Tamás Vasi

Research 

Working Papers

Separating monetary policy surprises during Fed announcements? The role of central bank information effects Updated 2020-08-20, R&R Journal of Money Credit and Banking

Abstract

This paper studies the effect of monetary policy on the economy, distinguishing the effects of exogenous monetary policy shocks from information shocks that reveal the Federal Reserve's assessment of the economic outlook. To identify the shocks, I use a technique based on the heteroskedasticity of the two shocks by exploiting the difference in information content in the Fed's statements and minutes. I find that monetary policy and information shocks have important but different effects on financial asset prices. Last, when policy and information shocks are separated, I find stronger effects of monetary policy on macroeconomic variables than when I use standard high-frequency identification.   

Should the Central Bank Target the Credit Spread? (with Dmytro Stoyko)  Updated 2020-02-25, Submitted

 Abstract

We investigate the desirability for the central bank to respond to developments in the credit market under different assumptions of expectations schemes. We develop a DSGE model with a housing market and a banking sector under both rational and boundedly rational expectations. Using a novel approach to bounded rationality, we ensure that both versions of the model have identical microfoundations. Following a shock to the risk-appetite within the banking sector and by using welfare analysis, we find that credit spread targeting leads to suboptimal results in terms of welfare and increases the volatility of inflation, output and house prices when the expectations are rational. On the contrary, under the assumption of boundedly rational expectations and a persistent financial shock, credit spread targeting maximizes the social welfare and leads to lower volatility in inflation, output and house prices. At a more general level, our contribution emphasizes the importance of the nature of expectations for the evaluation of alternative monetary policy rules.

Banks' Balance Sheets and the Transmission of Monetary Policy , Submitted

Abstract

This article analyzes the link between  banks' balance sheets and monetary policy. Using Danish bank data, I investigate whether the banks' holdings of financial assets and liabilities affect the pass-through of changes in the monetary policy rate to lending rates. To study this, I estimate a Local Projection model for a panel summarizing balance sheet items of 15 banks covering more than 75 percent of the Danish lending market. The results are uncertain, but indicate that when the policy rate rises, banks with relatively more fixed-income assets become more capital constrained and consequently have higher pass-through, also banks relying  heavily on money market funding have a higher pass-through when policy rate rises. My results show that banks' liquidly positions are important determinants of the monetary policy pass-through to lending rates.

Policy papers

Macrofinancial conditions, f inancial stability and economic growth in Sweden evaluating the Growthat-– Risk framework, (with Dominika Krygier), Sveriges Riksbank Staff Memo, 2021

Kvantifiering av systemrisker med Growth-at-Risk (with Dominika Krygier), Sveriges Riksbank Staff Memo, 2022

Riksbankens köp av säkerställda obligationer och genomslaget på bolåneräntorna, Ekonomisk kommentar, (with Robert Emanuelsson  and Erik O Andersson , Sveriges Riksbank, 2022

Estimation of the Price Elasticity of Oil, (with Christian B. Kastrup & Kristina A. Poulsen), DREAM Group Working Paper, 2022

Estimating trade elasticities for Denmark (with Christian B. Kastrup and Christian Vikkelsø), DREAM Group Working Paper, 2023