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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

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

Inflation Convergence and Divergence within the European Monetary Union

Busetti, Fabio; Forni, Lorenzo; Harvey, Andrew C.; … - 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

Globalisation, Domestic Inflation and Global Output Gaps : Evidence from the Euro Area

Calza, Alessandro - 2015

This paper tests whether the proposition that globalisation has led to greater sensitivity of domestic inflation to the global output gap (the quot;global output gap hypothesisquot;) holds for the euro area. The empirical analysis uses quarterly data over the period 1979-2003. Measures of the...

Persistent link: https://www.econbiz.de/10012750226

Import Price Dynamics in Major Advanced Economies and Heterogeneity in Exchange Rate Pass-Through

Dées, Stéphane - 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

Pass-through of External Shocks Along the Pricing Chain : A Panel Estimation Approach for the Euro Area

Landau, Bettina; Skudelny, Frauke - 2021

In this paper we analyse in a mark-up framework the pass-through of commodity price and exchange rate shocks to the main components of producer and consumer prices. Thereby we link movements in prices at the different production stages as firms set their prices as a mark-up over production...

Persistent link: https://www.econbiz.de/10013316302

Global Inflation

Ciccarelli, Matteo; Mojon, Benoît - 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

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

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

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