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Andreas Beyer

Research

Division

Financial Research

Current Position

Senior Team Lead - Economist

Fields of interest

Financial Economics,Macroeconomics and Monetary Economics,Other Special Topics

Email

andreas.beyer@ecb.europa.eu

Other current responsibilities
2016-

Co-Leader TT7 Financial institutions, micro-prudential regulation, financial markets, and payments

2015-2016

Crescendo DGR-Secretary: Workstream 6 "Join forces to best perform monetary, macro- and microprudential responsibilities"

2012-2014

SSM Task Force on Supervision - Secretary Workstream 4 "SSM Data and Reporting Requirements" 2012 - 2014

2009-2012

Team Leader Thematic Team "Monetary Analysis" (TT8) 2009 - 2012

Education
1994-1998

PhD Economics University of Southampton (UK); Diplom Volkswirt Goethe University Frankfurt

1988-1993

Diplom Volkswirt Goethe University Frankfurt

Professional experience
2019-

Senior Team Lead - Economist since 2019

2009-2019

Principal Economist, ECB, January 2009 - 2019

2013-2014

Principal Supervisor 2013 - 2014

2012-2013

Principal Financial Stability Expert 2012-2013

2003-2008

Senior Economist, ECB, January 2003 - 2008

2000-2002

Economist ECB, December 2000 - 2002

1999-2000

Visiting Professor and Jean Monnet Fellow, European University Institute (Florence, Italy), 1999 - 2000.

1998-1999

Research Fellow, Banco de España, 1998 - 1999

1997-1998

Research Fellow, University of Copenhagen, 1997 - 1998

Awards
2005

ECB: Award to acknowledge continuous outstanding performance over an extended period

1994

Marie-Curie scholarship, EU

1991

ERASMUS scholarship, EU

Teaching experience
2001-2005

Goethe University (Undergraduate and Graduate Program)

1999-2000

European University Institute (Graduate Program)

