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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

Non-fundamental exchange rate volatility and welfare

Straub, Roland; Tchakarov, Ivan - 2004

We lay out an empirical and a theoretical model to analyze the effects of non-fundamental exchange rate volatility on … of the conditional exogenous exchange rate volatility on the conditional mean of the endogenous variables in our open … empirically. In the second part, we investigate the effect of non-fundamental exchange rate volatility in a stochastic open …

Persistent link: https://www.econbiz.de/10009636551

Growth expectations, capital flows and international risk sharing

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

Over the past decades, cross-border financial flows have increased in importance and have in many occasions exceeded the underlying current account positions. This phenomenon has been accompanied by an increase in the volume of international equity transactions that accentuate the role of...

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

Cooperation in international banking supervision

Holthausen, Cornelia; Rønde, Thomas - 2004

This paper analyzes cooperation between sovereign national authorities in the supervision and regulation of a multinational bank. We take a political economy approach to regulation and assume that supervisors maximize the welfare of their own country. The communication between the supervisors is...

Persistent link: https://www.econbiz.de/10009636539

Macroeconomic modelling of monetary policy

Klaeffling, Matt - 2003

prior theory and yet it encompasses all standard DSGE models. After introducing this new paradigm I study US monetary policy …

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

In Lisbon the European Council proclaimed a European growth strategy. It considers an average economic u0093growth rate of around 3 percent as a realistic prospect for the coming yearsu0094 and assigns public finances an important role in the process of achieving this goal. This paper addresses...

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

Unemployment, hysteresis and transition

León-Ledesma, Miguel; McAdam, Peter - 2003

We quantify the degree of persistence in unemployment rates of transition countries using a variety of methods benchmarked against the EU. In part of the paper, we work with the concept of linear u0093Hysteresisu0094 as described by the presence of unit roots in unemployment. Since this is...

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

Volatility of interest rates in the euro area

Cassola, Nuno; Morana, Claudio - 2003

This paper estimates the factors underlying the volatility of the euro overnight interest rate and its transmission …'s operational framework for monetary policy implementation. Strong persistence is detected in all log-volatility processes and and …. the second factor explains the transmission of volatility along the money market yield curve. We find evidence that most …

Persistent link: https://www.econbiz.de/10009635972

Fiscal policy and inflation volatility

Rother, Philipp C. - 2004

Among the harmful effects of inflation, the negative consequences of inflation volatility are of particular concern … inflation volatility. Major results are robust for unconditional and conditional inflation volatility, the latter derived from …

Persistent link: https://www.econbiz.de/10009636540