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Exchange rate volatility and growth in small open economies at the EMU periphery
Schnabl, Gunther (contributor) - 2007
Since the introduction of the euro in January 1999, exchange rate stability at the periphery of the euro area is growing. The paper investigates the impact of exchange rate stability on growth for a sample of 41 mostly small open economies at the EMU periphery. It identifies international trade,...
Persistent link: https://www.econbiz.de/10003507015
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External shocks and international inflation linkages : a global VAR analysis
Galesi, Alessandro; Lombardi, Marco - 2009
food price shocks on a given set of countries. Secondly, we assess the importance of inflation linkages among countries, by …. In addition, a considerable part of the observed headline inflation rises is attributable to foreign sources for the vast … majority of the regions. -- Oil shock ; commodity prices ; inflation ; second-round effects ; Global VAR …
Persistent link: https://www.econbiz.de/10003867024
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Commodity prices, money and inflation
Browne, Frank (contributor); Cronin, David (contributor) - 2007
equilibrium values having explanatory power for subsequent consumer price inflation …
Persistent link: https://www.econbiz.de/10003433609
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Is corruption efficiency-enhancing? : a case study of nine Central and Eastern European countries
Gamberoni, Elisa; Gartner, Christine; Giordano, Claire; … - 2016
Persistent link: https://www.econbiz.de/10011618860
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How important are common factors in driving non-fuel commodity prices? : a dynamic factor analysis
Vansteenkiste, Isabel - 2009
This paper analyses the importance of common factors in shaping non-fuel commodity price movements for the period 1957-2008. For this purpose, a dynamic factor model is estimated using Kalman Filtering techniques. Based on this set-up we are able to separate common and idiosyncratic developments...
Persistent link: https://www.econbiz.de/10003867082
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Global commodity cycles and linkages a FAVAR approach
Lombardi, Marco; Osbat, Chiara; Schnatz, Bernd - 2010
In this paper we examine linkages across non-energy commodity price developments by means of a factor-augmented VAR model (FAVAR). From a set of non-energy commodity price series, we extract two factors, which we identify as common trends in metals and a food prices. These factors are included...
Persistent link: https://www.econbiz.de/10003972625
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The impact of monetary policy shocks on commodity prices
Anzuini, Alessio; Lombardi, Marco; Pagano, Patrizio - 2010
Global monetary conditions have often been cited as a driving factor of commodity prices. This paper investigates the empirical relationship between US monetary policy and commodity prices by means of a standard VAR system, commonly used in analysing the effects of monetary policy shocks. The...
Persistent link: https://www.econbiz.de/10003994006
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Pass-through of external shocks along the pricing chain : a panel estimation approach for the euro area
Landau, Bettina; Skudelny, Frauke - 2009
In this paper we analyse in a mark-up framework the pass-through of commodity price and exchange rate shocks to the main components of producer and consumer prices. Thereby we link movements in prices at the different production stages as firms set their prices as a mark-up over production...
Persistent link: https://www.econbiz.de/10003963792
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Common factors of commodity prices
Delle Chiaie, Simona; Ferrara, Laurent; Giannone, Domenico - 2017
In this paper we extract latent factors from a large cross-section of commodity prices, including fuel and non-fuel commodities. We decompose each commodity price series into a global (or common) component, block-specific components and a purely idiosyncratic shock. We find that the bulk of the...
Persistent link: https://www.econbiz.de/10011747697
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The role of comovement and time-varying dynamics in forecasting commodity prices
Allayioti, Anastasia; Venditti, Fabrizio - 2024
Commodity prices co-move, but the strength of this co-movement changes over time due to structural factors, like changing energy intensity in production and consumption as well as changing composition of underlying shocks. This paper explores whether econometric models that exploit this...
Persistent link: https://www.econbiz.de/10014486704