1994-1998

University of Southampton

1 February 2002
WORKING PAPER SERIES - No. 121
Details
Abstract
We study the low frequency comovements in unemployment, inflation and the federal funds rate in the U.S. From 1970 through 1979 all three series trended up together; after 1979 they all trended down. The conventional explanation for the buildup of inflation in the 1970's is that the Fed reacted to an increase in the natural rate of unemployment by conducting an overly passive monetary policy. We show that this explanation is difficult to reconcile with the observed comovement of the fed funds rate and inflation. We argue instead that the source of the inflation buildup in the 1970's was a downward drift in the real interest rate that was translated into a simultaneous increase in unemployment and inflation by passive Fed policy. Our explanation relies on the existence in the data of an upward sloping long run Phillips curve.
JEL Code
C32 : Mathematical and Quantitative Methods→Multiple or Simultaneous Equation Models, Multiple Variables→Time-Series Models, Dynamic Quantile Regressions, Dynamic Treatment Effect Models, Diffusion Processes
E3 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles
E43 : Macroeconomics and Monetary Economics→Money and Interest Rates→Interest Rates: Determination, Term Structure, and Effects
E58 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Central Banks and Their Policies
1 September 2003
WORKING PAPER SERIES - No. 277
Details
Abstract
A number of authors have attempted to test whether the U.S. economy is in a determinate or an indeterminate equilibrium. We argue that to answer this question, one must impose a priori restrictions on lag length that cannot be tested. We provide examples of two economic models. Model 1 displays an indeterminate equilibrium, driven by sunspots. Model 2 displays a determinate equilibrium driven by fundamentals. Given assumptions about the shock distribution of model 2, it is possible to find a distribution of sunspot shocks that drive model 1 such that the two models are observationally equivalent.
JEL Code
C39 : Mathematical and Quantitative Methods→Multiple or Simultaneous Equation Models, Multiple Variables→Other
C62 : Mathematical and Quantitative Methods→Mathematical Methods, Programming Models, Mathematical and Simulation Modeling→Existence and Stability Conditions of Equilibrium
D51 : Microeconomics→General Equilibrium and Disequilibrium→Exchange and Production Economies
1 September 2003
WORKING PAPER SERIES - No. 275
Details
Abstract
We propose a method for estimating a subset of the parameters of a structural rational expectations model by exploiting changes in policy. We define a class of models, midway between a vector autoregression and a structural model, that we call the recoverable structure. As an application of our method we estimate the parameters of a model of the US monetary transmission mechanism. We estimate a vector autoregression and find that its parameters are unstable. However, using our proposed identification method we are able to attribute instability in the parameters of the VAR solely to changes in the parameters of the policy rule. We recover parameter estimates of the recoverable structure and we demonstrate that these parameters are invariant to changes in policy. Since the recoverable structure includes future expectations as explanatory variables our parameter estimates are not subject to the Lucas [24] critique of econometric policy evaluation.
JEL Code
C51 : Mathematical and Quantitative Methods→Econometric Modeling→Model Construction and Estimation
E43 : Macroeconomics and Monetary Economics→Money and Interest Rates→Interest Rates: Determination, Term Structure, and Effects
E52 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Monetary Policy
E58 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Central Banks and Their Policies
17 March 2004
WORKING PAPER SERIES - No. 323
Details
Abstract
We study identiÞcation in a class of three-equation monetary models. We argue that these models are typically not identiÞed. For any given exactly identiÞed model, we provide an algorithm that generates a class of equivalent models that have the same reduced form. We use our algorithm to provide four examples of the consequences of lack of identiÞcation. In our Þrst two examples we show that it is not possible to tell whether the policy rule or the Phillips curve is forward or backward looking. In example 3 we establish an equivalence between a class of models proposed by Benhabib and Farmer [1] and the standard new-Keynesian model. This result is disturbing since equilibria in the Benhabib-Farmer model are typically indeterminate for a class of policy rules that generate determinate outcomes in the new-Keynesian model. In example 4, we show that there is an equivalence between determinate and indeterminate models even if one knows the structural equations of the model.
JEL Code
C39 : Mathematical and Quantitative Methods→Multiple or Simultaneous Equation Models, Multiple Variables→Other
C62 : Mathematical and Quantitative Methods→Mathematical Methods, Programming Models, Mathematical and Simulation Modeling→Existence and Stability Conditions of Equilibrium
D51 : Microeconomics→General Equilibrium and Disequilibrium→Exchange and Production Economies
E52 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Monetary Policy
E58 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Central Banks and Their Policies
22 August 2005
WORKING PAPER SERIES - No. 510
Details
Abstract
