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Growth expectations, capital flows and international risk sharing

Castrén, Olli; Miller, Marcus; Stiegert, Roger - 2003

effects of stock market bubbles can contribute to business cycle synchronisation across economic areas. …

Persistent link: https://www.econbiz.de/10009635970

McAdam, Peter - 2003

the euro area. Using Markov-switching techniques, in this paper we identify and compare specifically their major business-cycle … features and examine the case for a common business cycle, asymmetries in the national cycles and, using a number of algorithms …, date business-cycle turning points. Despite a high degree of trade and financial linkages, the cyclical features of US …

Persistent link: https://www.econbiz.de/10009635889

Macroeconomic modelling of monetary policy

Klaeffling, Matt - 2003

This paper proposes a new paradigm for the analysis of monetary policy. From an econometric point of view this new approach is just as easy to implement as reduced form analysis, but is robust to the Lucas critique. It requires no explicit prior theory and yet it encompasses all standard DSGE...

Persistent link: https://www.econbiz.de/10009635920

Forecasting euro area inflation

Hubrich, Kirstin - 2003

Monitoring and forecasting price developments in the euro area is essential in the light of the second pillar of the ECBu0092s monetary policy strategy. This study analyses whether the forecasting accuracy of forecasting aggregate euro area inﬂation can be improved by aggregating forecasts of...

Persistent link: https://www.econbiz.de/10009635954

Public finances and long-term growth in Europe

De Ávila, Diego Romero; Strauch, Rolf - 2003

capita over the business cycle, while public investment has a positive impact, and 2) provides robust evidence that …

Persistent link: https://www.econbiz.de/10009635955

Unemployment, hysteresis and transition

León-Ledesma, Miguel; McAdam, Peter - 2003

cycle effects, but we can observe the presence of a high and low unemployment equilibria. The speed of adjustment is faster …

Persistent link: https://www.econbiz.de/10009635980

Frequency domain principal components estimation of fractionally cointegrated processes

Morana, Claudio - 2004

In this paper we study the zero frequency spectral properties of fractionally cointegrated long memory processes and introduce a new frequency domain principal components estimator of the cointegration space and the factor loading matrix for the long memory factors. We find that for fractionally...

Persistent link: https://www.econbiz.de/10009636544

Country and sector-specific spillover effects in the euro area, the United States and Japan

Kaltenhaeuser, Bernd - 2003

Within a two-step GARCH framework we explore the linkages between equity returns of ten sectors in the euro area, the United States and Japan, respectively. Our estimation framework allows a distinction to be made between spillover effects originating from one of the three currency areas and...

Persistent link: https://www.econbiz.de/10009635881

The euro area financial system

Hartmann, Philipp; Maddaloni, Angela; Manganelli, Simone - 2003

Four years after the introduction of the euro, this paper provides an overview of the current structure and integration of the euro area financial systems and related policy initiatives. We first compare the euro area financial structure with that of the United States and Japan. Using new and...

Persistent link: https://www.econbiz.de/10009635984

International equity flows and returns

Albuquerque, Rui; Bauer, Gregory H.; Schneider, Martin - 2004

This paper considers the role of foreign investors in developed-country equity markets. It presents a quantitative model of trading that is built around two new assumptions: (i) both the foreign and domestic investor populations contain investors of different sophistication, and (ii) investor...

Persistent link: https://www.econbiz.de/10009636533