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Fiscal behaviour in the European Union: rules, fiscal decentralization and government indebtedness

Afonso, António; Hauptmeier, Sebastian - European Central Bank - 2009

We assess the fiscal behaviour in the European Union countries for the period 1990-2005 via the responsiveness of budget balances to several determinants. The resultsshow that the existence of effective fiscal rules, the degree of public spendingdecentralization, and the electoral cycle can...

Persistent link: https://www.econbiz.de/10005866594

Fiscal variables and bond spreads: evidence from eastern European countries and Turkey

Nickel, Christiane; Rother, Philipp; Rülke, Jan C. - European Central Bank - 2009

We investigate the impact of fiscal variables on bond yield spreads relative to US Treasury bonds in the Czech Republic, Hungary, Poland, Russia and Turkey from May 1998 to December 2007. To account for the importance of market expectations we use projected values for fiscal and macroeconomic...

Persistent link: https://www.econbiz.de/10008549310

Breaks in the mean of inflation: how they happen and what to do with them

Corvoisier, Sandrine; Mojon, Benoît - European Central Bank - 2005

In most OECD countries, we cannot reject up to three breaks in the mean of inflation: one break in the late 1960’s-early 1970’s, one in the early-mid 1980’s and another break in the early 1990’s. These breaks tend to be associated more often to breaks in the mean of nominal variables...

Persistent link: https://www.econbiz.de/10005162906

A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility

Hillebrand, Eric; Schnabl, Gunther - European Central Bank - 2006

While up to the late 1990s Japanese foreign exchange intervention was fully sterilized, Japanese monetary authorities left foreign exchange intervention unsterilized when Japan entered the liquidity trap in 1999. According to previous research on foreign exchange intervention, unsterilized...

Persistent link: https://www.econbiz.de/10005530723

How persistent is disaggregate inflation? An analysis across EU 15 countries and HICP sub-indices

Lünnemann, Patrick; Mathä, Thomas Y. - European Central Bank - 2004

This paper analyses the degree of inflation persistence in the EU15, the euro area and each of its member states using disaggregate price indices from the Harmonised Index of Consumer Prices. Our results reveal substantial heterogeneity across countries and indices. The overall results, based on...

Persistent link: https://www.econbiz.de/10005530795

Identifying the monetary transmission mechanism using structural breaks

Beyer, Andreas; Farmer, Roger E. A. - European Central Bank - 2003

We propose a method for estimating a subset of the parameters of a structural rational expectations model by exploiting changes in policy. We define a class of models, midway between a vector autoregression and a structural model, that we call the recoverable structure. As an application of our...

Persistent link: https://www.econbiz.de/10005222384

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