New-Keynesian models are characterized by the presence of expectations as explanatory variables. To use these models for policy evaluation, the econometrician must estimate the parameters of expectation terms. Standard estimation methods have several drawbacks, including possible lack of identification of the parameters, misspecification of the model due to omitted variables or parameter instability, and the common use of inefficient estimation methods. Several authors have raised concerns over the validity of commonly used instruments to achieve identification. In this paper we analyze the practical relevance of these problems and we propose remedies to weak identification based on recent developments in factor analysis for information extraction from large data sets. Using these techniques, we evaluate the robustness of recent findings on the importance of forward looking components in the equations of the New-Keynesian model.
JEL Code
E5 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit
E52 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Monetary Policy
E58 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Central Banks and Their Policies
9 February 2006
WORKING PAPER SERIES - No. 586
Details
Abstract
We develop a technique for analyzing the response dynamics of economic variables to structural shocks in linear rational expectations models. Our work differs fromstandard SVARs since we allow expectations of future variables to enter structural equations. We show how to estimate the variance-covariance matrix of fundamental and non-fundamental shocks and we construct point estimates and confidence bounds for impulse response functions. Our technique can handle both determinate and indeterminate equilibria. We provide an application to U.S. monetary policy under pre and post Volcker monetary policy rules.
JEL Code
C39 : Mathematical and Quantitative Methods→Multiple or Simultaneous Equation Models, Multiple Variables→Other
C62 : Mathematical and Quantitative Methods→Mathematical Methods, Programming Models, Mathematical and Simulation Modeling→Existence and Stability Conditions of Equilibrium
D51 : Microeconomics→General Equilibrium and Disequilibrium→Exchange and Production Economies
E52 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Monetary Policy
E58 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Central Banks and Their Policies
25 February 2009
WORKING PAPER SERIES - No. 1013
Details
Abstract
There is scant empirical support in the literature for the Fisher effect in the long run, though it is often assumed in theoretical models. We argue that a break in the cointegrating relation introduces a spurious unit root that leads to a rejection of cointegration. We applied new break tests and tested for nonlinearity in the cointegrating relation with post-war data for 15 countries. Our empirical results support cointegration, after accounting for breaks, and a linear Fisher relation in the long run. This is in contrast to several recent studies that found no support for linear cointegration.
JEL Code
E43 : Macroeconomics and Monetary Economics→Money and Interest Rates→Interest Rates: Determination, Term Structure, and Effects
C32 : Mathematical and Quantitative Methods→Multiple or Simultaneous Equation Models, Multiple Variables→Time-Series Models, Dynamic Quantile Regressions, Dynamic Treatment Effect Models, Diffusion Processes
3 March 2009
WORKING PAPER SERIES - No. 1020
Details
Abstract
During the turbulent 1970s and 1980s the Bundesbank established an outstanding reputation in the world of central banking. Germany achieved a high degree of domestic stability and provided safe haven for investors in times of turmoil in the international financial system. Eventually the Bundesbank provided the role model for the European Central Bank. Hence, we examine an episode of lasting importance in European monetary history. The purpose of this paper is to highlight how the Bundesbank monetary policy strategy contributed to this success. We analyze the strategy as it was conceived, communicated and refined by the Bundesbank itself. We propose a theoretical framework (following Söderström, 2005) where monetary targeting is interpreted, first and foremost, as a commitment device. In our setting, a monetary target helps anchoring inflation and inflation expectations. We derive an interest rate rule and show empirically that it approximates the way the Bundesbank conducted monetary policy over the period 1975-1998. We compare the Bundesbank's monetary policy rule with those of the FED and of the Bank of England. We find that the Bundesbank's policy reaction function was characterized by strong persistence of policy rates as well as a strong response to deviations of inflation from target and to the activity growth gap. In contrast, the response to the level of the output gap was not significant. In our empirical analysis we use real-time data, as available to policymakers at the time.
JEL Code
E31 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→Price Level, Inflation, Deflation
E32 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→Business Fluctuations, Cycles
E41 : Macroeconomics and Monetary Economics→Money and Interest Rates→Demand for Money
E52 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Monetary Policy
E58 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Central Banks and Their Policies
12 November 2009
WORKING PAPER SERIES - No. 1111
Details
Abstract
In this paper we present an empirically stable money demand model for Euro area M3. We show that housing wealth is an important explanatory variable of long-run money demand that captures the trending behaviour of M3 velocity, in particular its shift in the first half of this decade. We show that the current financial crisis has no impact on the stability of our money demand model.
JEL Code
C22 : Mathematical and Quantitative Methods→Single Equation Models, Single Variables→Time-Series Models, Dynamic Quantile Regressions, Dynamic Treatment Effect Models &bull Diffusion Processes
C32 : Mathematical and Quantitative Methods→Multiple or Simultaneous Equation Models, Multiple Variables→Time-Series Models, Dynamic Quantile Regressions, Dynamic Treatment Effect Models, Diffusion Processes
