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Advisor(s)
Abstract(s)
A presente dissertação reúne quatro artigos que examinam políticas monetárias e
orçamentais na área do euro. Em específico, os dois primeiros artigos avaliam os impactos
e a heterogeneidade das respostas macroeconómicas aos programas de compra de ativos
em larga escala implementados pelo Banco Central Europeu (BCE). Os dois artigos
subsequentes analisam as interações entre as políticas monetárias e orçamentais na área
do euro. Na sequência do que foi referido anteriormente, são apresentados os resumos
individuais de cada artigo que compõem a presente tese.
No primeiro artigo, é utilizado um conjunto de dados ao nível bancários e ao nível
regional com o objetivo de estudar os impactos e a heterogeneidade dos programas de
compra de ativos em larga escala do BCE na economia. Os resultados obtidos indicam
que os bancos mais expostos a títulos de dívida pública registaram um maior crescimento
de empréstimos do que os bancos menos expostos após o programa de compra de ativos
denominado por Asset Purchase Programme (APP). No entanto, este resultado não é
verificado para o programa denominado por Pandemic Emergency Purchase Programme
(PEPP). Adicionalmente, os resultados obtidos demonstram que, após o programa APP,
as regiões onde os bancos estão mais expostos a títulos de dívida pública apresentam
resultados macroeconómicos mais favoráveis em comparação com regiões onde os
bancos têm menor exposição, operando através do canal de transmissão de crédito
bancário, ou Bank Lending Channel. Concluímos que a exposição dos bancos aos ativos
alvo dos programas de compra de ativos em larga escala, assim como a sua localização
geográfica, são fatores importantes na explicação da magnitude e heterogeneidade dos
mecanismos de transmissão monetária.
O segundo artigo investiga os impactos e a heterogeneidade dos programas de
compra de títulos de dívida pública da zona euro em larga escala pelo BCE no PIB real,
inflação, rendimentos das obrigações de longo prazo, stress sistémico e taxa de
desemprego. Neste artigo, foi estimado um modelo VAR Bayesiano (BVAR) estrutural
com seis variáveis endógenas para 11 países da área do euro durante o período entre
2012:M1 e 2023:M12. Para robustez dos resultados, foi estimado um modelo BVAR
estrutural com dados em painel, permitindo uma comparação direta entre um grupo de
países vulneráveis e não vulneráveis. Os resultados sugerem que as magnitudes das
respostas a um choque no stock de ativos de dívida pública da zona euro detidos no
balanço dos bancos centrais nacionais pertencentes ao Eurosistema foram mais favoráveis
iv
nos países mais vulneráveis ao nível económico e financeiro. Os resultados obtidos
sugerem que a fragilidade financeira e económica constitui uma das razões que explica a
heterogeneidade nas respostas aos programas de compra de ativos em larga escala do
BCE.
O terceiro artigo investiga a resposta das políticas monetárias do BCE face a
projeções de défices orçamentais. O aumento contínuo do rácio dívida-produto de vários
países do euro e o uso extensivo de políticas monetárias não convencionais pelo BCE
levantam questões sobre a possibilidade de a política monetária estar a reagir à política
orçamental, pondo em causa a independência do banco central. Esta questão é avaliada
com um modelo VAR estrutural estimado com projeções de variáveis macroeconómicas.
Lidamos com a incerteza quanto ao horizonte de previsão utilizando o método thick
modelling, onde estimamos um total de 96 modelos e reportamos a mediana dos
resultados. Concluímos que a política monetária do BCE reagiu principalmente a
alterações de projeções da inflação e não a projeções de défices orçamentais, consistente
com um regime de domínio monetário.
Por último, o quarto artigo investiga o impacto das políticas monetária do BCE na
sustentabilidade orçamental de uma amostra de países da zona euro. Incrementamos uma
função de reação orçamental com uma variável que descreve a política monetária do BCE.
