Jaromir Benes - Profile on Academia.edu (original) (raw)
Papers by Jaromir Benes
IMF Working Papers, 2014
This paper, together with a technical companion paper, presents MAPMOD, a new IMF model designed ... more This paper, together with a technical companion paper, presents MAPMOD, a new IMF model designed to study vulnerabilities associated with excessive credit expansions, and to support macroprudential policy analysis. In MAPMOD, bank loans create purchasing power that facilitates adjustments in the real economy. But excessively large and risky loans can impair balance sheets and sow the seeds of a financial crisis. Banks respond to losses through higher spreads and rapid credit cutbacks, with adverse effects for the real economy. These features allow the model to capture the basic facts of both the pre-crisis and crisis phases of financial cycles.
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. Vladislav Flek, Adviser to the Bank Board ALSO IN THIS ISSUE
IMF Working Papers, 2009
The views expressed in this Working Paper are those of the author(s) and do not necessarily repre... more The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate. This paper develops a stylized, small, open economy macro model that incorporates an explicit and non-trivial role for financial intermediation. It illustrates how such a model could be used for policy analysis in an emerging market economy where policymakers are concerned about risks associated with rapid credit growth, financial dollarization, and foreign borrowing, while lacking traditional tools to effect monetary policy transmission, and hence could resort to more direct instruments, such as foreign exchange market intervention and regulatory and administrative measures. Calibrating the model to a stylized emerging European economy, the paper simulates real and financial sector implications of various external and policy-related shocks that could be used as input for monetary policy making.
We study a wide range of hybrid inflation-targeting (IT) and managed exchange rate regimes, analy... more We study a wide range of hybrid inflation-targeting (IT) and managed exchange rate regimes, analyzing their implications for inflation, output and the exchange rate in the presence of various domestic and external shocks. To this end, we develop an open economy new-Keynesian model featuring sterilized interventions in the foreign exchange (FX) market as an additional central bank instrument operating alongside the Taylor rule, and affecting the economy through portfolio balance sheet effects in the financial sector. We find that there can be advantages to combining IT with some degree of exchange rate management via FX interventions. Unlike "pure" IT or exchange rate management via interest rates, FX interventions can help insulate the economy against certain shocks, especially shocks to international financial conditions. However, managing the exchange rate through FX interventions may also hinder necessary exchange rate adjustments, e.g., in the presence of terms of trade shocks.
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...
Incorporating judgement with DSGE models
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.
IMF Working Papers
India formally adopted flexible inflation targeting (FIT) in June 2016 to place price stability, ... more India formally adopted flexible inflation targeting (FIT) in June 2016 to place price stability, defined in terms of a target CPI inflation, as the primary objective of monetary policy. In this context, the paper draws on Indian macroeconomic developments since 2000 and the experience of other countries that adopted FIT to bring out insights on how credible policy with an emphasis on a strong nominal anchor can reduce the impact of supply shocks and improve macroeconomic stability. For illustrating the key issues given the unique structural characteristics of India and the policy options under an FIT framework, the paper describes an analytical framework using the core quarterly projection model (QPM). Simulations of the QPM are carried out to illustrate the monetary policy responses under different types of uncertainty and to bring out the importance of gaining credibility for improving monetary policy efficacy. IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
Czech Journal of Economics and Finance, 2008
This paper introduces a strategy for modeling the exchange rate when the monetary authority targe... more This paper introduces a strategy for modeling the exchange rate when the monetary authority targets inflation while also managing the exchange rate using interventions. It does so in the framework of a standard reduced-form New Keynesian model of monetary transmission used in many institutions for research, forecasting, and monetary policy analysis. We propose a micro-founded modification to the UIP condition which allows for modeling of informal exchange rate bands. Our modeling strategy is useful for most hybrid IT regimes, including those with imperfect control over market interest rates. * The views expressed in this paper are solely the responsibility of the authors and should not be interpreted as reflecting the views of the institutions they represent or any other person associated with them.
Makroekonomická analýza a hospodářská politika
Støednìdobá makroekonomická predikce makroekonomické modely v analytickém systému ÈNB
Czech Journal of Economics and Finance, 2002
The Working Paper Series of the Czech National Bank (CNB) is intended to disseminate the results ... more The Working Paper Series of the Czech National Bank (CNB) is intended to disseminate the results of the CNB's research projects as well as the other research activities of both the staff of the CNB and collaborating outside contributor, including invited speakers. The Series aims to present original research contributions relevant to central banks. It is refereed internationally. The referee process is managed by the CNB Research Department. The working papers are circulated to stimulate discussion. The views expressed are those of the authors and do not necessarily reflect the official views of the CNB.
