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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

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

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

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

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

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

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

Comparing economic dynamics in the EU and CEE accession countries

Süppel, Ralph - 2003

This paper presents evidence for structural differences in economic growth dynamics between the current EU and the central- and eastern European accession countries. Two important results emerge from the analysis. First, accession countries have posted higher average growth and wider output...

Persistent link: https://www.econbiz.de/10009635910

Aggregation-theoretic monetary aggregation over the euro area, when countries are heterogeneous

Barnett, William A. - 2003

We derive fundamental new theory for measuring monetary service flows aggregated over countries within the European Monetary Union (EMU). We develop three increasingly restrictive approaches: (1) the heterogeneous agents approach, (2) the multilateral representative agent approach, and (3) the...

Persistent link: https://www.econbiz.de/10009635917

Exchange rates and fundamentals

Engel, Charles; West, Kenneth David - 2003

Standard economic models hold that exchange rates are influenced by fundamental variables such as relative money supplies, outputs, inflation rates and interest rates. Nonetheless, it has been well documented that such variables little help predict changes in floating exchange rates u0097 that...

Persistent link: https://www.econbiz.de/10009635953