http://www.bis.org/cbhub/list/author/author_1878/index.rss Research hub papers by author Paolo Gelain en http://www.nbp.pl/publikacje/materialy_i_studia/192_en.pdf National Bank of Poland Working papers by Micha Brzoza-Brzezina , Paolo Gelain, Marcin Kolasa Monetary and macroprudential policy with multiperiod loans 2014-12-19T12:33:00Z This Working Paper should not be reported as representing the views of either Norges Bank or the Narodowy Bank Polski. The views expressed are those of the authors and do not necessarily reflect those of either Norges Bank or the Narodowy Bank Polski. We would like to thank Markus Brunnermeier, Carlos Garriga, Matteo Iacoviello, Michael Kiley, Christoer Kok, Caterina Mendicino, Gisle J. Natvik, Johannes Pfeifer, Roman Sustek, Andrea Tambalotti, Harald Uhlig and Gauthier Vermandel for useful discussions and suggestions. This paper also beneted from comments by the participants of the Computing in Economics and Finance conference in Oslo, Annual Meeting of the Society for Economic Dynamics in Toronto, Dynare conference in Paris, Central Bank Macroeconomic Modeling Workshop in Rome, International Macro-economics Workshop at the University of Rennes, WGEM meeting at the European Central Bank and the NBP Summer Workshop in Warsaw. Monetary and macroprudential policy with multiperiod loans 2014-12-19T12:33:00Z Full text http://www.nbp.pl/publikacje/materialy_i_studia/192_en.pdf Micha Brzoza-Brzezina Marcin Kolasa Paolo Gelain Micha Brzoza-Brzezina, Paolo Gelain, Marcin Kolasa 2000 National Bank of Poland Working papers E44 E51 E52 http://www.frbsf.org/economic-research/files/wp2013-03.pdf San Francisco Fed Working Papers by Paolo Gelain, Kevin J. Lansing House Prices, Expectations, and Time-Varying Fundamentals 2014-01-03T12:50:00Z We investigate the behavior of the equilibrium price-rent ratio for housing in a standard asset pricing model and compare the model predictions to empirical evidence from surveys on the return expectations of real-world housing investors. We allow for time-varying risk aversion (via external habit formation) and time-varying persistence and volatility in the stochastic process for rent growth, consistent with U.S. data for the period 1960 to 2011. Under fully-rational expectations, the model significantly underpredicts the volatility of the U.S. price-rent ratio for reasonable levels of risk aversion. We demonstrate that the model can approximately match the volatility of the price-rent ratio in the data if near-rational agents continually update their estimates for the mean, persistence and volatility of fundamental rent growth using only recent data (i.e., the past 4 years), or if agents employ a simple moving-average forecast rule for the price-rent ratio that places a large weight on the most recent observation. These two versions of the model can be distinguished by their predictions for the correlation between expected future returns on housing and the price-rent ratio. Only the moving-average model predicts a positive correlation such that agents tend to expect higher future returns when prices are high relative to fundamentals - a feature that is consistent with a wide variety of survey evidence from real estate and stock markets. House Prices, Expectations, and Time-Varying Fundamentals 2014-01-03T12:50:00Z Full text http://www.frbsf.org/economic-research/files/wp2013-03.pdf Kevin J. Lansing Paolo Gelain Paolo Gelain, Kevin J. Lansing 2013-02 San Francisco Fed Working Papers http://www.norges-bank.no/pages/93045/Norges_Bank_Working_Paper_2013_05.pdf Central Bank of Norway (Norges Bank) Working Papers by Paolo Gelain and Kevin J. Lansing House prices, expectations, and time-varying fundamentals 2013-02-06T17:38:00Z House prices, expectations, and time-varying fundamentals 2013-02-06T17:38:00Z Abstract http://www.norges-bank.no/en/about/published/publications/working-papers/2013/wp-201305/ Full text http://www.norges-bank.no/pages/93045/Norges_Bank_Working_Paper_2013_05.pdf Kevin J. Lansing Paolo Gelain Paolo Gelain and Kevin J. Lansing 2000-02 Central Bank of Norway (Norges Bank) Working Papers http://www.frbsf.org/publications/economics/papers/2012/wp12-11bk.pdf San Francisco Fed Working Papers by Paolo Gelain, Kevin J. Lansing, Caterina Mendicino House Prices, Credit Growth, and Excess Volatility: Implications for Monetary and Macroprudential Policy 2012-08-27T18:25:59Z Deciding whether policy should respond directly to financial variables requires a realistic economic model that captures the links between asset prices, credit expansion, and real economic activity. We show that introducing simple moving-average forecast rules for a subset of households can significantly magnify the volatility and persistence of house prices and household debt relative to