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1462 entries found on 74 pages. starting on record 1 ending on 20

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Title: Government deficits, wealth effects and the price level in an optimizing model
Abstract
This paper investigates the in inflationary effects of fscal policy in an optimizing general equilibrium monetary model with capital accumulation, exible prices and wealth effects. The model is calibrated to Euro Area quarterly data. Simulation results show that government defcits, high debt level and slow fiscal adjustment adversely affect price stability in the presence of an independent monetary authority adopting a monetary targeting regime. The mechanism through which fiscal policy affects the dynamics of the price level presents monetarist properties, since the price level is determined in the monetary market. The effects produced by fiscal expansions on price dynamics are due to the behavior of consumers, facing a positive probability of death and sharing the burden of fiscal adjustment with future generations. Fiscal variables are shown to influence the consumption plan of individuals and the demand for real money balances, thus affecting the equilibrium conditions in the money market where the price level is determined. [Barbara Annicchiarico]
Author: Annicchiarico, Barbara
Series Title: Working paper series / European Central Bank ; 285
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: EU countriesFiscal PolicyPrice stabilityTheoryWealth effectPublic Debt
Subject: Economic and growth policiesTaxation. Fiscal policy
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Title: Country and sector-specific spillover effects in the euro area, the United States and Japan
Abstract
Within a two-step GARCH framework we explore the linkages between equity returns of ten sectors in the euro area, the United States and Japan, respectively. Our estimation framework allows a distinction to be made between spillover effects originating from one of the three currency areas and intrasectoral spillover effects. We use daily data from the period between January 1986 and October 2002. We find that, during the late 1990s, the worldwide importance of European equity markets has increased considerably. More precisely, price innovations in European equities (both aggregate returns and sector returns) have doubled or tripled their impact on other stock markets. At the same time, there is evidence that sectors have become more heterogeneous in each of the three currency areas, ie the response to aggregate shocks has increasingly varied across sectors. Spillover effects of aggregate market innovations have generally outweighed intra-sectoral spillover effects. Overall, the process towards higher integration has been primarily a phenomenon of equity markets in the euro area and the United States. [Bernd Kaltenhaeuser]
Author: Kaltenhaeuser, Bernd
Series Title: Working paper series / European Central Bank ; 286
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: Stock MarketEU countriesEuroFinancial marketJapanMarket integrationSpillover effectUnited States
Subject: Currency. Monetary policyInternational investments. Capital movements
Countries Scheme: USAJapan
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Title: Information acquisition and decision making in committees
Title (other): A survey
Abstract
This is a survey on the recent game theoretic literature on committee decision making. We consider theoretical work on the role of (i) strategic voting, (ii) costly information acquisition, (iii) conflicting interests, and (iv) communication in committees. Moreover, we review recent experimental evidence on these issues. Our analysis focuses on the optimal size, composition, and decision rules of committees. We discuss implications for the design of monetary policy committees. [Kerstin Gerling, Hans Peter Grüner, Alexandra Kiel and Elisabeth Schulte]
