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Price setting in the euro area : some stylised facts from individual producer price data

Dias, Daniel (contributor) - 2007

This paper documents producer price setting in 6 countries of the euro area: Germany, France, Italy, Spain, Belgium and …

Persistent link: https://www.econbiz.de/10003430852

An estimated DSGE model for the German economy within the euro area

Pytlarczyk, Ernest (contributor) - 2005

framework. In the estimation we utilize disaggregated information, employing single country data, along with the aggregated EMU … data by Fagan et. al (2001). We also contribute to the literature by proposing a strategy for consistent estimation of the … simple tworegion DSGE model, with a particular focus on analyzing the German economy within EMU, and its Bayesian estimation …

Persistent link: https://www.econbiz.de/10003126180

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

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

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

Fischer, Christoph (contributor) - 2007

all three indicators suggest a gain in competitiveness for the German economy and a corresponding loss for Italy, Portugal …

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

Reconsidering the role of monetary indicators for euro area inflation from a Bayesian perspective using group inclusion probabilities

Scharnagl, Michael (contributor); … - 2007

estimation of inclusion probabilities of a particular variable, that is the probability of that variable being in the forecast …

Persistent link: https://www.econbiz.de/10003461220

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

Banking and sovereign risk in the euro area

Gerlach, Stefan; Schulz, Alexander; Wolff, Guntram B. - 2010

We study the determinants of sovereign bond spreads in the euro area since the introduction of the euro. We show that an aggregate risk factor is a main driver of spreads. This factor also plays an important indirect role for risk spreads through its interaction with the size and structure of...

Persistent link: https://www.econbiz.de/10003971081

What can EMU countries’ sovereign bond spreads tell us about market perceptions of default probabilities during the recent financial crisis?

Dötz, Niko; Fischer, Christoph - 2010

This paper presents a new approach for analysing the recent development of EMU sovereign bond spreads. Based on a GARCH-in-mean model originally used in the exchange rate target zone literature, spreads are decomposed into a risk premium, an expected loss component and a liquidity premium....

Persistent link: https://www.econbiz.de/10003974397

Heterogeneity in money holdings across euro area countries : the role of housing

Setzer, Ralph; Noord, Paul Joseph van den; Wolff, Guntram B. - 2010

In this paper we examine why monetary aggregates of euro area Member States have developed differently since the inception of the euro. We derive a money demand equation that incorporates housing wealth and collateral as well as substitution effects on real money holdings. Empirically, we show...

Persistent link: https://www.econbiz.de/10003958719