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Testing for Convergence in Stock Markets : A Non-Linear Factor Approach

Caporale, Guglielmo Maria - 2013

This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as the US over the period 1973-2008. We carry out the...

Persistent link: https://www.econbiz.de/10013095490

Stock Market Integration between Three CEECs, Russia and the UK

Caporale, Guglielmo Maria - 2013

This paper estimates a tri-variate VAR-GARCH(1,1)-in-mean model to examine linkages between the stock markets of three Central and Eastern European countries (CEECs), specifically the Czech Republic, Hungary, and Poland, and both the UK and Russia. The adopted framework allows to analyse...

Persistent link: https://www.econbiz.de/10013095004

Spatial and Temporal Diffusion of House Prices in the UK

Holly, Sean - 2013

This paper provides a method for the analysis of the spatial and temporal diffusion of shocks in a dynamic system. We use changes in real house prices within the UK economy at the level of regions to illustrate its use. Adjustment to shocks involves both a region specific and a spatial effect....

Persistent link: https://www.econbiz.de/10013095156

The Impact of Fiscal Rules on Public Finances : Theory and Empirical Evidence for the Euro Area

Marneffe, Wim - 2011

This paper presents a review of the most significant fiscal rules policymakers can choose from. The insights from this review are then applied to the current budgetary situation of the European Union. In the European Union, the supranational Stability and Growth Pact (SGP) should provide the...

Persistent link: https://www.econbiz.de/10013131350

Estimating the Effects of Coordinated Fiscal Actions in the Euro Area

Hebous, Shafik - 2012

We estimate spillover effects of a fiscal shock in one member country in the euro area on outputs of the rest of the members, using a Global Vector Autoregression (GVAR) model. We compare the effects of a domestic fiscal shock with those of a similar size area-wide shock expressed as a weighted...

Persistent link: https://www.econbiz.de/10013101197

The Macroeconomic Policy Challenges of Balance Sheet Recession : Lessons from Japan for the European Crisis

Schnabl, Gunther - 2013

The paper compares the boom-and-bust cycles in Japan and Europe with respect to the reasons for excessive booms, the characteristics of the crises, and the (potential) effects of the crisis therapies. As in Japan the consequence of expansionary monetary and fiscal policies is the hysteresis of...

Persistent link: https://www.econbiz.de/10013081055

Has the EMU Reduced Wage Growth and Unemployment? Testing a Model of Trade Union Behaviour

Mikosch, Heiner - 2013

By using a model of trade union behaviour Grüner (2010) argues that the introduction of the European Monetary Union (EMU) led to lower wage growth and lower unemployment in participating countries. Following Grüner's model, monetary centralization lets the central bank react less flexibly to...

Persistent link: https://www.econbiz.de/10013093430

Fiscal Spillovers in the Euro Area

Caporale, Guglielmo Maria - 2012

This paper analyses the dynamic effects of fiscal imbalances in a given EMU member state on the borrowing costs of other countries in the euro area. The estimation of a multivariate, multi-country time series model (specifically a Global VAR, or GVAR) using quarterly data for the EMU period...

Persistent link: https://www.econbiz.de/10013112600

Fiscal Policies and Business Cycles in an Enlarged Euro Area

Staehr, Karsten - 2008

This paper compares the cyclical properties of fiscal policies across the 12 original eurozone countries and the future … counter-cyclical in Central and Eastern European countries than in members of the eurozone. The main differences arise from … the revenue side. Differences in the formation of fiscal policy between current and future eurozone countries decrease …

Persistent link: https://www.econbiz.de/10012773620

Rent-Seeking Competition from State Coffers : A Calibrated DSGE Model of the Euro Area

Angelopoulos, Konstantinos - 2006

This paper incorporates an uncoordinated struggle for extra fiscal favors into an otherwise standard Dynamic Stochastic General Equilibrium model. This reflects the popular belief that interest groups compete for privileged transfers and tax treatment at the expense of the general public...

Persistent link: https://www.econbiz.de/10012781542