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Co-ordination of current projects: Stefan Schiman-Vukan (3 hits)

Current research studies (work in progress)
Study by: Austrian Institute of Economic Research – German Institute for Economic Research – Hertie School gGmbH – Queen Mary, University of London (QMUL)
Commissioned by: European Parliament
The European Central Bank (ECB) is independent in the conduct of monetary policy. However, it is accountable to the Committee on Economic and Monetary Affairs of the European Parliament. This is implemented via the "Monetary Dialogue". Every three months, the President of the ECB or, occasionally, another member of the ECB's Executive Board appears before the Committee to report on monetary policy and answer questions from Members of Parliament, who are informed in advance by experts. WIFO is part of a consortium of institutes that provides the Committee with independent expert advice on monetary and economic policy for the period 2020-2024.
Current research studies (work in progress)
Supported by: Anniversary Fund of the Oesterreichische Nationalbank
Study by: Austrian Institute of Economic Research
Current research on US monetary policy shocks has improved identification of these shocks considerably. Research on euro area monetary policy has not yet incorporated these methodological advancements; identification is either weak or based on strong assumptions. We adopt the new approaches and sharpen inference on the macroeconomic and financial market effects of ECB monetary policy. In a first step, vector autoregressive models are estimated with Bayesian methods and monetary policy shocks are identified by means of sign restrictions. In a next step, identification is strengthened along two recently proposed dimensions: first, by applying sign restrictions also to the systematic component of monetary policy (Arias et al., 2016) and secondly, by exploiting narrative information on large reduced-form residuals (Antolin-Diaz & Rubio-Ramirez, 2016). We will not only estimate models for the euro area as a whole, but also for small euro area countries, including Austria. By employing a block exogenous framework, we duly take into account the specificity of the euro area as a monetary union of sovereign countries. We will not only present sample-averaged results by means of impulse response analysis and forecast error variance decompositions, but we will focus in particular on time series ("historical") decompositions. We will also apply them to new data in order to quantify in a timely manner the effects of the exit from the zero interest rate environment, which is to be expected over the project horizon.
Project lead: Stefan EdererProject lead: Christian GlockerProject lead: Marcus ScheibleckerProject lead: Stefan Schiman-Vukan
WIFO-Konjunkturprognose (WIFO-Konjunkturprognose)
Current research studies (work in progress)
Study by: Austrian Institute of Economic Research