The Public Defense
of the Doctoral Thesis in Economics by
Balázs Vonnák on
New Ways to Estimate the Dynamic Effects of Macroeconomic Shocks
will be held on
Monday, 20 September 2021 at 14:00
online via Zoom (registration: Szimlerk@ceu.edu)
Central European University
Doctoral School of Economics
Thesis Committee:
László Mátyás (Chair)
Gábor Kőrösi (External member) Sergey Lychagin (Internal member)
Supervisor:
Róbert Lieli
Examiners:
Giovanni Ricco, Associate Professor, University of Warwick, Department of Economics (External examiner)
Sergey Lychagin, Professor, Central European University, Department of Economics and Business (Internal examiner)
The doctoral thesis is available for inspection at the CEU Department of Economics and Business
Abstract
In my thesis I present new approaches to identifying dynamic causal effect of macroeconomic, and primarily macro policy shocks on macro variables. I introduce a novel estimator which is based on the propensity score concept and with the help of which impulse response functions can be estimated even if the effect is nonlinear and the time series of the variables under investigation are short. Then I propose a novel instrument for estimating the causal effect of monetary policy shocks.
In the first chapter I show how the generalized propensity score can be used to estimate dynamic causal effects. This approach is flexible in the sense that the effect can depend on the level of the policy variable and its change in any nonlinear way. Compared to the local projection, the propensity score based estimator has much fewer parameters to be estimated, which is a favorable property when the times series are short. A very general Monte Carlo simulation reveals that it yields more precise impulse responses than the VAR and the local projection when potential misspecification and low degrees of freedom is an important issue.
In the second chapter I apply the propensity score based estimator to U.S. data to investigate how the effect of the Fed's interest rate changes depends on the initial level of the interest rate and on the size of the change. Although exogenous shocks to the interest rate are estimated with a linear SVAR model, the results display significant nonlinearities. Most importantly, monetary policy decisions seem to exert faster and larger impact on GDP and consumer prices when the interest rate is high.
On the other hand, dependence on the size and the direction of the interest rate change does not show signs of nonlinearity.
In the third chapter a new instrument for monetary policy shocks is proposed.
Exogenous variation of the policy rate may come from frictions of collective
decision-making. Dissenting votes indicate how far the final decision of the decision making body is from the mean of the members' individually preferred interest rates and thus correlate with the policy shocks caused by the decision-making frictions.
Measures of dissent are used as external instrument in a structural VAR. Results for the U.S. show significant effect of the Fed's interest rate policy on real variables with the expected sign. On the other hand, the estimated effect on nominal variables is reminiscent of the price puzzle. Usual remedies, such as inclusion of commodity prices, inflation expectations or starting the sample in the middle of the eighties do not change the qualitative results casting doubt on the usual interpretation that the price puzzle is a statistical artifact.
Balázs Vonnák vonnakb@mnb.hu
Work experience
2000 - current Magyar Nemzeti Bank (the central bank of Hungary) Current position: Senior education and research expert
Previous positions: Director of Financial system analysis Head of Monetary Strategy Unit
Teaching experience
2017 – 2021 Corvinus University of Budapest Lecturer (MNB Institute)
Courses: Monetary policy in theory and practice, Modelling in central banks 2010 – 2016 Corvinus University of Budapest
Honorary Associate Professor (Department of Macroeconomics) Course: Applied macroeconomics
Education
2015 – 2021 1997 - 2000
Central European University (Budapest) PhD in Economics
Rajk László College for Advanced Studies (Budapest)
Principal Courses: Macroeconomics, European Monetary Integration, International Trade Theories, Time Series Analysis
1995 - 2000 Corvinus University of Budapest MA in Economics
Working Papers
2015 2014 2013
2006
"Delayed Overshooting Puzzle in Structural Vector Autoregression Models"
Working papers 576, Banque de France, co-author: Klodiana Istrefi
"Carry Trade, Uncovered Interest Parity and Monetary Policy"
MNB Working Papers 2014/3, Magyar Nemzeti Bank, co-author: Dániel Felcser
"International experiences and domestic opportunities of applying unconventional monetary policy tools," MNB Occasional Papers 2013/100, Magyar Nemzeti Bank, co-authors: Judit Krekó, Csaba Balogh, Kristóf Lehmann, Róbert Mátrai, György Pulai
"How does monetary policy affect aggregate demand? A multimodel approach for Hungary," MNB Working Papers 2006/4, Magyar Nemzeti Bank, co-authors:
Zoltán M. Jakab, Viktor Várpalotai
2006
2005
"Credit Growth in Central and Eastern Europe: Convergence or Boom?" MNB Working Papers 2006/10, Magyar Nemzeti Bank, co-authors: Gergely Kiss, Márton Nagy
"Estimating the Effect of Hungarian Monetary Policy within a Structural VAR Framework," MNB Working Papers 2005/01, Magyar Nemzeti Bank
Articles
2020
2015
2010
2008
2003
"Consumer Lending in Ukraine: Estimation of the Equilibrium Level," Visnyk of the National Bank of Ukraine, National Bank of Ukraine, issue 249, co-authors: Attila Csajbók. Pervin Dadashova. Pavlo Shykin
"Phasing out household foreign currency loans: schedule and framework"
Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 14(3), co-authors: Ádám Banai, Pál Péter Kolozsi
"Risk Premium Shocks, Monetary Policy And Exchange Rate Pass-Through In The Czech Republic, Hungary And Poland," Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 28(61)
"The Hungarian monetary transmission mechanism: an assessment," BIS Papers chapters, in: Bank for International Settlements (ed.), Transmission mechanisms for monetary policy in emerging market economies, volume 35, pages 235-257 Bank for International Settlements.
"Makroelemzők inflációs várakozásai Magyarországon [The inflation expectations of macro analysts in Hungary]," Közgazdasági Szemle, vol. 0(4), pages 315-334, co-author: Judit Krekó
Languages
Hungarian English German
Native Fluent Intermediate
