Geoff Kenny
Research
- Division
-
Monetary Policy Research
- Current Position
-
Head of Section
- Fields of interest
-
Mathematical and Quantitative Methods,Macroeconomics and Monetary Economics
- Other current responsibilities
- 2018-
ECB Consumer Expectations Survey
- 2018-
Co-Chair ESCB Internet Survey Contact Group
- 2017-
Deputy Leader, Research Group on Monetary Policy Strategy and Implementation
- Education
- 1996-1998
MSc. Financial Mathematics, Dublin City University, Ireland
- 1993-1994
MA Economics and Finance, National University of Ireland, Maynooth
- 1987-1991
BSc. Finance, St. Joseph University, Philiadelphia, USA
- Professional experience
- 2017-
Head of Monetary Economics Section - Monetary Policy Research Division, Directorate General Research, European Central Bank
- 2016-2019
Coordinating Editor, ECB Research Bulletin
- 2011-2016
Deputy Head of Division - Monetary Policy Research Division, Directorate General Research, European Central Bank
- 2008-2011
Deputy Head of Division - Econometric Modelling Division, Directorate General Research, European Central Bank
- 2004-2008
Head of Prices and Costs Section - Euro Area Macroeconomic Developments Division, Directorate General Economics, European Central Bank
- 1999-2004
Economist/Principal Economist - Euro Area Macroeconomics Division, Directorate General Economics, European Central Bank
- 1994-1999
Economist - Economic Analysis, Research and Publications Department, Central Bank of Ireland
- Teaching experience
- 1996-1997
Lecturer in International Monetary Economics and Policy - Michael Smurfit Graduate School of Business, University College Dublin, Ireland
- 1993-1994
Lecturer in Economics and Finance - National University of Ireland, Maynooth, Ireland
- 1 August 2002
- WORKING PAPER SERIES - No. 163Details
- Abstract
- This paper uses survey data to assess consumers' inflation expectations in the euro area. The probability approach is used to derive quantitative estimates of inflation expectations from the European Commission's Consumer Survey. The paper subsequently analyses the empirical properties of the estimated inflation expectations by considering the extent to which they fulfil some of the necessary conditions for rationality. The results suggest an intermediate form of rationality. In particular, the surveyed expectations are an unbiased predictor of future price developments and they incorporate - though not always completely - a broad set of macroeconomic information. In addition, although persistent deviations between consumers' expectations and the rational outcome have occurred, consumers are shown to rationally adjust their expectations in order to eventually 'weed out' any systematic expectational errors. Interestingly, perhaps reflecting changes in the monetary regime, there is also evidence of 'growing' rationality over the 1990s compared with the 1980s.
- JEL Code
- D12 : Microeconomics→Household Behavior and Family Economics→Consumer Economics: Empirical Analysis
D84 : Microeconomics→Information, Knowledge, and Uncertainty→Expectations, Speculations
E31 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→Price Level, Inflation, Deflation
- 25 May 2004
- OCCASIONAL PAPER SERIES - No. 15Details
- Abstract
- In this paper we review the well-known problem of how to measure price developments when the quality of the underlying goods and services is changing over time. The importance of appropriate methods to take account of quality change is highlighted from the perspective of monetary policy. In particular, we highlight the need for credible and transparent price indicators. In this context, we review the hedonic approach to calculating quality-adjusted price indices and assess the available information on their effects as well as their potential for improving credibility and comparability. Current practices as regards quality adjustment in the European Union (EU) are also discussed, with particular emphasis on the Harmonised Index of Consumer Prices (HICP). Overall, we give a qualified endorsement of hedonics for specific product categories and make some suggestions about how the work on quality adjustment in the EU can be further developed, focusing in particular on the role of hedonics.
