No disponible en español
Ine Van Robays
International & European Relations
- Division
International Policy Analysis
- Current Position
-
Deputy Head of Division
- Fields of interest
-
Macroeconomics and Monetary Economics,International Economics,Financial Economics
- 12 February 2024
- WORKING PAPER SERIES - No. 2905Details
- Abstract
- This paper develops a Bayesian VAR model to identify three structural shocks driving the European gas market: demand, supply and inventory shocks. We document how gas price fluctuations have a heterogeneous pass-through to euro area prices depending on the underlying shock driving them. The pass-through is stronger and more persistent when gas prices are driven by aggregate demand or supply pressures, while inventory shocks have a weaker impact. Supply shocks, moreover, are found to pass through to all components of euro area inflation – producer prices, wages and core inflation, which has implications for monetary policy. We finally document how the response of gas prices to shocks is non-linear and is significantly magnified in periods of low unemployment.
- JEL Code
- C50 : Mathematical and Quantitative Methods→Econometric Modeling→General
C54 : Mathematical and Quantitative Methods→Econometric Modeling→Quantitative Policy Modeling
E30 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→General
E31 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→Price Level, Inflation, Deflation
Q43 : Agricultural and Natural Resource Economics, Environmental and Ecological Economics→Energy→Energy and the Macroeconomy
- 7 November 2023
- ECONOMIC BULLETIN - BOXEconomic Bulletin Issue 7, 2023Details
- Abstract
- This box highlights the recent inversion of the euro area and US yield curves and considers its information content for the future state of these economies. The slope of the yield curve is currently negative and the most steeply inverted it has been in decades for both the euro area and the United States. Among other factors, a negative slope may reflect investors’ expectations that the macroeconomic outlook will worsen, inflation will decline and longer-term yields will be lower as growth slows. In the past, the slope has typically had statistical predictive power for economic downturns. Recent estimates based on this indicator point to a high probability of a recession in the next 12 months in both jurisdictions. However, estimated recession probabilities are considerably lower when the models include information from additional financial indicators and oil prices, and when they account for the yield impact of the balance sheet policies of central banks. The analysis therefore highlights that a simple translation of the current historically negative yield curve slopes into a high recession probability would be an incomplete assessment.
- JEL Code
- G1 : Financial Economics→General Financial Markets
E4 : Macroeconomics and Monetary Economics→Money and Interest Rates
C5 : Mathematical and Quantitative Methods→Econometric Modeling
- 2 November 2023
- WORKING PAPER SERIES - No. 2861Details
- Abstract
- Using daily data since 2017, we disentangle China-specific structural shocks driving Chinese financial markets and examine spillovers across global markets. The novelty of this paper consists of simultaneously identifying China shocks with shocksemanating from the United States and shocks to global risk sentiment – two major forces driving global financial markets – to ensure that China spillover estimates do not reflect common factors. Our results show that shocks originating in China havematerial impacts on global equity markets, although spillovers are much smaller than those following shocks in the United States, or those triggered by shifts in global risk sentiment. By contrast, shocks from China account for a significant proportion of variation in global commodity prices, more on a par with those of the United States. Nevertheless, spillovers from China can be significantly amplified in an environment of heightened global volatility, or when the shocks are large.
- JEL Code
- E44 : Macroeconomics and Monetary Economics→Money and Interest Rates→Financial Markets and the Macroeconomy
E52 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Monetary Policy
G15 : Financial Economics→General Financial Markets→International Financial Markets
- 2 November 2023
- WORKING PAPER SERIES - No. 2860Financial shock transmission to heterogeneous firms: the earnings-based borrowing constraint channelDetails
- Abstract
- We study the heterogeneous impact of jointly identified monetary policy and global riskshocks on corporate funding costs. We disentangle these two shocks in a structural BayesianVector Autoregression framework and investigate their respective effects on funding costsof heterogeneous firms using micro-data for the US. We tease out mechanisms underlyingthe effects by contrasting financial frictions arising from traditional asset-based collateralconstraints with the recent earnings-based borrowing constraint hypothesis, differentiatingfirms across leverage and earnings. Our empirical evidence strongly supports the earnings-basedborrowing constraint hypothesis. We find that global risk shocks have stronger andmore heterogeneous effects on corporate funding costs which depend on firms’ positionwithin the earnings distribution.
- JEL Code
- G12 : Financial Economics→General Financial Markets→Asset Pricing, Trading Volume, Bond Interest Rates
E43 : Macroeconomics and Monetary Economics→Money and Interest Rates→Interest Rates: Determination, Term Structure, and Effects
E52 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Monetary Policy
- 21 June 2023
- THE INTERNATIONAL ROLE OF THE EURO - SPECIAL FEATUREThe international role of the euro 2023Details
- JEL Code
- :
- 25 May 2022
- FINANCIAL STABILITY REVIEW - BOXFinancial Stability Review Issue 1, 2022Details
- Abstract
- This box looks at how Chinese macro risk shocks identified from movements in Chinese and US asset prices can affect global and European financial markets. It finds that shocks emanating from China have a noticeable effect on global financial markets, although the impact is smaller than in the case of shocks originating in the United States or global risk shocks. Shocks originating in China have larger spillover effects on commodity markets and they also affect European bank valuations, with a greater impact when general market conditions are more volatile.
