Luís Fonseca
Monetary Policy
- Division
Capital Markets/Financial Structure
- Current Position
-
Economist
- Fields of interest
-
Financial Economics,Macroeconomics and Monetary Economics,International Economics
- Education
- 2015-2022
PhD in Economics, London Business School, United Kingdom
- 2010-2012
MSc in Economics, Nova School of Business and Economics, Portugal
- 2007-2010
Bachelor in Economics, University of Porto, Portugal
- Professional experience
- 2022-
Economist, DG Monetary Policy, European Central Bank
- 2021-2022
Graduate Programme in Economics, DG Monetary Policy, European Central Bank
- 2013-2015
Economist, Economics and Research Department, Banco de Portugal
- 16 December 2024
- OCCASIONAL PAPER SERIES - No. 364Details
- Abstract
- This paper looks back on the 25-year history of the ECB Survey of Professional Forecasters (SPF). Since its launch in the first quarter of 1999, it has served as an important input for policymaking and analysis, especially over the past five years, where the euro area has, following a period of low inflation, navigated a global pandemic, Russia’s invasion of Ukraine and an unprecedented surge in inflation. The survey has evolved over time and provides not only a long time series of economic expectations and forecasts, but also valuable insights on key topical issues and on economic risks and uncertainties. We show that, for each of the three main macroeconomic variables forecast – HICP inflation, real GDP growth and the unemployment rate – the track record of the ECB SPF in forecasting has been broadly comparable to that of the Eurosystem. In addition, its combination of quantitative point forecasts and probability distributions with qualitative explanations has provided useful input for macroeconomic analysis. Beyond analyses of the forecasts for the main macroeconomic variables, there are also two further sections that examine the technical assumptions (oil prices, policy rates, exchange rates and wages) underlying SPF expectations and an analysis and assessment of measures of macroeconomic uncertainty. Technical assumptions are shown to account for the lion’s share of the variance in the inflation forecast errors, while uncertainty is shown to have increased considerably relative to that which prevailed during the early years of the SPF (1999-2008). Looking ahead, the SPF – with its long track record, its large and broad panel (spanning both financial and non-financial forecasters) and committed panellists – will undoubtedly continue to provide timely and useful insights for the ECB’s policymakers, macroeconomic experts, economic researchers and the wider public.
- JEL Code
- D84 : Microeconomics→Information, Knowledge, and Uncertainty→Expectations, Speculations
E31 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→Price Level, Inflation, Deflation
E37 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→Forecasting and Simulation: Models and Applications
E52 : Macroeconomics and Monetary Economics→Monetary Policy, Central Banking, and the Supply of Money and Credit→Monetary Policy
E66 : Macroeconomics and Monetary Economics→Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook→General Outlook and Conditions
- 23 October 2024
- WORKING PAPER SERIES - No. 2994Details
- Abstract
- We construct monetary policy indicators from high-frequency asset price changes following policy announcements, emphasising the concentration of asset price responses along specific dimensions and their leptokurtic distribution. Traditionally, these dimensions are identified by rotating principal components based on economic assumptions that overlook information in excess kurtosis. We employ Varimax rotation, leveraging excess kurtosis without using economic restrictions. Within a set of euro-area risk-free assets Varimax validates policy news along dimensions previously derived from structural identification approaches and rejects evidence of macroinformation shocks. Yet, once adding risky assets Varimax identifies only one risk-free factor in medium- to long-term yields and instead points to additional risk-shift factors.
- JEL Code
- 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
C46 : Mathematical and Quantitative Methods→Econometric and Statistical Methods: Special Topics→Specific Distributions, Specific Statistics
G14 : Financial Economics→General Financial Markets→Information and Market Efficiency, Event Studies, Insider Trading
- 7 November 2023
- ECONOMIC BULLETIN - BOXEconomic Bulletin Issue 7, 2023Details
- Abstract
- This box highlights the recent inversion of the euro area and US yield curves and considers its information content for the future state of these economies. The slope of the yield curve is currently negative and the most steeply inverted it has been in decades for both the euro area and the United States. Among other factors, a negative slope may reflect investors’ expectations that the macroeconomic outlook will worsen, inflation will decline and longer-term yields will be lower as growth slows. In the past, the slope has typically had statistical predictive power for economic downturns. Recent estimates based on this indicator point to a high probability of a recession in the next 12 months in both jurisdictions. However, estimated recession probabilities are considerably lower when the models include information from additional financial indicators and oil prices, and when they account for the yield impact of the balance sheet policies of central banks. The analysis therefore highlights that a simple translation of the current historically negative yield curve slopes into a high recession probability would be an incomplete assessment.
- JEL Code
- G1 : Financial Economics→General Financial Markets
E4 : Macroeconomics and Monetary Economics→Money and Interest Rates
C5 : Mathematical and Quantitative Methods→Econometric Modeling
- 2023
- Journal of International Economics
- 2020
- Journal of Monetary Economics