Similar Search Results

Is there a role for domestic demand pressure on export performance?

Soares Esteves, Paulo; Rua, António - European Central Bank - 2013

Traditionally, exports behavior is modeled only as a function of the foreign demand and the real exchange rate. However, it is by now widely acknowledged that these variables are not able to fully explain exports developments. This paper suggests considering domestic demand pressure as an...

Persistent link: https://www.econbiz.de/10010709537

Asymmetric dynamics in the correlations of global equity and bond returns

Sheppard, Kevin; Cappiello, Lorenzo; Engle, Robert F. - European Central Bank - 2003

JEL Classification: F3, G1, C5

Persistent link: https://www.econbiz.de/10005816158

Internationally correlated jumps

Pukthuanthong, Kuntara; Roll, Richard - European Central Bank - 2012

are internationally correlated. Their possible inter-correlation is important for investors because international …

Persistent link: https://www.econbiz.de/10010686814

How has CDO market pricing changed during the turmoil? Evidence from CDS index tranches

Scheicher, Martin - European Central Bank - 2008

This paper applies regression analysis to investigate the fundamental factors of the variation of CDS index tranches. The sample comprises daily data on the tranche premia of the European iTraxx and North American CDX index from the start of the market in summer 2004 to January 2008. I estimate...

Persistent link: https://www.econbiz.de/10005222351

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

A Stable Model for Euro Area Money Demand: Revisiting the Role of Wealth

Beyer, Andreas - European Central Bank - 2009

In this paper we present an empirically stable money demand model for Euro area M3. We show that housing wealth is an important explanatory variable of long-run money demand that captures the trending behaviour of M3 velocity, in particular its shift in the first half of this decade. We show...

Persistent link: https://www.econbiz.de/10008558668

Modelling loans to non-financial corporations in the euro area

Kok, Christoffer; Marqués-Ibáñez, David; Rossi, Carlotta - European Central Bank - 2009

We model the determinants of loans to non-financial corporations in the euro area. Using the Johansen (1992) methodology, we identify three cointegrating relationships. These relationships are interpreted as the long-run loan demand, investment and loan supply equations. The short-run dynamics...

Persistent link: https://www.econbiz.de/10004969181