Miguel Ampudia
Monetary Policy
- Division
Capital Markets/Financial Structure
- Current Position
-
Senior Economist
- Fields of interest
-
Financial Economics
- Other current responsibilities
- 2019-
Senior Economist
- Education
- 2013
PhD. Economics, Boston University (USA)
- 2010
M.A.Political Economy, Boston University (USA)
- 2005
B.A. Business Administration, Universidad Autónoma de Madrid (Spain)
- Professional experience
- 2013-2019
Economist, Financial Research Division
- 2005-2007
Research Analyst, Research Division, Banco de España
- Teaching experience
- 2012
Instructor, Boston University School of Management
- 2011
Teaching Assistant, Boston University
- 18 June 2024
- WORKING PAPER SERIES - No. 2948Details
- Abstract
- This paper studies the pass-through from wages to producer prices using sectoral disaggregated data for the euro area. We find a positive and statistically significant wage-price pass-through that reaches 50% after three years, which differs across sectors. The wage-price pass-through in private servicesis significantly higher than in industry and takes longer before reaching its peak. While a higher labour intensity is a key component of the pass-through, our estimates indicate that differences in sectoral labour shares alone cannot explain the larger wage-price pass-through in private services compared to industry. Instead, the estimates hint at an important role for international competition in the domestic market for the tradeable sector. They also suggest that the sales destination matters: wage growth contributes to domestic inflation for goods but not to export inflation. Finally, we also provide evidence of an increase in the wage-price pass-through after 2020, particularly in private services.
- JEL Code
- E24 : Macroeconomics and Monetary Economics→Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy→Employment, Unemployment, Wages, Intergenerational Income Distribution, Aggregate Human Capital
E31 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→Price Level, Inflation, Deflation
- 30 October 2023
- WORKING PAPER SERIES - No. 2858Details
- Abstract
- This paper studies the effect of monetary policy on inflation along the income distributionin several euro area countries. It shows that monetary policy has differential effects and identifies twochannels which point in opposite directions. On the one hand, different consumption shares imply thatthe inflation experienced by high-income households responds less to monetary policy. On the otherhand, the paper provides novel evidence that there are substantial differences in shopping behaviourand its reaction to monetary policy, which imply that the inflation experienced by high-income householdsresponds more to monetary policy.
- JEL Code
- 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
D30 : Microeconomics→Distribution→General - Network
- Price-setting Microdata Analysis Network (PRISMA)
- 17 July 2023
- OCCASIONAL PAPER SERIES - No. 325Details
- Abstract
- Inflation affects the purchasing power of households. This paper documents large, idiosyncratic inflation differences between households in their everyday shopping. Low-income households have experienced higher inflation in the last ten years, but the difference to richer households has been small and time varying. Household-specific behaviour appears to dominate inflation differences within countries. Between countries, multinational retail chains not only differentiate products by branding, but also charge different prices for identical products. Retailers continue to differentiate prices along national borders, even within largely integrated economic regions. Price changes, however, are broadly aligned across borders within the same retailers.
- JEL Code
- D12 : Microeconomics→Household Behavior and Family Economics→Consumer Economics: Empirical Analysis
D3 : Microeconomics→Distribution
D43 : Microeconomics→Market Structure and Pricing→Oligopoly and Other Forms of Market Imperfection
E31 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→Price Level, Inflation, Deflation
F15 : International Economics→Trade→Economic Integration
F4 : International Economics→Macroeconomic Aspects of International Trade and Finance
- 15 November 2022
- WORKING PAPER SERIES - No. 2749Details
- Abstract
- We test whether a simple measure of corporate insolvency based on equity return volatility -and denoted as Distance to Insolvency (DI) - delivers better prediction of corporate defaults than the widely-used Expected Default Frequency (EDF) measure computed by Moody’s. We look at the predictive power that current DIs and EDFs have for future defaults, both at a firm-level and at an aggregate level. At the granular level, both DIs and EDFs anticipate corporate defaults, but the DI contains information over and above the EDF, especially at longer forecasting horizons. At an aggregate level the DI shows superior forecasting power compared to the EDF, for horizons between 3 and 12 months. We illustrate the predictive power of the DI measure for the aggregate default rate by examining how corporate defaults would have evolved during the period marked by the spreading of the COVID-19 pandemic if DIs had not increased (so making future defaults less likely) also owing to the Eurosystem’s Public Emergency Purchase Program (PEPP).
