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Alternative measures of the NAIRU in the euro area: estimates and assessment
Fabiani, Silvia; Mestre, Ricardo - 2000
The paper focuses on the measurement of the NAIRU (Non-Accelerating-Inflation-Rate-of-Unemployment) for the euro area and assesses the usefulness of different methodologies developed in the literature to estimate this unobservable variable at the aggregate level. After reviewing the theoretical...
Persistent link: https://www.econbiz.de/10011604063
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How persistent is disaggregate inflation? An analysis across EU 15 countries and HICP sub-indices
Lünnemann, Patrick; Mathä, Thomas Y. - 2004
This paper analyses the degree of inflation persistence in the EU15, the euro area and each of its member states using … countries and indices. The overall results, based on both parametric and non-parametric persistence measures, suggest a very … moderate degree of median and mean inflation persistence. For most price indices we are able to reject the unit root hypothesis …
Persistent link: https://www.econbiz.de/10011604461
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Measuring comovements by regression quantiles
Cappiello, Lorenzo; Gérard, Bruno; Manganelli, Simone - 2005
This paper develops a rigorous econometric framework to investigate the structure of codependence between random variables and to test whether it changes over time. Our approach is based on the computation - over both a test and a benchmark period - of the conditional probability that a random...
Persistent link: https://www.econbiz.de/10011604547
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New survey evidence on the pricing behaviour of Luxembourg firms
Lünnemann, Patrick; Mathä, Thomas Y. - 2006
This paper analyses the pricing behaviour of Luxembourg firms based on survey evidence. Luxembourg firms typically have low market share, many competitors and longstanding customer relationships. Price discrimination is frequently applied. A majority of firms use price review rules that include...
Persistent link: https://www.econbiz.de/10011604663
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Asset allocation by penalized least squares
Manganelli, Simone - 2007
This paper shows how the problem of mean-downside risk portfolio allocation can be cast in terms of penalized least squares (PLS). The penalty is given by a power function of the returns below a certain threshold. We derive the asymptotic properties of the PLS estimator, allowing for possible...
Persistent link: https://www.econbiz.de/10011604769
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Asset Allocation by Penalized Least Squares
Manganelli, Simone - 2007
This paper shows how the problem of mean-downside risk portfolio allocation can be cast in terms of penalized least squares (PLS). The penalty is given by a power function of the returns below a certain threshold. We derive the asymptotic properties of the PLS estimator, allowing for possible...
Persistent link: https://www.econbiz.de/10012777886
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New Survey Evidence on the Pricing Behaviour of Luxembourg Firms
Lunnemann, Patrick; Mathä, Thomas Y. - 2021
This paper analyses the pricing behaviour of Luxembourg firms based on survey evidence. Luxembourg firms typically have low market share, many competitors and longstanding customer relationships. Price discrimination is frequently applied. A majority of firms use price review rules that include...
Persistent link: https://www.econbiz.de/10013317629
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An international analysis of earnings, stock prices and bond yields
Durré, Alain; Giot, Pierre - 2005
This paper assesses the possible contemporaneous relationship between stock index prices, earnings and long-term government bond yields for a large number of countries and over a time period that spans several decades. In a cointegration framework, our analysis looks at three hypotheses. First,...
Persistent link: https://www.econbiz.de/10011604561
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Exchange rate pass-through to trade prices: the role of non-linearities and asymmetries
Bussière, Matthieu - 2007
A standard assumption in the empirical literature is that exchange rate pass-through is both linear and symmetric, implying that (a) large and small exchange rate changes and (b) appreciations and depreciations have an effect of the same magnitude, proportionally. This paper tests these...
Persistent link: https://www.econbiz.de/10011604868
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Modelling Ireland’s exchange rates: from EMS to EMU
Bond, Derek; Harrison, Michael J.; O'Brien, Edward J. - 2007
This paper attempts to model the nominal and real exchange rate for Ireland, relative to Germany and the UK from 1975 to 2003. It offers an overview of the theory of purchasing power parity (PPP), focusing particularly on likely sources of nonlinearity. Potential difficulties in placing the...
Persistent link: https://www.econbiz.de/10011604869