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Measuring the effectiveness of cost and price competitiveness in external rebalancing of euro area countries : what do alternative HCIS tell us?; N°1736, September 2014

Christodoulopoulou, Styliani (contributor); … - European Central Bank - 2014

This study examines the marginal effects of traditional determinants of exports and imports with a focus on the role of price competitiveness in restoring external balances. It is a first attempt to compare marginal effects of various harmonised competitiveness indicators (HCIs) on both exports...

Persistent link: https://www.econbiz.de/10015301946

The ECB's enhanced effective exchange rates and harmonised competitiveness indicators : an updated weighting scheme including trade in services

Schmitz, Martin (contributor); Dietrich, Andreas (contributor) - European Central Bank - 2024

The nominal effective exchange rate (EER) of a currency is an index of the trade-weighted average of its bilateral … index for relative prices or costs. The nominal EER provides a summary measure of a currency's external value, while the …

Persistent link: https://www.econbiz.de/10015320856

VAR for VaR : measuring tail dependence using multivariate regression quantiles; No 1814 / June 2015

White, Halbert (contributor); Tae-Hwan, Kim (contributor); … - European Central Bank - 2015

(VaR) between a market index and financial institutions. We construct impulse-response functions for the quantiles of a …

Persistent link: https://www.econbiz.de/10015298385

Estimation of linear dynamic panel data models with timeinvariant regressors : No 1838 / August 2015

Kripfganz, Sebastian (contributor); … - European Central Bank - 2015

We propose a two-stage estimation procedure to identify the effects of time-invariant regressors in a dynamic version of the Hausman-Taylor model. We first estimate the coefficients of the time-varying regressors and subsequently regress the first-stage residuals on the time-invariant regressors...

Persistent link: https://www.econbiz.de/10015298390

Why has broad money demand been more stable in the euro area than in other economies? A literature review

Calza, Alessandro; Sousa, João - European Central Bank - 2003

JEL Classification: E41, C22, C32

Persistent link: https://www.econbiz.de/10005530979

Is the demand for euro area M3 stable?

Warne, Anders; Bruggeman, Annick; Donati, Paola - European Central Bank - 2003

JEL Classification: C22, C32, E41

Persistent link: https://www.econbiz.de/10005531005

Does it matter how aggregates are measured? The case of monetary transmission mechanisms in the euro area

Beyer, Andreas; Juselius, Katarina - European Central Bank - 2010

Beyer, Doornik and Hendry (2000, 2001) show analytically that three out of four aggregation methods yield problematic … the choice of aggregation method. JEL Classification: C32, C42, E41 …

Persistent link: https://www.econbiz.de/10008480911

Understanding and forecasting aggregate and disaggregate price dynamics

Bermingham, Colin; D’Agostino, Antonello - European Central Bank - 2011

The issue of forecast aggregation is to determine whether it is better to forecast a series directly or instead … results, it is generally accepted that forecast aggregation is an empirical issue. Empirical results in the literature often … go unexplained. This leaves forecasters in the dark when confronted with the option of forecast aggregation. We take our …

Persistent link: https://www.econbiz.de/10009228752

Aggregation, the skill premium, and the two-level production function

León-Ledesma, Miguel A.; McAdam, Peter; Willman, Alpo - European Central Bank - 2011

We examine the two-level nested Constant Elasticity of Substitution production function where both capital and labor are disaggregated in two classes. We propose a normalized system estimation method to retrieve estimates of the inter- and intra-class elasticities of substitution and...

Persistent link: https://www.econbiz.de/10009371718

Trade adjustment in the European Union - a structural estimation approach

Corbo, Vesna; Osbat, Chiara - European Central Bank - 2013

We estimate the elasticity of substitution of a country’s imports, and that of its exports on the world market, for EU countries using sector level trade data. We present a new empirical strategy based on the identification scheme by Feenstra (1994), which enables the estimation of...

Persistent link: https://www.econbiz.de/10010686740