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Does monetary policy affect bank risk-taking?

Altunbas, Yener; Gambacorta, Leonardo; … - 2010

This paper investigates the relationship between short-term interest rates and bank risk. Using a unique database that includes quarterly balance sheet information for listed banks operating in the European Union and the United States in the last decade, we find evidence that unusually low...

Persistent link: https://www.econbiz.de/10011605212

Food price pass-through in the euro area The role of asymmetries and non-linearities

Ferrucci, Gianluigi; Jiménez-Rodríguez, Rebeca; … - 2010

In this paper we analyse the pass-through of a commodity price shock along the food price chain in the euro area …. Unlike the existing literature, which mainly focuses on food commodity prices quoted in international markets, we use a novel … the linear pass-through benchmark and compare alternative specifications with aggregate and disaggregate food data …

Persistent link: https://www.econbiz.de/10011605214

The impact of numerical expenditure rules on budgetary discipline over the cycle

Holm-Hadulla, Fédéric; Hauptmeier, Sebastian; Rother, … - 2010

We study the impact of numerical expenditure rules on the propensity of governments to deviate from expenditure targets in response to surprises in cyclical conditions. Theoretical considerations suggest that due to political fragmentation in the budgetary process expenditure policy might be...

Persistent link: https://www.econbiz.de/10011605215

The external finance premium in the euro area A useful indicator for monetary policy?

Gelain, Paolo - 2010

In this paper I estimate a New Keynesian Dynamic Stochastic General Equilibrium model for the Euro Area, which closely follows the structure of the model developed by Smets and Wouters (2003, 2005, 2007), with the addition of the so-called financial accelerator mechanism developed in Bernanke,...

Persistent link: https://www.econbiz.de/10011605217

How far are we from the slippery slope? The Laffer curve revisited

Trabandt, Mathias; Uhlig, Harald - 2010

We characterize the Laffer curves for labor taxation and capital income taxation quantitatively for the US, the EU-14 and individual European countries by comparing the balanced growth paths of a neoclassical growth model featuring ”constant Frisch elasticity” (CFE) preferences. We derive...

Persistent link: https://www.econbiz.de/10011605220

Nominal and real wage rigidities. In theory and in Europe

Knell, Markus - 2010

In this paper I study the relation between real wage rigidity (RWR) and nominal price and wage rigidity. I show that in a standard DSGE model RWR is mainly affected by the interaction of the two nominal rigidities and not by other structural parameters. The degree of RWR is, however,...

Persistent link: https://www.econbiz.de/10011605226

Inter-industry wage differentials in EU countries: what do cross-country time varying data add to the picture?

Du Caju, Philip; Kátay, Gábor; Lamo, Ana; Nicolitsas, … - 2010

This paper documents the existence and main patterns of inter-industry wage differentials across a large number of industries for 8 EU countries (Belgium, Germany, Greece, Hungary, Ireland, Italy, Netherlands, and Spain) at two points in time (in general 1995 and 2002) and explores possible...

Persistent link: https://www.econbiz.de/10011605228

Forecasting with DSGE models

Christoffel, Kai; Warne, Anders; Coenen, Günter - 2010

In this paper we review the methodology of forecasting with log-linearised DSGE models using Bayesian methods. We focus on the estimation of their predictive distributions, with special attention being paid to the mean and the covariance matrix of h-step ahead forecasts. In the empirical...

Persistent link: https://www.econbiz.de/10011605231

Maximum likelihood estimation of factor models on data sets with arbitrary pattern of missing data

Bańbura, Marta; Modugno, Michele - 2010

In this paper we propose a methodology to estimate a dynamic factor model on data sets with an arbitrary pattern of missing data. We modify the Expectation Maximisation (EM) algorithm as proposed for a dynamic factor model by Watson and Engle (1983) to the case with general pattern of missing...

Persistent link: https://www.econbiz.de/10011605235

Financial factors in economic fluctuations

Christiano, Lawrence; Rostagno, Massimo; Motto, Roberto - 2010

We augment a standard monetary DSGE model to include a banking sector and financial markets. We fit the model to Euro Area and US data. We find that agency problems in financial contracts, liquidity constraints facing banks and shocks that alter the perception of market risk and hit financial...

Persistent link: https://www.econbiz.de/10011605238