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Within a two-step GARCH framework we explore the linkages between equity returns of ten sectors in the euro area, the … January 1986 and October 2002. We find that, during the late 1990s, the worldwide importance of European equity markets has … process towards higher integration has been primarily a phenomenon of equity markets in the euro area and the United States. …
Persistent link: https://www.econbiz.de/10009635881
The aim of this paper is twofold. First, for West Germany, France, Italy and US, we econometrically select within a SVAR model some fiscal policy regimes, i.e. a u0094set of rulesu0094 for the implementation of fiscal policies. Second, we identify the fiscal policy shocks related to different...
Persistent link: https://www.econbiz.de/10009635887
There has been much discussion of the differences in macroeconomic performance and prospects between the US, Japan and 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...
Persistent link: https://www.econbiz.de/10009635889
This paper offers an alternative explanation for the behavior of postwar US inflation by measuring a novel source of monetary policy time-inconsistency due to Cukierman (2002). In the presence of asymmetric preferences, the monetary authorities end up generating a systematic inflation bias...
Persistent link: https://www.econbiz.de/10009635891
We propose a method for estimating a subset of the parameters of a structural rational expectations model by exploiting changes in policy. We define a class of models, midway between a vector autoregression and a structural model, that we call the recoverable structure. As an application of our...
Persistent link: https://www.econbiz.de/10009635894