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U.S. Monetary Shocks and Global Stock Prices

Laeven, Luc; Tong, Hui - C.E.P.R. Discussion Papers - 2010

This paper studies how U.S. monetary policy affects global stock prices. We find that global stock prices respond strongly to changes in U.S. interest rate policy, with stock prices increasing (decreasing) following unexpected monetary loosening (tightening). This impact is more pronounced for...

Persistent link: https://www.econbiz.de/10008692313

Identifying the Monetary Transmission Mechanism Using Structural Breaks

Beyer, Andreas; Farmer, Roger E A - C.E.P.R. Discussion Papers - 2003

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. We provide an application...

Persistent link: https://www.econbiz.de/10005124223

Asymmetries in Housing and Financial Market Institutions and EMU

Maclennan, Duncan; Muellbauer, John; Stephens, Mark - C.E.P.R. Discussion Papers - 1999

Despite convergence pressures, differences in housing and financial market institutions across the 15 member states of the European Union are still enormous. This paper argues that they have profound effects on the responsiveness of output and inflation in the different countries to changes in...

Persistent link: https://www.econbiz.de/10005504528

Classical time-varying FAVAR models - Estimation, forecasting and structural analysis

Eickmeier, Sandra; Lemke, Wolfgang; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2011

We propose a classical approach to estimate factor-augmented vector autoregressive (FAVAR) models with time variation in the factor loadings, in the factor dynamics, and in the variance-covariance matrix of innovations. When the time-varying FAVAR is estimated using a large quarterly dataset of...

Persistent link: https://www.econbiz.de/10008921778

Measuring Monetary Policy with VAR Models: An Evaluation

Bagliano, Fabio-Cesare; Favero, Carlo A. - C.E.P.R. Discussion Papers - 1997

This paper evaluates VAR models designed to analyse the monetary policy transmission mechanism in the United States by considering three issues: specification, identification, and the effect of the omission of the long-term interest rate. Specification analysis suggests that only VAR models...

Persistent link: https://www.econbiz.de/10005114174

The Zero-Interest Rate Bound and the Role of the Exchange Rate for Monetary Policy in Japan

Coenen, Günter; Wieland, Volker - C.E.P.R. Discussion Papers - 2003

In this Paper we study the role of the exchange rate in conducting monetary policy in an economy with near-zero nominal interest rates as experienced in Japan since the mid-1990s. Our analysis is based on an estimated model of Japan, the United States and the euro area with rational expectations...

Persistent link: https://www.econbiz.de/10005788995

Why do within firm-product export prices differ across markets?

Görg, Holger; Halpern, László; Muraközy, Balázs - C.E.P.R. Discussion Papers - 2010

In this paper we analyse the relationship between gravity variables and f.o.b. export unit values using Hungarian firm-product-destination data. By taking firm-product level selection into account we show that export unit values increase with distance even for particular firm-product...

Persistent link: https://www.econbiz.de/10008530371

Regional Unemployment and Human Capital in Transition Economies

Jurajda, Stepan; Terrell, Katherine - C.E.P.R. Discussion Papers - 2007

Differences in regional unemployment in post-communist economies are large and persistent. We show that inherited variation in human-capital endowment across the regions of four such economies explains the bulk of regional unemployment variation there and we explore potential explanations for...

Persistent link: https://www.econbiz.de/10005136518

Taxes and Subsidies in the Transforming Hungarian Economy

Revesz, Tamas; Zalai, Erno - C.E.P.R. Discussion Papers - 1992

accords with economic principles. The authors explain how the `state' should be defined in Hungary, discuss the main forms of … research exercise!), further reform of the tax and public expenditure system, and extensive training of Hungary's public …

Persistent link: https://www.econbiz.de/10005136594

Unemployment Insurance and Incentives in Hungary

Micklewright, John; Nagy, Gyula - C.E.P.R. Discussion Papers - 1995

We investigate the effect of changes in unemployment insurance (UI) rules in Hungary on the outflow rate from the UI … register. Existing claims to UI are `grandfathered' in Hungary when UI rules change - new rules are applied only to new claims … unemployed in Hungary to be fairly inelastic to changes in UI benefits. …

Persistent link: https://www.econbiz.de/10005067412

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