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Inflation convergence and divergence within the European Monetary Union

Busetti, Fabio; Forni, Lorenzo; Harvey, Andrew; … - European Central Bank - 2006

We study the convergence properties of inflation rates among the countries of the European Monetary Union over the period 1980-2004. Given the Maastricht agreements and the adoption of the single currency, the sample can be naturally split into two parts, before and after the birth of the euro....

Persistent link: https://www.econbiz.de/10005530876

Cointegration in panel data with breaks and cross-section dependence

Banerjee, Anindya; Carrion-i-Silvestre, Josep Lluís - European Central Bank - 2006

The power of standard panel cointegration statistics may be affected by misspecification errors if proper account is … when testing the null hypothesis of no cointegration that retain good properties in terms of empirical size and power … panel cointegration statistics rely on the assumption of cross-section independence, a generalisation of the tests to the …

Persistent link: https://www.econbiz.de/10005033432

Is forecasting with large models informative? Assessing the role of judgement in macroeconomic forecasts

Mestre, Ricardo; McAdam, Peter - European Central Bank - 2008

We evaluate residual projection strategies in the context of a large-scale macro model of the euro area and smaller benchmark time-series models. The exercises attempt to measure the accuracy of model-based forecasts simulated both out-of-sample and in-sample. Both exercises incorporate...

Persistent link: https://www.econbiz.de/10005530768

Budgetary and external imbalances relationship: a panel data diagnostic

Afonso, António; Rault, Christophe - European Central Bank - 2008

We assess the cointegration relationship between current account and budget balances, and effective real exchange rates …, using recent bootstrap panel cointegration techniques and SUR methods. We investigate the magnitude of the relationship … panel cointegration tests used allow for within and between correlation, while the SUR results show both positive and …

Persistent link: https://www.econbiz.de/10005530943

A framework for assessing global imbalances

Bracke, Thierry; Bussière, Matthieu; Fidora, Michael; … - European Central Bank - 2008

In this paper, we take a systematic look at global imbalances. First, we provide a definition of the phenomenon, and relate global imbalances to widening external positions of systemically important economies that reflect distortions or entail risks for the global economy. Second, we provide an...

Persistent link: https://www.econbiz.de/10005344803

Current account benchmarks for central and eastern Europe: a desperate search?

Ca' Zorzi, Michele; Chudik, Alexander; Dieppe, Alistair - European Central Bank - 2009

sustainability approach á la Lane and Milesi-Ferretti (LM) versus the structural current accounts literature (SCA) based on panel …

Persistent link: https://www.econbiz.de/10005344844

Asset prices, exchange rates and the current account

Fratzscher, Marcel; Juvenal, Luciana; Sarno, Lucio - European Central Bank - 2007

This paper analyses the role of asset prices in comparison to other factors, in particular exchange rates, as a driver of the US trade balance. It employs a Bayesian structural VAR model that requires imposing only a minimum of economically meaningful sign restrictions. We find that equity...

Persistent link: https://www.econbiz.de/10005344873

Global liquidity glut or global savings glut? A structural VAR approach

Bracke, Thierry; Fidora, Michael - European Central Bank - 2008

Since the late-1990s, the global economy is characterised by historically low risk premia and an unprecedented widening of external imbalances. This paper explores to what extent these two global trends can be understood as a reaction to three structural shocks in different regions of the global...

Persistent link: https://www.econbiz.de/10005344952

Global crises and equity market contagion

Bekaert, Geert; Ehrmann, Michael; Fratzscher, Marcel; … - European Central Bank - 2011

Using the 2007-2009 financial crisis as a laboratory, we analyze the transmission of crises to country-industry equity portfolios in 55 countries. We use an asset pricing framework with global and local factors to predict crisis returns, defining unexplained increases in factor loadings as...

Persistent link: https://www.econbiz.de/10009293721

External and macroeconomic adjustment in the larger euro area countries

Angelini, Elena; Ca' Zorzi, Michele; Forster, Katrin - European Central Bank - 2014

A balanced current account in the euro area has disguised sizeable net lending imbalances at the country level, exposing the common currency area to severe pressures during the financial crisis. The key contribution of this paper is to evaluate the adjustment process through the lenses of the...

Persistent link: https://www.econbiz.de/10010753759