Alexander C. Jung

Alexander C. Jung
European Central Bank · Directorate General Monetary Policy

Ph.D.

About

45
Publications
11,446
Reads
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262
Citations
Additional affiliations
April 1997 - present
European Central Bank
Position
  • Economist
February 1992 - April 1997
Deutsche Bundesbank
Position
  • Senior Economist
Education
May 1990 - February 1992
FHS St. Gallen University of Applied Sciences
Field of study
  • Economics and Business
November 1982 - December 2020

Publications

Publications (45)
Article
Full-text available
This paper examines whether the minutes of the Bank of England’s Monetary Policy Committee (MPC) have provided markets with additional information about the future course of monetary policy. The paper conducts an econometric approach based on an Ordered Probit model explaining future policy rate changes (sample 1998 to 2014), and the Vuong test for...
Technical Report
Full-text available
Based on high frequency identification and other econometric tools, we find that monetary policy shocks had a significant impact on the health of euro area banks. Information effects, which made the private sector more pessimistic about future prospects of the economy and the profitability of the banking sector, were strongly present in the post-cr...
Conference Paper
Full-text available
Based on ordered Probit models and twenty years of euro area data, we estimate empirical reaction functions for the ECB´s monetary policy and augment them with communication indicators. First, we find that the ECB responded to risks to price stability in line with its primary objective, and that the account of post-meeting ommunications about risks...
Article
Full-text available
This paper revisits the empirical properties of euro area M3 over the years 1980 to We estimate a CVAR model that includes wealth in addition to conventional drivers. Our empirical analysis identifies three long run cointegration relations - one of which can be interpreted as a stable money demand function. We detect that wealth effects coming from...
Article
Full-text available
To examine the role of ECB communication at press conferences, we estimate non-linear empirical reaction functions for the ECB's monetary policy decisions during the first two decades of monetary union and augment them with communication indicators on the risks to price stability and to growth. Overall, we find that the ECB's risk assessments at pr...
Article
Full-text available
This paper examines whether central bank communication stabilises euro area inflation expectations through the information and news channel. A novelty of the study is its use of data from Google Analytics on ECB website traffic as proxy for visitors’ attention to its communication. We conduct several econometric tests with daily data to measure the...
Article
Using a cointegrated vector autoregressive model (CVAR), this paper empirically examines the supply and demand for euro area loans to the non-financial private sector for the sample 1981 to 2017. We distinguish between loan demand and supply and disentangle the impact of the financial crisis on loans from conventional drivers. Applying I(2) cointeg...
Conference Paper
Full-text available
Using a new data set from Google Analytics on ECB website traffic and applying high-frequency identification, this paper empirically examines whether ECB communications influence the public’s demand for “monetary news”. A key result of the paper is that ECB monetary policy shocks drive its information demand and that the public’s response varies wi...
Article
Full-text available
Based on ordered Probit models and twenty years of euro area data, we estimate empirical reaction functions for the ECB´s monetary policy and augment them with communication indicators. First, we find that the ECB responded to risks to price stability in line with its primary objective, and that the account of post-meeting communications about risk...
Preprint
Full-text available
This paper examines euro area M3 with an I(2) cointegration model. For the sample 1980 to 2017, we analyse a money demand system for the euro area comprising six variables (including stock prices). More precisely, we estimate a I(2) CVAR model by which we disentangle the impact of the financial crisis on M3 from conventional drivers. The I(2) analy...
Article
Full-text available
Based on high frequency identification and other econometric tools, we find that monetary policy shocks had a significant impact on the health of euro area banks. Information effects, which made the private sector more pessimistic about future prospects of the economy and the profitability of the banking sector, were strongly present in the post-cr...
Article
Full-text available
This paper applies traditional approaches and mixed-data sampling (MIDAS) to explain and forecast velocity of broad money in the euro area and the United States. Our results show that despite financial innovations, over the last two decades broad money velocity followed a declining trend with one break around the start of the financial crisis in bo...
Article
Full-text available
This paper makes an empirical comparison of two simple monetary policy rules, the McCallum rule and the Taylor rule and uses them to assess the monetary policy stance of the ECB during the financial crisis. After the Taylor rule, the McCallum rule ranks among the most widely analysed nominal feedback rules used for policy simulations. The retrospec...
Article
This paper examines whether money and credit data releases by the European Central Bank (ECB) have provided markets with additional clues about the future course of its monetary policy. It conducts a novel econometric approach, as suggested by El-Shagi and Jung (Eur J Polit Econ 39:222–234, 2015), based on a combination of an Ordered Probit model e...
Data
Full-text available
Article
Full-text available
This paper explores monetary policy decision-making within an insurance model with expected utility-maximizing policy-makers. The authors consider that policy-makers are different in terms of their backgrounds, experience and skills and they may disagree on the appropriate policy response. In a monetary policy committee, they share information and...
Article
Full-text available
This paper aims to extend the findings of Romer and Romer (2000) to a setup where the time variation of (relative) forecast performances is addressed in much greater detail. We show that the relative forecast performances of Fed staff and private forecasters are not stable in the presence of large macroeconomic shocks such as the Great Moderation a...
Article
Full-text available
This paper examines whether the release of minutes of the Federal Open Market Committee (FOMC) has provided markets with systematic clues about its future policy rates. We explain the future fed funds rate changes using Ordered Probit models (sample 1996-2008). We find that timely FOMC meeting minutes have provided assurance to markets about the mo...
Article
Full-text available