E41 : Macroeconomics and Monetary Economics→Money and Interest Rates→Demand for Money
29 January 2010
WORKING PAPER SERIES - No. 1149
Details
Abstract
Beyer, Doornik and Hendry (2000, 2001) show analytically that three out of four aggregation methods yield problematic results when exchange rate shifts induce relative-price changes between individual countries and found the least problematic method to be the variable weight method of growth rates. This papers shows, however, that the latter is sensitive to the choice of base year when based on real GDP weights whereas not on nominal GDP weights. A comparison of aggregates calculated with different methods shows that the differences are tiny in absolute value but highly persistent. To investigate the impact on the cointegration properties in empirical modelling, the monetary model in Coenen & Vega (2001) based on fixed weights was re-estimated using flexible real and nominal GDP weights. In general, the results remained reasonably robust to the choice of aggregation method.
JEL Code
C42 : Mathematical and Quantitative Methods→Econometric and Statistical Methods: Special Topics→Survey Methods
E41 : Macroeconomics and Monetary Economics→Money and Interest Rates→Demand for Money
C32 : Mathematical and Quantitative Methods→Multiple or Simultaneous Equation Models, Multiple Variables→Time-Series Models, Dynamic Quantile Regressions, Dynamic Treatment Effect Models, Diffusion Processes
20 June 2013
WORKING PAPER SERIES - No. 1558
Details
Abstract
In this paper we develop empirical measures for the strength of spillover effects. Modifying and extending the framework by Diebold and Yilmaz (2011), we quantify spillovers between sovereign credit markets and banks in the euro area. Spillovers are estimated recursively from a vector autoregressive model of daily CDS spread changes, with exogenous common factors. We account for interdependencies between sovereign and bank CDS spreads and we derive generalised impulse response functions. Specifically, we assess the systemic effect of an unexpected shock to the creditworthiness of a particular sovereign or country-specific bank index to other sovereign or bank CDSs between October 2009 and July 2012. Channels of transmission from or to sovereigns and banks are aggregated as a Contagion index (CI). This index is disentangled into four components, the average potential spillover: i) amongst sovereigns, ii) amongst banks, iii) from sovereigns to banks, and iv) vice-versa. We highlight the impact of policy-related events along the different components of the contagion index. The systemic contribution of each sovereign or banking group is quantified as the net spillover weight in the total net-spillover measure. Finally, the captured time-varying interdependence between banks and sovereigns emphasises the evolution of their strong nexus.
JEL Code
C58 : Mathematical and Quantitative Methods→Econometric Modeling→Financial Econometrics
G01 : Financial Economics→General→Financial Crises
G18 : Financial Economics→General Financial Markets→Government Policy and Regulation
G21 : Financial Economics→Financial Institutions and Services→Banks, Depository Institutions, Micro Finance Institutions, Mortgages
Network
Macroprudential Research Network
27 November 2013
FINANCIAL STABILITY REVIEW - ARTICLE
Financial Stability Review Issue 2, 2013
Details
Abstract
This special feature briefly outlines the work currently being undertaken at the European Central Bank, in close cooperation with the national competent authorities of the participating Member States, for the assumption of supervisory responsibilities in November 2014. Following a short introduction, which summarises some of the features of the single supervisory mechanism, the preparatory developments are outlined, around five main themes, which reflect the organisation of the preparatory structures.
JEL Code
G00 : Financial Economics→General→General
16 May 2017
OCCASIONAL PAPER SERIES - No. 191
Details
Abstract
This paper investigates the interrelations between monetary macro- and microprudential policies. It first provides an overview of the three policies, starting with their main instruments and objectives. Monetary policy aims at maintaining price stability and promoting balanced economic growth, macroprudential policies aim at safeguarding the stability of the overall financial system, while microprudential policies contribute to the safety and soundness of individual entities. Subsequently, the paper provides a simplified description of their respective transmission mechanisms and analyses the interactions between them. A conceptual framework is first presented on the basis of which the analysis of the interactions across the different policies can be demonstrated in a stylised manner. These stylised descriptions are then further complemented by model-based simulations illustrating the significant complementarities and interactions between them. Finally, the paper concludes that from a conceptual point of view there are numerous areas of interaction between the policies. These create scope for synergies, which can be reaped by sharing information and expertise across the various policy areas.
JEL Code
E58 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Central Banks and Their Policies
G28 : Financial Economics→Financial Institutions and Services→Government Policy and Regulation
11 October 2017
OTHER PUBLICATION
English
OTHER LANGUAGES (1) +
Select your language
27 May 2019
WORKING PAPER SERIES - No. 2287
Details
Abstract
