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Did US Consumers 'Save for a Rainy Day' Before the Great Recession?
Anundsen, André Kallåk; Nymoen, Ragnar - CESifo - 2015
The ‘saving for a rainy day’ hypothesis implies that households’ saving decisions reflect that they can (rationally) predict future income declines. The empirical relevance of this hypothesis plays a key role in discussions of fiscal policy multipliers and it holds under the null that the...
Persistent link: https://www.econbiz.de/10011278934
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Inflation and Inflation Uncertainty in the Euro Area
Caporale, Guglielmo Maria; Onorante, Luca; Paesani, Paolo - CESifo - 2009
This paper estimates a time-varying AR-GARCH model of inflation producing measures of inflation uncertainty for the … policy regime change associated with the start of EMU in 1999. The main findings are as follows. Steady-state inflation and … inflation uncertainty have declined steadily since the inception of EMU, whilst short-run uncertainty has increased, mainly …
Persistent link: https://www.econbiz.de/10005013037
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The Euro and Inflation Uncertainty in the European Monetary Union
Caporale, Guglielmo Maria; Kontonikas, Alexandros - CESifo - 2006
This paper investigates the relationship between inflation and inflation uncertainty in twelve EMU countries. A time …-varying GARCH model is estimated to distinguish between short-run and steady-state inflation uncertainty. The effects of the …-state inflation has generally remained stable, steady-state inflation uncertainty and inflation persistence have both increased, and …
Persistent link: https://www.econbiz.de/10005406171
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The Euro Changeover and Price Adjustments in Italy
Caporale, Guglielmo Maria; Girardi, Alessandro; … - CESifo - 2011
changeover, Italian retailers have increased the number of price adjustments, which has translated into a higher inflation rate …
Persistent link: https://www.econbiz.de/10008872211
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Spend-and-Tax Adjustments and the Sustainability of the Government's Intertemporal Budget Constraint
Legrenzi, Gabriella Deborah; Milas, Costas - CESifo - 2010
We apply non-linear error-correction models to the empirical testing of the sustainability of the government’s intertemporal budget constraint. Our empirical analysis, based on Italy, shows that the Italian government is meeting its intertemporal budget constraint, in spite of the high levels...
Persistent link: https://www.econbiz.de/10008596593
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Rating Assignments: Lessons from International Banks
Caporale, Guglielmo Maria; Matousek, Roman; Stewart, Chris - CESifo - 2009
This paper estimates ordered logit and probit regression models for bank ratings which also include a country index to capture country-specific variation. The empirical findings provide support to the hypothesis that the individual international bank ratings assigned by Fitch Ratings are...
Persistent link: https://www.econbiz.de/10005000371
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Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market Crash
Pesaran, Bahram; Pesaran, M. Hashem - CESifo - 2010
Modelling of conditional volatilities and correlations across asset returns is an integral part of portfolio decision making and risk management. Over the past three decades there has been a trend towards increased asset return correlations across markets, a trend which has been accentuated...
Persistent link: https://www.econbiz.de/10008572473
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EU Banks Rating Assignments: Is there Heterogeneity between New and Old Member Countries?
Caporale, Guglielmo Maria; Matousek, Roman; Stewart, Chris - CESifo - 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 assigned lower ratings, ceteris paribus, than...
Persistent link: https://www.econbiz.de/10008583666
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Nowcasting Regional GDP: The Case of the Free State of Saxony
Henzel, Steffen; Lehmann, Robert; Wohlrabe, Klaus - CESifo - 2015
We tackle the nowcasting problem at the regional level using a large set of indicators (regional, national and international) for the years 1998 to 2013. We explicitly use the ragged-edge data structure and consider the different information sets faced by a regional forecaster within each...
Persistent link: https://www.econbiz.de/10011273092
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Why We Should Use High Values for the Smoothing Parameter of the Hodrick-Prescott Filter
Flaig, Gebhard - CESifo - 2012
The HP filter is the most popular filter for extracting the trend and cycle components from an observed time series. Many researchers consider the smoothing parameter ë = 1600 as something like an universal constant. It is well known that the HP filter is an optimal filter under some...
Persistent link: https://www.econbiz.de/10010548563