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M3 money demand and excess liquidity in the euro area

Dreger, Christian (contributor); … - 2008

Money growth in the euro area has exceeded its target since 2001. Likewise, recent empirical studies did not find evidence in favour of a stable long run money demand function. The equation appears to be increasingly unstable if more recent data are used. If the link between money balances and...

Persistent link: https://www.econbiz.de/10003726115

Investigating M3 money demand in the euro area : new evidence based on standard models

Dreger, Christian (contributor); … - 2006

Monetary growth in the euro area has exceeded its target level especially since 2001. Likewise, recent empirical studies did not find evidence in favour of a stable long run relationship between the variables entering the money demand function. Instead the equation appears to be increasingly...

Persistent link: https://www.econbiz.de/10003304393

Hysteresis and persistence in the course of unemployment : the EU and US experience

Dreger, Christian (contributor); … - 2006

We investigate hysteresis and persistence behaviour in the course of unemployment in EU countries and US states by …. Hysteresis in EU unemployment is attributed to the idiosyncratic, but not to the common component. In contrast, idiosyncratic … component. These findings might reflect a lower degree of migration of the unemployed in the EU from starving into prosperous …

Persistent link: https://www.econbiz.de/10003304447

Common and spatial drivers in regional business cycles

Artis, Michael J.; Dreger, Christian; Cholodilin, … - 2009

We examine real business cycle convergence for 41 euro area regions and 48 US states. Results obtained by a panel model with spatial correlation indicate that the relevance of common business cycle factors is rather stable over the past two decades in the euro area and the US. Ongoing business...

Persistent link: https://www.econbiz.de/10003807457

Liquidity and asset prices : how strong are the linkages?

Dreger, Christian; Wolters, Jürgen - 2009

The appropriate design of monetary policy in integrated financial markets is one of the most challenging areas for central banks. One hot topic is whether the rise in liquidity in recent years has contributed to the formation of price bubbles in asset markets. If strong linkages exist, the...

Persistent link: https://www.econbiz.de/10003807460

Trade specialisation and economic convergence : evidence from two eastern European countries

Caporale, Guglielmo Maria; Rault, Christophe; Sova, Robert - 2009

-à-vis the core EU member states (EU-15) over the period 1990-2006. Specifically, we focus on whether there is a shift towards …

Persistent link: https://www.econbiz.de/10003824097

Long memory and volatility dynamics in the US dollar exchange rate

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2010

This paper focuses on nominal exchange rates, specifically the US dollar rate vis-à-vis the Euro and the Japanese Yen at a daily frequency. We model both absolute values of returns and squared returns using long-memory techniques, being particularly interested in volatility modelling and...

Persistent link: https://www.econbiz.de/10003931070

Price formation on the EuroMTS platform

Caporale, Guglielmo Maria; Girardi, Alessandro - 2010

This paper examines the process of price discovery in the MTS system, which builds on the parallel quoting of euro-denominated government securities on a number of (relatively large) domestic markets and on a (relatively small) European marketplace (EuroMTS). Using twenty-seven months of daily...

Persistent link: https://www.econbiz.de/10003934756

EU banks rating assignments : is there heterogeneity between new and old member countries?

Caporale, Guglielmo Maria; Matousek, Roman; Stewart, Chris - 2010

We model EU countries' bank ratings using financial variables and allowing for intercept and slope heterogeneity. Our … aim is to assess whether "old" and "new" EU countries are rated differently and to determine whether "new" ones are … intercepts) are a crucial determinant of ratings. Whilst "new" EU countries typically have lower ratings than "old" ones, after …

Persistent link: https://www.econbiz.de/10003971004

Price convergence in the enlarged internal market

Dreger, Christian; Cholodilin, Konstantin Arkadʹevič; … - 2007

Persistent link: https://www.econbiz.de/10003577556