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The asymmetric effects of weather shocks on euro area inflation

Ciccarelli, Matteo; Kuik, Friderike; Martínez … - 2023

This paper assesses the impact of weather shocks on inflation components in the four largest euro area economies. We … combine high-frequency weather data with monthly data on inflation and output growth within a set of Bayesian Vector … Autoregressions which explicitly considers the seasonal dependence of the shock. Results suggest the presence of significant country …

Persistent link: https://www.econbiz.de/10014278607

Going NUTS : the regional impact of extreme climate events over the medium term

Usman, Sehrish; González-Torres, Guzmán; Parker, Miles - 2024

The projected increase in extreme climate events in the coming decades is likely to exacerbate the existing productivity and demographic challenges facing Europe. We study the dynamic, medium-run macroeconomic effects of heatwaves, droughts and floods in 1160 EU regions through the lens of a...

Persistent link: https://www.econbiz.de/10015179766

Local institutional ownership and price discovery around extreme weather events

Bauer, Rob; Broeders, Dirk; De Carolis, Flavio - 2025

In this event study, we analyze the effect of market segmentation on stock returns in Europe amid extreme weather … of extreme weather events on stock prices. We assess firms' exposure to physical climate risks using the Eurosystem …

Persistent link: https://www.econbiz.de/10015434031

Feeling the heat : extreme temperatures and price stability

Faccia, Donata; Parker, Miles; Stracca, Livio - 2021

We contribute to the debate surrounding central banks and climate change by investigating how extreme temperatures aﬀect medium-term inﬂation, the primary objective of monetary policy. Using panel local projections for 48 advanced and emerging market economies (EMEs), we study the impact of...

Persistent link: https://www.econbiz.de/10012705523

Identifying fiscal shocks and policy regimes in OECD countries

Arcangelis, Giuseppe de; Lamartina, Serena - 2003

The aim of this paper is twofold. First, for West Germany, France, Italy and US, we econometrically select within a SVAR model some fiscal policy regimes, i.e. a u0094set of rulesu0094 for the implementation of fiscal policies. Second, we identify the fiscal policy shocks related to different...

Persistent link: https://www.econbiz.de/10009635887

Measuring contagion with a Bayesian, time-varying coefficient model

Ciccarelli, Matteo; Rebucci, Alessandro - 2003

To measure contagion empirically, we propose using a Bayesian time-varying coeﬃcient model estimated with Markov ChainMonte Carlo methods. The proposed measure works in the joint presence of heteroskedasticity and omitted variables and does not require knowledge of the timing of the crisis. It...

Persistent link: https://www.econbiz.de/10009635914

Pass-through of external shocks to euro area inflation

Hahn, Elke - 2003

This paper investigates the pass-through of external shocks, i.e. oil price shocks, exchange rate shocks, and non-oil import price shocks to euro area inﬂation at different stages of distribution (import prices, producer prices and consumer prices). The analysis is based on a VAR model that...

Persistent link: https://www.econbiz.de/10009635958

Measurement of contagion in banks' equity prices

Gropp, Reint; Moerman, Gerard - 2003

This paper uses the co-incidence of extreme shocks to banksu0092 risk to examine within country and across country contagion among large EU banks. Banksu0092 risk is measured by the first difference of weekly distances to default and abnormal returns. Using Monte Carlo simulations, the paper...

Persistent link: https://www.econbiz.de/10009636520

Inflation and relative price asymmetry

Ratfai, Attila - 2004

By placing store-level price data into bivariate Structural VAR models of inflation and relative price asymmetry, this study evaluates the quantitative importance of idiosyncratic pricing shocks in short-run aggregate price change dynamics. Robustly to alternative definitions of the relative...

Persistent link: https://www.econbiz.de/10009636524

Equilibrium unemployment, job flows and inflation dynamics

Trigari, Antonella - 2004

worker, job creation and job destruction conditional on a shock to monetary policy. Moreover, allowing for variation of the … helps to explain the sluggishness of inflation and the persistence of output after a monetary policy shock. The ability of …

Persistent link: https://www.econbiz.de/10009636527