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Ball, Laurence M. - 2019

This paper asks whether a textbook Phillips curve can explain the behavior of core inflation in the euro area. A critical feature of the analysis is that we measure core inflation with the weighted median of industry inflation rates, which is less volatile than the common measure of inflation...

Persistent link: https://www.econbiz.de/10012480393

MPC Heterogeneity in Europe : Sources and Policy Implications

Ampudia, Miguel - 2018

This paper studies household financial choices in four euro area countries. The goal of the analysis is to understand the sources of the differences in these choices and their implications for the impact of monetary policy on consumption. The estimation of key parameters uses a simulated method...

Persistent link: https://www.econbiz.de/10012480733

Exchange-Rate Pass-Through to Import Prices in the Euro Area

Campa, José Manuel - 2005

This paper presents an empirical analysis of transmission rates from exchange rate movements to import prices, across countries and product categories, in the euro area over the last fifteen years. Our results show that the transmission of exchange rate changes to import prices in the short run...

Persistent link: https://www.econbiz.de/10012467045

Conditional PPP and Real Exchange Rate Convergence in the Euro Area

Bergin, Paul R. - 2016

While economic theory highlights the usefulness of flexible exchange rates in promoting adjustment in international relative prices, flexible exchange rates also can be a source of destabilizing shocks. We find that when countries joining the euro currency union abandoned their national exchange...

Persistent link: https://www.econbiz.de/10012456694

Monetary Policy in a Data-Rich Environment

Bernanke, Ben - 2001

Most empirical analyses of monetary policy have been confined to frameworks in which the Federal Reserve is implicitly assumed to exploit only a limited amount of information, despite the fact that the Fed actively monitors literally thousands of economic time series. This article explores the...

Persistent link: https://www.econbiz.de/10012470341

Estimating Latent Asset-Pricing Factors

Lettau, Martin - 2018

We develop an estimator for latent factors in a large-dimensional panel of financial data that can explain expected excess returns. Statistical factor analysis based on Principal Component Analysis (PCA) has problems identifying factors with a small variance that are important for asset pricing....

Persistent link: https://www.econbiz.de/10012453100

Financial Spillovers and Macroprudential Policies

Aizenman, Joshua - 2017

We investigate whether and to what extent macroprudential policies affect the financial link between the center economies (CEs, i.e., the U.S., Japan, and the Euro area), and the peripheral economies (PHs). We first estimate the correlation of the policy interest rates between the CEs and the...

Persistent link: https://www.econbiz.de/10012453608

Implications of Dynamic Factor Models for VAR Analysis

Stock, James H. - 2005

This paper considers VAR models incorporating many time series that interact through a few dynamic factors. Several econometric issues are addressed including estimation of the number of dynamic factors and tests for the factor restrictions imposed on the VAR. Structural VAR identification based...

Persistent link: https://www.econbiz.de/10012467213

Modest Policy Interventions

Leeper, Eric M. - 2002

We present a framework for computing and evaluating linear projections of macro variables conditional on hypothetical paths of monetary policy. A modest policy intervention is a change in policy that does not significantly shift agents' beliefs about policy regime and does not generate...

Persistent link: https://www.econbiz.de/10012469518

An Empirical Analysis of Funding Costs Spillovers in the EURO-zone with Application to Systemic Risk

Bonaldi, Pietro - 2015

We propose a framework for estimation of spillovers between funding costs of individual banks. The estimation proceeds … be viewed as the total externality a bank would impose on the funding costs of all other banks in the system. We estimate … that most of the banks have fairly weak links and, therefore, if one were to suffer an adverse shock there would likely be …

Persistent link: https://www.econbiz.de/10012457206

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