- JEL Code
- C10 : Mathematical and Quantitative Methods→Econometric and Statistical Methods and Methodology: General→General
C18 : Mathematical and Quantitative Methods→Econometric and Statistical Methods and Methodology: General→Methodological Issues: General
C43 : Mathematical and Quantitative Methods→Econometric and Statistical Methods: Special Topics→Index Numbers and Aggregation
E31 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→Price Level, Inflation, Deflation
- 5 April 2007
- OCCASIONAL PAPER SERIES - No. 59Details
- Abstract
- Eight years have passed since the European Central Bank (ECB) launched its Survey of Professional Forecasters (SPF). The SPF asks a panel of approximately 75 forecasters located in the European Union (EU) for their short- to longer-term expectations for macroeconomic variables such as euro area inflation, growth and unemployment. This paper provides an initial assessment of the information content of this survey. First, we consider shorter-term (i.e., one- and two-year ahead rolling horizon) forecasts. The analysis suggests that, over the sample period, in common with other private and institutional forecasters, the SPF systematically under-forecast inflation but that there is less evidence of such systematic errors for GDP and unemployment forecasts. However, these findings, which generally hold regardless of whether one considers the aggregate SPF panel or individual responses, should be interpreted with caution given the relatively short sample period available for the analysis. Second, we consider SPF respondents
- JEL Code
- C83 : Mathematical and Quantitative Methods→Data Collection and Data Estimation Methodology, Computer Programs→Survey Methods, Sampling Methods
E37 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→Forecasting and Simulation: Models and Applications
E50 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→General
- 8 December 2010
- WORKING PAPER SERIES - No. 1277Details
- Abstract
- In this paper, we explore the potential gains from alternative combinations of the surveyed forecasts in the ECB Survey of Professional Forecasters. Our analysis encompasses a variety of methods including statistical combinations based on principal components analysis and trimmed means, performance-based weighting, least squares estimates of optimal weights as well as Bayesian shrinkage. We provide a pseudo real-time out-of-sample performance evaluation of these alternative combinations and check the sensitivity of the results to possible data-snooping bias. The latter robustness check is also informed using a novel real time meta selection procedure which is not subject to the data-snooping critique. For GDP growth and the unemployment rate, only few of the forecast combination schemes are able to outperform the simple equal-weighted average forecast. Conversely, for the inflation rate there is stronger evidence that more refined combinations can lead to improvement over this benchmark. In particular, for this variable, the relative improvement appears significant even controlling for data snooping bias.
- 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
C53 : Mathematical and Quantitative Methods→Econometric Modeling→Forecasting and Prediction Methods, Simulation Methods
- 7 October 2011
- OCCASIONAL PAPER SERIES - No. 130Details
- Abstract
- The economics profession in general, and economic forecasters in particular, have faced some understandable criticism for their failure to predict the timing and severity of the recent economic crisis. In this paper, we offer some assessment of the performance of the Economic Analysis conducted at the ECB both in the run up to and since the onset of the crisis. Drawing on this assessment, we then offer some indications of how the analysis of economic developments could be improved looking forward. The key priorities identifi ed include the need to: i) extend existing tools and/or develop new tools to account for important feedback mechanisms, for instance, improved real-fi nancial linkages and non-linear dynamics; ii) develop ways to handle the complexity arising from the presence of multiple models and alternative economic paradigms; and iii) given the limitations of point forecasts, to further develop risk and scenario analysis around baseline projections.
- JEL Code
- C43 : Mathematical and Quantitative Methods→Econometric and Statistical Methods: Special Topics→Index Numbers and Aggregation
D91 : Microeconomics→Intertemporal Choice→Intertemporal Household Choice, Life Cycle Models and Saving
E31 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→Price Level, Inflation, Deflation
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
- 11 July 2012
- WORKING PAPER SERIES - No. 1446Details
- Abstract
- In this paper, we propose a framework to evaluate the subjective density forecasts of macroeconomists using micro data from the euro area Survey of Professional Forecasters (SPF). A key aspect of our analysis is the evaluation of the entire predictive densities, including an evaluation of the impact of density features such as location, spread, skew and tail risk on density forecast performance. Overall, we find considerable heterogeneity in the performance of the surveyed densities at the individual level. Relative to a set of simple benchmarks, this performance is somewhat better for GDP growth than for inflation, although in the former case it diminishes substantially with the forecast horizon. In addition, we report evidence of some improvement in the relative performance of expert densities during the recent period of macroeconomic volatility. However, our analysis also reveals clear evidence of overconfidence or neglected risks in expert probability assessments, as reflected in frequent occurrences of events which are assigned a zero probability. Moreover, higher moment features of expert densities, such as skew or the degree of probability mass in their tails, are shown not to contribute significantly to improvements in individual density forecast performance.
