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Inflation perceptions and expectations in the euro area: the role of news

Badarinza, Cristian; Buchmann, Marco - European Central Bank - 2009

The aim of this study is to assess empirically to what extent the degree of heterogeneity of consumers’ inflation … perceptions and expectations is driven by the flow of information related to current and future price developments in the euro … techniques. We find that the degree to which consumers’ expectations are discordant is negatively related to news intensity …

Persistent link: https://www.econbiz.de/10005049560

Geography or skills: What explains Fed watchers’ forecast accuracy of US monetary policy?

Berger, Helge; Ehrmann, Michael; Fratzscher, Marcel - European Central Bank - 2006

The paper shows that there is a substantial degree of heterogeneity in forecast accuracy among Fed watchers. Based on a … basis points between the best and worst-performers across the sample. This heterogeneity is found to be related to both the … anticipating monetary policy. Moreover, systematic forecaster heterogeneity is economically important as it leads to greater …

Persistent link: https://www.econbiz.de/10005530863

The scapegoat theory of exchange rates: the first tests

Fratzscher, Marcel; Sarno, Lucio; Zinna, Gabriele - European Central Bank - 2012

This paper provides an empirical test of the scapegoat theory of exchange rates (Bacchetta and van Wincoop 2004, 2011), as an attempt to evaluate its potential for explaining the poor empirical performance of traditional exchange rate models. This theory suggests that market participants may at...

Persistent link: https://www.econbiz.de/10010686765

Can non-linear real shocks explain the persistence of PPP exchange rate disequilibria?

Peltonen, Tuomas A.; Popescu, Adina; Sager, Michael - European Central Bank - 2009

A core stylized fact of the empirical exchange rate literature is that half-life deviationsof equilibrium real exchange rates from levels implied by Purchasing Power Parity(PPP) are very persistent. Empirical efforts to explain this persistence typicallyproceed along two distinct paths,...

Persistent link: https://www.econbiz.de/10005866489

Does it pay to have the euro? Italy’s politics and financial markets under the lira and the euro

Fratzscher, Marcel; Stracca, Livio - European Central Bank - 2009

There is a broad consensus that the quality of the political system and its institutionsare fundamental for a country’s prosperity. The paper focuses on political events inItaly over the past 35 years and asks whether the adoption of the euro in 1999 hashelped insulate Italy’s financial...

Persistent link: https://www.econbiz.de/10005866519

What explains global exchange rate movements during the financial crisis?

Fratzscher, Marcel - European Central Bank - 2009

A striking and unexpected feature of the financial crisis has been the sharpappreciation of the US dollar against virtually all currencies globally. The paper findsthat negative US-specific macroeconomic shocks during the crisis have triggered asignificant strengthening of the US dollar, rather...

Persistent link: https://www.econbiz.de/10005866568

Productivity shocks and real exchange rate: a reappraisal

Peltonen, Tuomas A.; Sager, Michael - European Central Bank - 2009

We reappraise the relationship between productivity and equilibrium real exchangerates using a panel estimation framework that incorporates a large number ofcountries and importantly, a dataset that allows explicit consideration of the role ofnon-traded, as well as traded, sector productivity...

Persistent link: https://www.econbiz.de/10005866628

The forecasting power of internal yield curve linkages

Modugno, Michele; Nikolaou, Kleopatra - European Central Bank - 2009

This paper investigates whether information from foreign yield curves helps forecast domestic yieldcurves out-of-sample. A nested methodology to forecast yield curves in domestic and internationalsettings is applied on three major countries (the US, Germany and the UK). This novel methodologyis...

Persistent link: https://www.econbiz.de/10005866630

Issues in the ECU Markets and Some Tentative Explanations fro Some Apparent Puzzles.

Fell, J.P.C.; Levy, A. - European Central Bank - 1996

This study focuses on longer term influences and provides some potential explanations in ECU markets which were regarder by some financial market participants as puzzles.

Persistent link: https://www.econbiz.de/10005486856

Using cash to monitor liquidity - implications for payments, currency demand and withdrawal behavior

Von Kalckreuth, Ulf; Schmidt, Tobias; Stix, Helmut - European Central Bank - 2011

Standard transaction cost arguments can only partially explain why the share of cash transactions is still high in many countries. This paper shows that consumers’ desire to monitor liquidity is one of the reasons. Consumers make use of a distinctive feature of cash – a glance into one’s...

Persistent link: https://www.econbiz.de/10009367475

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