- JEL Code
- D53 : Microeconomics→General Equilibrium and Disequilibrium→Financial Markets
E44 : Macroeconomics and Monetary Economics→Money and Interest Rates→Financial Markets and the Macroeconomy
G15 : Financial Economics→General Financial Markets→International Financial Markets
- 28 May 2021
- WORKING PAPER SERIES - No. 2560Details
- Abstract
- Financial asset prices contain a rich set of real-time information on the economy. To extract this information, it is crucial to understand the driving factors behind financial market developments. In this paper, we exploit daily cross-asset price movements in a sign-restricted BVAR model to analyse the extent to which euro area and US yields, equity prices, and the euro-US dollar exchange rate are jointly driven by monetary policy, macro and global risk factors. A novelty is that we allow for cross-Atlantic spillovers while also accounting for the unique role of the US in the global financial system. Our results underline the importance of US spillovers and shifts in global risk sentiment for understanding the dynamics of euro area financial variables. Euro area shocks transmit much less to US financial markets in comparison, with global risk shocks being more important instead. Using the daily shocks as instruments in a Proxy-SVAR, we demonstrate that the transmission of financial market movements to the macroeconomy depends on the underlying driver, thereby illustrating why it matters to look into the driving factors in the first place.
- JEL Code
- C32 : Mathematical and Quantitative Methods→Multiple or Simultaneous Equation Models, Multiple Variables→Time-Series Models, Dynamic Quantile Regressions, Dynamic Treatment Effect Models, Diffusion Processes
C54 : Mathematical and Quantitative Methods→Econometric Modeling→Quantitative Policy Modeling
E44 : Macroeconomics and Monetary Economics→Money and Interest Rates→Financial Markets and the Macroeconomy
E52 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Monetary Policy
- 26 June 2020
- WORKING PAPER SERIES - No. 2430Details
- Abstract
- We identify the spill-over of demand shocks between the world's two largest advanced economies; the US and the euro area. We estimate a Bayesian VAR with sign restrictions, using standard restrictions for the domestic impact of the shock but a novel approach to identify the geographic location of the shocks and rule out common shocks. For the latter, we use the relative performance of small open economies that are neighbors of the US and the euro area, respectively Canada and Sweden, in addition to restricting the relative effects on the US, the euro area and the rest of the world. We find that demand spill-overs of US and euro area demand shocks become smaller on average when imposing relative restrictions, while they become larger in periods which are well-known to be specific to the US (global financial crisis) or the euro area (euro area sovereign debt crisis). Our results are confirmed by running a ‘placebo test’ where we replace the euro area with a small euro area economy, which should not have an independent effect on the US economy due to its small size.
- JEL Code
- C5 : Mathematical and Quantitative Methods→Econometric Modeling
F41 : International Economics→Macroeconomic Aspects of International Trade and Finance→Open Economy Macroeconomics
F44 : International Economics→Macroeconomic Aspects of International Trade and Finance→International Business Cycles
- 26 September 2019
- ECONOMIC BULLETIN - BOXEconomic Bulletin Issue 6, 2019Details
- Abstract
- This box describes the elements and underlying rationale of the Governing Council’s comprehensive policy package decided in September.
- JEL Code
- E40 : Macroeconomics and Monetary Economics→Money and Interest Rates→General
E52 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Monetary Policy
E58 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Central Banks and Their Policies
- 23 April 2019
- ECONOMIC BULLETIN - BOXEconomic Bulletin Issue 3, 2019Details
- Abstract
- Over the course of 2018, euro area non-financial corporate (NFC) spreads widened notably. This box explores the factors underpinning this widening, including deteriorating corporate credit fundamentals, a weaker macroeconomic outlook, spillovers from abroad and a reassessment of global risk appetite. Most importantly, against the backdrop of the end of net asset purchases in December 2018, the box also focuses on the role that monetary policy has played.
- JEL Code
- E52 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Monetary Policy
E58 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Central Banks and Their Policies
G01 : Financial Economics→General→Financial Crises
G12 : Financial Economics→General Financial Markets→Asset Pricing, Trading Volume, Bond Interest Rates
G21 : Financial Economics→Financial Institutions and Services→Banks, Depository Institutions, Micro Finance Institutions, Mortgages
G28 : Financial Economics→Financial Institutions and Services→Government Policy and Regulation
- 18 April 2017
- WORKING PAPER SERIES - No. 2045Details
- Abstract
- In a highly interlinked global economy a key question for policy makers is how foreign shocks and policies transmit to the domestic economy. We develop a semi-structural multi-country model with rich real and financial channels of international shock propagation for the euro area, the US, Japan, the UK, China, oil-exporting economies and the rest of the world: ECB-Global. We illustrate the usefulness of ECB-Global for policy analysis by presenting its predictions regarding the global spillovers from a US monetary policy tightening, a drop in oil prices and a growth slowdown in China. The impulse responses implied by ECB-Global are well in line with those generated by other global models, with international spillovers in ECB-Global generally on the high side given its rich real and financial spillover structure.