- JEL Code
- C53 : Mathematical and Quantitative Methods→Econometric Modeling→Forecasting and Prediction Methods, Simulation Methods
C58 : Mathematical and Quantitative Methods→Econometric Modeling→Financial Econometrics
G33 : Financial Economics→Corporate Finance and Governance→Bankruptcy, Liquidation
- 26 April 2022
- ECONOMIC BULLETIN - BOXEconomic Bulletin Issue 3, 2022Details
- Abstract
- The price of emissions allowances traded on the EU Emissions Trading System (ETS) has risen from below €10 per metric tonne of carbon to above €90 since the beginning of 2018. This box outlines the main reasons behind this increase and examines whether speculative activity may have played a significant role. It concludes that, at present, tangible evidence for a marked increase in speculative activity related to potential changes in market structure appears scarce. Furthermore, a speculation index suggests that, while speculation appears to have increased slightly since early 2019, it remains relatively moderate and well below readings during earlier phases of the ETS.
- JEL Code
- G12 : Financial Economics→General Financial Markets→Asset Pricing, Trading Volume, Bond Interest Rates
G14 : Financial Economics→General Financial Markets→Information and Market Efficiency, Event Studies, Insider Trading
G38 : Financial Economics→Corporate Finance and Governance→Government Policy and Regulation
- 22 September 2021
- RESEARCH BULLETIN - No. 87.3Details
- Abstract
- Many countries have implemented macroprudential policies. The aims are twofold: first, to render the financial system more resilient to shocks and, second, to prevent booms and busts in the financial system in response to economic cycles. This article provides theoretical and empirical evidence which shows the positive impact that these measures have on financial stability, as well as the gains in economic growth derived from a stronger financial system.
- JEL Code
- G21 : Financial Economics→Financial Institutions and Services→Banks, Depository Institutions, Micro Finance Institutions, Mortgages
- Network
- Research Task Force (RTF)
- 28 May 2021
- WORKING PAPER SERIES - No. 2559Details
- Abstract
- Since the global financial crises, many countries have implemented macroprudential policies with the aim to render the financial system more resilient to shocks and limit the procyclicality of the financial system. We present theoretical and empirical evidence on the effectiveness of macroprudential policy, on both, financial stability and economic growth focussing on capital measures and borrower-based measures.
- JEL Code
- G21 : Financial Economics→Financial Institutions and Services→Banks, Depository Institutions, Micro Finance Institutions, Mortgages
- Network
- Discussion papers
- 28 May 2021
- DISCUSSION PAPER SERIES - No. 15Details
- Abstract
- Since the global financial crises, many countries have implemented macroprudential policies with the aim to render the financial system more resilient to shocks and limit the procyclicality of the financial system. We present theoretical and empirical evidence on the effectiveness of macroprudential policy, on both, financial stability and economic growth focussing on capital measures and borrower-based measures.
- JEL Code
- G21 : Financial Economics→Financial Institutions and Services→Banks, Depository Institutions, Micro Finance Institutions, Mortgages
- 28 July 2020
- ECONOMIC BULLETIN - BOXEconomic Bulletin Issue 5, 2020Details
- Abstract
- After a pronounced decline until mid-April 2020, near-term earnings growth expectations derived from surveys and derivatives pricing in euro area equity markets appear to have troughed as the economic recovery is expected to gradually take hold. At the same time, a number of indicators show that investors remain concerned about a more protracted weakness in the euro area economy. Moreover, and despite a significant improvement since the announcement of the pandemic emergency purchase programme (PEPP), market participants continue to price significant downside risks in equity markets in a highly uncertain environment. Nevertheless, equity prices continue to increase against the backdrop of a stabilisation in risk sentiment, global policy support, and the fact that tail risks of an imminent global financial crisis have faded to some extent. However, if current expectations of a recovery in earnings turn out to be overly optimistic, there will be substantial risks of significant renewed declines in equity prices.
