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Supply, demand and monetary policy shocks in a multi-country New Keynesian Model

Dées, Stéphane; Pesaran, M. Hashem; Smith, L. Vanessa - 2010

This paper estimates and solves a multi-country version of the standard DSGE New Keynesian (NK) model. The country-specific models include a Phillips curve determining inflation, an IS curve determining output, a Taylor Rule determining interest rates, and a real effective exchange rate...

Persistent link: https://www.econbiz.de/10008657123

Exploring the international linkages of the euro area : a global VAR analysis

Dées, Stéphane; Di Mauro, Filippo; Pesaran, M. Hashem; … - 2005

This paper presents a quarterly global model linking individual country vector errorcorrecting models in which the domestic variables are related to the country-specific foreign variables. The global VAR (GVAR) model is estimated for 26 countries, the euro area being treated as a single economy,...

Persistent link: https://www.econbiz.de/10003230466

Sticky wages : evidence from quarterly microeconomic data

Heckel, Thomas (contributor); Le Bihan, Hervé (contributor) - 2008

This paper documents nominal wage stickiness using an orignial quarterly firm-level dataset. We use the ACEMO survey, which reports the base wage for up to 12 employee categories in French firms over the period 1998 to 2005, and obtain the following main results. First, the quarterly frequency...

Persistent link: https://www.econbiz.de/10003778784

The impact of extreme weather events on budget balances and implications for fiscal policy

Lis, Eliza M.; Nickel, Christiane - 2009

This paper explores implications of climate change for fiscal policy by assessing the impact of large scale extreme weather events on changes in public budgets. We apply alternative measures for large scale extreme weather events and conclude that the budgetary impact of such events ranges...

Persistent link: https://www.econbiz.de/10003866542

Costs, demand, and producer price changes

Loupias, Claire; Sevestre, Patrick - 2010

We estimate an ordered probit model in order to explain the occurrence and magnitude of producer price changes in the French manufacturing sector. We use data consisting essentially of the Banque de France monthly business surveys, pooled over the years 1998-2005. Our results show that changes...

Persistent link: https://www.econbiz.de/10003972966

An international comparison of voting by committees

Jung, Alexander - 2011

This paper provides new empirical evidence on policy-makers' voting patterns on interest rates. Applying (pooled) Taylor-type rules and using real-time information available from published inflation reports and voting records, the paper tests for heterogeneity among committee members in three...

Persistent link: https://www.econbiz.de/10009380404

Determinants of credit-less recoveries

Bijsterbosch, Martin; Dahlhaus, Tatjana - 2011

panel probit models to analyse key determinants of credit-less recoveries. Our main findings are the following. First, our … estimated panel probit models suggest that credit-less recoveries are typically preceded by large declines in economic activity … ; Financial Crises ; Panel Probit Models …

Persistent link: https://www.econbiz.de/10009159985

Sovereign credit ratings and financial markets linkages : application to European data

Afonso, António; Furceri, Davide; Gomes, Pedro - 2011

We use EU sovereign bond yield and CDS spreads daily data to carry out an event study analysis on the reaction of government yield spreads before and after announcements from rating agencies (Standard & Poor's, Moody's, Fitch). Our results show: significant responses of government bond yield...

Persistent link: https://www.econbiz.de/10009160019

Private and public risk sharing in the euro area

Cimadomo, Jacopo; Furtuna, Oana; Giuliodori, Massimo - 2018

This paper investigates the contribution of private and public channels for consumption risk sharing in the EMU over the period 1999-2015. In particular, we explore the role of financial integration versus international financial assistance for private consumption smoothing in this set of...

Persistent link: https://www.econbiz.de/10011856373

Sticky information Phillips curves : European evidence

Döpke, Jörg; Dovern, Jonas; Fritsche, Ulrich; … - 2008

We estimate the sticky information Phillips curve model of Mankiw and Reis (2002) using survey expectations of professional forecasters from four major European economies. Our estimates imply that inflation expectations in France, Germany and the United Kingdom are updated about once a year, in...

Persistent link: https://www.econbiz.de/10003789432