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Inflation Target Shocks and Monetary Policy Inertia in the Euro Area

Fève, Patrick - 2010

The Euro area as a whole has experienced a marked downward trend in inflation over the past decades and, concomitantly … these dynamics? To answer this question, we embed serially correlated changes in the inflation target into a DSGE model with … real and nominal frictions. The formal Bayesian estimation of the model suggests that gradual changes in the inflation …

Persistent link: https://www.econbiz.de/10013141812

Trends and Cycles : An Historical Review of the Euro Area

Barthelemy, Jean; Marx, Magali; Poissonnier, Aurelien - 2010

total factor productivity and one on the inflation target of the central bank. To justify our choice of integrated trends …

Persistent link: https://www.econbiz.de/10014193936

In Search of the Transmission Mechanism of Fiscal Policy in the Euro Area

Fève, Patrick; Sahuc, Jean-Guillaume - 2016

This paper applies the DSGE-VAR methodology to assess the size of fiscal multipliers in the data and the relative contributions of two transmission mechanisms of government spending shocks, namely hand-to-mouth consumers and Edgeworth complementarity. Econometric experiments show that a DSGE...

Persistent link: https://www.econbiz.de/10014128614

The Pricing Behaviour of Firms in the Euro Area : New Survey Evidence

Fabiani, Silvia - 2011

This study investigates the pricing behaviour of firms in the euro area on the basis of surveys conducted by nine Eurosystem national central banks, covering more than 11,000 firms. The results, robust across countries, show that firms operate in monopolistically competitive markets, where...

Persistent link: https://www.econbiz.de/10013132582

Determinants of Long-Term Interest Rates in the United States and the Euro Area : A Multivariate Approach

Idier, Julien - 2010

This article looks at the factors explaining the level of US and European long-term interest rates between 1986 and 2005. We begin by selecting the structural determinants of long-term interest rates, dealing with the US and European cases separately. However, a univariate framework cannot...

Persistent link: https://www.econbiz.de/10013136872

Short Term Analysis of Raw Data and Business Cycle Estimation - Part 1 : Estimation and Tests (Analyse Conjoncturelle de Données Brutes et Estimation de Cycles Partie 1: Estimation et Tests) (French)

Lacroix, Renaud - 2010

Short-term analysis is generally performed with seasonally adjusted data from which further estimation of the business cycle is performed through well-known filters (HP, Baxter-King). However, the whole procedure is not fully consistent, because seasonal adjustment and trend-cycle estimation do...

Persistent link: https://www.econbiz.de/10013137997

Business Surveys Modelling with Seasonal-Cyclical Long Memory Models

Ferrara, Laurent - 2010

Business surveys are an important element in the analysis of the short-term economic situation because of the timeliness and nature of the information they convey. Especially, surveys are often involved in econometric models in order to provide an early assessment of the current state of the...

Persistent link: https://www.econbiz.de/10013138110

The Possible Shapes of Recoveries in Markov-Switching Models

Bec, Frédérique - 2011

This paper explores the various shapes the recoveries may exhibit within a Markov-Switching model. It relies on the bounce-back effects first analyzed by Kim, Morley and Piger (2005) and extends the methodology by proposing i) a more flexible bounce-back model, ii) explicit tests to select the...

Persistent link: https://www.econbiz.de/10013128643

Estimating the Implicit Inflation Target in the Euro Area

Fève, Patrick; Matheron, Julien; Sahuc, Jean-Guillaume - 2010

unemployment rate has increased and economic activity has been sluggish. Changes in the implicit inflation target, viewed as low … frequency movements of inflation, might possibly explain these developments. To highlight this issue, the present study … estimates the dynamics of the implicit inflation target in the euro zone over the period 1970Q1 - 2004Q4. Based on a small …

Persistent link: https://www.econbiz.de/10014193922

Forecasting Euro-Area Recessions Using Time-Varying Binary Response Models for Financial Markets

Bellégo, Christophe; Ferrara, Laurent - 2010

Recent macroeconomic evolutions during the years 2008 and 2009 have pointed out the impact of financial markets on economic activity. In this paper, we propose to evaluate the ability of a set of financial variables to forecast recessions in the euro area by using a non-linear binary response...

Persistent link: https://www.econbiz.de/10014193933