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The determinants of allowance prices in the European emissions trading scheme: Can we expect an efficient allowance market 2008?

Rickels, Wilfried; Duscha, Vicki; Keller, Andreas; … - 2007

, the price reacts to changes in energy prices and weather variations. …

Persistent link: https://www.econbiz.de/10010273109

Explaining European emission allowance price dynamics: Evidence from Phase II

Rickels, Wilfried; Görlich, Dennis; Oberst, Gerrit - 2010

factors (fossil fuel prices, economic activity, weather) affect the EUA price remained partially unresolved. Today, being … prices, economic activity, and weather variations. Fuel prices allow to test for fuel switching from coal to gas, the most … of gas, coal, and oil prices, of economic activity and of some weather variations. When including the relative price of …

Persistent link: https://www.econbiz.de/10010277990

Output and inflation responses to credit shocks: are there threshold effects in the euro area?

Calza, Alessandro; Sousa, João - 2005

This paper investigates whether output and inflation respond asymmetrically to credit shocks in the euro area. The methodology, based on a non-linear VAR system, follows work by Balke (2000) for the US. The results reveal evidence of threshold effects related to credit conditions in the economy....

Persistent link: https://www.econbiz.de/10011604527

Does government spending crowd in private consumption? Theory and empirical evidence for the euro area

Coenen, Günter; Straub, Roland - 2005

In this paper, we revisit the effects of government spending shocks on private consumption within an estimated New-Keynesian DSGE model of the euro area featuring non-Ricardian households. Employing Bayesian inference methods, we show that the presence of non-Ricardian households is in general...

Persistent link: https://www.econbiz.de/10011604559

Inflation persistence in structural macroeconomic models (RG10)

Berben, Robert-Paul; Mestre, Ricardo; Mitrakos, Theodoros; … - 2005

This paper analyses the response of inflation in the euro area to five macroeconomic shocks through the use of results derived from Eurosystem large-scale macroeconomic models. The main finding is that only a fiscal shock, and to a lesser extent a TFP shock, generate marked inflation...

Persistent link: https://www.econbiz.de/10011604567

When did unsystematic monetary policy have an effect on inflation?

Mojon, Benoît - 2005

An important stylized fact to emerge from the VAR estimates is that exogenous monetary policy shocks (also labelled unsystematic monetary policy) have a delayed, persistent, hump shaped effect on inflation. I argue that this empirical pattern is fragile. In particular it disappears when one...

Persistent link: https://www.econbiz.de/10011604605

Household debt sustainability: what explains household non-performing loans? An empirical analysis

Rinaldi, Laura; Sanchis-Arellano, Alicia - 2006

Sound household financial conditions are relevant for both financial and monetary stability. Therefore, we analyse household financial fragility in a sample of euro area countries with the aim to shed some light on the nature of the large debt increase accumulated in recent years. We focus on...

Persistent link: https://www.econbiz.de/10011604616

The behaviour of the real exchange rate: evidence from regression quantiles

Nikolaou, Kleopatra - 2006

We test for mean reversion in real exchange rates using a recently developed unit root test for non-normal processes based on quantile autoregression inference in semi-parametric and non-parametric settings. The quantile regression approach allows us to directly capture the impact of different...

Persistent link: https://www.econbiz.de/10011604713

The transmission of emerging market shocks to global equity markets

Cuadro Sáez, Lucía; Fratzscher, Marcel; Thimann, Christian - 2007

The paper analyses whether, and to what extent, emerging market economies (EMEs) have systemic importance for global financial markets, above and beyond their influence during crises episodes. Using a novel database of exogenous economic and political shocks for 14 systematically relevant EMEs,...

Persistent link: https://www.econbiz.de/10011604770

The impact of exchange rate shocks on sectoral activity and prices in the euro area

Hahn, Elke - 2007

This paper investigates the impact of exchange rate shocks on sectoral activity and prices in the euro area. Using a VAR framework it provides evidence on the magnitude and speed of the impact of exchange rate shocks on activity in all main euro area sectors and on activity and producer prices...

Persistent link: https://www.econbiz.de/10011604842

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