Suche nach Schlagworten '19073-6'

48 entries found on 3 pages. starting on record 1 ending on 20

Sort by: Title, Year, Author (Corp. Body),

1 | 2 | 3
« Previous
Next »
Title: A markup model of inflation for the euro area
Abstract
Equilibrium correction models of the price level are often used to model inflation. Such models assume that the long-run markup of prices over costs is fixed, but this may not be true for the Euro area economy, which has undergone major structural reforms over the last 25 years. We allow for shifts in the markup factor through estimating an equation that includes a timevarying intercept. The model fits the data better than a linear alternative, and suggests that a reduction in the price-cost markup contributed to disinflation in the Euro area during the 1980s. [Christopher Bowdler and Eilev S. Jansen]
Author: Bowdler, Christopher | Jansen, Eilev S.
Series Title: Working paper series / European Central Bank ; 306
Publisher: European Central Bank
Year: 2004
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: Economic dynamicsEU countriesInflationCointegrationTheory
Subject: European Communities and European Union in generalEconomic development. Economic growth
Online Ressource: vorübergehend nicht erreichbar!
Bitte beachten Sie die urheberrechtlichen Bedingungen der Dokumentenbenutzung / Please observe the copyright when accessing the document | Quelle / Source: Europäische Zentralbank (http://www.ecb.int)
Title: A structural common factor approach to core inflation estimation and forecasting
Abstract
In the paper we propose a new methodological approach to core in- flation estimation, based on a frequency domain principal components estimator, suited to estimate systems of fractionally cointegrated processes. The proposed core inflation measure is the scaled common persistent factor in inflation and excess nominal money growth and bears the interpretation of monetary inflation. The proposed measure is characterised by all the properties that an 'ideal' core inflation process should show, providing also a superior forecasting performance relative to other available measures. [Claudio Morana]
Author: Morana, Claudio
Series Title: Working paper series / European Central Bank ; 305
Publisher: European Central Bank
Year: 2004
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: European Economic and Monetary UnionMonetary PolicyInflationCointegrationMarkov processTheory
Subject: European Communities. European UnionEconomic development. Economic growth
Online Ressource: vorübergehend nicht erreichbar!
Bitte beachten Sie die urheberrechtlichen Bedingungen der Dokumentenbenutzung / Please observe the copyright when accessing the document | Quelle / Source: Europäische Zentralbank (http://www.ecb.int)
Title: Aggregation-theoretic monetary aggregation over the euro area, when countries are heterogeneous
Abstract
We derive fundamental new theory for measuring monetary service flows aggregated over countries within the European Monetary Union (EMU). We develop three increasingly restrictive approaches: (1) the heterogeneous agents approach, (2) the multilateral representative agent approach, and (3) the unilateral representative agent approach. Our heterogeneous agents approach contains our multilateral representative agent approach as a special case. In our most general approach, we assume the existence of a representative consumer within each country to aggregate within each country. We use a stochastic approach to aggregation across countries over the heterogeneous representative agents, and we derive the resulting formulas for stochastic aggregation over countries. Our theory permits monitoring the effects of policy at the aggregate level over the euro area, while also monitoring the distribution effects of policy among the countries of the euro area. Our approach requires the simultaneous use of two inflation indexes over the euro area. [William A. Barnett]
Author: Barnett, William A.
Series Title: Working paper series / European Central Bank ; 260
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: AggregationEU countriesEuropean Economic and Monetary UnionMoney stockMonetary TheoryTheory
Subject: Currency. Monetary policy
Online Ressource: vorübergehend nicht erreichbar!
Bitte beachten Sie die urheberrechtlichen Bedingungen der Dokumentenbenutzung / Please observe the copyright when accessing the document | Quelle / Source: Europäische Zentralbank (http://www.ecb.int)
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
Online Ressource: vorübergehend nicht erreichbar!