As conclusões são as seguintes: Primeiro, políticas monetárias contracionistas
(expansionistas) tendem a levar a um aumento (diminuição) do saldo primário. Segundo,
a posição da política monetária do BCE influencia significativamente o coeficiente da
função de reação orçamental. Por outras palavras, uma política monetária contracionista
induz um aumento maior dos saldos primários em resposta a um aumento do rácio dívidaproduto
do que se a política monetária for neutra ou expansionista. Os resultados obtidos
sugerem que uma política monetária expansionista tem o potencial de ajudar a
sustentabilidade orçamental. Por outro lado, uma política monetária demasiado
contracionista pode agravar o esforço orçamental necessário para satisfazer a restrição
orçamental do governo.
This dissertation compiles four papers that examine the effects of monetary and fiscal policies in the euro area. Particularly, in the first two papers, this thesis focuses on the impacts and heterogeneity of macroeconomic responses to large scale asset purchase (LSAP) programs undertaken by the ECB. The last two papers explore the interactions of monetary and fiscal policies in the euro area. Individual abstracts for each paper that comprise this thesis are provided below. In the first paper, a dataset of bank- and regional-level data is used to study the effectiveness and heterogeneity of the transmission mechanism of the ECB’s LSAP programs to the real economy. Our results indicate that banks more exposed to government debt securities had higher growth of loans and loans relative to total assets than less exposed banks after the Asset Purchase Programme (APP). However, this effect was not observed after the Pandemic Emergency Purchase Programme (PEPP). Furthermore, our results demonstrate that regions where banks are more exposed to government securities exhibit more favorable macroeconomic outcomes after the APP in GDP, fixed capital formation, unemployment, and compensation of employees than regions with less exposed banks, operating via the bank lending channel. We argue that banks’ exposure to LSAPs targeted assets and their geographical location is an important factor determining the magnitude and heterogeneity of the portfolio rebalancing and bank lending transmission mechanisms to the real economy. The second paper investigates the impacts and heterogeneity of the ECB’s LSAP programs of sovereign securities on real GDP, inflation, long-term sovereign bond yields, systemic stress, and the unemployment rate. A structural Bayesian VAR model with six endogenous variables was estimated for 11 euro area countries over the period from 2012:M1 to 2023:M12. To provide robustness to the results, a structural panel Bayesian VAR model is estimated, enabling a straightforward comparison of impulse responses of vulnerable and non-vulnerable countries. The results suggest that the magnitudes of impulse responses were more favorable in countries that were more economically and financially vulnerable. I conclude that financial and economic distress was a source of heterogeneity in the responses to LSAP programs in the euro area. The third paper investigates whether the ECB’s monetary policy is reacting to projected fiscal deficits. The increasing debt-to-GDP ratios of euro area member countries and the ECB’s extensive use of unconventional monetary policies raise questions whether vi monetary policy is reacting to fiscal policy. We assess this question with a forwardlooking structural VAR model using macroeconomic forecasts for the euro area. We address the uncertainty regarding the forecast horizon inherent to this research question by using a thick modelling approach, where we estimate a total of 96 models and report the median results. The results suggest that the ECB’s monetary policy mostly reacted to projected inflation and was not impacted by changing projected fiscal deficits, consistent with a monetary dominance regime. The fourth paper investigates the impact of monetary policy on fiscal sustainability in the euro area. Our sample includes 12 euro area countries and covers the period from 2003:Q1 to 2022:Q4. We extend a fiscal reaction function by including the monetary policy stance as an interaction term. Our findings are as follows: First, a contractionary (expansionary) monetary stance tends to lead to an increase (decrease) in the primary balance. Second, the ECB’s monetary policy stance significantly influences the fiscal reaction function coefficient. In other words, contractionary monetary policy induces a larger increase in primary balances in response to an increase in the debt-to- GDP ratio than if monetary policy was neutral or expansionary. Our findings suggest that monetary policy has the potential to help fiscal sustainability and mitigate fiscal fatigue. Conversely, contractionary monetary policy can exacerbate the fiscal effort required to satisfy the governments’ budget constraint.
