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Papers by Fernando Ballabriga
Journal of Economic Policy Reform, 2021
We evaluate the income distributional effect of monetary policy in the UK for the period 1993–201... more We evaluate the income distributional effect of monetary policy in the UK for the period 1993–2019 using a mixed frequency approach and a high-frequency identification. Our results indicate that expansionary monetary policy increased income inequality during the unconventional policy subperiod 2009–2019. Looking at the income brackets, we find that this increase in inequality is primarily due to the positive impact of expansionary policy on the upper share of income distribution. Our counterfactual analysis reveals that unconventional monetary policy contributed to the increase in inequality and that the response to COVID-19 is likely to do the same. [ABSTRACT FROM AUTHOR] Copyright of Journal of Economic Policy Reform is the property of Routledge and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)
JCMS: Journal of Common Market Studies, 2017
Under the prospect of productive specialization, the degree of potential success of the euro sinc... more Under the prospect of productive specialization, the degree of potential success of the euro since its inception was seen as closely linked to the development of effective risk-sharing mechanisms across EU members. Without shared fiscal resources, financial integration was expected to play a leading role in this respect. This paper documents the failure in fulfilling this expectation: Along with an analysis of the evolution of specialization and risk-sharing, we present evidence supporting the claim that progress in financial integration has not been conducive to income risk-sharing across euro area members, while it might have favoured a specialization split between countries with low-medium and high technology productive structures. As a result, monetary union members face higher income fluctuation risk without enhanced insurance protection. Additionally, evidence suggests a differential impact of the specialization split on sector productivity, contributing to making the monetary union a club of non equals.
SSRN Electronic Journal, 2017
This paper evaluates the distributive effect of monetary policy in the case of the UK. The income... more This paper evaluates the distributive effect of monetary policy in the case of the UK. The income inequality measure represents the whole income distribution. Different income inequality data sources and sample periods are considered. The monetary policy shock is identified by using recursive, sign restrictions, and high frequency methods. The results indicate that contractionary monetary policy decreases income inequality. This effect is also explored through the different distribution channels of monetary policy. In this respect, our results suggest that the stronger negative effect of contractionary monetary policy on business and financial income than on labor earnings leads to the overall reduction of income inequality. This evaluation of the distributive impact of monetary policy can be useful for the development of macroeconomic policies designed to reduce income inequality.
We analyse the sustainability of fiscal policy in EU15 countries in line with the recent literatu... more We analyse the sustainability of fiscal policy in EU15 countries in line with the recent literature on fiscal reaction functions. We test for a positive response of the primary surplus to accumulated debt using a baseline reaction function, and we check for robustness considering alternative specifications, estimation techniques, and possible structural breaks. We also estimate a Bayesian version of the baseline model as a way to provide an endogenous mechanism to analyse time variation in the response of governments to debt. We suggest that the posterior distribution of this model is a sensible indicator to assess the sustainability position of countries. Our conclusion is that the response to debt has fluctuated over the sample 1977-2005, but sustainability has been prevalent in EU15.
This paper contains a schematic description of selected relevant events in the development of qua... more This paper contains a schematic description of selected relevant events in the development of quantitative macroeconomics since the start of the Cowles Comission for Economic Research in 1932. It also provides a sketch of what could be a promising path for future events.
We use a policy rule framework and focus on the response of the primary surplus to accumulated pu... more We use a policy rule framework and focus on the response of the primary surplus to accumulated public debt to test a sufficient condition for sustainability. The evidence we report suggests that sustainability was prevalent in many EU countries before Maastricht, but also that the Maastricht impulse induced the shift towards sustainability in some of them. Additionally, although a clear
This paper assesses the extent to which the macroeconomic policy architecture of EMU represents a... more This paper assesses the extent to which the macroeconomic policy architecture of EMU represents a break with the past. This is carried out by estimating forward-looking fiscal and monetary policy rules for the Member States and by analysing them within the conceptual framework of the Fiscal Theory of the Price level.
SSRN Electronic Journal, 2014
The New Palgrave Dictionary of Economics
The Working Paper Series seeks to disseminate original research in economics and finance. All pap... more The Working Paper Series seeks to disseminate original research in economics and finance. All papers have been anonymously refereed. By publishing these papers, the Banco de España aims to contribute to economic analysis and, in particular, to knowledge of the Spanish economy and its international environment. The opinions and analyses in the Working Paper Series are the responsibility of the authors and, therefore, do not necessarily coincide with those of the Banco de España or the Eurosystem. The Banco de España disseminates its main reports and most of its publications via the INTERNET at the following website: http://www.bde.es. Reproduction for educational and non-commercial purposes is permitted provided that the source is acknowledged.
