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What Has Driven Inflation Dynamics in the Euro Area, the United Kingdom and the United States

Melolinna, Marko - 2015

This paper studies factors behind inflation dynamics in the euro area, the UK and the US. It introduces a factor-augmented vector autoregression (FAVAR) framework with sign restrictions to study the effects of fundamental macroeconomic shocks on inflation in the three economies. The FAVAR model...

Persistent link: https://www.econbiz.de/10013020653

Inflation Persistence : Euro Area and New EU Member States

Franta, Michal - 2009

Is inflation persistence in the new EU Member States (NMS) comparable to that in the euro area countries? We argue that persistence may not be as different between the two country groups as one might expect. We confirm that one should work carefully with the usual estimation methods when...

Persistent link: https://www.econbiz.de/10012767014

Is the New Keynesian Phillips Curve Flat?

Küster, Keith - 2007

Macroeconomic data suggest that the New Keynesian Phillips curve is quite flat - despite microeconomic evidence implying frequent price adjustments. While real rigidities may help to account for the conflicting evidence, we propose an alternative explanation: if price markup/cost-push shocks are...

Persistent link: https://www.econbiz.de/10012776186

Measuring inflation persistence: a structural time series approach

Dossche, Maarten; Everaert, Gerdie - 2005

Time series estimates of inflation persistence incur an upward bias if shifts in the inflation target of the central bank remain unaccounted for. Using a structural time series approach we measure different sorts of inflation persistence allowing for an unobserved time-varying inflation target....

Persistent link: https://www.econbiz.de/10011604541

An Inflation-Predicting Measure of the Output Gap in the Euro Area

Jarocinski, Marek - 2016

Using a small Bayesian dynamic factor model of the euro area we estimate the deviations of output from its trend that are consistent with the behavior of inflation. We label these deviations the output gap. In order to pin-down the features of the model, we evaluate the accuracy of real-time...

Persistent link: https://www.econbiz.de/10012981025

The Phillips curve and long-term unemployment

Llaudes, Ricardo - 2005

This paper studies the role of long-term unemployment in the determination of prices and wages. Labor market theories such as insider-outsider models predict that this type of unemployed are less relevant in the wage formation process than the newly unemployed. This paper looks for evidence of...

Persistent link: https://www.econbiz.de/10011604487

Transmission of government spending shocks in the euro area: Time variation and driving forces

Kirchner, Markus; Cimadomo, Jacopo; Hauptmeier, Sebastian - 2010

This paper provides new evidence on the effects of government spending shocks and the fiscal transmission mechanism in the euro area for the period 1980-2008. Our contribution is two-fold. First, we investigate changes in the macroeconomic impact of government spending shocks using time-varying...

Persistent link: https://www.econbiz.de/10011605265

The central bank as a risk manager: quantifying and forecasting inflation risks

Kilian, Lutz; Manganelli, Simone - 2003

increased, we find that, as of September 2002, with the exception of Japan there is no evidence of substantial deflation risks …. We also put the estimates of deflation risk for the United States, Germany and Japan into historical perspective. We find … that only for Japan there is evidence of deflation risks that are unusually high by historical standards. …

Persistent link: https://www.econbiz.de/10011604272

Deflationary Financial Shocks and Inflationary Uncertainty Shocks : An SVAR Investigation

De Santis, Roberto A.; Van der Veken, Wouter - 2022

What are the economic implications of financial and uncertainty shocks? We show that financial shocks cause a decline in output and goods prices, while uncertainty shocks cause a decline in output and an increase in goods prices. In response to un-certainty shocks, firms increase their markups,...

Persistent link: https://www.econbiz.de/10014076665

Inflation Persistence in the European Union, the Euro Area, and the United States

Gadzinski, Gregory - 2011

In this paper we report results on inflation persistence using 79 inflation series covering the EU countries, the euro area and the US for five different inflation variables. The picture that emerges is one of moderate inflation persistence across the board. In particular we find euro area...

Persistent link: https://www.econbiz.de/10013120765