- 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
C53 : Mathematical and Quantitative Methods→Econometric Modeling→Forecasting and Prediction Methods, Simulation Methods
- 26 April 2013
- WORKING PAPER SERIES - No. 1540Details
- Abstract
- We propose methods to evaluate the risk assessments collected as part of the ECB Survey of Professional Forecasters (SPF). Our approach focuses on direction-of-change predictions as well as the prediction of relatively more extreme macroeconomic outcomes located in the upper and lower regions of the predictive densities. For inflation and GDP growth, we find such surveyed densities are informative about future direction of change. Regarding more extreme high and low outcome events, the surveys are really only informative about GDP growth outcomes and at short-horizons. The upper and lower regions of the predictive densities for inflation are much less informative.
- 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
C53 : Mathematical and Quantitative Methods→Econometric Modeling→Forecasting and Prediction Methods, Simulation Methods
- 23 May 2014
- WORKING PAPER SERIES - No. 1679Details
- Abstract
- In this paper, we exploit micro data from the ECB Survey of Professional Forecasters (SPF) to examine the link between the characteristics of macroeconomic density forecasts (such as their location, spread, skewness and tail risk) and density forecast performance. Controlling for the effects of common macroeconomic shocks, we apply cross-sectional and fixed effect panel regressions linking such density characteristics and density forecast performance. Our empirical results suggest that many macroeconomic experts could systematically improve their density performance by correcting a downward bias in their variances. Aside from this shortcoming in second moment characteristics of the individual densities, other higher moment features, such as skewness or variation in the degree of probability mass given to the tails of the predictive distributions tend - as a rule - not to contribute significantly to enhancing individual density forecast performance.
- 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
C53 : Mathematical and Quantitative Methods→Econometric Modeling→Forecasting and Prediction Methods, Simulation Methods
- 25 January 2017
- WORKING PAPER SERIES - No. 1999Details
- Abstract
- This paper analyses the distribution of long-term inflation expectations in the euro area using individual density forecasts from the ECB Survey of Professional Forecasters. We exploit the panel dimension in this dataset to examine whether this distribution became less stable following the Great Recession, subsequent sovereign debt crisis and period when the lower bound on nominal interest rates became binding. Our results suggest that the distribution did change along several dimensions. We document a small downward shift in mean long-run expectations toward the end of our sample although they remain aligned with the ECB definition of price stability. More notably, however, we identify a trend toward a more uncertain and negatively skewed distribution with higher tail risk. Another main finding is that key features of the distribution are influenced by macroeconomic news, including the ex post historical track record of the central bank.
- JEL Code
- E31 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→Price Level, Inflation, Deflation
E58 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Central Banks and Their Policies - Network
- Task force on low inflation (LIFT)
- 19 April 2017
- OCCASIONAL PAPER SERIES - No. 186Details
- Abstract
- This report updates and extends earlier assessments of quantitative inflation perceptions and expectations of consumers in the euro area and the EU using an anonymised micro data set collected by the European Commission in the context of the Harmonised EU Programme of Business and Consumer Surveys. Confirming earlier findings, consumers' quantitative estimates of inflation are found to be higher than actual HICP (Harmonised Index of Consumer Prices) inflation over the entire sample period (2004-2015). The analysis shows that European consumers hold different opinions of inflation depending on their income, age, education and gender. Although many of the features highlighted for the EU and the euro area aggregates are valid across individual Member States, differences exist also at the country level. Despite the higher inflation estimates, there is a high level of co-movement between measured and estimated (perceived/expected) inflation. Even respondents providing estimates largely above actual HICP inflation, demonstrate understanding of the relative level of inflation during both high and low inflation periods. Based on these economically plausible results, the report concludes that further work should be devoted to defining concrete aggregate indicators of consumers' quantitative inflation perceptions and expectations on the basis of the dataset used in this study. Moreover, it outlines a number of future research topics that can be addressed by exploiting the enormous potential of the data set.