The Working Paper Series of the Czech National Bank (CNB) is intended to disseminate the results ... more The Working Paper Series of the Czech National Bank (CNB) is intended to disseminate the results of the CNB's research projects as well as the other research activities of both the staff of the CNB and collaborating outside contributor, including invited speakers. The Series aims to present original research contributions relevant to central banks. It is refereed internationally. The referee process is managed by the CNB Research Department. The working papers are circulated to stimulate discussion. The views expressed are those of the authors and do not necessarily reflect the official views of the CNB.
IMF Working Papers, 2015
The paper first describes how the Czech National Bank (CNB) moved gradually from a fixed exchange... more The paper first describes how the Czech National Bank (CNB) moved gradually from a fixed exchange rate regime to the frontiers of Inflation-Forecast Targeting. It then focuses on the CNB's recent experience in adding the exchange rate as a complementary monetary policy tool to stimulate the economy and combat the risks of deflation when the policy interest rate is at the zero lower bound. It assesses the theoretical basis of such a policy, the communications approach used by the CNB when announcing the new framework, and the effects thus far on inflation and output.
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.
IMF Working Papers, 2013
This Working Paper should not be reported as representing the views of the IMF. The views express... more This Working Paper should not be reported as representing the views of the IMF. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate. This paper uses two of the IMF's DSGE models to simulate the benefits of international fiscal and macroprudential policy coordination. The key argument is that these two policies are similar in that, unlike monetary policy, they have long-run effects on the level of GDP that need to be traded off with short-run effects on the volatility of GDP. Furthermore, the short-run effects are potentially much larger than those of conventional monetary policy, especially in the presence of nonlinearities such as the zero interest rate floor, minimum capital adequacy regulations, and lending risk that depends in a convex fashion on loan-tovalue ratios. As a consequence we find that coordinated fiscal and/or macroprudential policy measures can have much larger stimulus and spillover effects than what has traditionally been found in the literature on conventional monetary policy.
IMF Working Papers, 2013
Network models, stress testing and other tools for financial stability monitoring and macropruden... more Network models, stress testing and other tools for financial stability monitoring and macroprudential policy design and implementation Mexico City, 11-12 of November, 2015 * *
IMF Working Papers, 2014
This paper, together with a technical companion paper, presents MAPMOD, a new IMF model designed ... more This paper, together with a technical companion paper, presents MAPMOD, a new IMF model designed to study vulnerabilities associated with excessive credit expansions, and to support macroprudential policy analysis. In MAPMOD, bank loans create purchasing power that facilitates adjustments in the real economy. But excessively large and risky loans can impair balance sheets and sow the seeds of a financial crisis. Banks respond to losses through higher spreads and rapid credit cutbacks, with adverse effects for the real economy. These features allow the model to capture the basic facts of both the pre-crisis and crisis phases of financial cycles.
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. Vladislav Flek, Adviser to the Bank Board ALSO IN THIS ISSUE
IMF Working Papers, 2009
The views expressed in this Working Paper are those of the author(s) and do not necessarily repre... more The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate. This paper develops a stylized, small, open economy macro model that incorporates an explicit and non-trivial role for financial intermediation. It illustrates how such a model could be used for policy analysis in an emerging market economy where policymakers are concerned about risks associated with rapid credit growth, financial dollarization, and foreign borrowing, while lacking traditional tools to effect monetary policy transmission, and hence could resort to more direct instruments, such as foreign exchange market intervention and regulatory and administrative measures. Calibrating the model to a stylized emerging European economy, the paper simulates real and financial sector implications of various external and policy-related shocks that could be used as input for monetary policy making.
We study a wide range of hybrid inflation-targeting (IT) and managed exchange rate regimes, analy... more We study a wide range of hybrid inflation-targeting (IT) and managed exchange rate regimes, analyzing their implications for inflation, output and the exchange rate in the presence of various domestic and external shocks. To this end, we develop an open economy new-Keynesian model featuring sterilized interventions in the foreign exchange (FX) market as an additional central bank instrument operating alongside the Taylor rule, and affecting the economy through portfolio balance sheet effects in the financial sector. We find that there can be advantages to combining IT with some degree of exchange rate management via FX interventions. Unlike "pure" IT or exchange rate management via interest rates, FX interventions can help insulate the economy against certain shocks, especially shocks to international financial conditions. However, managing the exchange rate through FX interventions may also hinder necessary exchange rate adjustments, e.g., in the presence of terms of trade shocks.