Table of Contents
Abstract
Non-technical summary
1 Introduction
2 Strategic voting versus naive voting
2.1 Sincere voting
2.2 Abstention
2.3 Unanimity
3 Incentives for information acquisition
3.1 Large committees
3.2 The case for small committees
3.3 Relation to the delegating authority
4 Conflicting interests
4.1 Caring differently about mistakes
4.2 Binary decisions and continuous information
4.3 Committee size with conflicting preferences
4.4 Decision rules with interdependent preferences
5 Communication
5.1 Irrelevance of voting rules
5.2 Imperfect aggregation and incentives
5.3 Communication and conflicting interests
6 Decision skills
7 Experimental results
8 Summary of theoretical results
8.1 How large should a committee be?
8.2 Who should be in a committee?
8.3 What is the optimal decision rule?
9 Implications for Monetary Policy Committees
9.1 Why monetary policy committees?
9.2 The optimal size of a committee
9.3 The voting rule
9.4 Who should be in a committee?
9.5 Relation to the outside
References
Author: Gerling, Kerstin | Grüner, Hans Peter | Kiel, Alexandra | Schulte, Elisabeth
Series Title: Working paper series / European Central Bank ; 256
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: Voting ruleMonetary PolicyGroup decisionTheory
Subject: Currency. Monetary policy
Countries Scheme: No country specification
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Title: Consumer inflation expectations in Poland
Abstract
Inflation expectations constitute a subject of particular contemporary interest to central banks, especially those pursuing a monetary policy based on a strategy of direct inflation targeting. Macroeconomic theory indicates that the transmission of monetary policy impulses and their impact on the real and nominal sectors of the economy bear a close relationship to properties of inflation expectations. Qualitative data on inflation expectations, as obtained from surveys, can be quantified with the use of probability or regression methods. This paper presents the results of two versions of the probability method, implemented in order to estimate numerical measures of Polish consumer inflation expectations, based on the monthly Ipsos-Demoskop survey. In addition, the unbiasedness and macroeconomic efficiency of Polish consumer inflation expectations are tested, as are the way in which these are formed. The pattern of responses to the survey question and quantified measures of Polish consumer inflation expectations are also compared with the respective findings for the euro area. [Tomasz £yziak]
Author: £yziak, Tomasz
Series Title: Working paper series / European Central Bank ; 287
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: Monetary PolicyInflation expectationsPolandConsumersCentral Bankmonetary policyinflationPoland
consumercentral bank
Subject: Economic conditionsCurrency. Monetary policy
Countries Scheme: Poland
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Title: Monetary and fiscal interactions in open economies
Abstract
A two-country sticky-price model is used to analyse the interactions between fiscal and monetary policy. The role of an 'activist' fiscal policy as a stabilisation tool is considered and a measure of the welfare gains from international fiscal policy cooperation is derived. It is found that welfare gains from fiscal cooperation do exist provided monetary policy is set cooperatively. There are also welfare gains from fiscal policy cooperation in a monetary union. However, it is found that a 'non-activist' fiscal policy can be better than non-cooperative fiscal policy when the international correlation of shocks is strongly negative. And non-cooperative fiscal policy can be better than cooperative fiscal policy if monetary policy is not set cooperatively. [Giovanni Lombardo ; Alan Sutherland]
Author: Lombardo, Giovanni | Sutherland, Alan
Series Title: Working paper series / European Central Bank ; 289
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: Fiscal PolicyMonetary PolicyOpen economyTheoryEconomic policy target
Subject: Currency. Monetary policyFinancing. Private finance. Financial policy
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Title: Inflation persistence and robust monetary policy design
Abstract
This paper investigates the performance of optimised interest rate rules when there is uncertainty about a key determinant of the monetary transmission mechanism, namely the degree of persistence characterising the inflation process. The paper focuses on the euro area and utilises two variants of an estimated small-scale macroeconomic model featuring distinct types of staggered contracts specifications which induce quite different degrees of inflation persistence. The paper shows that a cautious monetary policy-maker is welladvised to design and implement interest rate policies under the assumption that inflation persistence is high when uncertainty about the prevailing degree of inflation persistence is pervasive. [Günter Coenen]
Author: Coenen, Günter
Series Title: Working paper series / European Central Bank ; 290
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: EU countriesEuropean Economic and Monetary UnionMonetary PolicyAnti-inflation policyRobust methodTheoryMonetary transmissionInterest rate policy
Subject: Currency. Monetary policy
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Title: Is the demand for euro area M3 stable?
Title (other): Background study for the evaluation of the ECB's monetary policy strategy
Abstract
