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Comovements and heterogeneity in the euro area analyzed in a non-stationary dynamic factor model

Eickmeier, Sandra (contributor) - 2006

This paper seeks to assess comovements and heterogeneity in the euro area by fitting a nonstationary dynamic factor model (Bai and Ng, 2004), augmented with a structural factor setup (Forni and Reichlin, 1998), to a large set of euro-area macroeconomic variables observed between 1982 and 2003....

Persistent link: https://www.econbiz.de/10003376151

An assessment of the trends in international price competitiveness among EMU countries

Fischer, Christoph (contributor) - 2007

Inflation differentials within European Monetary Union (EMU) are increasingly seen as exerting adverse effects on the price competitiveness of member countries’ firms and given the common monetary policy within EMU as being detrimental to euro-area economies, in particular to those with...

Persistent link: https://www.econbiz.de/10003461216

How synchronized are central and East European economies with the euro area? : Evidence from a structural factor model

Eickmeier, Sandra (contributor); Breitung, Jörg (contributor) - 2005

A high degree of cyclical synchronization between central and east European countries (CEECs) and the euro area is generally seen as a prerequisite for successful EMU enlargement. This paper investigates comovements between CEECs and the euro area. We first establish stylized facts on economic...

Persistent link: https://www.econbiz.de/10002909184

Analysing divisia aggregates for the Euro area

Reimers, Hans-Eggert - 2002

In this paper, different Divisia monetary aggregates for the euro area are constructed over the period from 1980 to 2000. Theoretically, one main difference of these aggregates is their reaction to exchange-rate variations. Empirically, the aggregates are compared with respect to three issues....

Persistent link: https://www.econbiz.de/10011431510

Financial systems and the role of banks in monetary policy transmission in the euro area

Ehrmann, Michael; Gambacorta, Leonardo; Martínez … - 2001

on this, several hypotheses about the role of banks in monetary policy transmission are developed. Many of the … monetary policy does alter bank loan supply, with the effects most dependent on the liquidity of individual banks. Unlike in … available database, BankScope, obscures the heterogeneity across banks. Indeed, for several types of questions BankScope data …

Persistent link: https://www.econbiz.de/10011419463

The new Keynesian Phillips curve in Europe does it fit or does it fail?

Tillmann, Peter (contributor); … - 2005

The canonical New Keynesian model specifies inflation as the present-value of future real marginal cost. This paper tests this New Keynesian Phillips Curve and exploits projections of future real marginal cost generated by VAR models to assess the model’s ability to match the behavior of...

Persistent link: https://www.econbiz.de/10002682265

The use of real-time information in Phillips curve relationships for the euro area

Paloviita, Maritta (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002372506

Common stationary and non-stationary factors in the euro area analyzed in a large-scale factor model

Eickmeier, Sandra (contributor) - 2005

In this paper we rely on techniques recently developed by Bai and Ng (2004a) to estimate common euro-area stationary and non-stationary factors using a large-scale dynamic factor model. We find that euro-area economies share four non-stationary factors or trends and one stationary factor. By...

Persistent link: https://www.econbiz.de/10002619211

Money and monetary policy transmission in the euro area : evidence from FAVAR- and VAR approaches

Blaes, Barno - 2009

This paper investigates the transmission of monetary policy in the euro area based on the factor augmented vector autoregressive approach of Bernanke, Boivin and Eliasz (2005) as well as on a standard VAR model. We focus on the reaction of monetary aggregates to a one-off monetary policy shock....

Persistent link: https://www.econbiz.de/10003857699

Do monetary indicators (still) predict euro area inflation

Hofmann, Boris (contributor) - 2006

This paper assesses the performance of monetary indicators in predicting euro area HICP inflation out-of-sample over the period since the start of EMU considering a wide range of forecasting models, including standard bivariate forecasting models, factor models, simple combination forecasts as...

Persistent link: https://www.econbiz.de/10003339181