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A cointegration model of money and wealth

Assenmacher-Wesche, Katrin; Beyer, Andreas - 2020

Extending the data set used in Beyer (2009) from 2007 to 2017, we estimate I(1) and I(2) money demand models for euro area M3. We nd that the elasticities in the money demand and the real wealth relations identi ed previously in Beyer (2009) have remained remarkably stable throughout the...

Persistent link: https://www.econbiz.de/10012150128

Determinants of government bond spreads in new EU countries

Alexopoulou, Ioana; Bunda, Irina; Ferrando, Annalisa - 2009

Based on a rich database of government bond spreads and macroeconomic indicators over the period 2001-2008, we propose an empirical assessment of the role of fundamentals in driving long-term sovereign bond spreads of the new EU countries (Bulgaria, Czech Republic, Latvia, Lithuania, Hungary,...

Persistent link: https://www.econbiz.de/10003963768

Budgetary and external imbalances relationship : a panel data diagnostic

Afonso, António; Rault, Christophe - 2008

We assess the cointegration relationship between current account and budget balances, and effective real exchange rates …, using recent bootstrap panel cointegration techniques and SUR methods. We investigate the magnitude of the relationship … panel cointegration tests used allow for within and between correlation, while the SUR results show both positive and …

Persistent link: https://www.econbiz.de/10003803327

Revenue elasticities in euro area countries : an analysis of long-run and short-run dynamics

Koester, Gerrit; Priesmeier, Christoph - 2017

Revenue elasticities play a key role in forecasting, monitoring and analysing public finances under the European fiscal framework, which largely builds on cyclically adjusted indicators. This paper investigates whether there is evidence for dynamic - instead of the currently used static -...

Persistent link: https://www.econbiz.de/10011635246

Interest rate reaction functions and the Taylor rule in the euro area

Gerlach-Kristen, Petra - 2003

stable and forecasts well. In contrast to the traditional Taylor rule, we find a ignificant role for the long rate, which we …

Persistent link: https://www.econbiz.de/10009635919

A structural common factor approach to core inflation estimation and forecasting

Morana, Claudio - 2004

In the paper we propose a new methodological approach to core in- flation estimation, based on a frequency domain principal components estimator, suited to estimate systems of fractionally cointegrated processes. The proposed core inflation measure is the scaled common persistent factor in...

Persistent link: https://www.econbiz.de/10009636528

A markup model of inflation for the euro area

Bowdler, Christopher; Jansen, Eilev S. - 2004

Equilibrium correction models of the price level are often used to model inflation. Such models assume that the long-run markup of prices over costs is fixed, but this may not be true for the Euro area economy, which has undergone major structural reforms over the last 25 years. We allow for...

Persistent link: https://www.econbiz.de/10009636529

A stable model for Euro Area money demand : revisiting the role of wealth

Beyer, Andreas - 2009

money demand model. -- Money Demand ; Parameter Constancy ; Wealth ; Cointegration ; Vector Error Correction Model …

Persistent link: https://www.econbiz.de/10003963820

Demographics and inflation

Bobeica, Elena; Lis, Eliza Magdalena; Nickel, Christiane; … - Task Force on Low Inflation (LIFT) - 2017

Most euro area countries have entered an unprecedented ageing process: life expectancy continues to rise and fertility rates have declined, while retirement age in the last twenty to thirty years hardly increased. This implies an ever smaller fraction of the working age population in total...

Persistent link: https://www.econbiz.de/10011636889

Wealth mobility and dynamics over entire individual working life cycles

Hochguertel, Stefan; Ohlsson, Henry - 2011

We study taxable wealth in unique Swedish administrative data, annually following a large sample of households over a period of almost 40 years. The main data limitation is non-observability of wealth for those below the tax exemption level. This implies that much of the focus of the paper is on...

Persistent link: https://www.econbiz.de/10009640634

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