This paper re-examines two data issues concerning euro area money demand: aggregation of national data and measurement of the own rate.The main purpose is to study if euro area money demand is subject to parameter non-constancies using formal tests rather than informal diagnostics. As a complement to inference based on asymptotics we perform small-scale bootstraps.The empirical evidence supports the existence of a stable long-run relationship between money and output and that the cointegration space is constant over time.H owever, the interest rate semi-elasticities of money demand are imprecisely estimated.Cond itional on the cointegration relations the remaining parameters of the system appear to be constant.W e also examine the relevance of stock prices for money demand and find that our measure does not matter for the long-run relations, but may be useful in forecasting exercises.F inally, the conclusions are robust for the aggregation method and the choice of sample. [Annick Bruggeman ; Paola Donati ; Anders Warne]
Author: Bruggeman, Annick | Donati, Paola | Warne, Anders
Series Title: Working paper series / European Central Bank ; 255
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: AggregationBootstrap methodEU countriesEuropean Economic and Monetary UnionMoney stockDemand for money
Subject: Currency. Monetary policy
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Title: Identifying fiscal shocks and policy regimes in OECD countries
Abstract
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 'set of rules' for the implementation of fiscal policies. Second, we identify the fiscal policy shocks related to different categories of expenditure and taxation, and simulate their ex0Bects on economic activity. Empirical evidence shows that in the selected European countries fiscal decisions mainly target government expenditure while a clear-cut distinction between spending and taxation regimes is not found in the US. Both shocks on government spending and taxation generate keynesian responses of output, although fiscal multipliers are quite low (output reacts by 0.1 percent quarterly on average at most to a 1 percentage change in the expenditure or revenue ratio). In Italy, the US and France, the strongest ex0Bect on output is produced by shocks on government expenditure on wages and transfers. [Giuseppe de Arcangelis and Serena Lamartina]
Author: Arcangelis, Giuseppe de | Lamartina, Serena
Series Title: Working paper series / European Central Bank ; 281
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: GermanyFiscal PolicyFranceItalyShockUnited StatesVAR model
Subject: Taxation. Fiscal policy
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Title: Measuring the time-inconsistency of US monetary policy
Abstract
This paper offers an alternative explanation for the behavior of postwar US inflation by measuring a novel source of monetary policy time-inconsistency due to Cukierman (2002). In the presence of asymmetric preferences, the monetary authorities end up generating a systematic inflation bias through the private sector expectations of a larger policy response in recessions than in booms. Reduced-form estimates of US monetary policy rules indicate that while the inflation target declines from the pre- to the post-Volcker regime, the average inflation bias, which is about one percent before 1979, tends to disappear over the last two decades. This result can be rationalized in terms of the preference on output stabilization, which is found to be large and asymmetric in the former but not in the latter period. [Paolo Surico]
Author: Surico, Paolo
Series Title: Working paper series / European Central Bank ; 291
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: Monetary PolicyInflation targetingAnti-inflation policyTheory of preferencesUnited StatesTime consistency
Subject: Economic development. Economic growthCurrency. Monetary policy
Countries Scheme: USA
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Title: Bank mergers, competition and liquidity
Abstract
We model the impact of bank mergers on loan competition, banks' reserve holdings and aggregate liquidity. Banks compete in a differentiated loan market, hold reserves against liquidity shocks, and refinance in the interbank market. A merger creates an internal money market that induces financial cost advantages and may increase reserve holdings. We assess changes in liquidity risk and expected liquidity needs for each bank and for the banking system. Large mergers tend to increase expected aggregate liquidity needs, and thus the liquidity provision by the central bank. Comparative statics suggest that a more competitive environment moderates this effect. [Elena Carletti ; Philipp Hartmann ; Giancarlo Spagnolo ]
Author: Carletti, Elena | Hartmann, Philipp | Spagnolo, Giancarlo
Series Title: Working paper series / European Central Bank ; 292
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: BankBank liquidityIndustrialized countriesCredit marketTheoryCompetitionEconomic concentration
Subject: Currency. Monetary policyInternational investments. Capital movements
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Title: Identifying the monetary transmission mechanism using structural breaks
Abstract
We propose a method for estimating a subset of the parameters of a structural rational expectations model by exploiting changes in policy. We define a class of models, midway between a vector autoregression and a structural model, that we call the recoverable structure. As an application of our method we estimate the parameters of a model of the USA monetary transmission mechanism. We estimate a vector autoregression and find that its parameters are unstable. However, using our proposed identification method we are able to attribute instability in the parameters of the VAR solely to changes in the parameters of the policy rule. We recover parameter estimate of the recoverable structure and we demonstrate the these parameters are invariant to changes in policy. Since the recoverable structure includes future expectations as explanatory variables our parameter estimates are not subject to the Lucas [24] critique of econometric policy evaluation. [Andreas Beyer ; Roger E. A. Farmer]
Author: Beyer, Andreas | Farmer, Roger E. A.