- JEL Code
- C51 : Mathematical and Quantitative Methods→Econometric Modeling→Model Construction and Estimation
E30 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→General
E50 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→General
- 18 September 2014
- WORKING PAPER SERIES - No. 1735Details
- Abstract
- This paper demonstrates how the real-time forecasting accuracy of different Brent oil price forecast models changes over time. We find considerable instability in the performance of all models evaluated and argue that relying on average forecasting statistics might hide important information on a model`s forecasting properties. To address this instability, we propose a forecast combination approach to predict quarterly real Brent oil prices. A four-model combination (consisting of futures, risk-adjusted futures, a Bayesian VAR and a DGSE model of the oil market) predicts Brent oil prices more accurately than the futures and the random walk up to 11 quarters ahead, on average, and generates a forecast whose performance is remarkably robust over time. In addition, the model combination reduces the forecast bias and predicts the direction of the oil price changes more accurately than both benchmarks.
- JEL Code
- Q43 : Agricultural and Natural Resource Economics, Environmental and Ecological Economics→Energy→Energy and the Macroeconomy
C43 : Mathematical and Quantitative Methods→Econometric and Statistical Methods: Special Topics→Index Numbers and Aggregation
E32 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→Business Fluctuations, Cycles
- 11 July 2014
- WORKING PAPER SERIES - No. 1689Details
- Abstract
- This paper takes a financial market perspective in examining the relationship between oil prices, the US dollar and asset prices, and it exploits the heteroskedasticity for the identification of causality in a multifactor model. It finds a bidirectional causality between the US dollar and oil prices since the early 2000s. Moreover, both oil prices and the US dollar are significantly affected by changes in equity market returns and risk. By contrast, oil prices did not react to changes in these financial assets before 2001. The paper provides evidence that this may be explained by the increased use of oil as a financial asset over the past decade, which intensified the link between oil and other assets. The model can account well for the strong and rising negative correlation between oil prices and the US dollar since the early 2000s, with risk shocks and the financialisation process of oil prices explaining most of the strengthening of this correlation.
- JEL Code
- F30 : International Economics→International Finance→General
G15 : Financial Economics→General Financial Markets→International Financial Markets
- 1 October 2012
- WORKING PAPER SERIES - No. 1479Details
- Abstract
- This paper evaluates whether macroeconomic uncertainty changes the impact of oil shocks on the oil price. Using a structural threshold VAR model, we endogenously identify different regimes of uncertainty in which we estimate the effects of oil demand and supply shocks. The results show that higher macroeconomic uncertainty, as measured by higher world industrial production volatility, significantly increases the responsiveness of oil prices to oil shocks. This implies a lower price elasticity of oil demand and supply in the uncertain regime, or in other words, that both oil curves become steeper when uncertainty is high. The difference in oil demand elasticities is both statistically and economically meaningful. Accordingly, varying uncertainty about the macroeconomy can explain time variation in the oil price elasticity and hence in oil price volatility. Also the impact of oil shocks on economic activity appears to be significantly stronger in uncertain times.
- JEL Code
- E31 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→Price Level, Inflation, Deflation
E32 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→Business Fluctuations, Cycles
Q41 : Agricultural and Natural Resource Economics, Environmental and Ecological Economics→Energy→Demand and Supply, Prices
Q43 : Agricultural and Natural Resource Economics, Environmental and Ecological Economics→Energy→Energy and the Macroeconomy
- 1 June 2011
- WORKING PAPER SERIES - No. 1346Details
- Abstract
- In this paper, we assess whether and to what extent financial activity in the oil futures markets has contributed to destabilize oil prices in recent years. We define a destabilizing financial shock as a shift in oil prices that is not related to current and expected fundamentals, and thereby distorts efficient pricing in the oil market. Using a structural VAR model identified with sign restrictions, we disentangle this non-fundamental financial shock from fundamental shocks to oil supply and demand to determine their relative importance. We find that financial investors in the futures market can destabilize oil spot prices, although only in the short run. Moreover, financial activity appears to have exacerbated the volatility in the oil market over the past decade, particularly in 2007-2008. However, shocks to oil demand and supply remain the main drivers of oil price swings.
- JEL Code
- C32 : Mathematical and Quantitative Methods→Multiple or Simultaneous Equation Models, Multiple Variables→Time-Series Models, Dynamic Quantile Regressions, Dynamic Treatment Effect Models, Diffusion Processes
Q41 : Agricultural and Natural Resource Economics, Environmental and Ecological Economics→Energy→Demand and Supply, Prices
Q31 : Agricultural and Natural Resource Economics, Environmental and Ecological Economics→Nonrenewable Resources and Conservation→Demand and Supply, Prices
- 2017
- Economic Modelling
- 2016
- Oxford Bulletin of Economics and Statistics
- 2012
- Energy Economics
- 2010
- Inflation in an Era of relative Price ShocksThe economic consequences of oil shocks: differences across countries and time
- 2009
- Economic Policy