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500 entries found on 25 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: ECB - Working paper series
Title (other): European Central Bank - Working paper series
Abstract
The ECB Working Paper Series seeks to disseminate economic research on issues that are relevant to the various tasks and functions of the ECB. The Series invites submissions of research work by ECB staff and visitors. Papers by researchers not affiliated with the ECB may also be considered for publication to the extent that they have been produced in the context of ECB-led research initiatives and/or presented at research conferences/workshops organised by the ECB. The working papers published in the Series constitute work in progress circulated to stimulate discussion and critical comments. Views expressed represent exclusively the authors' own opinions and do not necessarily reflect those of the ECB. [according to former site editors' information]
Series Title: European Central Bank
Author (Corp. Body): European Central Bank
Year: unknown
Language: en
Ressource: Verzeichnisse von Arbeitspapier- und Preprintreihen
Countries Scheme: Europe. General Resources
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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: 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
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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: Forecasting real GDP
Title (other): what role for narrow money?
Abstract
This paper analyses the information content of M1 for euro area real GDP since the beginning of the 1980s and reviews theoretical arguments on why real narrow money should help predict real GDP. We find that, unlike in the U.S., in the euro area, M1 has better and more robust forecasting properties for real GDP than yield spreads. This property persists when one controls for a number of other influences. We also evaluate the out-of-sample forecasting performance of different classes of VAR models comprising real M1, GDP and other indicators, using as benchmark a simple univariate model. As a result, only VARs in first differences are able to outperform the benchmark. [Claus Brand ; Hans-Eggert Reimers ; Franz Seitz]
Author: Brand, Claus | Reimers, Hans-Eggert | Seitz, Franz
Series Title: Working paper series / European Central Bank ; 254
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: EU countriesMoney stockBusiness CycleForecasting techniqueUnited StatesVAR modelNational Accounts
Subject: Economic and growth policies
Countries Scheme: USA
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Title: Inflation, factor substitution and growth
Abstract
Recent empirical studies on the inflation-growth-relationship underline that inflation has negative growth effects already under relatively modest rates. Most contributions to monetary growth theory, however, have difficulties in explaining such a pattern. It is shown in this paper that this problem can be overcome by establishing a link between monetary instability and the aggregate elasticity of factor substitution. Several microeconomic justifications can be found for a negative influence of inflation on factor substitution. It turns out that already in a simple neoclassical monetary growth model this effect is usually strong enough to question the superneutrality benchmark result in the steady state and to dominate all potential positive effects of inflation along the convergence path. In a more general perspective the paper contributes to a better integration of institutional change in aggregate models of economic growth. [Rainer Klump]
Author: Klump, Rainer
Series Title: Working paper series / European Central Bank ; 280
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: CES production functionEconomic convergenceInflationNeoclassical economicsTheory
Subject: Economic and growth policies
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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: Optimal dynamic risk sharing when enforcement is a decision variable
Abstract
Societies provide institutions that are costly to use, but able to enforce long-run relationships. We study the optimal decision problem of using self-governance for risk sharing or governance through enforcement provided by these institutions. Third-party enforcement is modelled as a costly technology that consumes resources, but permits the punishment of agents who deviate from ex ante speci?ed allocations. We show that it is optimal to employ the technology whenever commitment problems prevent ?rst-best risk sharing, but never optimal to provide incentives exclusively via this technology. Commitment problems then persist and the optimal incentive structure changes dynamically over time with third-party enforcement monotonically increasing in the relative inequality between agents. [Thorsten V. Koeppl]
Author: Koeppl, Thorsten V.
Series Title: Working paper series / European Central Bank ; 282
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: Decision under riskInstitutional infrastructureRiskArbitrationVoluntary agreementTheoryContract theory
Subject: Macro- and micro-economics
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Title: US, Japan and the euro area
Title (other): comparing business-cycle features
Abstract
There has been much discussion of the differences in macroeconomic performance and prospects between the US, Japan and the euro area. Using Markov-switching techniques, in this paper we identify and compare specifically their major business-cycle features and examine the case for a common business cycle, asymmetries in the national cycles and, using a number of algorithms, date business-cycle turning points. Despite a high degree of trade and financial linkages, the cyclical features of US, Japan and the euro area appear quite distinct. Documenting and comparing such international business-cycle features can aid forecasting, model selection and policy analysis etc. [Peter McAdam]
Author: McAdam, Peter
Series Title: Working paper series / European Central Bank ; 283
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: EU countriesJapanBusiness CycleBusiness cycle transmissionUnited StatesComparison
Countries Scheme: USAJapan
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Title: The credibility of the monetary policy "free lunch"
Abstract
Price level targeting has been proposed as an alternative to in?ation targeting that may confer bene?ts if a central bank sets policy under discretion, even if society's loss function is speci?ed in terms of in?ation (instead of price level) volatility. This paper demonstrates the sensitivity of this argument. If even a small portion of agents use a rule-of-thumb to form in?ation expectations, or does not fully understand the nature of the target, price level targeting may in fact impose costs on society rather than bene?ts. While rational expectations and perfect credibility are generally bene?cial with either a price level or an in?ation target, an in?ation target is more robust to alternative assumptions. These results suggest that caution should be exercised in considering a price level target as the basis for monetary policy, unless society has preferences speci?ed in terms of price level, rather than in?ation, volatility. [James Yetman]
Author: Yetman, James
Series Title: Working paper series / European Central Bank ; 284
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: Monetary PolicyCredibilityInflation targetingPrice stabilityRational expectationsTheoryCentral Bank
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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: 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
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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: Short-term estimates of euro area real GDP by means of monthly data
Abstract
The first official data releases of quarterly real GDP for the euro area are published about eight weeks after the end of the reference quarters. Meanwhile, ongoing economic developments must be assessed from various, more readily available, monthly indicators. We examine in the context of univariate forecasting equations to what extent monthly indicators provide useful information for predicting euro area real GDP growth over the current and the next quarter. In particular, we investigate the performance of the equations under the case that the monthly indicators are only partially available within the quarter. For this purpose, we use time series models to forecast the missing observations of monthly indicators. We then examine GDP forecasts under different amounts of monthly information. We find that already a limited amount of monthly information improves the predictions for current-quarter GDP growth to a considerable extent, compared with ARIMA forecasts. Equations based on either quantitative activity indicators or the CEPR EuroCOIN composite indicator perform best. [Gerhard Rünstler ; Franck Sédillot]
Author: Rünstler, Gerhard | Sédillot, Franck
Series Title: Working paper series / European Central Bank ; 276
Publisher: European Central Bank
Year: 2003
Language: en
Ressource: Einzelne Arbeitspapiere, Preprints
Keyword: ARMA modelEU countriesStatistical dataNational AccountsEconomic forecast
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