- JEL Code
- E44 : Macroeconomics and Monetary Economics→Money and Interest Rates→Financial Markets and the Macroeconomy
E52 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Monetary Policy
G12 : Financial Economics→General Financial Markets→Asset Pricing, Trading Volume, Bond Interest Rates
G15 : Financial Economics→General Financial Markets→International Financial Markets
- 17 June 2020
- ECONOMIC BULLETIN - BOXEconomic Bulletin Issue 4, 2020Details
- Abstract
- The spread of the coronavirus (COVID-19) pandemic across the globe has led to significant declines in major equity indices and a spike in volatility to values above those recorded in the aftermath of the default of Lehman Brothers in September 2008. In line with the sharp rise in current risks, investors also raised their expectations of future risks, as shown by a widening of the risk-neutral density of future euro area equity returns. The increase in perceived risks accompanied a noticeable rise in investors’ risk aversion to negative tail events. More recently, and following the announcement of significant monetary and fiscal policy stimulus, the estimated tail risk aversion has been declining, while expected risks remain elevated.
- JEL Code
- G10 : Financial Economics→General Financial Markets→General
G12 : Financial Economics→General Financial Markets→Asset Pricing, Trading Volume, Bond Interest Rates
G13 : Financial Economics→General Financial Markets→Contingent Pricing, Futures Pricing
- 16 July 2019
- RESEARCH BULLETIN - No. 60Details
- Abstract
- The effects of interest rate surprises on banks are different when nominal interest rates are very low. In “normal” times, policy rate announcements that are below market expectations tend to boost banks’ stock prices on average. When interest rates are very low, however, there is a reversal of this effect: at such times, negative rate surprises reduce banks’ stock prices. This negative impact is larger for banks whose funding relies more on retail deposits than on other sources of funding.
- JEL Code
- 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
G21 : Financial Economics→Financial Institutions and Services→Banks, Depository Institutions, Micro Finance Institutions, Mortgages - Network
- Research Task Force (RTF)
- 27 May 2019
- WORKING PAPER SERIES - No. 2287Details
- 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
- 27 May 2019
- DISCUSSION PAPER SERIES - No. 9Details
- 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
- 15 November 2018
- WORKING PAPER SERIES - No. 2199Details
- Abstract
- This paper examines the effects of monetary policy on the equity values of European banks. We identify monetary policy shocks by looking at changes in the EONIA one-month and two-year swap contract rates during narrow windows around the press statements and press conferences announcing monetary policy actions taken by the ECB. We find that an unexpected decrease of 25 basis points on the short-term policy rate increases banks’ stock prices by about 1% on average. These effects vary substantially over time; in particular, they were stronger during the crisis period and reversed during the recent period with low and even negative interest rates. That is, with rates close to or below zero, further interest rate cuts became detrimental for banks’ equity values. The composition of banks’ balance sheets is important in order to understand these effects. In particular, the change in sensitivity to interest rate surprises as rates drop to low and negative levels is much more pronounced for banks with a high reliance on deposit funding, compared to other banks. We argue that this pattern can be explained by a reluctance of banks to pay negative interest rates on retail deposits.
- JEL Code
- 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
G21 : Financial Economics→Financial Institutions and Services→Banks, Depository Institutions, Micro Finance Institutions, Mortgages - Network
- Research Task Force (RTF)
- 12 October 2018
- WORKING PAPER SERIES - No. 2184Details
- Abstract
- We examine the role of trust in households’ decisions to hold a bank account and to switch to a new bank. We explore Italian household-level data that contain restricted information on the banks that the households are doing business with, as well as measures of trust in the households’ main bank and the banking sector. We find that households who distrust the banking sector are less likely to hold a bank account. Moreover, account holders are more likely to switch to a new main bank if they do not trust their current one. The estimated relationships persist over and above a range of socioeconomic variables.
