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Exchange Rate Shocks and Inflation Comovement in the Euro Area
Leiva‐Leon, Danilo - 2020
This paper decomposes the time-varying effect of exogenous exchange rate shocks on euro area countries inflation into country-specific (idiosyncratic) and region-wide (common) components. To do so, we propose a flexible empirical framework based on dynamic factor models subject to drifting...
Persistent link: https://www.econbiz.de/10012838756
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Missing Disinflation and Missing Inflation : The Puzzles that Aren't
Bobeica, Elena - 2017
In the immediate wake of the Great Recession we didn't see the disinflation that most models predicted and, subsequently, we didn't see the inflation they predicted. We show that these puzzles disappear in a Vector Autoregressive model that properly accounts for domestic and global factors. Such...
Persistent link: https://www.econbiz.de/10012963925
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External Shocks and International Inflation Linkages : A Global VAR Analysis
Galesi, Alessandro - 2009
Amid the recent commodity price gyrations, policy makers have become increasingly concerned in assessing to what extent oil and food price shocks transmit to the inflationary outlook and the real economy. In this paper, we try to tackle this issue by means of a Global Vector Autoregressive...
Persistent link: https://www.econbiz.de/10013159237
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Import Price Dynamics in Major Advanced Economies and Heterogeneity in Exchange Rate Pass-Through
Dees, Stephane - 2008
This paper aims at showing heterogeneity in the degree of exchange rate pass-through to import prices in major advanced economies at three different levels: 1) across destination markets; 2) across types of exporters (distinguishing developed economy from emerging economy exporters); and 3) over...
Persistent link: https://www.econbiz.de/10012770624
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Global Inflation
Ciccarelli, Matteo; Mojon, Benoit - 2021
This paper shows that inflation in industrialized countries is largely a global phenomenon. First, the inflation rates of 22 OECD countries have a common factor that alone accounts for nearly 70 percent of their variance. This large variance share that is associated with Global Inflation is not...
Persistent link: https://www.econbiz.de/10013318220
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Inflation Convergence and Divergence within the European Monetary Union
Busetti, Fabio; Forni, Lorenzo; Harvey, Andrew; … - 2006
We study the convergence properties of inflation rates among the countries of the European Monetary Union over the period 1980-2004. Given the Maastricht agreements and the adoption of the single currency, the sample can be naturally split into two parts, before and after the birth of the euro....
Persistent link: https://www.econbiz.de/10014060310
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Monetary policy, asset prices and consumption in China
Koivu, Tuuli - 2010
This paper studies the wealth channel in China. Using the structural vector autoregression method, we find that a … loosening of China’s monetary policy indeed leads to higher asset prices, which in turn are linked to household consumption …. However, the importance of the wealth channel as a part of the monetary policy transmission mechanism in China is still …
Persistent link: https://www.econbiz.de/10011605286
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Monetary Policy, Asset Prices and Consumption in China
Koivu, Tuuli - 2010
This paper studies the wealth channel in China. Using the structural vector autoregression method, we find that a … loosening of China's monetary policy indeed leads to higher asset prices, which in turn are linked to household consumption …. However, the importance of the wealth channel as a part of the monetary policy transmission mechanism in China is still …
Persistent link: https://www.econbiz.de/10013138816
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On the International Spillovers of US Quantitative Easing
Fratzscher, Marcel - 2013
The paper analyses the global spillovers of the Federal Reserve's unconventional monetary policy measures. First, we find that Fed measures in the early phase of the crisis (QE1) were highly effective in lowering sovereign yields and raising equity markets, especially in the US relative to other...
Persistent link: https://www.econbiz.de/10013081463
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Memories of high inflation
Ehrmann, Michael; Tzamourani, Panagiota - 2009
countries over the years 1981-2000. It finds that memories of hyperinflation are there to last, whereas those of less drastic …
Persistent link: https://www.econbiz.de/10011605141