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Time-varying Nairu and real interest rates in the Euro Area
Logeay, Camille; Tober, Silke - 2003
This paper analyses the Nairu in the Euro Area and the influence that monetary policy had on its development. Using the … Kalman-filter technique we find that the Nairu has varied considerably since the early seventies. The Kalman-filter technique … explain a quarter of the increase in the Nairu between 1980 and 1995. This indicates the possibility of a long-run non …
Persistent link: https://www.econbiz.de/10010260669
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Business cycles, international trade and capital flows: Evidence from Latin America
Caporale, Guglielmo Maria; Girardi, Alessandro - 2012
This paper adopts a flexible framework to assess both short- and long-run business cycle linkages between six Latin American (LA) countries and the four largest economies in the world (namely the US, the Euro area, Japan and China) over the period 1980:I-2011:IV. The result indicate that within...
Persistent link: https://www.econbiz.de/10010289807
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The New Keynesian Model and the Long-Run Vertical Phillips Curve: Does It Hold for Germany?
Gottschalk, Jan; Fritsche, Ulrich - 2005
New-Keynesian macroeconomic models typically assume that any long-run trade-off between inflation and unemployment is ruled out. While this appears to be a reasonable characterization of the US economy, it is less clear that the natural rate hypothesis necessarily holds in a European country...
Persistent link: https://www.econbiz.de/10010260877
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Does the nominal exchange rate regime affect the real interest parity condition?
Dreger, Christian - 2008
The real interest partity (RIP) condition combines two cornerstones in international finance, uncovered interest parity (UIP) and ex ante purchasing power parity (PPP). The extent of deviation from RIP is therefore an indicator of the lack of product and financial market integration. This paper...
Persistent link: https://www.econbiz.de/10010291771
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The impacts of global risk and US monetary policy on US Dollar exchange rates and excess currency returns
Bernoth, Kerstin; Herwartz, Helmut; Trienens, Lasse - 2023
We examine the causal relationship between US monetary policy shocks, exchange rates and currency excess returns for a sample of eight advanced countries over the period 1980M1 to 2022M11. We find that the dynamics of the US dollar exchange rate is the main driver of currency excess returns. The...
Persistent link: https://www.econbiz.de/10014309448
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Cross-section dependence and the monetary exchange rate model: A panel analysis
Beckmann, Joscha; Belke, Ansgar; Dobnik, Frauke - 2011
This paper tackles the issue of cross-section dependence for the monetary exchange rate model in the presence of unobserved common factors using panel data from 1973 until 2007 for 19 OECD countries. Applying a principal component analysis we distinguish between common factors and idiosyncratic...
Persistent link: https://www.econbiz.de/10010280799
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The impact of real oil price on real effective exchange rate: The case of Azerbaijan
Hasanov, Fakhri - 2010
Using quarterly data from 2000-2007 and applying Error Correction Model and Johansen Co-integration Approaches I estimate the impact of real oil price on the real exchange rate of Azerbaijani manat. Estimation outputs derived from these approaches are very close to each other and indicate that...
Persistent link: https://www.econbiz.de/10010285766
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Capital accumulation, labour market institutions, and unemployment in the medium run
Stockhammer, Engelbert; Klär, Erik - 2008
According to the mainstream view, labour market institutions (LMI) are the key determinants of unemployment in the medium run. The actual empirical explanatory power of measures for labour market institutions, however, has been called into question recently (Baker et al 2005, Baccaro and Rei...
Persistent link: https://www.econbiz.de/10010265039
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Monetary policy and inflation dynamics in ASEAN economies
Dany-Knedlik, Geraldine; Garcia, Juan Angel - 2018
This paper investigates the evolution of inflation dynamics in the five largest ASEAN countries between 1997 and 2017. To account for changes in the monetary policy frameworks since the Asian Financial Crisis (AFC), the analysis is based on country-specific Phillips Curves allowing for...
Persistent link: https://www.econbiz.de/10011902275
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Productivity and the Natural Rate of Unemployment
Slacalek, Jiri - 2004
(NAIRU) by using information contained in the trend of productivity growth. My approach enhances the recently proposed model … time profile of the NAIRU, and implies estimates of the Phillips curve slope and the sacrifice ratio that are more in line …
Persistent link: https://www.econbiz.de/10010260826