- JEL Code
- G21 : Financial Economics→Financial Institutions and Services→Banks, Depository Institutions, Micro Finance Institutions, Mortgages
G28 : Financial Economics→Financial Institutions and Services→Government Policy and Regulation
D14 : Microeconomics→Household Behavior and Family Economics→Household Saving; Personal Finance - Network
- Household Finance and Consumption Network (HFCN)
- 18 July 2018
- DISCUSSION PAPER SERIES - No. 6Details
- Abstract
- This paper considers how monetary policy produces heterogeneous effects on euro area households, depending on the composition of their income and on the components of their wealth. We first review the existing evidence on how monetary policy affects income and wealth inequality. We then illustrate quantitatively how various channels of transmission—net interest rate exposure, intertemporal substitution and indirect income channels—affect individual euro area households. We find that the indirect income channel has an overwhelming importance, especially for households holding few or no liquid assets. The indirect income channel is therefore also a substantial driver of changes in consumption at the aggregate level.
- JEL Code
- D14 : Microeconomics→Household Behavior and Family Economics→Household Saving; Personal Finance
D31 : Microeconomics→Distribution→Personal Income, Wealth, and Their Distributions
E21 : Macroeconomics and Monetary Economics→Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy→Consumption, Saving, Wealth
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
- 18 July 2018
- WORKING PAPER SERIES - No. 2170Details
- Abstract
- This paper considers how monetary policy produces heterogeneous effects on euro area households, depending on the composition of their income and on the components of their wealth. We first review the existing evidence on how monetary policy affects income and wealth inequality. We then illustrate quantitatively how various channels of transmission — net interest rate exposure, inter-temporal substitution and indirect income channels — affect individual euro area households. We find that the indirect income channel has an overwhelming importance, especially for households holding few or no liquid assets. The indirect income channel is therefore also a substantial driver of changes in consumption at the aggregate level.
- JEL Code
- D14 : Microeconomics→Household Behavior and Family Economics→Household Saving; Personal Finance
D31 : Microeconomics→Distribution→Personal Income, Wealth, and Their Distributions
E21 : Macroeconomics and Monetary Economics→Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy→Consumption, Saving, Wealth
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 - Network
- Discussion papers
- 20 January 2017
- WORKING PAPER SERIES - No. 1990Details
- Abstract
- This paper studies the determinants of being unbanked in the euro area and the United States as well as the effects of being unbanked on wealth accumulation. Based on household-level data from the euro area Household Finance and Consumption Survey and the U.S. Survey of Consumer Finance, it first documents that there are, respectively, 3.6% and 7.5% of unbanked households in the two economies. Low-income households, unemployed households and those with a poor education are the most likely to be affected, and remarkably more so in the United States than in the euro area. At the same time, there is a role for government policies in fostering financial inclusion. Using a propensity score matching approach to estimate the effects of being unbanked, it is found that banked households report substantially higher net wealth than their unbanked counterparts, with a gap of around
- JEL Code
- G21 : Financial Economics→Financial Institutions and Services→Banks, Depository Institutions, Micro Finance Institutions, Mortgages
G28 : Financial Economics→Financial Institutions and Services→Government Policy and Regulation
D14 : Microeconomics→Household Behavior and Family Economics→Household Saving; Personal Finance - Network
- Household Finance and Consumption Network (HFCN)
- 22 October 2014
- WORKING PAPER SERIES - No. 1737Details
- Abstract
- We propose a novel framework to identify distressed households by taking account of both the solvency and the liquidity situation of an individual household. Using the data from the Household Finance and Consumption Survey and the country-level data on non-performing loans we calibrate our metric of distress and estimate stress-test elasticities in response to an interest rate shock, an income shock and a house price shock. We find that, albeit euro area households are relatively resilient as a whole, there are large discrepancies in the impact of macroeconomic shocks across countries. Furthermore, while losses given default as calculated using our framework are low, they are sensitive to house prices changes. Hence, any factors hindering the seizure of the collateral or lowering its value, such as inefficient legal systems, moratoria on foreclosures or bottlenecks in judicial procedures may significantly increase losses facing banks. Finally, we demonstrate that our framework could be used for macroprudential purposes, in particular for the calibration of country level loan-to-value ratio caps.
