Similar Search Results

De Grauwe, Paul; Gros, Daniel - 2009

The ECB has been arguing in the past that since there is no trade-off between price stability and financial stability, the pursuit of price stability is the best a central bank can do to also maintain financial stability. We argue that there is a potential trade-off between price stability and...

Persistent link: https://www.econbiz.de/10003888991

Price dispersion in the Euro Area : the case of a symmetric oil price shock

Carstensen, Kai; Hülsewig, Oliver; Wollmershäuser, Timo - 2009

This paper studies the causes of price dispersion in the euro area emerging in response to a shock that hits all member countries symmetrically. We use a panel VAR model which is estimated over the period 1996 - 2007 to generate impulse responses of a range of price and wage variables to an oil...

Persistent link: https://www.econbiz.de/10003871916

Inflation and inflation uncertainty in the Euro Area

Caporale, Guglielmo Maria; Onorante, Luca; Paesani, Paolo - 2009

This paper estimates a time-varying AR-GARCH model of inflation producing measures of inflation uncertainty for the euro area, and investigates the linkages between them in a VAR framework, also allowing for the possible impact of the policy regime change associated with the start of EMU in...

Persistent link: https://www.econbiz.de/10003871923

Monetary policy transmission and house prices : European cross-country evidence

Carstensen, Kai; Hülsewig, Oliver; Wollmershäuser, Timo - 2009

This paper explores the importance of housing and mortgage market heterogeneity in 12 European countries for the transmission of monetary policy. We use a panel VAR model which is estimated over the period 19952006 to generate impulse responses of key macroeconomic variables to a monetary policy...

Persistent link: https://www.econbiz.de/10003872444

Price formation on the EuroMTS platform

Caporale, Guglielmo Maria; Girardi, Alessandro - 2010

This paper examines the process of price discovery in the MTS system, which builds on the parallel quoting of euro-denominated government securities on a number of (relatively large) domestic markets and on a (relatively small) European marketplace (EuroMTS). Using twenty-seven months of daily...

Persistent link: https://www.econbiz.de/10003937257

EU banks rating assignments : is there heterogeneity between new and old member countries?

Caporale, Guglielmo Maria; Matousek, Roman; Stewart, Chris - 2010

We model EU countries' bank ratings using financial variables and allowing for intercept and slope heterogeneity. Our … aim is to assess whether "old" and "new" EU countries are rated differently and to determine whether "new" ones are … intercepts) are a crucial determinant of ratings. Whilst "new" EU countries typically have lower ratings than "old" ones, after …

Persistent link: https://www.econbiz.de/10003974520

The New Keynesian Phillips Curve and the role of expectations : evidence from the Ifo world economic survey

Henzel, Steffen (contributor); … - 2006

We provide evidence on the fit of the hybrid New Keynesian Phillips curve for selected euro zone countries, the US and the UK. Instead of imposing rational expectations and estimating the Phillips curve by the Generalized Method of Moments, we follow Roberts (1997) and Adam and Padula (2003) and...

Persistent link: https://www.econbiz.de/10003301367

Liquidity risk, credit risk and the overnight interest rate spread : a stochastic volatility modelling approach

Beirne, John; Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010

In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy rate (the policy spread) for the euro area and the UK during the two main phases of the financial crisis that began in late 2007. During the crisis, the policy spread exhibited...

Persistent link: https://www.econbiz.de/10003983199

Europe agreements and trade balance : evidence from four new EU members

Caporale, Guglielmo Maria; Rault, Christophe; Sova, Robert - 2011

This paper analyses the trade balance effects of Europe agreements (EA) between the EU-15 and four new EU members from …

Persistent link: https://www.econbiz.de/10009010184

Self-fulfilling crises in the Eurozone : an empirical test

De Grauwe, Paul; Ji, Yuemei - 2012

Persistent link: https://www.econbiz.de/10009575314