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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 inflation forecasts from different model specifications. The version … that forecasts inflation best implies that after the 2011 sovereign debt crisis the output gap in the euro area has been …
Persistent link: https://www.econbiz.de/10012981025
We develop a theoretical model that features a business cycle-dependent relation between output, price inflation and … inflation expectations, augmenting the model by Svensson (1997) with a nonlinear Phillips curve that reflects the rationale … pronounced convex relationship between inflation and the output gap, meaning that the co-efficient in the Phillips curve on the …
Persistent link: https://www.econbiz.de/10012963916
We jointly estimate the natural rate of interest, the natural rate of unemployment, expected inflation, and potential …-variation in (i) the data-generation process for inflation, which we capture via a time-varying parameters specification for the … Phillips curve portion of the model; and (ii) the volatilities of disturbances to inflation and cyclical(log) output, which we …
Persistent link: https://www.econbiz.de/10013316896
We estimate the euro area output gap by applying the Beveridge-Nelson decomposition based on a large Bayesian vector autoregression. Our approach incorporates multivariate information through the inclusion of a wide range of variables in the analysis and addresses data issues associated with the...
Persistent link: https://www.econbiz.de/10014078099
inflation and wage inflation) into trend and cyclical components. To do so, it relies on several reduced form relationships … reasonable forecasting performance in particular in terms of GDP and core inflation vis-a-vis a set of benchmarks …
Persistent link: https://www.econbiz.de/10013243813
Capital flows into the euro area were particularly large in the mid-2000s and the share of foreign holdings of euro area securities increased substantially between the introduction of the euro and the outbreak of the global financial crisis. We show that the increase in foreign holdings of euro...
Persistent link: https://www.econbiz.de/10013020658
This paper proposes a new econometric approach to disentangle two distinct response patterns of the yield curve to monetary policy announcements. Based on cojumps in intraday tick-data of a short and long term interest rate, we develop a day-wise test that detects the occurrence of a significant...
Persistent link: https://www.econbiz.de/10013054677
contribute more to variations in the policy rate, inflation and output than shocks to the feedback rule for the policy rate …
Persistent link: https://www.econbiz.de/10013020667
Despite the great importance and final success of the convergence process that led to the establishment of the European Monetary Union, there is no clear agreement regarding the monetary policy pursued in the member countries during the convergence process. This paper contributes to the...
Persistent link: https://www.econbiz.de/10012779824
This paper tests whether the proposition that globalisation has led to greater sensitivity of domestic inflation to the … power for domestic consumer price inflation in the euro area. Based on these findings, the prescription that central banks …
Persistent link: https://www.econbiz.de/10012750226