The aim of the paper is to reassess the issue of money demand stability by estimating a portfolio demand approach for broad money M3 in the euro area covering the sample 1999 to 2013. The question is relevant, since in view of the massive shocks observed since the start of the financial crisis in 2007 relationships may have changed. Overall, the pa...
Article
Full-text available
This paper estimates demand functions for the four main components of M3 for the euro area. Its aim is to examine whether the ECB’s massive liquidity provision to euro area banks during the financial crisis is an important driver of money demand explaining regional differences across euro area countries. The approach of the paper is to apply panel...
Article
This paper examines whether the interest rate preferences of Federal Reserve Bank Presidents are subject to a regional bias. In order to evaluate the regional bias hypothesis, we augment individual Taylor rules for the Federal Reserve Bank Presidents (sample 1989 to 2006) with regional variables and test for their influence on the Presidents’ inte...
Article
Full-text available
The aim of this paper is to assess whether the findings of Romer and Romer (2000) on the superiority of staff forecasts are still valid today. The paper uses both latest available econometric techniques as well as conventional tests. Several tests for forecast rationality show that a necessary condition for good forecast performance is satisfied bo...
Article
Full-text available
This paper estimates (pooled) Taylor-type rules based on real-time information for three monetary policy committees: the FOMC, the Bank of England’s MPC, and the Riksbank’s Executive Board. Tests for heterogeneity among committee members provide new empirical evidence on the distribution of policymakers’ interest rate preferences and their individu...
Article
Full-text available
The aim of this paper is to examine whether Chairman Greenspan influenced the Reserve Bank Presidents. This question is interesting, because it has been argued that their preferences would be more persistent compared to those of the Governors. We estimate individual Taylor-type reaction functions for the Federal Reserve Districts using their voiced...
Article
This paper explores monetary policy decision-making within an insurance model with expected utility-maximising policy-makers. We consider that policy-makers are different in terms of their backgrounds, experience and skills and they may disagree on the appropriate policy response. In a monetary policy committee, they share information and decide...
Article
This paper provides new empirical evidence on the presence of chairman dominance in the FOMC. It uses a novel data set with information on individual forecasts of FOMC members in the 1990s. The approach of this paper is to estimate individual Taylor-type reaction functions for FOMC participants based on their interest rate preferences and economic...
Article
The aim of this paper is to study preference heterogeneity in monetary policy committees of inflation-targeting (IT) countries in Central and Eastern Europe (CEE) during the period 2005–2010. It employs (individual) voting records of the Monetary Council of the Hungarian National Bank and of the Monetary Policy Council of the National Bank of Polan...
Article
Full-text available
This paper assesses the relative performance of central bank staff forecasts and of private forecasters for inflation and output. We show that the Federal Reserve (Fed), and less so the European Central Bank (ECB), has a significant information advantage concerning inflation and output forecasts. Using recently developed tests for conditional predi...
Article
Full-text available
The aim of this paper is to study preference heterogeneity in monetary policy committees of inflation-targeting (IT) countries in Central and Eastern Europe (CEE) during the period 2005–2010. It employs (individual) voting records of the Monetary Council of the Magyar Nemzeti Bank (the central bank of Hungary) and of the Monetary Policy Council of...
Article
Full-text available
This paper provides new empirical evidence on policy-makers’ voting patterns on interest rates. Applying (pooled) Taylor-type rules and using real-time information available from published inflation reports and voting records, the paper tests for heterogeneity among committee members in three monetary policy committees: the FOMC, the Bank of Englan...
Article
Full-text available
The monetary policy framework of the Eurosystem has received considerable attention in recent years: there is a well-established and rich literature on the price stability objective, as well as the two-pillar strategy of the ECB. This is less the case for the regular monetary policy preparations and the decision-making process. This article provide...
Article
Full-text available
The ECB's monetary policy has received considerable attention in recent years. This is less the case, however, for its regular monetary policy preparation and decision-making process. This paper reviews how the factors usually considered as critical for the success of a central banking system and the federal nature of the Eurosystem are intertwined...
Article
Full-text available
The ECB’s monetary policy has received considerable attention in recent years. This is less the case, however, for its regular monetary policy preparation and decision-making process. This paper reviews how the factors usually considered as critical for the success of a central banking system and the federal nature of the Eurosystem are intertwined...
Article
Full-text available
[eng] The European monetary policy : an achievement after three years The article draws up achievement of the European monetary policy three years after the implementation of the euro and the transfer of the full monetary sovereignty in the BCE. The first lessons show that its monetary policy strategy allows the elaboration of appropriate measures...
Article
Full-text available
The instability of standard money demand functions has undermined the role of monetary aggregates for monetary policy analysis in the euro area. This paper uses country-specific monetary aggregates to shed more light on the economics behind the instability of euro area money demand. Our results obtained from panel estimation indicate that the obser...
Article
Full-text available
The paper decomposes GDP both in terms of level per capita and growth rate, so as to identify the sources of income differences and of economic growth for all EU27 member states. This accounting approach has multiple advantages, although a number of substantial caveats should be borne in mind when interpreting the results. In particular, the detail...
Article
Full-text available
Our empirical investigation of forward and spot rates in the European Monetary System in comparison to flexible exchange-rate regimes provides the following results. Unit root tests reveal that forward rates and spot rates are best described by random walks for all six exchange rates under consideration. This indicates that even in the EMS, exchang...

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