SSRN Electronic Journal, 2014
Under the prospects of productive specialization, the degree of success of the euro was seen sinc... more Under the prospects of productive specialization, the degree of success of the euro was seen since inception as closely linked to the development of effective risk-sharing mechanisms across union members. Without shared fiscal resources, financial integration was expected to play a leading role in this respect. This paper documents the failure in the task of fulfilling this expectation: Along with an analysis of the evolution of specialization and risk-sharing, we present evidence supporting the claim that progress in financial integration has not been conductive for income risk-sharing across euro members, while it has favored a specialization split between countries with low-medium and high technology productive structures. As a result, monetary union members face higher income fluctuation risk without enhanced insurance protection. Additionally, evidence suggests that the specialization split has had differential impacts on sector productivity, affecting negatively to euro members specializing in low-medium technologies, and so helping to make the monetary union a club of less equals.
Journal of International Economics, 1999
The degree of symmetry of the shocks that cause macroeconomic fluctuations in the different Europ... more The degree of symmetry of the shocks that cause macroeconomic fluctuations in the different European economies is a basic consideration when evaluating the cost in terms of loss of the nominal exchange rate as an instrument for short-term macroeconomic adjustment. The more symmetrical these shocks, the lower the costs. This paper uses a structural Bayesian Vector Autoregressive (BVAR) approach and quarterly data from 1970 to 1996 to characterise the responses to common and specific, nominal and real, shocks in four European economies. Our findings suggest that, in the short run, asymmetrical shocks have dominated.
Journal of Forecasting, 2003
This paper describes the BBVA-ARIES, a Bayesian vector autoregression (BVAR) for the European Eco... more This paper describes the BBVA-ARIES, a Bayesian vector autoregression (BVAR) for the European Economic and Monetary Union (EMU). In addition to providing EMU-wide growth and inflation forecasts, the model provides an assessment of the interactions between key EMU macroeconomic variables and external ones, such as world GDP or commodity prices. A comparison of the forecasts generated by the model and those of private analysts and public institutions reveals a very positive balance in favour of the model. For their part, the simulations allow us to assess the potential macroeconomic effects of macroeconomic developments in the EMU.
Documentos de trabajo …, 2000
Información del artículo Monetary policy and exchange rate behaviour in the fiscal theory of the ... more Información del artículo Monetary policy and exchange rate behaviour in the fiscal theory of the price level.
Journal of Economic Policy Reform, 2021
We evaluate the income distributional effect of monetary policy in the UK for the period 1993–201... more We evaluate the income distributional effect of monetary policy in the UK for the period 1993–2019 using a mixed frequency approach and a high-frequency identification. Our results indicate that expansionary monetary policy increased income inequality during the unconventional policy subperiod 2009–2019. Looking at the income brackets, we find that this increase in inequality is primarily due to the positive impact of expansionary policy on the upper share of income distribution. Our counterfactual analysis reveals that unconventional monetary policy contributed to the increase in inequality and that the response to COVID-19 is likely to do the same. [ABSTRACT FROM AUTHOR] Copyright of Journal of Economic Policy Reform is the property of Routledge and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)
JCMS: Journal of Common Market Studies, 2017
Under the prospect of productive specialization, the degree of potential success of the euro sinc... more Under the prospect of productive specialization, the degree of potential success of the euro since its inception was seen as closely linked to the development of effective risk-sharing mechanisms across EU members. Without shared fiscal resources, financial integration was expected to play a leading role in this respect. This paper documents the failure in fulfilling this expectation: Along with an analysis of the evolution of specialization and risk-sharing, we present evidence supporting the claim that progress in financial integration has not been conducive to income risk-sharing across euro area members, while it might have favoured a specialization split between countries with low-medium and high technology productive structures. As a result, monetary union members face higher income fluctuation risk without enhanced insurance protection. Additionally, evidence suggests a differential impact of the specialization split on sector productivity, contributing to making the monetary union a club of non equals.
SSRN Electronic Journal, 2017
This paper evaluates the distributive effect of monetary policy in the case of the UK. The income... more This paper evaluates the distributive effect of monetary policy in the case of the UK. The income inequality measure represents the whole income distribution. Different income inequality data sources and sample periods are considered. The monetary policy shock is identified by using recursive, sign restrictions, and high frequency methods. The results indicate that contractionary monetary policy decreases income inequality. This effect is also explored through the different distribution channels of monetary policy. In this respect, our results suggest that the stronger negative effect of contractionary monetary policy on business and financial income than on labor earnings leads to the overall reduction of income inequality. This evaluation of the distributive impact of monetary policy can be useful for the development of macroeconomic policies designed to reduce income inequality.
