We use cookies to ensure that we give you the best experience on our website. You can change your cookie settings at any time. Otherwise, we'll assume you're OK to continue.


A mini macroeconomics conference

Tuesday, 24 April 2018
14:00 to 17:00
Ricardo Reis and Rafael Wouters
Durham University Business School, MHL 452

A mini macroeconomics conference by the Centre For Economic Growth and Policy (CEGAP)

Confirmed speakers are:

Ricardo Reis, London School of Economics

Topic: 'Central Bank Swap Lines'


Swap lines between advanced-economy central banks appeared in response to the financial crisis, and are still a commonly used monetary policy tool today. This paper provides a first analysis of their role and effects. After characterizing their properties, we establish four results about the swap lines: they mimic discount window credit for foreign banks with the foreign central bank bearing the credit risk, they put a ceiling on deviations from covered interest parity, they reduce the ex post funding risk facing foreign banks, and they ex ante encourage inflows from foreign banks into domestic asset markets. Using difference-in-differences empirical strategies that exploit the fact that only some countries had a dollar swap line, only some banks had U.S. funding, and only some U.S. assets had large foreign investors, we find support for these predictions.

Rafael Wouters, National Bank of Belgium

Paper Title: 'Estimation of Operational Macro-models at the Zero Lower Bound (joint paper with Jesper Lindé and Junior Maih)


We present and apply estimation techniques which can be used to estimate large-scale macro-models with forward-looking expectations at the zero lower bound (ZLB). Using the workhorse models of Smets and Wouters (2007) and the Galí, Smets and Wouters (2011) models, we compare the merits of estimation methods in which the expected duration of the ZLB incident is modelled as endogenous and derived from the policy rule forecast with Regime-Switching methods in which the expected ZLB duration is constant. Using the estimated models, we discuss the extent to which imposing the ZLB impacts filtered shocks, impulse response functions, and forecasts during the crisis. Finally, we use the estimated models and shocks to assess the aggregate costs of the ZLB incidence in the United States.