Series Title: Working paper series / European Central Bank ; 275
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: Rational expectationsMonetary transmissionUnited StatesVAR model
Subject: Investment returns. Financial market. Interest rates
Countries Scheme: USA
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Title: Designing targeting rules for international monetary policy cooperation
Abstract
This study analyzes international monetary policy cooperation in a twocountry dynamic general equilibrium model with nominal rigidities, monopolistic competition and producer currency pricing. A quadratic approximation to the utility of the consumers is derived and assumed as the policy objective function of the policymakers. It is shown that only under special conditions there are no gains from cooperation and moreover that the paths of the exchange rate and prices in the constrained-e±cient solution depend on the kind of disturbance that affects the economy. It might be the case either fixed or floating exchange rates. Despite this result, simple targeting rules that involve only targets for the growth of output and for both domestic GDP and CPI in°ation rates can replicate the cooperative allocation. [Gianluca Benigno ; Pierpaolo Benigno]
Author: Benigno, Gianluca | Benigno, Pierpaolo
Series Title: Working paper series / European Central Bank ; 279
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: Inflation targetingCurrency agreementEconomic policy coordinationTheory
Subject: Currency. Monetary policy
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Title: Downward nominal wage rigidity and the long-run Philips Curve
Title (other): simulation-based evidence for the euro area
Abstract
This paper summarises the results of a quantitative study of the possible impact of downward nominal wage rigidity on the determination of inflation and output in the euro area and the existence of a non-vertical long-run Phillips curve. The study was undertaken in the context of the review of the ECB's monetary policy strategy in Spring 2003 and complements an investigation of the consequences of the zerointerest- rate bound for monetary policy-making in the euro area, the results of which are summarised in Coenen (2003). [Günter Coenen]
Author: Coenen, Günter
Series Title: Working paper series / European Central Bank ; 270
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: EU countriesEuropean Economic and Monetary UnionAggregate ProductionInflation expectationsWage rigidityPhillips curveTheory
Subject: Currency. Monetary policy
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Title: Inflation targets and the liquidity trap
Abstract
The presence of a lower bound of zero on nominal interest rates has important implications for the conduct of optimal monetary policy. Standard rational expectations models can have alternative steady states as well as non-unique laws of motion, i.e. there can be possible sunspot equilibria. Such complications can be ruled out under a number of alternative assumptions. In this paper we analyse the relevance of the zero lower bound for alternative levels of inßation in a stan- dard Neo-Keynesian model, where stability is assured by assuming that Þscal policy turns expansionary at the zero lower bound. [Matt Klaeffling ; Victor Lopez Perez]
Author: Klaeffling, Matt | Perez, Victor Lopez
Series Title: Working paper series / European Central Bank ; 272
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: Fiscal PolicyMonetary PolicyInflation targetingTheory
Subject: Taxation. Fiscal policyCurrency. Monetary policy
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Title: Definition of price stability, range and point inflation targets
Title (other): the anchoring of long-term inflation expectations
Abstract
Announcing a quantitative objective for price developments has become a common practice in modern monetary policy making. While the specific features of such announced objectives vary across countries, a common rationale for this is to help anchoring inflation expectations. We use survey data on long-term inflation expectations in 15 industrial countries since the early nineties to investigate how well anchored are inflation expectations. We find that in all countries except Japan long-term inflation expectations are well anchored and, generally, increasingly so over the past decade. When comparing this evidence across types of announcements of the inflation objectives, we find that the specific features of announcements have no visible effect on the performance at anchoring inflation expectations. In particular, there does not seem to be evidence that the announcement of a quantitative objective in the form of a point or of a range for admissible inflation rates makes any appreciable difference. [Efrem Castelnuovo, Sergio Nicoletti-Altimari and Diego Rodriguez-Palenzuela]
Author: Castelnuovo, Efrem | Nicoletti-Altimari, Sergio | Rodriguez-Palenzuela, Diego
Series Title: Working paper series / European Central Bank ; 273
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: EU countriesMonetary PolicyInflation targetingInflation expectationsPrice stability
Subject: Economic and growth policiesCurrency. Monetary policy
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Title: Interpreting implied risk-neutral densities
Title (other): the role of risk premia
Abstract
This paper examine differences between risk-neutral and objective probability densities of future interest rates. The identification and quantification of these differences are important when risk-neutral densities (RNDs), such as option-implied RNDs, are used as indicators of actual beliefs of investors. We employ a multi-factor essentially affine modeling framework apllied to German time-series and cross-section term structure data in order to identify both the risk-neutral and the objective term structure dynamics. We find important differences beetween risk-neutral and objective distributions due to risk premia in bond prices. Moreover, the estimated premia vary over time in a quantitatively significant way, which implies that the differences between the objective and the risk neutral distributions also vary over time. We conclude that one should be cautions in interpreting RNDs as representing the true expectations of market participants. The method used in this paper provides an alternative approach to identifying objective probabilities of future interest rates. [Peter Hördahl ; David Vestin]