- JEL Code
- D8 : Microeconomics→Information, Knowledge, and Uncertainty
D12 : Microeconomics→Household Behavior and Family Economics→Consumer Economics: Empirical Analysis
E31 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→Price Level, Inflation, Deflation
- 14 November 2018
- WORKING PAPER SERIES - No. 2196Details
- Abstract
- This paper exploits a very large multi-country survey of consumers to investigate empirically the relationship between inflation expectations and consumer spending. We document that for the Euro Area and almost all of its constituent countries this relationship is generally positive: a higher expected change in inflation is associated with an increase in the probability that a given consumer will make major purchases. Moreover, in line with the predictions of macroeconomic theory, the impact is stronger when the lower bound on nominal interest rates is binding. Also, using the estimated spending probabilities from our micro-level analysis, we indirectly estimate the impact of a gradual increase in inflation expectations on aggregate private consumption. We find the effects to be economically relevant, especially when the lower bound is binding.
- JEL Code
- E21 : Macroeconomics and Monetary Economics→Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy→Consumption, Saving, Wealth
E31 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→Price Level, Inflation, Deflation
E52 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Monetary Policy
D12 : Microeconomics→Household Behavior and Family Economics→Consumer Economics: Empirical Analysis
D84 : Microeconomics→Information, Knowledge, and Uncertainty→Expectations, Speculations
- 18 December 2020
- WORKING PAPER SERIES - No. 2507Details
- Abstract
- Using new panel data from a representative survey of households in the six largest euro area economies, the paper estimates the impact of the Covid-19 crisis on consumption. The panel provides, each month, household-specific indicators of the concern about finances due to Covid-19 from the first peak of the pandemic until October 2020. The results show that this concern causes a significant reduction in non-durable consumption. The paper also explores the potential impact on consumption of government interventions and of another wave of Covid-19, using household-level consumption adjustments to scenarios that involve positive and negative income shocks. Fears of the financial consequences of the pandemic induce a significant reduction in the marginal propensity to consume, an effect consistent with models of precautionary saving and liquidity constraints. The results are robust to endogeneity concerns through use of panel fixed effects and partial identification methods, which account also for time-varying unobservable variables, and provide informative identification regions of the average treatment effect of the concern for Covid-19 under weak assumptions.
- JEL Code
- D12 : Microeconomics→Household Behavior and Family Economics→Consumer Economics: Empirical Analysis
D81 : Microeconomics→Information, Knowledge, and Uncertainty→Criteria for Decision-Making under Risk and Uncertainty
E21 : Macroeconomics and Monetary Economics→Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy→Consumption, Saving, Wealth
G51 : Financial Economics
H31 : Public Economics→Fiscal Policies and Behavior of Economic Agents→Household
- 12 January 2021
- RESEARCH BULLETIN - No. 79Details
- Abstract
- Economists have argued that when interest rates set by policymakers cannot go any lower, the economy can be stabilised if consumers expect the rate of inflation to increase. Yet, the evidence for this stabilising effect has been very mixed. In this article we review new evidence from a monthly survey of over 25,000 individual consumers across the euro area showing that consumers are indeed more ready to spend if they expect inflation to be higher in the future. While generalised in the population, the stabilising effect is stronger when nominal interest rates are constrained at the lower bound.
