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The high-frequency response of the EUR-US Dollar exchange rate to EBC monetary policy announcements

Conrad, Christian; Lamla, Michael J. - 2007

We investigate the impact of the European Central Bank's monetary policy announcements on the level and volatility of the EUR-US Dollar exchange rate employing an AR-FIGARCH specification. Using high-frequency data we estimate the individual and complementary effects of the release of the...

Persistent link: https://www.econbiz.de/10010277736

Estimating the border effect: Some new evidence

Gopinath, Gita; Gourinchas, Pierre-Olivier; Hsieh, Chang-Tai - 2009

To what extent do national borders and national currencies impose costs that segment markets across countries? To answer this question the authors use a dataset with product-level retail prices and wholesale costs for a large grocery chain with stores in the United States and Canada. They...

Persistent link: https://www.econbiz.de/10010280948

The euro cash changeover, inflation perceptions and the media

Lamla, Michael J.; Lein, Sarah M. - 2010

In the aftermath of the euro cash changeover consumers' inflation perceptions rose substantially in the euro area … inflationary effect of the euro introduction intensified. In this paper we argue that the information set of the public has been … sharp rise in the aftermath of the euro cash changeover. …

Persistent link: https://www.econbiz.de/10010277743

Close encounters of the European kind: Economic integration, sectoral heterogeneity and structural reforms

Campos, Nauro; Eichenauer, Vera; Sturm, Jan-Egbert - 2020

that the euro triggered product but neither labour nor financial market reforms. Differently from previous studies, we find … that: (a) the Single Market has similar effects to the euro, and (b) sectoral heterogeneity appears less important in …

Persistent link: https://www.econbiz.de/10012546037

Uncertainty shocks in a model of effective demand

Basu, Susanto; Bundick, Brent - 2012

This paper examines the role of uncertainty shocks in a one-sector, representative-agent dynamic stochastic general equilibrium model. When prices are flexible, uncertainty shocks are not capable of producing business cycle comovements among key macro variables. With countercyclical markups...

Persistent link: https://www.econbiz.de/10010343352

Explaining US consumer behavior and expectations with news sentiment

Uhl, Matthias W. - 2010

We examine the information content of a newly created news sentiment index from over 300,000 articles from some of the most widely read newspapers in the US to explain changes in the University of Michigan Index of Consumer Sentiment from 1995 to 2009. Using ARMA-models, we show that consumer...

Persistent link: https://www.econbiz.de/10010277782

Real output of bank services: What counts is what banks do, not what they own

Inklaar, Robert; Wang, J. Christina - 2011

The measurement of bank output, a difficult and contentious issue, has become even more important in the aftermath of the devastating financial crisis of recent years. In this paper, we argue that models of banks as processors of information and transactions imply a quantity measure of bank...

Persistent link: https://www.econbiz.de/10010280912

Empirical estimates of changing inflation dynamics

Fuhrer, Jeff; Olivei, Giovanni; Tootell, Geoffrey M. B. - 2009

This paper provides an array of empirical evidence bearing on potentially important changes in the dynamics of U.S. inflation. We examine the overall performance of Phillips curves relative to some well-known benchmarks, the efficiency with which the Federal Reserve's Greenbook forecasts of...

Persistent link: https://www.econbiz.de/10010280920

Housing and debt over the life cycle and over the business cycle

Iacoviello, Matteo; Pavan, Marina - 2009

This paper describes an equilibrium life-cycle model of housing where nonconvex adjustment costs lead households to adjust their housing choice infrequently and by large amounts when they do so. In the cross-sectional dimension, the model matches the wealth distribution; the age profiles of...

Persistent link: https://www.econbiz.de/10010280939

Changes in the Federal Reserve's inflation target: Causes and consequences

Ireland, Peter N. - 2005

This paper estimates a New Keynesian model to draw inferences about the behavior of the Federal Reserve's unobserved inflation target. The results indicate that the target rose from 1-1/4 percent in 1959 to over 8 percent in the mid-to-late 1970s before falling back below 2-1/2 percent in 2004....

Persistent link: https://www.econbiz.de/10010280949