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...
Incorporating judgement with DSGE models
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.
IMF Working Papers
India formally adopted flexible inflation targeting (FIT) in June 2016 to place price stability, ... more India formally adopted flexible inflation targeting (FIT) in June 2016 to place price stability, defined in terms of a target CPI inflation, as the primary objective of monetary policy. In this context, the paper draws on Indian macroeconomic developments since 2000 and the experience of other countries that adopted FIT to bring out insights on how credible policy with an emphasis on a strong nominal anchor can reduce the impact of supply shocks and improve macroeconomic stability. For illustrating the key issues given the unique structural characteristics of India and the policy options under an FIT framework, the paper describes an analytical framework using the core quarterly projection model (QPM). Simulations of the QPM are carried out to illustrate the monetary policy responses under different types of uncertainty and to bring out the importance of gaining credibility for improving monetary policy efficacy. IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
Czech Journal of Economics and Finance, 2008
This paper introduces a strategy for modeling the exchange rate when the monetary authority targe... more This paper introduces a strategy for modeling the exchange rate when the monetary authority targets inflation while also managing the exchange rate using interventions. It does so in the framework of a standard reduced-form New Keynesian model of monetary transmission used in many institutions for research, forecasting, and monetary policy analysis. We propose a micro-founded modification to the UIP condition which allows for modeling of informal exchange rate bands. Our modeling strategy is useful for most hybrid IT regimes, including those with imperfect control over market interest rates. * The views expressed in this paper are solely the responsibility of the authors and should not be interpreted as reflecting the views of the institutions they represent or any other person associated with them.
Makroekonomická analýza a hospodářská politika
Støednìdobá makroekonomická predikce makroekonomické modely v analytickém systému ÈNB
Czech Journal of Economics and Finance, 2002
The Working Paper Series of the Czech National Bank (CNB) is intended to disseminate the results ... more The Working Paper Series of the Czech National Bank (CNB) is intended to disseminate the results of the CNB's research projects as well as the other research activities of both the staff of the CNB and collaborating outside contributor, including invited speakers. The Series aims to present original research contributions relevant to central banks. It is refereed internationally. The referee process is managed by the CNB Research Department. The working papers are circulated to stimulate discussion. The views expressed are those of the authors and do not necessarily reflect the official views of the CNB.
The Working Paper Series of the Czech National Bank (CNB) is intended to disseminate the results ... more The Working Paper Series of the Czech National Bank (CNB) is intended to disseminate the results of the CNB's research projects as well as the other research activities of both the staff of the CNB and collaborating outside contributor, including invited speakers. The Series aims to present original research contributions relevant to central banks. It is refereed internationally. The referee process is managed by the CNB Research Department. The working papers are circulated to stimulate discussion. The views expressed are those of the authors and do not necessarily reflect the official views of the CNB.
IMF Working Papers, 2015
The paper first describes how the Czech National Bank (CNB) moved gradually from a fixed exchange... more The paper first describes how the Czech National Bank (CNB) moved gradually from a fixed exchange rate regime to the frontiers of Inflation-Forecast Targeting. It then focuses on the CNB's recent experience in adding the exchange rate as a complementary monetary policy tool to stimulate the economy and combat the risks of deflation when the policy interest rate is at the zero lower bound. It assesses the theoretical basis of such a policy, the communications approach used by the CNB when announcing the new framework, and the effects thus far on inflation and output.
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.
IMF Working Papers, 2013
This Working Paper should not be reported as representing the views of the IMF. The views express... more This Working Paper should not be reported as representing the views of the IMF. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate. This paper uses two of the IMF's DSGE models to simulate the benefits of international fiscal and macroprudential policy coordination. The key argument is that these two policies are similar in that, unlike monetary policy, they have long-run effects on the level of GDP that need to be traded off with short-run effects on the volatility of GDP. Furthermore, the short-run effects are potentially much larger than those of conventional monetary policy, especially in the presence of nonlinearities such as the zero interest rate floor, minimum capital adequacy regulations, and lending risk that depends in a convex fashion on loan-tovalue ratios. As a consequence we find that coordinated fiscal and/or macroprudential policy measures can have much larger stimulus and spillover effects than what has traditionally been found in the literature on conventional monetary policy.
IMF Working Papers, 2013
Network models, stress testing and other tools for financial stability monitoring and macropruden... more Network models, stress testing and other tools for financial stability monitoring and macroprudential policy design and implementation Mexico City, 11-12 of November, 2015 * *