Jaromir Benes - Academia.edu (original) (raw)
Papers by Jaromir Benes
Research Papers in Economics, 2005
Since the introduction of the inflation targeting regime in 1998 the Czech National Bank has made... more Since the introduction of the inflation targeting regime in 1998 the Czech National Bank has made considerable progress in developing formal tools for supporting its Forecasting and Policy Analysis System. This paper documents the advances in the ongoing research aimed at developing a DSGE small open economy model designed to capture some of the most important features of the Czech economy - both the business-cycle regularities and the recent developments associated with the economy's transition and its convergence towards the industrialized European countries. The model in its current form is able to capture trends in relative prices, allow for medium-convergence in expenditure shares, and deal with the undercapitalization and investment inflow issues. Besides the model exhibits real and nominal rigidities that are in line with the recent New Open Economy Macroeconomics literature built fully on first principles. The innovative features of our model include the international cu...
The efficiency of macroeconomic policies depends on adequate business cycle approximation. The CN... more The efficiency of macroeconomic policies depends on adequate business cycle approximation. The CNB’s approach is aimed at estimating the deviation of real GDP from its “inflation-non-accelerating” level. Such deviation – the output gap – reflects demanddriven inflationary pressures, where the Phillips curve is of primary importance. By contrast, the production function method reflects the supply-side or “capacity” view of the economy’s potential. The two approaches are subject to methodological disputes and deliver different quantitative results, thus leaving decision makers still with a considerable degree of uncertainty. That is why alternative approaches are being developed. The following articles illustrate this problem in more detail.
European Central Bank Research Paper Series, 2005
We propose the method of eigenvalue filtering as a new tool to extract time series subcomponents ... more We propose the method of eigenvalue filtering as a new tool to extract time series subcomponents (such as business-cycle or irregular) defined by properties of the underlying eigenvalues. We logically extend the Beveridge-Nelson decomposition of the VAR time-series models focusing on the transient component. We introduce the canonical state-space representation of the VAR models to facilitate this type of analysis. We illustrate the eigenvalue filtering by examining a stylized model of inflation determination estimated on the Czech data.We characterize the estimated components of CPI, WPI and import inflations, together with the real production wage and real output, survey their basic properties, and impose an identification scheme to calculate the structural innovations. We test the results in a simple bootstrap simulation experiment. We find two major areas for further research: first, verifying and improving the robustness of the method, and second, exploring the method’s potenti...
Reserve Bank of New Zealand Discussion Paper Series, 2008
Central bank policymakers often cast judgement about macroeconomic forecasts in reduced form term... more Central bank policymakers often cast judgement about macroeconomic forecasts in reduced form terms, basing this on off-model information that is not easily mapped to a structural DSGE framework. We show how to compute forecasts conditioned on policymaker judgement ...
Viewed from the outside, inflation targeting involves the central bank regularly producing an inf... more Viewed from the outside, inflation targeting involves the central bank regularly producing an inflation forecast, comparing the forecast outcome to the target, and adjusting interest rates accordingly. However, there is more to the inflation-targeting process than meets the eye. Sub-optimal policy interest rates can be costly for the economy, and hence central bankers pay attention not only to the formal forecasting process itself but also to various strategic issues and uncertainties related to the forecast. This issue of the CNB Research Bulletin begins with an outline of the forecasting model currently used by the CNB, including efforts aimed at its extension (Jaromír Beneš, Tibor Hlédik and David Vávra). Kateřina Šmídková goes on to present various methods of dealing with forecast uncertainty. Michal Skořepa then discusses the ways central banks' future interest rates can be incorporated in their projections of future economic developments. And finally, Viktor Kotlán evaluat...
IMF Working Papers, 2018
Estimates of potential output and the neutral short-term interest rate play important roles in po... more Estimates of potential output and the neutral short-term interest rate play important roles in policy making. However, such estimates are associated with significant uncertainty and subject to significant revisions. This paper extends the structural multivariate filter methodology by adding a monetary policy block, which allows estimating the neutral rate of interest for the U.S. economy. The addition of the monetary policy block further improves the reliability of the structural multivariate filter.
Czech Journal of Economics and Finance, 2008
Czech Journal of Economics and Finance, 2002
We build an extension of a small open economy DSGE model to incorpo- rate in policy simulations a... more We build an extension of a small open economy DSGE model to incorpo- rate in policy simulations and forecasts a feedback loop between a banking sector, bank capital, and default risk on the one hand, and real activity on the other hand in economies exposed to currency and maturity mismatches. The framework can be used to address the following four broad categories of issues: (I) the effect of the state of the banking sector (especially its capi- talisation) on the predictions of macroeconomic indicators, (II) assessing the risks of large balance sheet effects vis-` a-vis large financial shocks and deval- uations or depreciations, (III) using time-vayring capital requirements as a complementary policy instrument, and (IV) providing basic macroeconomic and dynamic consistency in systemic risk simulations and early warning ex- ercises.