Bitte beachten Sie die urheberrechtlichen Bedingungen der Dokumentenbenutzung / Please observe the copyright when accessing the document | Quelle / Source: Europäische Zentralbank (http://www.ecb.int)
Title: Committees and special interests
Abstract
Some committees convene behind closed doors while others publicly discuss issues and make their decisions. This paper studies the role of open and closed committee decision making in presence of external influence. We show that restricting the information of interest groups may reduce the bias towards special interest politics. Moreover, there are cases where benefits from increasing the number of decision makers can only be reaped if the committee's sessions are not public. In open committees benefits from voting insincerely accrue not only when a decision maker's vote is pivotal. As the number of voters increases, the cost of voting insincerely declines in an open committee because the probability of being pivotal declines. This is not the case in a closed committee where costs and benefits of insincere voting only arise when a voter is pivotal. [Mike Felgenhauer ; Hans-Peter Grüner]
Author: Felgenhauer, Mike | Grüner, Hans Peter
Series Title: Working paper series / European Central Bank ; 293
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: VotingInterest groupTheory
Subject: European Community institutionsEconomic and growth policies
Online Ressource: vorübergehend nicht erreichbar!
Bitte beachten Sie die urheberrechtlichen Bedingungen der Dokumentenbenutzung / Please observe the copyright when accessing the document | Quelle / Source: Europäische Zentralbank (http://www.ecb.int)
Title: Cooperation in international banking supervision
Abstract
This paper analyzes cooperation between sovereign national authorities in the supervision and regulation of a multinational bank. We take a political economy approach to regulation and assume that supervisors maximize the welfare of their own country. The communication between the supervisors is modeled as a "cheap talk"game. We show that: (1) unless the interests of the countries are perfectly aligned, Þrst best closure regulation cannot be implemented; (2) the more aligned the interests are, the higher is welfare; (3) the bank can allocate its investments strategically across countries to escape closure. [Cornelia Holthausen and Thomas Rønde]
Author: Holthausen, Cornelia | Rønde, Thomas
Series Title: Working paper series / European Central Bank ; 316
Publisher: European Central Bank
Year: 2004
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: Banking supervisionMultinational bankInternational cooperationTheoryWorld
Subject: Financial institutions. Credit systems. Payment systems
Online Ressource: vorübergehend nicht erreichbar!
Bitte beachten Sie die urheberrechtlichen Bedingungen der Dokumentenbenutzung / Please observe the copyright when accessing the document | Quelle / Source: Europäische Zentralbank (http://www.ecb.int)
Title: Deposit insurance, moral hazard and market monitoring
Abstract
The paper analyses the relationship between deposit insurance, debt-holder monitoring, and risk taking. In a stylised banking model we show that deposit insurance may reduce moral hazard, if deposit insurance credibly leaves out non-deposit creditors. Testing the model using EU bank level data yields evidence consistent with the model, suggesting that explicit deposit insurance may serve as a commitment device to limit the safety net and permit monitoring by uninsured subordinated debt holders. We further find that credible limits to the safety net reduce risk taking of smaller banks with low charter values and sizeable subordinated debt shares only. However, we also find that the introduction of explicit deposit insurance tends to increase the share of insured deposits in banks' liabilities. [Reint Gropp and Jukka Vesala]
Author: Gropp, Reint | Vesala, Jukka
Series Title: Working paper series / European Central Bank ; 302
Publisher: European Central Bank
Year: 2004
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: EU countriesDeposit insuranceMoral hazardTheory
Subject: Public finance. Banking. International monetary relationsInsurance. Insurance risks
Online Ressource: vorübergehend nicht erreichbar!
Bitte beachten Sie die urheberrechtlichen Bedingungen der Dokumentenbenutzung / Please observe the copyright when accessing the document | Quelle / Source: Europäische Zentralbank (http://www.ecb.int)
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
Online Ressource: vorübergehend nicht erreichbar!
Bitte beachten Sie die urheberrechtlichen Bedingungen der Dokumentenbenutzung / Please observe the copyright when accessing the document | Quelle / Source: Europäische Zentralbank (http://www.ecb.int)
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
Online Ressource: vorübergehend nicht erreichbar!
