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An empirical analysis of price setting behaviour in the Netherlands in the period 1998-2003 using micro data

Jonker, Nicole; Folkertsma, Carsten; Blijenberg, Harry - 2004

In this paper we examine pricing behaviour of retail firms in the Netherlands during 1998-2003 using a large database with monthly price quotes of 49 articles, representing different product types. We have conducted this study in order to gain in sight in the degree of nominal rigidity of...

Persistent link: https://www.econbiz.de/10009639473

Choosing between time and state dependence

Dias, Daniel; Marques, Carlos Robalo; Martins, Fernando - 2011

Thanks to recent findings based on survey data, it is now well known that firms differ from each other with respect to their price-reviewing strategies. While some firms review their prices at fixed intervals of time, others prefer to perform price revisions in response to changes in economic...

Persistent link: https://www.econbiz.de/10009640639

Why are some prices stickier than others?

Dias, Daniel; Marques, Carlos Robalo; Martins, Fernando; … - 2011

Infrequent price changes at the firm level are now well documented in the literature. However, a number of issues remain partly unaddressed. This paper contributes to the literature on price stickiness by investigating the lags of price adjustments to different types of shocks. We find that...

Persistent link: https://www.econbiz.de/10009640640

The dark side of bank wholesale funding

Huang, Rocco; Ratnovski, Lev - 2010

Banks increasingly use short-term wholesale funds to supplement traditional retail deposits. Existing literature mainly points to the "bright side" of wholesale funding: sophisticated financiers can monitor banks, disciplining bad but refinancing good ones. This paper models a "dark side" of...

Persistent link: https://www.econbiz.de/10009640317

Risk spillover among hedge funds

Klaus, Benjamin; Rzepkowski, Bronka - 2009

This paper aims at analysing the mortality patterns of hedge funds over the period January 1994 to May 2008. In particular, we investigate the extent to which a spillover of risk among hedge funds through redemptions and failures of other funds has affected the probability of fund failure. We...

Persistent link: https://www.econbiz.de/10009640467

Forecasting euro area inflation using dynamic factor measures of underlying inflation

Camba-Méndez, Gonzalo; Kapetanios, George - 2004

use of measures of underlying inﬂation to formulate monetary policy and assist in forecasting observed inﬂation. Recent … disaggregated price indices for European countries. We then assess the forecasting ability of these factor estimates against other … 12 to 18 months is adopted as a valid criterion to assess forecasting. Empirical results for the ﬁve largest euro area …

Persistent link: https://www.econbiz.de/10009639462

A quantitative mirror on the Euribor market using implied probability density functions

Vincent-Humphreys, Rupert de; Puigvert Gutiérrez, … - 2010

This paper presents a set of probability density functions for Euribor outturns in three months’ time, estimated from the prices of options on Euribor futures. It is the first official and freely available dataset to span the complete history of Euribor futures options, thus comprising over...

Persistent link: https://www.econbiz.de/10009640514

Short-term estimates of euro area real GDP by means of monthly data

Rünstler, Gerhard; Sédillot, Franck - 2003

, monthly indicators. We examine in the context of univariate forecasting equations to what extent monthly indicators provide …

Persistent link: https://www.econbiz.de/10009635895

Forecasting euro area inflation

Hubrich, Kirstin - 2003

Monitoring and forecasting price developments in the euro area is essential in the light of the second pillar of the … ECBu0092s monetary policy strategy. This study analyses whether the forecasting accuracy of forecasting aggregate euro area …) as opposed to forecasting the aggregate HICP directly. The analysis includes univariate and multivariate linear time …

Persistent link: https://www.econbiz.de/10009635954

Does the yield spread predict recessions in the euro area?

Moneta, Fabio - 2003

-month interest rates is explored in an exercise of out-of-sample forecasting. This yield spread appears to contain …

Persistent link: https://www.econbiz.de/10009636517