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The global dimension of inflation: evidence from factor-augmented Phillips curves
Eickmeier, Sandra; Moll, Katharina - Deutsche Bundesbank - 2008
We examine the global dimension of inflation in 24 OECD countries between 1980 and 2007 in a traditional Phillips curve … to affect inflation through (the common part of) domestic demand and supply conditions. Our most important result is that … the common component of changes in unit labor costs notably affects inflation. We also find evidence that movements in …
Persistent link: https://www.econbiz.de/10005083248
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The timing and magnitude of exchange rate overshooting
Hoffmann, Mathias; Søndergaard, Jens; Westelius, Niklas J. - Deutsche Bundesbank - 2007
Empirical evidence suggests that a monetary shock induces the exchange rate to overshoot its long-run level. The estimated magnitude and timing of the overshooting, however, varies across studies. This paper generates delayed overshooting in a new Keynesian model of a small open economy by...
Persistent link: https://www.econbiz.de/10005083321
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China's role in global inflation dynamics
Eickmeier, Sandra; Kühnlenz, Markus - Deutsche Bundesbank - 2013
analyze China's role in global inflation dynamics. We identify Chinese supply and demand shocks and examine their … to be more strongly affected than consumer prices by Chinese shocks. The overall share of international inflation …
Persistent link: https://www.econbiz.de/10010984723
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Does trade openness increase firm-level volatility?
Strotmann, Harald; Döpke, Jörg; Buch, Claudia M. - Deutsche Bundesbank - 2006
From a theoretical point of view, greater trade openness affects firm-level volatility by changing the exposure and the … link between openness and volatility. Using two novel datasets on German firms, we analyze the evolution of firm …-level output volatility and the link between volatility and trade openness. We find that firm-level output volatility displays …
Persistent link: https://www.econbiz.de/10005083213
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Global business cycles: convergence or decoupling?
Kose, M. Ayhan; Otrok, Christopher M.; Prasad, Eswar S. - Deutsche Bundesbank - 2008
This paper analyzes the evolution of the degree of global cyclical interdependence over the period 1960-2005. We categorize the 106 countries in our sample into three groups: industrial countries, emerging markets, and other developing economies. Using a dynamic factor model, we then decompose...
Persistent link: https://www.econbiz.de/10005083323
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Recent developments in quantitative models of sovereign default
Stähler, Nikolai - Deutsche Bundesbank - 2011
The current crisis and discussions, in the euro area in particular, show that sovereign debt crises/defaults are no longer restricted to developing economies. After crises in many Latin American countries, the literature on quantitative dynamic macro-models of sovereign default has been...
Persistent link: https://www.econbiz.de/10009283656
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The two-sided effect of financial globalization on output volatility
Meller, Barbara - Deutsche Bundesbank - 2011
risk, financial openness decreases output volatility, while, in countries with high financial risk, financial openness …
Persistent link: https://www.econbiz.de/10009021914
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Reconciling narrative monetary policy disturbances with structural VAR model shocks?
Kliem, Martin; Kriwoluzky, Alexander - Deutsche Bundesbank - 2013
Structural VAR studies disagree with narrative accounts about the history of monetary policy disturbances. We investigate whether employing the narrative monetary shock account as a proxy variable in a VAR model aligns both shock series. We quantify the extent to which the disagreement still...
Persistent link: https://www.econbiz.de/10010957085
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The role of real wage rigidity and labor market frictions for unemployment and inflation dynamics
Christoffel, Kai; Linzert, Tobias - Deutsche Bundesbank - 2006
employment and hours affecting inflation dynamics via marginal costs. We find that the response of unemployment and inflation to … persistent movements of aggregate inflation. Moreover, the impact of a monetary policy shock on unemployment and inflation …
Persistent link: https://www.econbiz.de/10005083106
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Real-Time Estimation of the Output Gap in Japan and its Usefulness for Inflation Forecasting and Policymaking
Kamada, Koichiro - Deutsche Bundesbank - 2004
and disadvantages of the various output gap measures. First, I examine the usefulness of the output gap for inflation …
Persistent link: https://www.econbiz.de/10005083207