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This paper assesses the quality of the CBC’s communication policy by looking at the predictability and effectiveness of monetary policy communications by the Central Bank of Chile (CBC). To do so, we construct indeces of monetary policy surprises for the three major communication channels of the CBC: the release of policy meetings’ statements, minutes, and monetary policy reports (IPoM). We assess monetary policy predictability and efficacy by looking at the size and time-evolution of monetary policy surprises associated with meeting statements and the impact of the above communication channels on asset markets. We find that, in general, the CBC’s has been effective in its forward guidance through its statements and IPoM. Policy actions are quite predictable, especially post the global financia crisis. The response of equity prices and the exchange rate to monetary policy surprises have the right sign but are not robust. We also find an asymmetric response of equity prices to minutes suggesting that market participants extract information on the status of the economy especially when minutes have a loosening effect. Finally, to look at the macroeconomic impact we find that a 100 bps monetary policy tightening shock implies a decline in economic activity (IMACEC) of about 2 pp. after one year, while the response of inflation is more muted.

Banks and Banking --- Finance: General --- Inflation --- Public Finance --- Financial Markets and the Macroeconomy --- Monetary Policy --- Central Banks and Their Policies --- Interest Rates: Determination, Term Structure, and Effects --- Price Level --- Deflation --- Taxation, Subsidies, and Revenue: General --- General Financial Markets: General (includes Measurement and Data) --- Banking --- Finance --- Macroeconomics --- Public finance & taxation --- Central bank policy rate --- Yield curve --- Communications in revenue administration --- Stock markets --- Financial services --- Prices --- Revenue administration --- Financial markets --- Interest rates --- Revenue --- Stock exchanges --- Chile

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Crises on external sovereign debt are typically defined as defaults. Such a definition accurately captures debt-servicing difficulties in the 1980s, a period of numerous defaults on bank loans. However, defining defaults as debt crises is problematic for the 1990s, when sovereign bond markets emerged. In contrast to the 1980s, the 1990s are characterized by significant foreign debt-servicing difficulties but fewer sovereign defaults. In order to capture this evolution of debt markets, we define debt crises as events occurring when either a country defaults or its bond spreads are above a critical threshold. We find that our definition outperforms the default-based definition in capturing debt-servicing difficulties and, consequently, in fitting the post-1994 period. In particular, liquidity indicators are significant in explaining our definition of debt crises, while they do not play any role in explaining defaults after 1994.

Banks and Banking --- Exports and Imports --- Finance: General --- Financial Risk Management --- Investments: Bonds --- Financial Crises --- International Lending and Debt Problems --- General Financial Markets: General (includes Measurement and Data) --- Interest Rates: Determination, Term Structure, and Effects --- Economic & financial crises & disasters --- International economics --- Finance --- Investment & securities --- Financial crises --- Debt default --- Yield curve --- Securities markets --- Sovereign bonds --- Debts, External --- Interest rates --- Capital market --- Bonds --- United States

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We use a semi structural model to estimate neutral rates in the United States. Our Bayesian estimation incorporates prior information on the output gap and potential output (based on a production function approach) and accounts for unconventional monetary policies at the ZLB by using estimates of “shadow” policy rates. We find that our approach provides more plausible results than standard maximum likelihood estimates for the unobserved variables in the model. Results show a significant trend decline in the neutral real rate over time, driven only in part by a decline in potential growth whereas other factors (including excess global savings) matter. Neutral rates likely turned negative during the Global Financial Crisis and are expected to increase only gradually looking forward.

Interest rates -- United States. --- Interest rates. --- Monetary policy -- United States. --- Monetary policy. --- Banks and Banking --- Macroeconomics --- Production and Operations Management --- Monetary Policy --- Macroeconomics: Production --- Interest Rates: Determination, Term Structure, and Effects --- Financial Crises --- Banking --- Economic & financial crises & disasters --- Central bank policy rate --- Output gap --- Global financial crisis of 2008-2009 --- Potential output --- Production growth --- Financial services --- Production --- Financial crises --- Economic theory --- Interest rates --- Global Financial Crisis, 2008-2009 --- United States

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We show evidence that interest rate hikes slowdown loan growth but lead intermediation to migrate from banks’ balance sheets to non-banks via increased securitization activity. As such, higher interest rates have the potential for unintended consequences; raising systemic risk rather than lowering it by pushing more intermediation activity to more weakly regulated sectors. In the past, this increased securitization activity was driven primarily byb private-label securitization. On the other hand, the government sponsored entities like Freddie Mac and Fannie Mae appear to react to higher policy rates by cutting back on their securitization activity but expanding loans to the Federal Home Loan Bank system.

Monetary policy. --- Asset-backed financing. --- Interest rates. --- Money market rates --- Rate of interest --- Rates, Interest --- Interest --- Asset-backed securities --- Asset-based financing --- Asset securitization --- Securitization, Asset --- Corporations --- Covered bonds --- Monetary management --- Economic policy --- Currency boards --- Money supply --- Finance --- Banks and Banking --- Investments: General --- Money and Monetary Policy --- Industries: Financial Services --- Interest Rates: Determination, Term Structure, and Effects --- Monetary Policy --- Banks --- Depository Institutions --- Micro Finance Institutions --- Mortgages --- Banking --- Investment & securities --- Monetary economics --- Securitization --- Central bank policy rate --- Monetary tightening --- Financial institutions --- Financial services --- Monetary policy --- Loans --- Banks and banking --- Asset-backed financing --- Interest rates --- United States

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This paper studies the historical importance of OPEC for oil price fluctuations. An event-study approach is used to identify the effects of OPEC announcements on oil price fluctuations. Results show that price volatility is higher than typical around OPEC meetings. Also, members' compliance, a proxy for credibility, has strongly fluctuated over time. An ordered multinomial logit framework identifies the main factors that explain OPEC's decisions to cut, maintain, or boost members' oil production and is able to successfully predict OPEC meeting outcomes 66 percent of the time, between 1989 and 2019. Cyclical oil price fluctuations (as opposed to persistent shifts in levels) drive OPEC’s decisions, suggesting that OPEC's objective is to stabilize the oil price rather than countering fundamental shifts in demand and supply. Low OPEC’s market share reduces the probability of a production cut. Finally, the transparency of OPEC's statements has modestly improved between 2002 and 2019.

Macroeconomics --- Economics: General --- Investments: Energy --- Industries: Energy --- Economic Development: Agriculture --- Natural Resources --- Energy --- Environment --- Other Primary Products --- Energy: Demand and Supply --- Prices --- Energy: General --- Macroeconomics: Consumption --- Saving --- Wealth --- Commodity Markets --- Macroeconomics: Production --- Economic & financial crises & disasters --- Economics of specific sectors --- Investment & securities --- Petroleum, oil & gas industries --- Economic Forecasting --- Oil prices --- Oil --- Commodities --- Oil consumption --- National accounts --- Commodity price fluctuations --- Oil production --- Production --- Currency crises --- Informal sector --- Economics --- Petroleum industry and trade --- Consumption --- National income --- Saudi Arabia