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The performance and robustness of interest-rate rules in models of the euro area
Adalid, Ramón; Coenen, Günter; McAdam, Peter; … - 2005
In this paper, we examine the performance and robustness of optimised interest-rate rules in four models of the euro area which differ considerably in terms of size, degree of aggregation, relevance of forward-looking behavioural elements and adherence to micro-foundations. Our findings are...
Persistent link: https://www.econbiz.de/10011604525
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Insurance policies for monetary policy in the euro area
Kuester, Keith; Wieland, Volker - 2005
In this paper, we examine the cost of insurance against model uncertainty for the Euro area considering four alternative reference models, all of which are used for policy-analysis at the ECB. We find that maximal insurance across this model range in terms of a Minimax policy comes at moderate...
Persistent link: https://www.econbiz.de/10011604526
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A speed limit monetary policy rule for the euro area
Stracca, Livio - 2006
This paper estimates a hybrid New Keynesian model on euro area data and evaluates the performance of different simple policy rules and of the optimal unconstrained rule under commitment. The study reaches two main conclusions. First, inflation is found to be mainly forward-looking in the euro...
Persistent link: https://www.econbiz.de/10011604646
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Convergence and anchoring of yield curves in the euro area
Ehrmann, Michael; Fratzscher, Marcel; Gürkaynak, Refet S. - 2007
We study the convergence of European bond markets and the anchoring of inflation expectations in euro area countries using high-frequency bond yield data for France, Germany, Italy and Spain. We find that Economic and Monetary Union (EMU) has led to substantial convergence in euro area sovereign...
Persistent link: https://www.econbiz.de/10011604863
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Real time estimates of the euro area output gap: reliability and forecasting performance
Marcellino, Massimiliano; Musso, Alberto - 2010
This paper provides evidence on the reliability of euro area real-time output gap estimates. A genuine real-time data set for the euro area is used, including vintages of several sets of euro area output gap estimates available from 1999 to 2006. It turns out that real-time estimates of the...
Persistent link: https://www.econbiz.de/10011605203
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Financial factors in economic fluctuations
Christiano, Lawrence; Rostagno, Massimo; Motto, Roberto - 2010
We augment a standard monetary DSGE model to include a banking sector and financial markets. We fit the model to Euro Area and US data. We find that agency problems in financial contracts, liquidity constraints facing banks and shocks that alter the perception of market risk and hit financial...
Persistent link: https://www.econbiz.de/10011605238
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The tragedy of the commons and inflation bias in the euro area
Dinger, Valeriya; Steinkamp, Sven; Westermann, Frank - 2012
Central bank credit has expanded dramatically since the beginning of 2007 in some of the euro area member countries … an independent monetary policy. We find that inflation was the main determinant of central bank credit prior to 2007 …
Persistent link: https://www.econbiz.de/10010343285
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Warum die Volkswirtschaften der Eurozone den USA und Großbritannien seit der Finanzkrise hinterherhinken: Zur Rolle von Unterschieden in der Geld- und Fiskalpolitik
Heimberger, Philipp - 2016
Finanzkrise im Vergleich von Eurozone, USA und Großbritannien. Die Eurozone erholte sich seit 2010 deutlich schleppender als die … globalen Finanzkrise im Vergleich mit jener der Fed und der Bank of England; zum anderen durch eine Beschäftigung mit der … Ergebnis ist, dass der restriktivere Mix aus Geld- und Fiskalpolitik in der Eurozone die im Vergleich zu den USA und …
Persistent link: https://www.econbiz.de/10012100198
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The tragedy of the commons and inflation bias in the euro area
Dinger, Valeriya; Steinkamp, Sven; Westermann, Frank - 2012
Central bank credit has expanded dramatically in some of the euro area member countries since the beginning of the … objectives among the national cen-tral banks in the euro area. We show that after 2007, central bank credit has been highly …
Persistent link: https://www.econbiz.de/10010291566
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Portuguese banks in the euro area market for daily funds
Farinha, Luísa; Gaspar, Vítor - 2008
In this paper, we use the Furfine (1999) statistical procedure to identify money market operations from Payments Systems data. Given the availability of an alternative data set, recording money market operations we could confirm the accuracy of the method. We examine evidence on integration of...
Persistent link: https://www.econbiz.de/10011605031