This dissertation compiles four papers that examine the effects of monetary and fiscal policies in the euro area. Particularly, in the first two papers, this thesis focuses on the impacts and heterogeneity of macroeconomic responses to large scale asset purchase (LSAP) programs undertaken by the ECB. The last two papers explore the interactions of monetary and fiscal policies in the euro area. Individual abstracts for each paper that comprise this thesis are provided below. In the first paper, a dataset of bank- and regional-level data is used to study the effectiveness and heterogeneity of the transmission mechanism of the ECB’s LSAP programs to the real economy. Our results indicate that banks more exposed to government debt securities had higher growth of loans and loans relative to total assets than less exposed banks after the Asset Purchase Programme (APP). However, this effect was not observed after the Pandemic Emergency Purchase Programme (PEPP). Furthermore, our results demonstrate that regions where banks are more exposed to government securities exhibit more favorable macroeconomic outcomes after the APP in GDP, fixed capital formation, unemployment, and compensation of employees than regions with less exposed banks, operating via the bank lending channel. We argue that banks’ exposure to LSAPs targeted assets and their geographical location is an important factor determining the magnitude and heterogeneity of the portfolio rebalancing and bank lending transmission mechanisms to the real economy. The second paper investigates the impacts and heterogeneity of the ECB’s LSAP programs of sovereign securities on real GDP, inflation, long-term sovereign bond yields, systemic stress, and the unemployment rate. A structural Bayesian VAR model with six endogenous variables was estimated for 11 euro area countries over the period from 2012:M1 to 2023:M12. To provide robustness to the results, a structural panel Bayesian VAR model is estimated, enabling a straightforward comparison of impulse responses of vulnerable and non-vulnerable countries. The results suggest that the magnitudes of impulse responses were more favorable in countries that were more economically and financially vulnerable. I conclude that financial and economic distress was a source of heterogeneity in the responses to LSAP programs in the euro area. The third paper investigates whether the ECB’s monetary policy is reacting to projected fiscal deficits. The increasing debt-to-GDP ratios of euro area member countries and the ECB’s extensive use of unconventional monetary policies raise questions whether vi monetary policy is reacting to fiscal policy. We assess this question with a forwardlooking structural VAR model using macroeconomic forecasts for the euro area. We address the uncertainty regarding the forecast horizon inherent to this research question by using a thick modelling approach, where we estimate a total of 96 models and report the median results. The results suggest that the ECB’s monetary policy mostly reacted to projected inflation and was not impacted by changing projected fiscal deficits, consistent with a monetary dominance regime. The fourth paper investigates the impact of monetary policy on fiscal sustainability in the euro area. Our sample includes 12 euro area countries and covers the period from 2003:Q1 to 2022:Q4. We extend a fiscal reaction function by including the monetary policy stance as an interaction term. Our findings are as follows: First, a contractionary (expansionary) monetary stance tends to lead to an increase (decrease) in the primary balance. Second, the ECB’s monetary policy stance significantly influences the fiscal reaction function coefficient. In other words, contractionary monetary policy induces a larger increase in primary balances in response to an increase in the debt-to- GDP ratio than if monetary policy was neutral or expansionary. Our findings suggest that monetary policy has the potential to help fiscal sustainability and mitigate fiscal fatigue. Conversely, contractionary monetary policy can exacerbate the fiscal effort required to satisfy the governments’ budget constraint.
Description
Doutoramento em Economia
Keywords
Política Monetária Programas de Compra de Ativos em Larga Escala BCE Política Orçamental Sustentabilidade Orçamental Monetary Policy Large Scale Asset Purchases ECB Fiscal Policy Fiscal Sustainability
Pedagogical Context
Citation
Pereira, Francisco Costa Pereira Gomes (2025). "Essays in monetary and fiscal policies". Tese de Doutoramento. Universidade de Lisboa. Instituto Superior de Economia e Gestão.
Publisher
Instituto Superior de Economia e Gestão