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Monetary Policy Shocks and Portfolio Choice

Fratzscher, Marcel; Saborowski, Christian; Straub, Roland - European Central Bank - 2009

The paper shows that monetary policy shocks exert a substantial effect on the size and composition of capital flows and the trade balance for the United States, with a 100 basis point easing raising net capital inflows and lowering the trade balance by 1% of GDP, and explaining about 20-25% of...

Persistent link: https://www.econbiz.de/10008502697

A markup model of inflation for the euro area

Bowdler, Christopher; Jansen, Eilev S. - European Central Bank - 2004

Equilibrium correction models of the price level are often used to model inflation. Such models assume that the long-run markup of prices over costs is fixed, but this may not be true for the Euro area economy, which has undergone major structural reforms over the last 25 years. We allow for...

Persistent link: https://www.econbiz.de/10005079101

Aggregate loans to the euro area private sector

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

This paper provides new evidence on the behaviour of euro area aggregate loans to the private sector. Using a sample covering the last twenty years, a cointegrating vector linking the real stock of loans to a small set of domestic macroeconomic variables is found. Besides real GDP and prices,...

Persistent link: https://www.econbiz.de/10005344909

Interest rate reaction functions and the Taylor rule in the euro area

Gerlach-Kristen, Petra - European Central Bank - 2003

JEL Classification: C22, E52

Persistent link: https://www.econbiz.de/10005816240

Bayesian inference in cointegrated VAR models: with applications to the demand for euro area M3

Warne, Anders - European Central Bank - 2006

The paper considers a Bayesian approach to the cointegrated VAR model with a uniform prior on the cointegration space …. Building on earlier work by Villani (2005b), where the posterior probability of the cointegration rank can be calculated … the marginal likelihood identity is used for calculating these probabilities, a point estimator of the cointegration space …

Persistent link: https://www.econbiz.de/10005816301

A Stable Model for Euro Area Money Demand: Revisiting the Role of Wealth

Beyer, Andreas - European Central Bank - 2009

In this paper we present an empirically stable money demand model for Euro area M3. We show that housing wealth is an important explanatory variable of long-run money demand that captures the trending behaviour of M3 velocity, in particular its shift in the first half of this decade. We show...

Persistent link: https://www.econbiz.de/10008558668

Modelling loans to non-financial corporations in the euro area

Kok, Christoffer; Marqués-Ibáñez, David; Rossi, Carlotta - European Central Bank - 2009

We model the determinants of loans to non-financial corporations in the euro area. Using the Johansen (1992) methodology, we identify three cointegrating relationships. These relationships are interpreted as the long-run loan demand, investment and loan supply equations. The short-run dynamics...

Persistent link: https://www.econbiz.de/10004969181

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

impact on the cointegration properties in empirical modelling, the monetary model in Coenen & Vega (2001) based on fixed …

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

The demand for euro area currencies: past, present and future

Fischer, Björn; Köhler, Petra; Seitz, Franz - European Central Bank - 2004

cointegration framework. We find significant differences between the determinants of holdings of small and large denominations as …

Persistent link: https://www.econbiz.de/10005162895

The demand for M3 in the euro area

Coenen, Günter; Vega, Juan Luis - European Central Bank - 1999

In this paper, an empirically stable money demand model for M3 in the euro area is constructed. Starting with a multivariate system, three cointegrating relationships with economic content are found: (i) the spread between the long- and the short-term nominal interest rates, (ii) the long-term...

Persistent link: https://www.econbiz.de/10005162897