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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

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

Structural breaks, cointegration and the Fisher effect

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

of cointegration. We applied new break tests and tested for nonlinearity in the cointegrating relation with post-war data … for 15 countries. Our empirical results support cointegration, after accounting for breaks, and a linear Fisher relation … in the long run. This is in contrast to several recent studies that found no support for linear cointegration. JEL …

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 changes in policy regimes. Two empirical methodologies, univariate autoregressive (AR) modelling and second-generation random coefficient (RC) modelling, are employed to estimate...

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

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...

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

Instability and nonlinearity in the euro area Phillips curve

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

This paper provides a comprehensive analysis of the functional form of the euro area Phillips curve over the past three decades. In particular, compared to previous literature we analyse the stability of the relationship in detail, especially as regards the possibility of a time-varying mean of...

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

On the selection of forecasting models

Inoue, Atsushi; Kilian, Lutz - European Central Bank - 2003

It is standard in applied work to select forecasting models by ranking candidate models by their prediction mean square error (PMSE) in simulated ou-of-sample (SOOS) forecasts. Alternatively, forecast models may be selected using information criteria (IC). We compare the asymptotic and...

Persistent link: https://www.econbiz.de/10005222278

Institutions and service employment: a panel study for OECD countries

Messina, Julián - European Central Bank - 2004

We live in a service economy, but the extent of development of service employment differs across developed countries. This paper assesses the role of structural factors and institutions in explaining the common patterns and main di?erences in the recent expansion of service employment in OECD...

Persistent link: https://www.econbiz.de/10005222345