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The impact of reference norms on inflation persistence when wages are staggered

Knell, Mark; Stiglbauer, Alfred - European Central Bank - 2009

In this paper we present an extension of the Taylor model with staggered wages inwhich wage-setting is also influenced by reference norms (i.e. by benchmark wages).We show that reference norms can considerably increase the persistence of inflationand the extent of real wage rigidity but that...

Persistent link: https://www.econbiz.de/10005866627

Instability and nonlinearity in the euro area Phillips curve

Musso, Alberto; Stracca, Livio; van Dijk, Dick - European Central Bank - 2007

regards the possibility of a time-varying mean of inflation. Moreover, we conduct a sensitivity analysis across different … of the Phillips curve occurring in the early to mid 1980s, but not in inflation persistence once the mean shift is … allowed for. As a result of the structural change, the Phillips curve became flatter around a lower mean of inflation. Second …

Persistent link: https://www.econbiz.de/10005530964

Stability or upheaval? The currency composition of international reserves in the long run

Eichengreen, Barry; Chiţu, Livia; Mehl, Arnaud - European Central Bank - 2014

We investigate whether the role of national currencies as international reserves was fundamentally altered by the shift from fixed to flexible exchange rates (what we call the “upheaval hypothesis”), a view that gained adherents following the collapse of the Bretton Woods System. We extend...

Persistent link: https://www.econbiz.de/10011067213

Transmission of government spending shocks in the euro area: Time variation and driving forces

Kirchner, Markus; Cimadomo, Jacopo; Hauptmeier, Sebastian - European Central Bank - 2010

This paper provides new evidence on the effects of government spending shocks and the fiscal transmission mechanism in the euro area for the period 1980-2008. Our contribution is two-fold. First, we investigate changes in the macroeconomic impact of government spending shocks using time-varying...

Persistent link: https://www.econbiz.de/10008597023

Inflation persistence in the European Union, the euro area, and the United States

Gadzinski, Gregory; Orlandi, Fabrice - European Central Bank - 2004

In this paper we report results on inflation persistence using 79 inflation series covering the EU countries, the euro … area and the US for five different inflation variables. The picture that emerges is one of moderate inflation persistence … across the board. In particular we find euro area inflation persistence to be broadly in line with US inflation persistence …

Persistent link: https://www.econbiz.de/10005530802

In-sample or out-of-sample tests of predictability: which one should we use?

Inoue, Atsushi; Kilian, Lutz - European Central Bank - 2002

It is widely known that significant in-sample evidence of predictability does not garantuee significant out-of-sample predictability. This is often interpreted as an indiciation that in-sample evidence is likely to be spurious and should be discounted. In this paper we question this conventional...

Persistent link: https://www.econbiz.de/10005530901

Structural breaks, cointegration and the Fisher effect

Beyer, Andreas; Haug, Alfred A.; Dewald, William G. - European Central Bank - 2009

There is scant empirical support in the literature for the Fisher effect in the long run, though it is often assumed in theoretical models. We argue that a break in the cointegrating relation introduces a spurious unit root that leads to a rejection of cointegration. We applied new break tests...

Persistent link: https://www.econbiz.de/10005002772

Inflation persistence during periods of structural change: an assessment using Greek data

Hondroyiannis, George; Lazaretou, Sophia - European Central Bank - 2004

The paper estimates inflation persistence in Greece from 1975 to 2003, a period of high variation in inflation and … coefficient (RC) modelling, are employed to estimate inflation persistence. The empirical results from all the procedures suggest … that inflation persistence was high during the inflationary period and the first six years of the disinflationary period …

Persistent link: https://www.econbiz.de/10005004539

Leading indicators in a globalised world

Fichtner, Ferdinand; Rüffer, Rasmus; Schnatz, Bernd - European Central Bank - 2009

Using OECD composite leading indicators (CLI), we assess empirically whether the ability of the country- specific CLIs to predict economic activity has diminished in recent years, e.g. due to rapid advances in globalisation. Overall, we find evidence that the CLI encompasses useful information...

Persistent link: https://www.econbiz.de/10008458421

Modelling short-term interest rate spreads in the euro money market

Cassola, Nuno; Morana, Claudio - European Central Bank - 2008

In the framework of a new money market econometric model, we assess the degree of precision achieved by the European Central Bank ECB) in meeting its operational target for the short-term interest rate and the impact of the U.S. sub-prime credit crisis on the euro money market during the second...

Persistent link: https://www.econbiz.de/10005344818

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