We analyse the sustainability of fiscal policy in EU15 countries in line with the recent literatu... more We analyse the sustainability of fiscal policy in EU15 countries in line with the recent literature on fiscal reaction functions. We test for a positive response of the primary surplus to accumulated debt using a baseline reaction function, and we check for robustness considering alternative specifications, estimation techniques, and possible structural breaks. We also estimate a Bayesian version of the baseline model as a way to provide an endogenous mechanism to analyse time variation in the response of governments to debt. We suggest that the posterior distribution of this model is a sensible indicator to assess the sustainability position of countries. Our conclusion is that the response to debt has fluctuated over the sample 1977-2005, but sustainability has been prevalent in EU15.
This paper contains a schematic description of selected relevant events in the development of qua... more This paper contains a schematic description of selected relevant events in the development of quantitative macroeconomics since the start of the Cowles Comission for Economic Research in 1932. It also provides a sketch of what could be a promising path for future events.
We use a policy rule framework and focus on the response of the primary surplus to accumulated pu... more We use a policy rule framework and focus on the response of the primary surplus to accumulated public debt to test a sufficient condition for sustainability. The evidence we report suggests that sustainability was prevalent in many EU countries before Maastricht, but also that the Maastricht impulse induced the shift towards sustainability in some of them. Additionally, although a clear
This paper assesses the extent to which the macroeconomic policy architecture of EMU represents a... more This paper assesses the extent to which the macroeconomic policy architecture of EMU represents a break with the past. This is carried out by estimating forward-looking fiscal and monetary policy rules for the Member States and by analysing them within the conceptual framework of the Fiscal Theory of the Price level.
SSRN Electronic Journal, 2014
The New Palgrave Dictionary of Economics
The Working Paper Series seeks to disseminate original research in economics and finance. All pap... more The Working Paper Series seeks to disseminate original research in economics and finance. All papers have been anonymously refereed. By publishing these papers, the Banco de España aims to contribute to economic analysis and, in particular, to knowledge of the Spanish economy and its international environment. The opinions and analyses in the Working Paper Series are the responsibility of the authors and, therefore, do not necessarily coincide with those of the Banco de España or the Eurosystem. The Banco de España disseminates its main reports and most of its publications via the INTERNET at the following website: http://www.bde.es. Reproduction for educational and non-commercial purposes is permitted provided that the source is acknowledged.
SSRN Electronic Journal, 2014
Under the prospects of productive specialization, the degree of success of the euro was seen sinc... more Under the prospects of productive specialization, the degree of success of the euro was seen since inception as closely linked to the development of effective risk-sharing mechanisms across union members. Without shared fiscal resources, financial integration was expected to play a leading role in this respect. This paper documents the failure in the task of fulfilling this expectation: Along with an analysis of the evolution of specialization and risk-sharing, we present evidence supporting the claim that progress in financial integration has not been conductive for income risk-sharing across euro members, while it has favored a specialization split between countries with low-medium and high technology productive structures. As a result, monetary union members face higher income fluctuation risk without enhanced insurance protection. Additionally, evidence suggests that the specialization split has had differential impacts on sector productivity, affecting negatively to euro members specializing in low-medium technologies, and so helping to make the monetary union a club of less equals.
Journal of International Economics, 1999
The degree of symmetry of the shocks that cause macroeconomic fluctuations in the different Europ... more The degree of symmetry of the shocks that cause macroeconomic fluctuations in the different European economies is a basic consideration when evaluating the cost in terms of loss of the nominal exchange rate as an instrument for short-term macroeconomic adjustment. The more symmetrical these shocks, the lower the costs. This paper uses a structural Bayesian Vector Autoregressive (BVAR) approach and quarterly data from 1970 to 1996 to characterise the responses to common and specific, nominal and real, shocks in four European economies. Our findings suggest that, in the short run, asymmetrical shocks have dominated.
Journal of Forecasting, 2003
This paper describes the BBVA-ARIES, a Bayesian vector autoregression (BVAR) for the European Eco... more This paper describes the BBVA-ARIES, a Bayesian vector autoregression (BVAR) for the European Economic and Monetary Union (EMU). In addition to providing EMU-wide growth and inflation forecasts, the model provides an assessment of the interactions between key EMU macroeconomic variables and external ones, such as world GDP or commodity prices. A comparison of the forecasts generated by the model and those of private analysts and public institutions reveals a very positive balance in favour of the model. For their part, the simulations allow us to assess the potential macroeconomic effects of macroeconomic developments in the EMU.
Documentos de trabajo …, 2000
Información del artículo Monetary policy and exchange rate behaviour in the fiscal theory of the ... more Información del artículo Monetary policy and exchange rate behaviour in the fiscal theory of the price level.