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Ranking, Risk-Taking and Effort : An Analysis of the ECB's Foreign Reserves Management

Scalia, Antonio; Sahel, Benjamin - 2021

The investment of the ECB reserves in US dollars and yen, delegated to a network of portfolio managers in the …. Employing a new data set on individual portfolio variables during 2002-2009, we study this peculiar tournament and show the … existence of risk-shifting behaviour by reserve managers related to their year-to-date ranking: interim losers increase relative …

Persistent link: https://www.econbiz.de/10013315986

Inflation Dynamics with Labour Market Matching : Assessing Alternative Specifications

Christoffel, Kai Philipp; Costain, James S.; de Walque, … - 2010

This paper reviews recent approaches to modeling the labour market and assesses their implications for inflation dynamics through both their effect on marginal cost and on price-setting behaviour. In a search and matching environment, we consider the following modeling setups: right-to-manage...

Persistent link: https://www.econbiz.de/10014208182

The Role of Labor Markets for Euro Area Monetary Policy

Christoffel, Kai Philipp - 2009

In this paper, we explore the role of labor markets for monetary policy in the euro area in a New Keynesian model in which labor markets are characterized by search and matching frictions. We first investigate to which extent a more flexible labor market would alter the business cycle behaviour...

Persistent link: https://www.econbiz.de/10012764518

Macroeconomic Adjustment to Monetary Union

Fagan, Gabriel - 2008

The move to monetary union in Europe led to convergence of interest rates among the participating countries. This was associated with notable cross-country differences in the behaviour of key macroeconomic aggregates. Compared to the low interest rate countries, former high interest rate...

Persistent link: https://www.econbiz.de/10012770251

The New Area-Wide Model of the Euro Area : A Micro-Founded Open-Economy Model for Forecasting and Policy Analysis

Christoffel, Kai Philipp - 2008

In this paper, we outline a version of the New Area-Wide Model (NAWM) of the euro area designed for use in the (Broad) Macroeconomic Projection Exercises regularly undertaken by ECB/Eurosystem staff. We present estimation results for the NAWM that are obtained by employing Bayesian inference...

Persistent link: https://www.econbiz.de/10012770293

A Review of Nonfundamentalness and Identification in Structural VAR Models

Alessi, Lucia - 2008

We review, under a historical perspective, the development of the problem of nonfundamentalness of Moving Average (MA) representations of economic models. Nonfundamentalness typically arises when agents' information space is larger than the econometrician's one. Therefore it is impossible for...

Persistent link: https://www.econbiz.de/10012771081

Merging Structural and Reduced-Form Models for Forecasting : Opening the Dsge-Var Box

Martinez-Martin, Jaime - 2019

The post-crisis environment has posed important challenges to standard forecasting models. In this paper, we exploit several combinations of a large-scale DSGE structural model with standard reduced-form methods such as (B)VAR (i.e. DSGE-VAR and Augmented-(B)VARDSGE methods) and assess their use...

Persistent link: https://www.econbiz.de/10012858319

Forecasting and Stress Testing with Quantile Vector Autoregression

Chavleishvili, Sulkhan - 2019

We introduce a structural quantile vector autoregressive (VAR) model. Unlike standard VAR which models only the average interaction of the endogenous variables, quantile VAR models their interaction at any quantile. We show how to estimate and forecast multivariate quantiles within a recursive...

Persistent link: https://www.econbiz.de/10012859199

Demographics and Inflation in the Euro Area : A Two-Sector New Keynesian Perspective

Lis, Eliza - 2020

Can the aging process affect inflation? The prolonged decline of fertility and mortality rates induces a persistent downward pressure on the natural interest rate. If this development is not internalized by the monetary policy rule, inflation can be on a downward trend. Using the structure of a...

Persistent link: https://www.econbiz.de/10012838759

Debt Rule Design in Theory and Practice : The SGP's Debt Benchmark Revisited

Hauptmeier, Sebastian - 2020

This paper is linked to two debates on fiscal policies: first, the implications of low interest-growth differentials for debt sustainability and, second, the reform of the EU fiscal governance framework. In both debates the choice of government debt anchor and the speed of adjustment take centre...

Persistent link: https://www.econbiz.de/10012840203

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