Narrow search
Showing 1 - 10 of 77
Cover Image
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
Cover Image
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
Cover Image
A structural common factor approach to core inflation estimation and forecasting
Morana, Claudio - European Central Bank - 2004
In the paper we propose a new methodological approach to core inflation estimation, based on a frequency domain … principal components estimator, suited to estimate systems of fractionally cointegrated processes. The proposed core inflation … measure is the scaled common persistent factor in inflation and excess nominal money growth and bears the interpretation of …
Persistent link: https://www.econbiz.de/10005816199
Cover Image
Distilling co-movements from persistent macro and financial series
Abadir, Karim; Talmain, Gabriel - European Central Bank - 2005
We provide a methodology to disentangle the long-run relation between variables from their own dynamics. Macroeconomic and aggregate financial series have a high degree of inertia. If this persistence is not properly accounted for, spurious correlations will give rise to paradoxes. Our procedure...
Persistent link: https://www.econbiz.de/10005222342
Cover Image
Frequency domain principal components estimation of fractionally cointegrated processes
Morana, Claudio - European Central Bank - 2004
In this paper we study the zero frequency spectral properties of fractionally cointegrated long memory processes and introduce a new frequency domain principal components estimator of the cointegration space and the factor loading matrix for the long memory factors. We find that for fractionally...
Persistent link: https://www.econbiz.de/10005222372
Cover Image
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
Cover Image
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
Cover Image
Detecting and predicting forecast breakdowns
Giacomini, Raffaella; Rossi, Barbara - European Central Bank - 2006
of a forecast breakdown in the Phillips’ curve forecasts of U.S. inflation, and links it to inflation volatility and to …
Persistent link: https://www.econbiz.de/10005816143
Cover Image
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
Cover Image
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