Bitte beachten Sie die urheberrechtlichen Bedingungen der Dokumentenbenutzung / Please observe the copyright when accessing the document | Quelle / Source: Europäische Zentralbank (http://www.ecb.int)
Title: Equilibrium unemployment, job flows and inflation dynamics
Abstract
In order to explain the joint fluctuations of output, inflation and the labor market, this paper first develops a general equilibrium model that integrates a theory of equilibrium unemployment into a monetary model with nominal price rigidities. Then, it estimates a set of structural parameters characterizing the dynamics of the labor market using an application of the minimum distance estimation. The estimated model can explain the cyclical behavior of employment, hours per worker, job creation and job destruction conditional on a shock to monetary policy. Moreover, allowing for variation of the labor input at the extensive margin leads to a significantly lower elasticity of marginal costs with respect to output. This helps to explain the sluggishness of inflation and the persistence of output after a monetary policy shock. The ability of the model to account for the joint dynamics of output and inflation rely on its ability to explain the dynamics in the labor market. [Antonella Trigari]
Author: Trigari, Antonella
Series Title: Working paper series / European Central Bank ; 304
Publisher: European Central Bank
Year: 2004
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: General equilibriumMonetary PolicyInflationBusiness CyclePrice stickinessShockTheoryTheory of unemployment
Subject: Economic development. Economic growthBusiness cyclesCurrency. Monetary policyEmployment and unemployment
Online Ressource: vorübergehend nicht erreichbar!
Bitte beachten Sie die urheberrechtlichen Bedingungen der Dokumentenbenutzung / Please observe the copyright when accessing the document | Quelle / Source: Europäische Zentralbank (http://www.ecb.int)
Title: Exchange rate risks and asset prices in a small open economy
Abstract
The paper proposes a multi-factor international asset pricing model in which the exchange rate is allowed to be co-determined by a risk factor imperfectly correlated to other priced risks in the economy. The significance of this factor can be established as long as one is able to observe a proxy for the foreign cash order flow. Then, the asset pricing model is decomposed into the standard ICCAPM no-arbitrage setup characterized by a pricing kernel, in which, however, the 'autarky' exchange rate is unobserved, and an additional equation that links this autarchic currency price with the FX order flow. The model is put in the state space form. The unobserved variables span the macroeconomic risk factors with an impact on the asset markets and determine the dynamics of the pricing kernel, the autarchic exchange rate and the FX order flow. A comparison of models allowing for an independent OF risk factor with a restricted one, where the forex order flow plays no role, should disclose the existence of a 'nonfundamental' source of a systematic divergence of the observed and the autarchic (i.e. fundamental) FX returns. The model is calibrated and tested on the Czech koruna/euro exchange rate in a setting with seven Czech and euro area asset returns. [Alexis Derviz]
Author: Derviz, Alexis
Series Title: Working paper series / European Central Bank ; 314
Publisher: European Central Bank
Year: 2004
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: Capital asset pricing modelEU countriesEuroTheoryCzech RepublicExchange rate
Subject: Currency. Monetary policy
Online Ressource: vorübergehend nicht erreichbar!
Bitte beachten Sie die urheberrechtlichen Bedingungen der Dokumentenbenutzung / Please observe the copyright when accessing the document | Quelle / Source: Europäische Zentralbank (http://www.ecb.int)
Title: Exchange rates and fundamentals
Abstract
Standard economic models hold that exchange rates are influenced by fundamental variables such as relative money supplies, outputs, inflation rates and interest rates. Nonetheless, it has been well documented that such variables little help predict changes in floating exchange rates - that is, exchange rates follow a random walk. We show that the data do exhibit a related link suggested by standard models - that the exchange rate helps predict fundamentals. We also show analytically that in a rational expectations present value model, an asset price manifests near random walk behavior if fundamentals are I(1) and the factor for discounting future fundamentals is near one. We suggest that this may apply to exchange rates. [Charles Engel ; Kenneth David West]
Author: Engel, Charles | West, Kenneth David
Series Title: Working paper series / European Central Bank ; 248
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: G-7 countriesMoney supplyMonetary PolicyAggregate ProductionInflation rateMacroeconomic effectRandom walkRational expectations
TheoryExchange rateInterest Rate
Subject: Economic and growth policiesCurrency. Monetary policy
Countries Scheme: Global Resources
Online Ressource: vorübergehend nicht erreichbar!
