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The dynamic effects of shocks to wages and prices in the United States and the euro area
Duarte, Rita Netto de Miranda; Marques, Carlos Robalo - 2009
This paper investigates the dynamics of aggregate wages and prices in the United States (US) and the Euro Area (EA) with a special focus on persistence of real wages, wage and price inflation. The analysis is conducted within a structural vector errorcorrection model, where the structural shocks...
Persistent link: https://www.econbiz.de/10003867061
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Exchange rate misalignment and external imbalances : what is the optimal monetary policy response?
Corsetti, Giancarlo; Dedola, Luca; Leduc, Sylvain - 2023
How should monetary policy respond to excessive capital inflows that appreciate the currency and widen the external deficit? Using the workhorse two-country open-macro model, we derive a quadratic approximation of the utility-based global loss function in incomplete market economies, and solve...
Persistent link: https://www.econbiz.de/10014362654
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Exchange rate forecasting on a napkin
Ca'Zorzi, Michele; Rubaszek, Michał - 2018
This paper shows that there are two regularities in foreign exchange markets in advanced countries with flexible regimes. First, real exchange rates are mean-reverting, as implied by the Purchasing Power Parity model. Second, the adjustment takes place via nominal exchange rates. These features...
Persistent link: https://www.econbiz.de/10011856403
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Price dividend ratio and long-run stock returns : a score driven state space model
Delle Monache, Davide; Petrella, Ivan; Venditti, Fabrizio - 2020
In this paper we develop a general framework to analyze state space models with timevarying system matrices where time variation is driven by the score of the conditional likelihood. We derive a new filter that allows for the simultaneous estimation of the state vector and of the time-varying...
Persistent link: https://www.econbiz.de/10012156426
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Macroeconomic implications of oil price fluctuations : a regime-switching framework for the euro area
Holm-Hadulla, Fédéric; Hubrich, Kirstin - 2017
We investigate whether the response of the macro-economy to oil price shocks undergoes episodic changes. Employing a regime-switching vector autoregressive model we identify two regimes that are characterized by qualitatively different patterns in economic activity and inflation following oil...
Persistent link: https://www.econbiz.de/10011771984
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Modelling loans to non-financial corporations in the euro area
Kok Sørensen, Christoffer; Marqués Ibáñez, David; … - 2009
We model the determinants of loans to non-financial corporations in the euro area. Using the Johansen (1992) methodology, we identify three cointegrating relationships. These relationships are interpreted as the long-run loan demand, investment and loan supply equations. The short-run dynamics...
Persistent link: https://www.econbiz.de/10003826460
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The exchange rate insulation puzzle
Corsetti, Giancarlo; Küster, Keith; Müller, Gernot J.; … - 2021
We confront the notion that flexible rates insulate a country from external disturbances with new evidence on spillovers from euro-area shocks to neighboring countries. We find that in response to euro-area shocks, spillovers are not smaller, and currency movements not significantly larger, in...
Persistent link: https://www.econbiz.de/10012705556
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The predictive power of equilibrium exchange rate models
Ca'Zorzi, Michele; Cap, Adam; Mijakovic, Andrej; … - 2020
Power Parity (PPP), Behavioral Equilibrium Exchange Rate (BEER) and the Macroeconomic Balance (MB) approach. We show that … there is a clear trade-off between storytelling and forecast accuracy. The PPP model offers little economic insights, but … better quality than PPP. The MB approach has the most appealing economic interpretation, but performs poorly in forecasting …
Persistent link: https://www.econbiz.de/10012139745
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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
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Bond market co-movements, expected inflation and the equilibrium real exchange rate
Macchiarelli, Corrado - 2011
World reserve currency results into a weaker behavior of the US bond rate on international markets. - PPP ; UIP ; RIP …
Persistent link: https://www.econbiz.de/10009405600