Research Papers in Economics, 2005
Since the introduction of the inflation targeting regime in 1998 the Czech National Bank has made... more Since the introduction of the inflation targeting regime in 1998 the Czech National Bank has made considerable progress in developing formal tools for supporting its Forecasting and Policy Analysis System. This paper documents the advances in the ongoing research aimed at developing a DSGE small open economy model designed to capture some of the most important features of the Czech economy - both the business-cycle regularities and the recent developments associated with the economy's transition and its convergence towards the industrialized European countries. The model in its current form is able to capture trends in relative prices, allow for medium-convergence in expenditure shares, and deal with the undercapitalization and investment inflow issues. Besides the model exhibits real and nominal rigidities that are in line with the recent New Open Economy Macroeconomics literature built fully on first principles. The innovative features of our model include the international cu...
The efficiency of macroeconomic policies depends on adequate business cycle approximation. The CN... more The efficiency of macroeconomic policies depends on adequate business cycle approximation. The CNB’s approach is aimed at estimating the deviation of real GDP from its “inflation-non-accelerating” level. Such deviation – the output gap – reflects demanddriven inflationary pressures, where the Phillips curve is of primary importance. By contrast, the production function method reflects the supply-side or “capacity” view of the economy’s potential. The two approaches are subject to methodological disputes and deliver different quantitative results, thus leaving decision makers still with a considerable degree of uncertainty. That is why alternative approaches are being developed. The following articles illustrate this problem in more detail.
European Central Bank Research Paper Series, 2005
We propose the method of eigenvalue filtering as a new tool to extract time series subcomponents ... more We propose the method of eigenvalue filtering as a new tool to extract time series subcomponents (such as business-cycle or irregular) defined by properties of the underlying eigenvalues. We logically extend the Beveridge-Nelson decomposition of the VAR time-series models focusing on the transient component. We introduce the canonical state-space representation of the VAR models to facilitate this type of analysis. We illustrate the eigenvalue filtering by examining a stylized model of inflation determination estimated on the Czech data.We characterize the estimated components of CPI, WPI and import inflations, together with the real production wage and real output, survey their basic properties, and impose an identification scheme to calculate the structural innovations. We test the results in a simple bootstrap simulation experiment. We find two major areas for further research: first, verifying and improving the robustness of the method, and second, exploring the method’s potenti...
Reserve Bank of New Zealand Discussion Paper Series, 2008
Central bank policymakers often cast judgement about macroeconomic forecasts in reduced form term... more Central bank policymakers often cast judgement about macroeconomic forecasts in reduced form terms, basing this on off-model information that is not easily mapped to a structural DSGE framework. We show how to compute forecasts conditioned on policymaker judgement ...
Viewed from the outside, inflation targeting involves the central bank regularly producing an inf... more Viewed from the outside, inflation targeting involves the central bank regularly producing an inflation forecast, comparing the forecast outcome to the target, and adjusting interest rates accordingly. However, there is more to the inflation-targeting process than meets the eye. Sub-optimal policy interest rates can be costly for the economy, and hence central bankers pay attention not only to the formal forecasting process itself but also to various strategic issues and uncertainties related to the forecast. This issue of the CNB Research Bulletin begins with an outline of the forecasting model currently used by the CNB, including efforts aimed at its extension (Jaromír Beneš, Tibor Hlédik and David Vávra). Kateřina Šmídková goes on to present various methods of dealing with forecast uncertainty. Michal Skořepa then discusses the ways central banks' future interest rates can be incorporated in their projections of future economic developments. And finally, Viktor Kotlán evaluat...
IMF Working Papers, 2018
Estimates of potential output and the neutral short-term interest rate play important roles in po... more Estimates of potential output and the neutral short-term interest rate play important roles in policy making. However, such estimates are associated with significant uncertainty and subject to significant revisions. This paper extends the structural multivariate filter methodology by adding a monetary policy block, which allows estimating the neutral rate of interest for the U.S. economy. The addition of the monetary policy block further improves the reliability of the structural multivariate filter.
Czech Journal of Economics and Finance, 2008
Czech Journal of Economics and Finance, 2002
We build an extension of a small open economy DSGE model to incorpo- rate in policy simulations a... more We build an extension of a small open economy DSGE model to incorpo- rate in policy simulations and forecasts a feedback loop between a banking sector, bank capital, and default risk on the one hand, and real activity on the other hand in economies exposed to currency and maturity mismatches. The framework can be used to address the following four broad categories of issues: (I) the effect of the state of the banking sector (especially its capi- talisation) on the predictions of macroeconomic indicators, (II) assessing the risks of large balance sheet effects vis-` a-vis large financial shocks and deval- uations or depreciations, (III) using time-vayring capital requirements as a complementary policy instrument, and (IV) providing basic macroeconomic and dynamic consistency in systemic risk simulations and early warning ex- ercises.