CEPR MMCN Conference 2017

June 19-20, 2017

Goethe University Frankfurt
Campus Westend

The analysis of macroeconomic models and the financial sector served as a starting point for the conference’s special topic: the effects of quantitative monetary policy in structural models. In his presentation Douglas Laxton of the IMF’s Economic Modeling Division studied the risks of excessive credit expansion and asset price bubbles. As he pointed out, distinguishing good and bad credit expansion ex ante would require a large amount of micro-level data analysis. However, "models can tell very little whether a financial crisis is coming", he warned.

Analyzing the ECB’s approach to unconventional monetary policy, Roberto Motto of the ECB argued that the the central bank started late with its unconventional monetary policy. In his view, this could be explained by the fact that the ECB’s price stability objective was defined as a range rather than a symmetric inflation target. He explained that signs of deanchoring in the face of commodity price deflation and demand shortfalls called for a bold strategy. Looking at monetary theory in a low-interest world, John Roberts of the Federal Reserve Board pointed out that monetary policy strategies based on traditional simple policy rules lead to poor economic performance when the equilibrium real interest rate is low and volatile economic activity and inflation.

About 90 participants from academia, central banks, ministries, financial institutions and companies, students and young researchers took part in the first research conference of the network. In further sessions, researchers disussed models with regard to fiscal as well as macroprudential policy, cross and multicountry models and unconventional monetary policy. Moreoever, young academics presented their findings regarding issues in modelling financial markets and macroprudential policy and, on the other hand, issues in monetary and fiscal policy.



June 19, 2017

08:00 – 08:50

Registration and Coffee

08:50 – 09:00


09:00 – 10:15

Plenary Session: Macroeconomic Models and the Financial Sector

Chair: Volker Wieland (IMFS, Goethe University)

Macroeconomic Models for Monetary Policy: A Critical Review from a Finance Perspective
Winston Dou (University of Pennsylvania) (Presentation) (Paper 1, Paper 2)

Designing Models for Macroprudential Policy Analysis
Douglas Laxton (International Monetary Fund) (Presentation)

10:15 – 10:30

Coffee Break

10:30 – 12:15

Parallel Session: Fiscal Policy

Chair: Gernot Müller (University of Tübingen)

Fiscal Policy in EMU with Downward Nominal Wage Rigidity
Werner Roeger (European Commision)

Debt Overhang and the Macroeconomics of Carry Trade
Egle Jakucionyte; Sweder van Wijnbergen (University of Amsterdam) (Presentation) (Paper)

Can an Increase in Public Investment Sustainably Lift Economic Growth?
Annabelle Mourougane (OECD) (Presentation) (Paper)

Discussant: Kerk Phillips (Brigham Young University)

Parallel Session: Financial Markets and Macroprudential Policy

Chair: Maik Wolters (University of Jena)

NAWM II: An Updated Version of the ECB's Micro-Founded Model for Policy Analysis and Forecasting with a Financial Sector
Günter Coenen (European Central Bank), Peter Karadi, Sebastian Schmidt, Anders Warne

Discussant: Johannes Pfeifer (University of Cologne) (Presentation)

Financial Regulation and Shadow Banking: A Small-Scale DSGE Perspective
Olivier Pierrard (Banque Centrale du Luxembourg), Patrick Fève (Paper)

Discussant: Philipp Lieberknecht (IMFS, Goethe University) (Presentation)

The International Dimensions of Macro-Prudential Policies
Giovanni Lombardo (Bank for International Settlements) et al.

Discussant: Jorge Quintana (Goethe University) (Presentation)

12:15 – 13:30 Lunch


13:30 – 15:30

Poster Session 1: Issues in Modelling Financial Markets and Macroprudential Policy

Adverse Selection and Financial Crises
Jonathan Swarbrick (University of Surrey) (Poster)

Countercyclical Capital Regulation in a Small Open Economy DSGE Model
Luca Onorante (European Central Bank), Matija Lozej (Poster) (Paper)

Optimal Macroprudential Rules
Aliaksandr Zaretski (Emory University) (Poster) (Paper)

Financial Intermediation, Resource Allocation, and Macroeconimic Interdependence
Galip Kemal Ozhan (University of St. Andrews) (Poster)

House Prices and Macroprudential Policy in an Estimated DSGE Model of New Zealand
Petar Mihaylovski (University of Hamburg) (Poster)

Cascades Along the Business Cycle
Massimo Ferrari (Catholic University of Milan) (Poster) (Handout)

Concerted Efforts? Monetary Policy and Macro-Prudential Tools
Richard Harrison (Bank of England) (Poster)

Bank Capital in the Short and in the Long Run
Kalin Nikolov (European Central Bank)

Solving DSGE Portfolio Choice Models with Asymmetric Ciuntries
Grzegorz Dlugoszek (Humboldt University Berlin) (Poster)

Financial Variables in a Policy Rule: Does It Bring Macroeconomic Benefits?
Jan Zacek (Charles University) (Poster)

Macroeconomic Model Database
Alina Tänzer, Lazar Milivojevic (IMFS, Goethe University) (Poster)

15:30 – 15:45

Coffee Break

15:45 – 17:00

Plenary Session: Natural Rate of Interest

Chair: Michael Binder (IMFS, Goethe University)

Safety, Liquidity, and the Natural Rate of Interest
Marco Del Negro (Federal Reserve Bank of New York) (Presentation) (Paper)

