimentent des bulles spéculatives sur différents prix d’actifs. Plutôt que d’évaluer l’effet de la politique monétaire sur les prix d’actifs, qui constitue l’un de ses canaux de transmission habituels, nous estimons la composante «bulle», c’est-à-dire la partie non-expliquée par des déterminants macroéconomiques et financiers, de trois prix d’actifs: actions, obligations et immobiliers, au niveau de la zone euro. Nous évaluons ensuite l’impact de la politique monétaire de la BCE sur ces trois composantes «bulle» et trouvons que leur processus n’est pas déterminé par la politique menée par la banque centrale, qu’elle soit expansionniste ou restrictive

Financialisation risks and economic performance

Drawing on European Union data, this paper assesses the long-standing mainstream view that financialisation improves growth. We measure financialisation with private credit to GDP and capture characteristics of banking sector fragility with the ratio of credit to deposits and the ratio of bank capital to assets. We test the impact of these variables on four measures of economic performance: the growth rates of GDP per capita, consumption per capita, investment and inequality. We observe that credit has no effect on economic performance. However, the potential riskiness of the banking sector measured by the ratio of credit to deposits decreases GDP per capita and contributes to increasing inequality whereas the ratio of capital to assets has a negative impact on GDP per capita growth through its negative effect on investment. This effect is driven by countries with low GDP per capita. We also find that the potential side effects of excessive financialisation have a negative effect on growth

The Effect of ECB Forward Guidance on the Term Structure of Interest Rates

This paper investigates the instantaneous and dynamic effects of ECB forward guidance announcements on the term structure of interest rates. We estimate the static and dynamic impacts of forward guidance on overnight indexed swaps (OIS) rates using a high-frequency methodology and an ARCH model, complemented with local projections. We find that ECB forward guidance announcements have lowered the term structure of private short-term interest rates at most maturities, even after controlling for the macroeconomic information published by the ECB. The effect is stronger on longer maturities and persistent

Financial stability and economic performance in Europe

This paper aims at establishing the link between economic performance and financial stability in the European Union. We use the seminal framework of Beck and Levine (2004) – both in terms of variables and econometric method – to estimate this causal relationship, independently from but controlling for the level of financial depth. Using a panel GMM with instrumental variables, our contribution involves testing how different measures of financial instability (an institutional index, microeconomic indicators, and our own statistical index derived from a principal component analysis) affect economic performance (or components of aggregate dynamics like consumption, investment and disposable income). We find that financial instability has a negative effect on economic growth

The QE experience : Worth a try ?

The ECB has decided to implement large-scale quantitative easing (QE) measures since March 2015 until September 2016. This unconventional monetary policy has had a variety of precedents, in the Japanese, UK and US economies. These experiments have been effective a tmodifying government and corporate bond yields, mostly in the UK and US and to a lesser extent in Japan. This conclusion is not context-free. The European QE has started in a deflation era which requires more activism and cooperation from the ECB and Euro area governments than in the UK and the US when their central banks embarked in QE. The success of the European QE will also depend substantially on the depreciation of the Euro and will require clear communication by the ECB that it is prepared to accept a large depreciation at least until the inflation rate goes back to its target

Les enjeux du triple mandant de la BCE

Le consensus qui prévalait sur le rôle des banques centrales s’est fissuré. La poursuite du seul objectif de stabilité des prix est aujourd’hui insuffisante pour assurer la stabilité macroéconomique et financière. Un nouveau paradigme émarge dans lequel les banques centrales doivent à la fois veiller à la stabilité des prix, à la croissance et à la stabilité financière. Les évolutions institutionnelles récentes de la BCE vont dans ce sens puisqu’elle se voit confier la surveillance micro-prudentielle. En outre, la conduite de la politique monétaire dans la zone euro montre que la BCE est aussi restée attentive à l’évolution de la croissance. Mais, si la BCE poursuit de fait un triple mandat, la question de la bonne articulation entre ces différentes missions continue de se poser. La coordination entre les différents acteurs en charge de la politique monétaire, de la régulation financière et de la politique budgétaire est primordiale et fait défaut dans l’architecture actuelle. Par ailleurs, certaines pratiques doivent être clarifiées. La BCE a joué un rôle de prêteur en dernier ressort (des banques et dans une moindre mesure des États) sans que cette fonction ne lui soit précisément attribuée. Enfin, dans ce nouveau schéma, la BCE souffre d’une illégitimité démocratique, renforcée par le rôle croissant qu’elle joue dans la détermination de l’équilibre macroéconomique et financier de la zone euro. Il nous semble important que la BCE soit plus explicite au regard des différents objectifs poursuivis et qu’elle mette en oeuvre les conditions d’une coopération étroite avec les instances budgétaires et de régulation financière. Enfin, nous appelons à la création ex nihilo d’un organe de contrôle de la BCE, chargé de discuter et d’analyser la pertinence des politiques monétaires mises en place par la BCE

Dealing with the ECB's triple mandate?

The prevailing consensus on the role of central banks has eroded. The pursuit of the goal of price stability only is now insufficient to ensure macroeconomic and financial stability. A new paradigm emerges in which central banks should ensure price stability, growth and financial stability. Recent institutional developments of the ECB go in this direction since it will be in charge of the micro-prudential supervision. In addition, the conduct of monetary policy in the euro area shows that the ECB also remained attentive to the evolution of economic growth. But if the ECB implements its triple mandate, the question of the proper relationship between these missions still arises. Coordination between the different actors in charge of monetary policy, financial regulation and fiscal policy is paramount and is lacking in the current architecture. Besides, certain practices should be clarified. The ECB has played a role as lender of last resort (towards banks and, to a lesser extent, towards governements) although this mission was not allocated to the ECB. Finally, in this new framework, the ECB suffers from a democratic illegitimacy, reinforced by the increasing role it plays in determining the macroeconomic and financial balance of the euro area. It seems important that the ECB is more explicit with regard to its different objectives and that it fulfils the conditions for close cooperation with the budgetary authorities and financial regulators. Finally, we call for the ex nihilo creation of a supervisory body of the ECB, which responsibility would be to discuss and analyze the relevance of the ECB monetary policy