Bitte beachten Sie die urheberrechtlichen Bedingungen der Dokumentenbenutzung / Please observe the copyright when accessing the document | Quelle / Source: Europäische Zentralbank (http://www.ecb.int)
Title: Frequency domain principal components estimation of fractionally cointegrated processes
Abstract
In this paper we study the zero frequency spectral properties of fractionally cointegrated long memory processes and introduce a new frequency domain principal components estimator of the cointegration space and the factor loading matrix for the long memory factors. We find that for fractionally differenced (fractionally) cointegrated processes the squared multiple coherence at the zero frequency is equal to one, the spectral density matrix at the zero frequency is singular, and the factor loading and cointegrating matrices can be obtained from the eigenvectors of the spectral matrix at the zero frequency, associated with the positive and zero roots, respectively. A Monte Carlo simulation reveals that the proposed principal components estimator has already good properties with relatively small sample sizes. [Claudio Morana]
Author: Morana, Claudio
Series Title: Working paper series / European Central Bank ; 321
Publisher: European Central Bank
Year: 2004
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: Monte Carlo methodEstimation theoryTheoryTime series analysis
Online Ressource: vorübergehend nicht erreichbar!
Bitte beachten Sie die urheberrechtlichen Bedingungen der Dokumentenbenutzung / Please observe the copyright when accessing the document | Quelle / Source: Europäische Zentralbank (http://www.ecb.int)
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
Online Ressource: vorübergehend nicht erreichbar!
Bitte beachten Sie die urheberrechtlichen Bedingungen der Dokumentenbenutzung / Please observe the copyright when accessing the document | Quelle / Source: Europäische Zentralbank (http://www.ecb.int)
Title: Growth expectations, capital flows and international risk sharing
Abstract
Over the past decades, cross-border financial flows have increased in importance and have in many occasions exceeded the underlying current account positions. This phenomenon has been accompanied by an increase in the volume of international equity transactions that accentuate the role of international risk sharing as a factor for the macroeconomic response to shocks. We use a stylised two-bloc, two-period model of the global economy, with a simple stochastic productivity shock affecting only one country. Efficient global risk-sharing imply that expected productivity gains in one country will attract equity inflows in excess of those needed to finance the current account. Upward-biased expectations about prospects for the productivity gains can further increase the risk exposure of foreign shareholders. The model is calibrated to show how ex post market losses - whether due to 'normal' stock market downturn or ex ante over-optimism - are distributed and how they affect global consumption and current account positions. The results suggest that international spillover effects of stock market bubbles can contribute to business cycle synchronisation across economic areas. [Olli Castrén, Marcus Miller and Roger Stiegert]
Author: Castrén, Olli | Miller, Marcus | Stiegert, Roger
Series Title: Working paper series / European Central Bank ; 237
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: Stock MarketBubblesCapital mobilityBusiness cycle transmissionRiskTheoryWorldEconomic Growth
Subject: Economic and growth policiesInternational investments. Capital movements
Countries Scheme: Global Resources
Online Ressource: vorübergehend nicht erreichbar!
Bitte beachten Sie die urheberrechtlichen Bedingungen der Dokumentenbenutzung / Please observe the copyright when accessing the document | Quelle / Source: Europäische Zentralbank (http://www.ecb.int)
Title: Implementing optimal control in cointegrated I(1) structural VAR models
Abstract
This paper examines the feasibility of implementing Linear Quadratic Gaussian (LQG) Control in structural cointegrated VAR models and sheds some light on the two major problems generated by such implementation. The first aspect to be taken into account is the effect of the presence of unit roots in the system on the policymaker's ability to control it, partially or thoroughly. Different control techniques are proposed according to the extent to which the policymaker can exercise his control on the overall dynamics of the economy, i.e. depending on whether he/she can stabilize the whole system, only part of it or none of it. The second issue involves the structural form of the model. It will be shown in this paper that, in general, a system's features will change when implementing a new control rule. In particular, a controlled system will generally not retain features that should be intrinsecally invariant to policy changes (e.g., neutrality of money in the long-run). [Francesca V. Monti]
Author: Monti, Francesca V.
Series Title: Working paper series / European Central Bank ; 288
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: Monetary PolicyCointegrationControl theoryTheoryVAR model
Subject: Economic and growth policies
Online Ressource: vorübergehend nicht erreichbar!
