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How persistent is disaggregate inflation?
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/10009639475
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Measuring euro area monetary policy
Altavilla, Carlo; Brugnolini, Luca; Gürkaynak, Refet S.; … - 2019
We study the information flow from the ECB on policy dates since its inception, using tick data. We show that three factors capture about all of the variation in the yield curve but that these are different factors with different variance shares in the window that contains the policy decision...
Persistent link: https://www.econbiz.de/10012009157
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Public sector efficiency
Afonso, António; Schuknecht, Ludger; Tanzi, Vito - 2003
We compute public sector performance (PSP) and efficiency (PSE) indicators, comprising a composite and seven sub-indicators, for 23 industrialised countries. The first four sub-indicators are u0093opportunityu0094 indicators that take into account administrative, education and health outcomes...
Persistent link: https://www.econbiz.de/10009635959
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Bank heterogeneity and monetary policy transmission
Brissimis, Sophocles N.; Delis, Manthos D. - 2010
Heterogeneity in the response of banks to a change in monetary policy is an important element in the transmission of this policy through banks. This paper examines the role of bank liquidity, capitalization and market power as internal factors influencing banks’ reaction in terms of lending...
Persistent link: https://www.econbiz.de/10009640307
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Nelson-Siegel, affine and quadratic yield curve specifications
Nyholm, Ken; Vidova-Koleva, Rositsa - 2010
In this paper we compare the in-sample fit and out-of-sample forecasting performance of no-arbitrage quadratic and essentially affine term structure models, as well as the dynamic Nelson-Siegel model. In total eleven model variants are evaluated, comprising five quadratic, four affine and two...
Persistent link: https://www.econbiz.de/10009640335
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Public and private inputs in aggregate production and growth
Afonso, António; Aubyn, Miguel St. - 2010
In a cross section of OECD countries we replace the macroeconomic production function by a production possibility frontier, TFP being the composite effect of efficiency scores and possibility frontier changes. We consider, for the periods 1970, 1980, 1990, 2000, one output: GDP per worker; three...
Persistent link: https://www.econbiz.de/10009640405
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Nonparametric hybrid Phillips curves based on subjective expectations
Buchmann, Marco - 2009
This paper addresses the estimation of Phillips curve equations for the euro area while employing less stringent assumptions on the functional correspondence between price inflation, inflation expectations, and marginal costs. Expectations are not assumed to be an unbiased predictor of actual...
Persistent link: https://www.econbiz.de/10009640460
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A quantitative mirror on the Euribor market using implied probability density functions
Vincent-Humphreys, Rupert de; Puigvert Gutiérrez, … - 2010
This paper presents a set of probability density functions for Euribor outturns in three months’ time, estimated from the prices of options on Euribor futures. It is the first official and freely available dataset to span the complete history of Euribor futures options, thus comprising over...
Persistent link: https://www.econbiz.de/10009640514
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Nonparametric Hybrid Phillips curves based on subjective expectations : estimates for the Euro area
Buchmann, Marco - 2009
This paper addresses the estimation of Phillips curve equations for the euro area while employing less stringent assumptions on the functional correspondence between price inflation, inflation expectations, and marginal costs. Expectations are not assumed to be an unbiased predictor of actual...
Persistent link: https://www.econbiz.de/10003969256
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Public and private inputs in aggregate production and growth : a cross-country efficiency approach
Afonso, António; St. Aubyn, Miguel - 2010
In a cross section of OECD countries we replace the macroeconomic production function by a production possibility frontier, TFP being the composite effect of efficiency scores and possibility frontier changes. We consider, for the periods 1970, 1980, 1990, 2000, one output: GDP per worker; three...
Persistent link: https://www.econbiz.de/10003970447