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The Effects of Monetary Policy on Unemployment Dynamics under Model Uncertainty - Evidence from the US and the Euro Area
Altavilla, Carlo; Ciccarelli, Matteo - CESifo - 2009
This paper explores the role that the imperfect knowledge of the structure of the economy plays in the uncertainty surrounding the effects of rule-based monetary policy on unemployment dynamics in the euro area and the US. We employ a Bayesian model averaging procedure on a wide range of models...
Persistent link: https://www.econbiz.de/10005051516
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The Stress of Having a Single Monetary Policy in Europe
Sturm, Jan-Egbert; Wollmershäuser, Timo - CESifo - 2008
This paper estimates forward-looking Taylor rules for the euro area. Using the asymmetries in inflation and cyclical output developments across countries, we investigate the adequacy of the single monetary policy for each of the European Monetary Union (EMU) member countries. Notable differences...
Persistent link: https://www.econbiz.de/10005406450
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Monetary Policy Analysis in Real-Time. Vintage Combination from a Real-Time Dataset.
Altavilla, Carlo; Ciccarelli, Matteo - CESifo - 2011
This paper provides a general strategy for analyzing monetary policy in real time which accounts for data uncertainty without explicitly modelling the revision process. The strategy makes use of all the data available from a real-time data matrix and averages model estimates across all data...
Persistent link: https://www.econbiz.de/10008861862
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Carbon Content of Electricity Futures in Phase II of the EU ETS
Fell, Harrison; Hintermann, Beat; Vollebergh, Herman R. J. - CESifo - 2013
physical settlement during the second market phase of the EU ETS. We employ a series of estimation methods that allow for an …
Persistent link: https://www.econbiz.de/10010877729
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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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The Sustainability of Fiscal Policy in Italy: A Long-Term Perspective
Bartoletto, Silvana; Chiarini, Bruno; Marzano, Elisabetta - CESifo - 2012
debt and its ratio to GDP. Second, exploiting unit root analysis and cointegration, we test for the sustainability of …
Persistent link: https://www.econbiz.de/10010548150
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Do Better Capitalized Banks Lend Less? Long-Run Panel Evidence from Germany
Buch, Claudia M.; Prieto, Esteban - CESifo - 2012
between the capitalization of the banking sector and bank loans using panel cointegration models. We study the evolution of …
Persistent link: https://www.econbiz.de/10010552440
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On the Linkages between Stock Prices and Exchange Rates: Evidence from the Banking Crisis of 2007-2010
Caporale, Guglielmo Maria; Hunter, John; Ali, Faek Menla - CESifo - 2013
This study examines the nature of the linkages between stock market prices and exchange rates in six advanced economies, namely the US, the UK, Canada, Japan, the euro area, and Switzerland, using data on the banking crisis between 2007 and 2010. Bivariate GARCH-BEKK models are estimated...
Persistent link: https://www.econbiz.de/10010636593
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Testing for Common Cyclical Features in Var Models with Cointegration
Hecq, Alain; Palm, Franz; Urbain, Jean-Pierre - CESifo - 2001
We consider VAR models for variables exhibiting cointegration and common cyclical features. While the presence of … cointegration reduces the rank of the long-run multiplier matrix, other types of common features lead to rank reduction of the short …
Persistent link: https://www.econbiz.de/10005765794
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Estimation and Inference In Short Panel Vector Autoregressions with Unit Roots And Cointegration
Binder, Michael; Hsiao, Cheng; Pesaran, M. Hashem - CESifo - 2000
This paper considers estimation and inference in panel vector autoregressions (PVARs) with fixed effects when the time … derive unit root and cointegration tests in panels with short time dimension; these tests have the attractive feature that …) estimation as an alternative to our proposed ML estimator, it is shown that conventional GMM estimators based on standard …
Persistent link: https://www.econbiz.de/10005765796