تجزیه و تحلیل پولی و سیاست های پولی در منطقه یورو 1999-2006

This paper assesses the practical experience of monetary analysis at the ECB from the introduction of the euro in 1999 through 2006. The paper exploits a unique and rich real-time data set, containing both the vintages of data and the economic models that have been employed in the ECB's monetary analysis during the first eight years of Monetary Union. It embodies both a description of how monetary analysis was conducted over this period and a quantitative evaluation of the indicators of risks to price stability that derived from this analysis. A close investigation of this material is used to evaluate the role monetary analysis has played in the evolution of monetary policy in the euro area.

Since the announcement of the ECB's monetary policy strategy in October 1998, the “prominent role” assigned to money within it has been the subject of an intense debate. To place this debate in context, it is useful to recall the broader framework for monetary policy making in the euro area. When taking interest rate decisions aimed at the maintenance of price stability, the Governing Council of the ECB draws on both economic analysis and monetary analysis (ECB, 1999b, 2003). The former attempts to identify the economic shocks driving the business cycle and thus embodies a thorough assessment of the cyclical dynamics of inflation. The latter analyzes the monetary trends associated with price developments over the medium to longer-term. While, in principle, there is no arbitrary segregation of the available data between the two forms of analysis, in practice the economic analysis is largely focused on developments in economic activity and price and cost indicators, whereas the monetary analysis relies on a close scrutiny of the monetary aggregates, their components and counterparts, as recorded in the consolidated balance sheet of the euro area monetary financial institutions (MFI) sector (ECB, 1999a, 2000a).1 In contributing to this rich debate, this paper adopts a different approach from the existing literature. Rather than attempting to motivate or criticize the role played by monetary analysis in the abstract, it focuses on how monetary analysis has been conducted in practice. More specifically, the paper presents: a narrative history of the ECB's monetary analysis from the introduction of the euro in 1999 until the end of 2006; a quantitative evaluation of models used to produce money-based indicators of risks to price stability2; and an assessment of the impact of the signals drawn from the monetary analysis on monetary policy decisions in the euro area.3 From a methodological perspective, another novel and distinctive feature of the paper is the close attention it pays to maintaining a “real time” perspective when describing and evaluating the ECB's monetary analysis. In other words, the paper attempts to characterize and evaluate the monetary analysis and its impact on interest rate decisions on the basis of the information that was available at the time the analysis was conducted and the policy decisions were taken. In both the simulated out-of-sample evaluation of money-based inflation indicators and in the narrative history, the paper pays close attention to ensuring that the correct vintages of the monetary time series and analytical models are used. The remainder of the paper is organized as follows. Section 2 provides an overview of the tools used in the ECB's monetary analysis and how they have evolved over time. Section 3 conducts a thorough evaluation of a money-based indicator of risks to price stability (which is identified in Section 2 as a “summary – but not sufficient – statistic” for the monetary analysis as a whole), addressing the real time issue carefully. On the basis of this investigation, Section 4 presents a series of event studies illustrating how the monetary analysis has influenced interest rate decisions. Section 5 presents some brief concluding remarks.

The paper has analyzed three issues. First, in the interests of transparency and to promote a better understanding of the ECB's approach over the first eight years of Monetary Union, the paper has provided a rich description of the ECB's monetary analysis, the tools on which it is based and the evolution of these tools over time. Second, the paper attempted to offer some evaluation of the monetary analysis over this period. Finally, we assessed qualitatively the role played by monetary analysis in policy decisions. As regards the first question, a number of points should be underlined. First, describing the ECB's framework for monetary analysis is complicated by the changing nature of that framework over time. The tools and methods used evolved significantly over the period 1999–2006, as practical solutions have been sought to the various challenges faced by monetary analysis in real time. Second, one important aspect of this evolution has been the rising importance of judgmental adjustments to the monetary series at the expense of a focus on conventional specifications of money demand. This shift of emphasis reflects both, on the one hand, the recognition that a structural or behavioral explanation of monetary developments is required in order to assess their possible implications for the outlook for price stability and, on the other hand, the failure of conventional money demand equations to offer convincing structural explanations of the monetary dynamics observed in the euro area, especially during the portfolio shifts phase. Third, in parallel with the rise of such adjustments, money-based inflation indicators have come to play a more prominent role in the presentation of the monetary analysis. In sum, the ECB's monetary analysis is much richer and broader than is sometimes recognized, drawing on a much broader set of monetary, financial and economic data to understand what implications monetary developments have for the outlook for price stability. In this context, it is also important to emphasize two aspects of the ECB's monetary analysis that are not always well understood outside. First, money demand is no longer seen as the center-piece of the framework for monetary analysis. Conducting a rich monetary analysis is thus not contingent on the stability or otherwise of any single specification of money demand for a particular monetary aggregate. Second, the focus of the analysis is at the medium to longer-term horizon. The use of monetary aggregates to help forecast inflation or growth dynamics in the coming few months is not a core element of the ECB's monetary analysis. Turning to the second question, it should be recognized from the start that the medium-term orientation of the monetary analysis complicates the assessment. By treating the real-time dimension of the evaluation seriously, the sample periods available for the evaluation conducted in this paper are short, the degrees of freedom for econometric work are thus not numerous and consequently the scope to draw strong, policy-relevant conclusions is limited. This having been said, what conclusions can be drawn? First, the evaluation exercise suggests that there is information in monetary developments about future inflation dynamics beyond that which is contained in conventional macroeconomic forecasts or projections. Moreover, the fact the bias observed in the inflation indicators deriving from the economic analysis (notably the BMPE projections) can be largely eliminated by combining with money-based inflation indicators suggests (in line with Issing, 2006) that taking two complementary, but distinct, perspectives on the inflation outlook has made the ECB's analysis more robust and avoided the potentially the big mistakes that could have been made if an exclusive focus on either the monetary analysis or the economic analysis had been taken. Second, the evaluation suggests that the ECB staff have been able to use judgement to identify and quantify in real-time various factors affecting monetary developments that were not captured in conventional money demand equations. Related to this, the evaluation exercise demonstrates that monetary aggregates corrected on the basis of the expert judgement have been used to produce inflation indicators that have proved to be unbiased, if excessively volatile. Of course, whether the use of judgement in this manner will continue to be successful in the future is an open question, and we certainly recognize that past success is not necessarily a guide to future performance. With this in mind, it will remain crucial to continuously evaluate and systemize the monetary analysis and, in particular, its judgmental element. Finally, to evaluate the role of monetary analysis in interest rate decisions, we distinguish between phases in which the signal from monetary analysis was in line with that from economic analysis from those in which it was not. Clearly the latter periods are the most informative for our question. Moreover, we try to assess the degree of clarity of the two respective signals over time and link it to the policy decision. We conclude that, although, in general, there was a broad correspondence between the two analysis and it is therefore difficult to assess their separate role, it appears that the economic pillar prevailed in influencing the decision when the monetary pillar gave a blurred signal.