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Testing for structural breaks in dynamic factor models

Breitung, Jörg; Eickmeier, Sandra - Deutsche Bundesbank - 2009

From time to time, economies undergo far-reaching structural changes. In this paper we investigate the consequences of structural breaks in the factor loadings for the specification and estimation of factor models based on principal components and suggest test procedures for structural breaks....

Persistent link: https://www.econbiz.de/10005083187

Comovements and heterogeneity in the Comovements and heterogeneity in the dynamic factor model

Eickmeier, Sandra - Deutsche Bundesbank - 2006

transmission to individual EMU countries. Our most important findings are the following. EMU countries share five common trends … 1999 on and of inflation in the mid-1980s and the mid-1990s. To examine the transmission of common shocks to individual EMU …

Persistent link: https://www.econbiz.de/10005083190

An assessment of the trends in international price competitiveness among EMU countries

Fischer, Christoph - Deutsche Bundesbank - 2007

Inflation differentials within European Monetary Union (EMU) are increasingly seen as exerting adverse effects on the … price competitiveness of member countries' firms and – given the common monetary policy within EMU – as being detrimental to … international price competitiveness for EMU countries, the paper analyses whether these indicators have displayed distinctive trends …

Persistent link: https://www.econbiz.de/10005083196

Expected budget deficits and interest rate swap spreads - Evidence for France, Germany and Italy

Heppke-Falk, Kirsten H.; Hüfner, Felix P. - Deutsche Bundesbank - 2004

This study analyses whether expected budget deficits have an impact on interest rate swap spreads in France, Germany and Italy. We use monthly deficit forecasts from financial market participants to take the forward-looking behaviour of financial markets into account. Results of a SUR estimation...

Persistent link: https://www.econbiz.de/10005083224

Fiscal institutions, fiscal policy and sovereign risk premia

Hallerberg, Mark; Wolff, Guntram B. - Deutsche Bundesbank - 2006

increase risk premia measured by relative swap spreads. The effect of deficits is significantly lower under EMU. This effect …

Persistent link: https://www.econbiz.de/10005083235

Sovereign bond market integration: the euro, trading platforms and globalization

Wolff, Guntram B.; Schulz, Alexander - Deutsche Bundesbank - 2008

We disentangle different driving factors of sovereign bond market integration by studying yield co-movements of EMU … increased gradually in the course of the last 15 years in EMU countries, as well as the UK, the US and the German Länder. The …

Persistent link: https://www.econbiz.de/10005083308

Banking and sovereign risk in the euro area

Gerlach, Stefan; Schulz, Alexander; Wolff, Guntram B. - Deutsche Bundesbank - 2010

We study the determinants of sovereign bond spreads in the euro area since the introduction of the euro. We show that an aggregate risk factor is a main driver of spreads. This factor also plays an important indirect role for risk spreads through its interaction with the size and structure of...

Persistent link: https://www.econbiz.de/10008564415