- JEL Code
- D12 : Microeconomics→Household Behavior and Family Economics→Consumer Economics: Empirical Analysis
D84 : Microeconomics→Information, Knowledge, and Uncertainty→Expectations, Speculations
E21 : Macroeconomics and Monetary Economics→Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy→Consumption, Saving, Wealth
E31 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→Price Level, Inflation, Deflation
E52 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Monetary Policy
- 21 May 2021
- WORKING PAPER SERIES - No. 2557Details
- Abstract
- Using a new survey of European households, we study how exogenous variation in the macroeconomic uncertainty perceived by households affects their spending decisions. We use randomized information treatments that provide different types of information about the first and/or second moments of future economic growth to generate exogenous changes in the perceived macroeconomic uncertainty of some households. The effects on their spending decisions relative to an untreated control group are measured in follow-up surveys. Higher macroeconomic uncertainty induces households to reduce their spending on non-durable goods and services in subsequent months as well as to engage in fewer purchases of larger items such as package holidays or luxury goods. Moreover, uncertainty reduces household propensity to invest in mutual funds. These results support the notion that macroeconomic uncertainty can impact household decisions and have large negative effects on economic outcomes.
- JEL Code
- E3 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles
E4 : Macroeconomics and Monetary Economics→Money and Interest Rates
E5 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit
- 31 May 2021
- RESEARCH BULLETIN - No. 84Details
- Abstract
- The coronavirus (COVID-19) pandemic has generated a complex economic shock that has affected households across the euro area very differently. In studying the impact of this shock on household consumption and the implications for the economic outlook it is critical to understand and factor in these large divergences. In this article, we use rich data from the Consumer Expectations Survey, a new ECB household survey that interviews around 10,000 households across the six largest euro area economies on a monthly basis. We document substantial divergences in pandemic-induced financial concerns of households across population subgroups and countries, with financial concerns being significantly higher for younger, female, and low-income individuals in countries where the first wave of COVID-19 was more severe. Also, we show how these concerns can account to a large extent for the drop in aggregate household spending in 2020. Reflecting this heterogeneity, our results imply that fiscal measures will be most effective in stabilising aggregate consumption and supporting economic recovery if they target the most vulnerable groups with the greatest financial concerns.
- JEL Code
- D12 : Microeconomics→Household Behavior and Family Economics→Consumer Economics: Empirical Analysis
D81 : Microeconomics→Information, Knowledge, and Uncertainty→Criteria for Decision-Making under Risk and Uncertainty
E21 : Macroeconomics and Monetary Economics→Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy→Consumption, Saving, Wealth
G51 : Financial Economics
H31 : Public Economics→Fiscal Policies and Behavior of Economic Agents→Household
- 2020
- Journal of Monetary EconomicsInflation Expectations, Consumption and the Lower Bound: Micro Evidence from a Large Multi Country Survey
- 2020
- International Journal of Central bankingAnchoring Inflation Expectations in Unconventional Times: Micro Evidence for the Euro Area
- 2015
- International Journal of Central BankingCan macroeconomists forecast risk? Event-based evidence from the ECB SPF
- 2015
- Empirical EconomicsDensity forecast features and density forecast performance: A panel analysis
- 2014
- Journal of ForecastingHow informative are the subjective density forecasts of macroeconomists?
- 2013
- International Journal of ForecastingCombining expert forecasts: Can anything beat the simple average?
- 2010
- Journal of Business Cycle Measurement and AnalysisAn evaluation of the growth and unemployment forecasts in the ECB SPF
- 2004
- Journal of Business Cycle Measurement and AnalysisSurvey expectations, rationality and the dynamics of euro area inflation
- 2003
- Economic ModellingAsymmetric adjustment costs and the dynamics of housing supply
- 1999
- Economic ModellingModelling the demand and supply sides of the housing market: evidence from Ireland
- 1999
- The Manchester SchoolModelling Traded, Non-Traded and Aggregate Prices in a Small Open Economy: The Case of Ireland
- 1998
- Applied EconomicsExchange Rate Pass-Through and Import Prices: The Case of Ireland
- 1997
- Irish Banking ReviewLow Inflation or Price Stability? A Look at the Issues
- 1997
- Journal of the Statistical and Social Enquiry Society of IrelandInflation in Ireland: Theory and Evidence
- 2011
- Cambridge University PressMacroeconomic Performance in a Globalising Economy
- 2010
- Inflation ExpectationsFurther evidence on the properties of consumers’ inflation expectations in the Euro Area