otherwise similar models with fully rational expectations. House Prices, Credit Growth, and Excess Volatility: Implications for Monetary and Macroprudential Policy 2012-08-27T18:25:59Z Full text http://www.frbsf.org/publications/economics/papers/2012/wp12-11bk.pdf Kevin J. Lansing Caterina Mendicino Paolo Gelain Paolo Gelain, Kevin J. Lansing, Caterina Mendicino 2012-08-17 San Francisco Fed Working Papers E32 E44 G12 O40 http://www.norges-bank.no/en/about/published/publications/working-papers/2012/wp-201208/ Central Bank of Norway (Norges Bank) Working Papers by Paolo Gelain, Kevin J. Lansing and Caterina Mendicino House prices, credit growth, and excess volatility: Implications for monetary and macroprudential policy 2012-08-27T18:23:00Z Progress on the question of whether policymakers should respond directly to financial variables requires a realistic economic model that captures the links between asset prices, credit expansion, and real economic activity. Standard DSGE models with fully-rational expectations have difficulty producing large swings in house prices and household debt thatresemble the patterns observed in many developed countries over the past decade. We introduce excess volatility into an otherwise standard DSGE model by allowing a fraction of households to depart from fully-rational expectations. Specifically, we show that theintroduction of simple moving-average forecast rules for a subset of households can significantly magnify the volatility and persistence of house prices and household debt relative to otherwise similar model with fully-rational expectations. We evaluate various policy actions that might be used to dampen the resulting excess volatility, including a direct response to house price growth or credit growth in the central bank's interest rate rule, the imposition of more restrictive loan-to-value ratios, and the use of a modified collateral constraint that takes into account the borrower's loan-to-income ratio. Of these, we find that a loan-to-income constraint is the most effective tool for dampening overall excess volatility in the model economy. We find that while an interest-rate response to house price growth or credit growth can stabilize some economic variables, it can significantly magnify the volatility of others, particularly inflation. House prices, credit growth, and excess volatility: Implications for monetary and macroprudential policy 2012-08-27T18:23:00Z Abstract http://www.norges-bank.no/en/about/published/publications/working-papers/2012/wp-201208/ Full text http://www.norges-bank.no/pages/89928/Norges_Bank_Working_Paper_2012_08.pdf Kevin J. Lansing Caterina Mendicino Paolo Gelain Paolo Gelain, Kevin J. Lansing and Caterina Mendicino 2012-08-16 Central Bank of Norway (Norges Bank) Working Papers E32 E44 G12 O40 http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1171.pdf European Central Bank Working papers by Paolo Gelain, The external finance premium in the euro area A useful indicator for monetary policy?, 2010-04-14T17:40:00Z (JEL: E4, E5, E37) In this paper I estimate a New Keynesian Dynamic Stochastic General Equilibrium model for the Euro Area, which closely follows the structure of the model developed by Smets and Wouters (2003, 2005, 2007), with the addition of the so-called financial accelerator mechanism developed in Bernanke, Gertler and Gilchrist (1999). The main aim is to obtain a time series for the unobserved external finance premium that entrepreneurs pay on their loans, with the further aim of providing a dynamic analysis of it. Results confirm in general what was recently found for the US by De Graeve (2008), namely that (1) the model incorporating financial frictions can generate a series for the premium, without using any financial macroeconomic aggregates, that is highly correlated with available proxies for it, (2) the estimated premium is not necessarily counter-cyclical (this depends on the shock considered). Nevertheless, although in addition the model with financial frictions better describes Euro Area data than the model without them, the former is not satisfactory in many other respects. For instance, the accelerator effect turns out to be statistically not significant. However, this does not impede financial frictions from remaining a key ingredient to model. In fact, I found that the estimated premium is a very powerful predictor of inflation. It overcomes, in terms of the Mean Squared Forecast Error, the traditional output gap measure in a Phillips curve specification. The external finance premium in the euro area A useful indicator for monetary policy?, 2010-04-14T17:40:00Z ECB Full text http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1171.pdf Paolo Gelain Paolo Gelain, 2010-03-30 European Central Bank Working papers E37 E4 E5