R-Star: The Long-run Equilibrium Rate has not declined by much
Maik Wolters (University of Jena) (Presentation)


June 20, 2017

08:00 – 08:30


08:30 – 09:45

Plenary Session: Monetary Policy, Zero Bound and International Spillovers

Chair: Volker Wieland (IMFS, Goethe University)

Monetary Policy in a Low Interest World
John Roberts (Federal Reserve Board) (Presentation)

The ECB's Approach to Unconventional Monetary Policies
Roberto Motto; Massimo Rostagno (European Central Bank)

09:45 – 10:00 Coffee break


10:00 – 11:30

Parallel Session: Cross- and Multi-Country Models

Natural Rates Across the Atlantic
Stefano Neri (Banca d'Italia)

Discussant: Kai Christoffel (European Central Bank)

Financial Heterogeneity and Central Bank Non-Standard Measures in a Monetary Union
Niki Papadopoulou (Central Bank of Cyprus)

Discussant: Galip Kemal Ozhan (University of St. Andrews) (Presentation)

Uncertainty Shocks in Currency Unions
Gernot Müller (University of Tübingen)

Parallel Session: Unconventional Monetary Policy

Chair: Thorsten Drautzburg (Federal Reserve Bank of Philadelphia)

The Macroeconomic Effects of Quantitative Easing in the Euro Area: Evidence from an Estimated DSGE Model
Romanos Priftis (European Commission), Lukas Vogel, Stefan Hohberger (Presentation) (Paper)

Discussant: Richard Harrison (Bank of England) (Presentation)

Evaluating the Macroeconomic Effects of the ECB's Unconventional Monetary Policies
Sarah Mouabbi (Banque de France), Jean-Guillaume Sahuc (Presentation) (Paper)

Discussant: Jonathan Benchimol (Bank of Israel) (Presentation)

Quantitative Easing in the Fiscal Theory
Howard Kung (London Business School)

Discussant: Luca Onorante (European Central Bank)

11:30 – 13:15

Poster Session 2: Issues in Monetary and Fiscal Policy; Presentation of DBnomics

Fiscal Policy Matters: A New DSGE Model for Slovakia
Zuzana Mucka (Council for Budget Responsibility) (Poster)

Wage Formation, Unemployment and Business Cycle in Latvia
Ginters Buss (Latvijas Banka) (Poster) (Paper)

Integrating Macrosimulation Models of Tax Policy into a DGE Macroeconomic Model: A Canonical Example
Kerk Phillips (Brigham Young University) (Poster) (Paper)

The Amplification of the New Keynesian Models and Robust Optimal Monetary Policy
Gülserim Özcan (Bilkent University) (Poster)

The Missing Link: Labor Share and Monetary Policy
Cristiano Cantore (University of Surrey) (Poster)

The Effects of Fiscal Policy in an Estimated DSGE Model - The Case of the German Stimulus Packages during the Great Recession
Andrej Drygalla (Halle Institute for Economic Research) (Poster)

Are Nonlinear Methods Necessary at the Zero Lower Bound?
Nathaniel Throckmorton (College of William & Mary) (Poster)

Monetary Rules, Central Bank Losses and Households' Welfare: What Objectives Should the Fed Pursue?
Jonathan Benchimol (Bank of Israel) (Poster)

DBnomics, the world's economic data
Thomas Brand (CEPREMAP), Paula Forteza (Poster)

13:00 – 14:00 Lunch


14:30 – 16:00

Parallel Session: Money, Finance and Fiscal Policy

Chair: Werner Roeger (European Commission)

The Macroeconomics of Central Bank Issued Digital Currencies
Michael Kumhof (Bank of England) (Presentation)

Discussant: Sören Karau (Goethe University) (Presentation)

Macroeconomic Effects of Financial Shocks: Comment
Johannes Pfeifer (University of Cologne) (Presentation) (Paper)

Fiscal Multipliers and Financial Crises
Miguel Faria-e-Castro (New York University) (Presentation) (Paper)

Discussant: Felix Strobel (Humboldt University) (Presentation)

15:00 – 16:00

Parallel Session: Solution and Estimation Methods

Chair: Kai Christoffel (European Central Bank)

Should Central Banks Worry about Nonlinearities of their Large-Scale Macroeconomic Models?
Lilia Maliar (Stanford University), Serguei Maliar, Vadym Lepetyuk (Paper)

Discussant: Nathaniel Throckmorton (College of William & Mary)

Entropy-Based Affine Approximations of Dynamic Equilibrium Models
Pierlauro Lopez (Banque de France), David Lopez-Salido, Francisco Vazquez-Grande (Presentation) (Paper)

Discussant: Inna Tsener (University of the Balearic Islands)

16:00 – 16:15

Coffee break

16:15 – 17:15

Plenary Session: Business Cycles: Methods and Modelling

Chair: Michael Binder (IMFS, Goethe University)

ECB Global: Introducing ECB's Global Macroeconomic Model for Spillover Analysis
Alistair Dieppe (European Central Bank), Georgios Georgiadis, Martino Ricci, Ine van Robays, Björn van Roye (Presentation)

Political Distribution Risk and Business Cycles
Thorsten Drautzburg (Federal Reserve Bank of Philadelphia) (Presentation)



Plenary sessions: 25 minutes for paper presentation and 10 minutes for general discussion.
Parallel sessions
: 15 minutes for paper presentation, 10 minutes for discussant, and 5 minutes for general discussion.
: 10 posters per session with ample time for participants to visit several posters and discuss with the authors.