Author: Hördahl, Peter | Vestin, David
Series Title: Working paper series / European Central Bank ; 274
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: GermanyRisk neutralityRisk premiumFutures contractTheoryTerm structure of interest rates
Subject: Investment returns. Financial market. Interest rates
Countries Scheme: Germany. General Resources
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Title: Comparing economic dynamics in the EU and CEE accession countries
Abstract
This paper presents evidence for structural differences in economic growth dynamics between the current EU and the central- and eastern European accession countries. Two important results emerge from the analysis. First, accession countries have posted higher average growth and wider output fluctuations than the euro area and other EU countries. Second, a set of different methodologies suggests that business cycles of accession countries have been less synchronised with the euro area than those of the United Kingdom, Sweden and Denmark. It is less clear whether accession countries are also less synchronised than the euro area "peripherals" (Greece, Portugal and Ireland). Moreover, synchrony differed across countries. Some accession economies, particularly Hungary, Poland and Slovenia, showed a close alignment with euro area fluctuations. Others, in particular the Czech Republic and Slovakia, revealed remarkable asymmetries, which are a reminder that sizeable idiosyncratic shocks remain a risk. [Ralph Süppel]
Author: Süppel, Ralph
Series Title: Working paper series / European Central Bank ; 267
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: EU enlargementEU countriesOptimum currency areaEastern EuropeComparisonExchange rateEconomic Growth
Subject: European Community external relationsCurrency. Monetary policy
Countries Scheme: Eastern Europe. General Resources
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Title: Finance and growth in the EU
Title (other): new evidence from the liberalisation and harmonisation of the banking industry
Abstract
This paper analyses the link between finance and growth by studying the effect that the process of financial deregulation and harmonisation of banking laws at the EU level has brought about on growth over the last 40 years. Our main findings point to the existence of a positive long-run growth impact from the liberalisation of capital controls and the harmonisation of banking legislation. Both policy changes affect growth even after controlling for other pro-growth policies implemented around the same time and they are robust to business cycle effects that could spuriously drive the relation. The analysis of the main channels through which our policy changes may have affected growth indicates that the harmonisation process has impacted growth through the increase in the level and efficiency of financial intermediation and the liberalisation of capital controls has mainly affected growth through improvements in the degree of efficiency in financial intermediation. [Diego Romero De Ávila]
Author: De Ávila, Diego Romero
Series Title: Working paper series / European Central Bank ; 266
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: DeregulationSingle European marketEU countriesFinancial marketFinancial liberalizationEconomic Growth
Subject: Foreign trade. Trade relationsInternational investments. Capital movements
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Title: New Keynesian Phillips Curves
Title (other): a reassessment using euro-area data
Abstract
Using euro-area data, we re-examine the empirical success of New Keynesian Phillips Curves (NKPCs). The nature of our re-evaluation relies on the actual empirical underpinnings of such estimates: we find existing estimates un-robust and - given that key parameters are generally calibrated rather than estimated - potentially at odds with the data. We re-estimate with a wellspecified optimizing supply-side (which attempts to treat non-stationarity in factor income shares and mark-ups) and this allows us to derive estimates of technology parameters and marginal costs. Our resulting estimates of the euro-area NKPCs are robust, provide reasonable estimates for fixed-price durations and discount rates and embody plausible dynamic properties. Our method for identifying and estimating New Keynesian Phillips curves has general applicability to a wide set of countries and might also be used in identifying sectoral NKPCs. [Peter McAdam ; Alpo Willman]
Author: McAdam, Peter | Willman, Alpo
Series Title: Working paper series / European Central Bank ; 265
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: EU countriesEuropean Economic and Monetary UnionInflation ratePhillips curve
Subject: Economic and growth policiesCurrency. Monetary policy
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Title: A monthly monetary model with banking intermediation for the euro area
Abstract
This monthly monetary model for the euro area is gradually constructed from its two constituting components: a money demand and a loan demand model which both include the relation between the respective retail bank rates and the short-term market interest rate. Eventually, the encompassing monetary model allows for interactions between money and loans induced by the intermediation role of the banking sector. Estimating the encompassing model over the period January 1981 - September 2001 results in a money demand equation which corroborates the existing evidence. To stabilise the loan demand equation, however, an extra variable capturing the mergers and acquisitions wave of 1999-2000 is needed. Furthermore, the model rejects the frequently used assumption of complete separability in the pricing of loans and deposits and provides some evidence for the existence of a bank lending channel. Finally, the estimation of the Structural-VECM highlights very rich dynamics in the system. [Annick Bruggeman ; Marie Donnay]
Author: Bruggeman, Annick | Donnay, Marie
Series Title: Working paper series / European Central Bank ; 264
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: EU countriesEuropean Economic and Monetary UnionFinancial intermediationDemand for moneyCointegrationCredit theory
Subject: Currency. Monetary policy
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