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Benefits and Spillovers of Greater Competition in Europe: A Macroeconomic Assessment

Bayoumi, Tamim; Laxton, Doug; Pesenti, Paolo - C.E.P.R. Discussion Papers - 2004

Using a general-equilibrium simulation model featuring nominal rigidities and monopolistic competition in product and labour markets, this Paper estimates the macroeconomic benefits and international spillovers of an increase in competition. After calibrating the model to the euro area vs. the...

Persistent link: https://www.econbiz.de/10005791863

Money, credit, monetary policy and the business cycle in the euro area

Giannone, Domenico; Lenza, Michele; Reichlin, Lucrezia - C.E.P.R. Discussion Papers - 2012

This paper uses a data-set including time series data on macroeconomic variables, loans, deposits and interest rates for the euro area in order to study the features of financial intermediation over the business cycle. We find that stylized facts for aggregate monetary and real variables are...

Persistent link: https://www.econbiz.de/10011083763

Exchange Rate Pass-through and Monetary Policy in South Africa

Aron, Janine; Farrell, Greg; Muellbauer, John; … - C.E.P.R. Discussion Papers - 2010

Understanding how import prices adjust to exchange rates helps anticipate inflation effects and monetary policy … inflation targeting when account is taken of temporary shifts to foreign currency invoicing or increased hedging after large …

Persistent link: https://www.econbiz.de/10008784768

A Parametric Estimation Method for Dynamic Factor Models of Large Dimensions

Kapetanios, George; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2006

The estimation of dynamic factor models for large sets of variables has attracted considerable attention recently, due to the increased availability of large datasets. In this paper we propose a new parametric methodology for estimating factors from large datasets based on state space models and...

Persistent link: https://www.econbiz.de/10005788994

Impulse Response Functions from Structural Dynamic Factor Models: A Monte Carlo Evaluation

Kapetanios, George; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2006

The estimation of structural dynamic factor models (DFMs) for large sets of variables is attracting considerable attention. In this paper we briefly review the underlying theory and then compare the impulse response functions resulting from two alternative estimation methods for the DFM....

Persistent link: https://www.econbiz.de/10005789043

Does aggregating forecasts by CPI component improve inflation forecast accuracy in South Africa?

Aron, Janine; Muellbauer, John - C.E.P.R. Discussion Papers - 2010

Inflation is a far from homogeneous phenomenon, a fact often neglected in modelling consumer price inflation. This … study, the first of its kind for an emerging market country, investigates gains to inflation forecast accuracy by …

Persistent link: https://www.econbiz.de/10008553067

Factor-GMM Estimation with Large Sets of Possibly Weak Instruments

Kapetanios, George; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2010

This paper analyses the use of factor analysis for instrumental variable estimation when the number of instruments tends to infinity. In particular, we focus on situations where many weak instruments exist and/or the factor structure is weak. Theoretical results, simulation experiments and...

Persistent link: https://www.econbiz.de/10008468588

Exchange Rate Pass-Through to Consumer Prices in South Africa: Evidence from Micro-Data

Aron, Janine; Creamer, Kenneth; Muellbauer, John; … - C.E.P.R. Discussion Papers - 2013

A sizeable literature examines exchange rate pass-through to disaggregated import prices but very few micro-studies focus on consumer prices. This paper explores exchange rate pass-through to consumer prices in South Africa during 2002-2007, using a unique data set of highly disaggregated data...

Persistent link: https://www.econbiz.de/10011084277

Some Issues in Modeling and Forecasting Inflation in South Africa

Aron, Janine; Muellbauer, John - C.E.P.R. Discussion Papers - 2009

Inflation targeting central banks will be hampered without good models to assist them to be forward-looking. Many … current inflation models fail to forecast turning points adequately, because they miss key underlying long-run influences. The … world is on the cusp of a dramatic turning point in inflation. If inflation falls rapidly, such models can underestimate the …

Persistent link: https://www.econbiz.de/10005123809

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

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