- JEL Code
- D10 : Microeconomics→Household Behavior and Family Economics→General
D14 : Microeconomics→Household Behavior and Family Economics→Household Saving; Personal Finance
G21 : Financial Economics→Financial Institutions and Services→Banks, Depository Institutions, Micro Finance Institutions, Mortgages - Network
- Household Finance and Consumption Network (HFCN)
- 4 August 2014
- WORKING PAPER SERIES - No. 1705Details
- Abstract
- We extend household-level data from the Household Finance and Consumption Survey using aggregate series and micro-simulations to investigate heterogeneity in the euro area. We quantify shocks to wealth, income and financial pressure faced by various categories of households since the onset of the Great Recession. The shocks differ substantially both across countries and across economic and socio-demographic characteristics. We find that the rising unemployment rate disproportionately affected the income-poor, while the declining wealth the income-rich. Although borrowers benefited from the substantial decrease in interest rates, debt service-income and debt-income ratios for poor households went up as they faced falling incomes. Household deleveraging was primarily driven by the restrained mortgage borrowing by the young. In several countries and at the euro-area level the unprecedented declines in asset prices substantially contributed to the sluggish consumption growth driven by both rich and poor households: while the former were hit by large shocks to wealth, the latter also significantly cut their spending because of their high MPCs.
- JEL Code
- D12 : Microeconomics→Household Behavior and Family Economics→Consumer Economics: Empirical Analysis
D31 : Microeconomics→Distribution→Personal Income, Wealth, and Their Distributions
E21 : Macroeconomics and Monetary Economics→Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy→Consumption, Saving, Wealth - Network
- Household Finance and Consumption Network (HFCN)
- 12 March 2014
- WORKING PAPER SERIES - No. 1652Details
- Abstract
- This paper studies to what extent the experiences of households shape their willingness to take financial risks. It follows the methodology of Malmendier and Nagel (2011) and applies it to a novel data set on household finances covering euro area households. We show that experienced stock market returns matter in a statistically significant and economically substantial fashion: better experiences increase the financial risk households are willing to take as well as stock market participation along the intensive and the extensive margin. We find that more distant experiences receive a somewhat lower (but still substantial) weight than the corresponding findings suggest for the United States. Furthermore, there are additional effects stemming from the experience of extreme stock market downturns. Households in countries that witnessed a particularly severe 2008 stock market crash give substantially more weight to the most recent experience, suggesting that in these countries an even more pronounced underinvestment in the stock market should be expected in the years to come. The evidence highlights the relevance of personal experiences for household behaviour.
- JEL Code
- D03 : Microeconomics→General→Behavioral Microeconomics, Underlying Principles
D14 : Microeconomics→Household Behavior and Family Economics→Household Saving; Personal Finance
D83 : Microeconomics→Information, Knowledge, and Uncertainty→Search, Learning, Information and Knowledge, Communication, Belief
G11 : Financial Economics→General Financial Markets→Portfolio Choice, Investment Decisions - Network
- Household Finance and Consumption Network (HFCN)
- 2022
- Journal of Monetary EconomicsMonetary Policy and Bank Equity Values in a Time of Low and Negative Interest Rates
- 2018
- Economic ModellingBorrowing Constraints and Housing Price Expectations in the Euro Area
- 2017
- European Economic ReviewMacroeconomic Experiences and Risk Taking of Euro Area Households
- 2016
- Journal of Financial StabilityFinancial Fragility of Euro Area Households
- 2016
- Journal of Policy ModelingHousehold Heterogeneity in the Euro Area since the Onset of the Great Recession
- 2013
- SERIEs: Journal of the Spanish Economic AssociationStockholding in Spain
- 2011
- Management ScienceSimple Economics of the Price-Setting Newsvendor Problem