Bitte beachten Sie die urheberrechtlichen Bedingungen der Dokumentenbenutzung / Please observe the copyright when accessing the document | Quelle / Source: Europäische Zentralbank (http://www.ecb.int)
Title: Implicit tax co-ordination under repeated policy interactions
Abstract
In the context of a stylised game theoretical framework of capital tax competition, we show that when repeated policy interactions are associated to a systematic punishment of the deviating policymaker, a co-ordinated outcome can be the solution to the non co-operative tax game. This result suggests that explicit forms of policy coordination, such as a centralised tax authority, could in fact be largely unnecessary. [Marco Catenaro ; Jean-Pierre Vidal]
Author: Catenaro, Marco | Vidal, Jean-Pierre
Series Title: Working paper series / European Central Bank ; 259
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: EU countriesEU tax lawCapital income taxNoncooperative gameTax competitionTheory
Subject: Taxation. Fiscal policy
Online Ressource: vorübergehend nicht erreichbar!
Bitte beachten Sie die urheberrechtlichen Bedingungen der Dokumentenbenutzung / Please observe the copyright when accessing the document | Quelle / Source: Europäische Zentralbank (http://www.ecb.int)
Title: Indeterminacy and search theory
Abstract
This paper investigates a dynamic general equilibrium model with search. In particular, search externalities are reßected by an increasing returns to scale matching function, which may imply an indeterminate equilibrium. Hence, the model is capable to generate business ßuctuations, driven by self-fulÞlling belief, characterised by unemployment persistence. A numerical simulation shows that the degree of externalities needed for indeterminacy is not too far from existing empirical estimates and the implied dynamics of employment is richer then that of standard RBC models with search. [Nicola Giammarioli]
Author: Giammarioli, Nicola
Series Title: Working paper series / European Central Bank ; 271
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: Dynamic equilibriumMacroeconomicsSearch theoryTheory
Subject: Employment and unemployment
Online Ressource: vorübergehend nicht erreichbar!
Bitte beachten Sie die urheberrechtlichen Bedingungen der Dokumentenbenutzung / Please observe the copyright when accessing the document | Quelle / Source: Europäische Zentralbank (http://www.ecb.int)
Title: Indeterminacy of rational expectations equilibria in sequential financial markets
Abstract
We provide a general characterization of the structure of rational expectations equilibria of any degree of revelation for pure exchange, sequential economies, with deffinitely many states of private information, an incomplete financial market and nominal assets. We estimate the dimension of the rational expectations equilibria for any degree of revelation. Then, we show how a central bank, by deciding on the money supply, may affect the revelation of information at equilibrium. [Paola Donati]
Author: Donati, Paola
Series Title: Working paper series / European Central Bank ; 262
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: Asymmetric informationFinancial marketMonetary PolicyRational expectationsTheoryIncomplete marketCentral Bank
Subject: Currency. Monetary policyInvestment returns. Financial market. Interest rates
Online Ressource: vorübergehend nicht erreichbar!
Bitte beachten Sie die urheberrechtlichen Bedingungen der Dokumentenbenutzung / Please observe the copyright when accessing the document | Quelle / Source: Europäische Zentralbank (http://www.ecb.int)
Title: Inflation and relative price asymmetry
Abstract
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 price, identification schemes dictated by two-sided (S,s) pricing theory and measures of asymmetry in the relative price distribution, idiosyncratic shocks explain about 25 to 30 percent of the forecast error variance in inflation at the 12-month horizon. While the contemporaneous correlation between inflation and relative price asymmetry is positive, idiosyncratic shocks lead to a substantial build-up in inflation only after two to five months following the initial disturbance. [Attila Ratfai]
Author: Ratfai, Attila
Series Title: Working paper series / European Central Bank ; 301
Publisher: European Central Bank
Year: 2004
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: InflationRelative pricesShockTheoryHungaryVAR model
Subject: Economic development. Economic growth
Countries Scheme: Hungary
Online Ressource: vorübergehend nicht erreichbar!
Bitte beachten Sie die urheberrechtlichen Bedingungen der Dokumentenbenutzung / Please observe the copyright when accessing the document | Quelle / Source: Europäische Zentralbank (http://www.ecb.int)
1 | 2 | 3
« Previous
Next »
Copyright (C) 2003-2019 European Documentation Centres / Update: 09.10.2019