The architecture of supervision – how we define the allocation of supervisory powers to different policy institutions – can have implications for policy conduct and for the economic and financial environment in which these policies are implemented. Theoretically, an integrated structure for monetary policy and supervision brings important benefits arising from better information flow and policy coordination. Aggregate supervisory information may significantly improve the conduct of monetary policy and the effectiveness of the lender of last resort function. As long as the process towards an integrated structure does not shrink the set of available tools, monetary policy and supervision are no less effective in pursuing their objectives than a separated structure. Additionally, an integrated structure does not seem to be correlated with more price and/or financial instability, as suggested by analysing a large global set of countries with different supervisory set-ups. A centralised structure for supervision entails significant benefits in terms of fewer opportunities for supervisory arbitrage by banks and less informational asymmetry. A large central supervisor can take advantage of economies of scale and scope in supervision and gain a broader perspective on the stability of the entire banking sector, which should result in improved financial stability. Potential drawbacks of a centralised supervisory structure are the possible lack of specialisation relative to local supervisors and the increased distance between the supervisor and the supervised institutions. We discuss the implications of our findings in the euro area context and in relation to the design of the Single Supervisory Mechanism (SSM).
JEL Code
E5 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit
G21 : Financial Economics→Financial Institutions and Services→Banks, Depository Institutions, Micro Finance Institutions, Mortgages
G38 : Financial Economics→Corporate Finance and Governance→Government Policy and Regulation
Network
Discussion papers
14 January 2020
WORKING PAPER SERIES - No. 2365
Details
Abstract
Extending the data set used in Beyer (2009) from 2007 to 2017, we estimate I(1) and I(2) money demand models for euro area M3. We find that the elasticities in the money demand and the real wealth relations identified previously in Beyer (2009) have remained remarkably stable throughout the extended sample period, once only a few additional deterministic variables in the long run relationships for the period after the start of the global financial crisis and the ECB’s non- standard monetary policy measures are included. Testing for price homogeneity in the I(2) model we find that the nominal-to-real transformation is not rejected for the money relation whereas the wealth relation cannot be expressed in real terms.
JEL Code
E41 : Macroeconomics and Monetary Economics→Money and Interest Rates→Demand for Money
C32 : Mathematical and Quantitative Methods→Multiple or Simultaneous Equation Models, Multiple Variables→Time-Series Models, Dynamic Quantile Regressions, Dynamic Treatment Effect Models, Diffusion Processes
C22 : Mathematical and Quantitative Methods→Single Equation Models, Single Variables→Time-Series Models, Dynamic Quantile Regressions, Dynamic Treatment Effect Models &bull Diffusion Processes
2017
Economics and Statistics 2017
The Crisis, Ten Years After: Lessons Learnt for Monetary and Financial Research
  • Andreas Beyer, Benoît Coeuré and Caterina Mendicino
2014
Jounal of Banking and Finance, 2014
The dynamics of spillover effects during the European sovereign debt turmoil
  • Andreas Beyer, Adrian Alter
2013
"The Great Inflation", M. Bordo and A. Orphanides (eds.), NBER Volume, Chicago Press
Opting Out of the Great Inflation: German Monetary Policy after the Break Down of Bretton Woods
  • Andreas Beyer, Vítor Gaspar, Christina Gerberding and Otmar Issing
2009
The B.E. Journal of Macroeconomics
Structural Breaks, Cointegration and the Fisher Effect
  • Andreas Beyer, Alfred Haug and William Dewald
2009
The Methodology and Practice of Econometrics - a Festschrift in Honour of David Hendry, Oxford University Press
Does it matter how to measure aggregates? The case of monetary transmission mechanisms in the Euro area
  • Andreas Beyer and Katarina Juselius
2008
Econometrics Journal
Factor Analysis in a Model with Rational Expectations
  • Andreas Beyer, Roger Farmer, Jérôme Henry, and Massimiliano Marcellino
2008
Macroeconomic Dynamics
What We Don’t Know About the Monetary Transmission Mechanism and Why We Don’t Know It
  • Andreas Beyer and Roger Farmer
2007
American Economic Review
Testing for Indeterminacy: an Application to U.S. Monetary Policy - Comment
  • Andreas Beyer and Roger Farmer
2007
Journal of Economic Dynamics and Control
Natural Rate Doubts
  • Andreas Beyer and Roger Farmer
2004
Journal of Common Market Studies Vol.42, 717-736
Issues on Money Demand: The Case of Europe
  • Andreas Beyer and Mike Artis
2001
Journal of Business and Economic Statistics, Vol.19, No.3, 315-323
Encompassing the VAR: A Formalisation of Seasonal Encompassing with an Application to a German Macromodel
  • Andreas Beyer
2001
Economic Journal, 111(469), 102-121
Constructing Historical Euro-Zone Data
  • Andreas Beyer, Jurgen Doornik and David Hendry
2000
Journal of Common Market Studies, Vol. 38, 47-68
Re-constructing Aggregate Euro-Zone Data
  • Andreas Beyer, Jurgen Doornik and David Hendry
1998
Journal of Applied Econometrics, Vol. 13 (1), 57-76
Modelling Money Demand in Germany
  • Andreas Beyer
2006
ECB
The Role of Money – Money and Monetary Policy in the twenty-first Century
  • Andreas Beyer and Lucrezia Reichlin (eds.)
2010
Enhancing Monetary Analysis
  • Andreas Beyer
2010
Enhancing Monetary Analysis
  • A. Beyer, B. Fischer and J. von Landesberger
1998
20. Symposium I Anvendt Statistik
  • Andreas Beyer
1993
Foundations of European Central Bank Policy
  • Andreas Beyer
2019
VoxEU
  • Miguel Ampudia, Thorsten Beck, Andreas Beyer, Jean-Edouard Colliard, Agnese Leonello, Angela Maddaloni, David Marques-Ibanez