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Modelling the daily banknotes in circulation in the context of the liquidity management of the European Central Bank

Cabrero, Alberto; Camba-Méndez, Gonzalo; Hirsch, Astrid; … - 2002

knowledge the empirical performance of two competing approaches to model seasonality in daily time series, namely the ARIMA …

Persistent link: https://www.econbiz.de/10011604188

A trend-cycle(-season) filter

Mohr, Matthias - 2005

This paper proposes a new univariate method to decompose a time series into a trend, a cyclical and a seasonal component: the Trend-Cycle filter (TC filter) and its extension, the Trend-Cycle-Season filter (TCS filter). They can be regarded as extensions of the Hodrick-Prescott filter (HP...

Persistent link: https://www.econbiz.de/10011604545

The interday and intraday patterns of the overnight market: evidence from an electronic platform

Beaupain, Renaud; Durré, Alain - 2008

for interest rates and volatility. We extend this analysis and investigate the seasonality of market activity and …

Persistent link: https://www.econbiz.de/10011605034

Persistence, the transmission mechanism and robust monetary policy

Angeloni, Ignazio; Coenen, Günter; Smets, Frank - 2003

In this paper we first explore the impact of nominal and real persistence on the transmission process of various shocks … performance of various monetary policies when the policy maker is uncertain about the degree of nominal and real persistence. …

Persistent link: https://www.econbiz.de/10011604296

Inflation persistence during periods of structural change: an assessment using Greek data

Hondroyiannis, George; Lazaretou, Sophia - 2004

The paper estimates inflation persistence in Greece from 1975 to 2003, a period of high variation in inflation and … coefficient (RC) modelling, are employed to estimate inflation persistence. The empirical results from all the procedures suggest … that inflation persistence was high during the inflationary period and the first six years of the disinflationary period …

Persistent link: https://www.econbiz.de/10011604416

Persistence and nominal inertia in a generalized Taylor economy: how longer contracts dominate shorter contracts

Dixon, Huw; Kara, Engin - 2005

In this paper we develop the Generalized Taylor Economy (GTE) in which there are many sectors with overlapping contracts of different lengths. In economies with the same average contract length, monetary shocks will be more persistent when longer contracts are present. We are able to solve the...

Persistent link: https://www.econbiz.de/10011604535

Understanding inflation persistence: a comparison of different models

Dixon, Huw; Kara, Engin - 2006

This paper adopts the Impulse-Response methodology to understand inflation persistence. It has often been argued that … existing models of pricing fail to explain the persistence that we observe. We adopt a common general framework which allows … persistence than indexation. …

Persistent link: https://www.econbiz.de/10011604718

Wage and price dynamics in Portugal

Robalo Marques, Carlos - 2008

This paper investigates the persistence of aggregate wages and prices in Portugal assuming a model of a unionized …

Persistent link: https://www.econbiz.de/10011604991

The dynamic effects of shocks to wages and prices in the United States and the euro area

Duarte, Rita; Marques, Carlos Robalo - 2009

) with a special focus on persistence of real wages, wage and price inflation. The analysis is conducted within a structural …

Persistent link: https://www.econbiz.de/10011605113

Price and wage formation in Portugal

Robalo Marques, Carlos; Martins, Fernando; Portugal, Pedro - 2010

This paper brings together empirical research on price and wage dynamics for the Portuguese economy based both on micro and macro data. As regards firms' pricing behaviour the most noticeable finding is that prices in Portugal are somewhat less flexible than in the United States but more...

Persistent link: https://www.econbiz.de/10011605271