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What are the spill-overs from fiscal shocks in Europe?
Giuliodori, Massimo; Beetsma, Roel - 2004
We use a Vector Auto Regression (VAR) analysis to explore the (spill-over) effects of fiscal policy shocks in Europe. To enhance comparability with the existing literature, we first analyse the effects of these shocks at the national level. Here, we employ identification based on Choleski...
Persistent link: https://www.econbiz.de/10009636548
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Inflation and relative price asymmetry
Ratfai, Attila - 2004
By placing store-level price data into bivariate Structural VAR models of inflation and relative price asymmetry, this …. Robustly to alternative definitions of the relative price, identification schemes dictated by two-sided (S,s) pricing theory … forecast error variance in inflation at the 12-month horizon. While the contemporaneous correlation between inflation and …
Persistent link: https://www.econbiz.de/10009636524
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Equilibrium unemployment, job flows and inflation dynamics
Trigari, Antonella - 2004
helps to explain the sluggishness of inflation and the persistence of output after a monetary policy shock. The ability of …In order to explain the joint fluctuations of output, inflation and the labor market, this paper first develops a … general equilibrium model that integrates a theory of equilibrium unemployment into a monetary model with nominal price …
Persistent link: https://www.econbiz.de/10009636527
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Implementing optimal control in cointegrated I(1) structural VAR models
Monti, Francesca V. - 2003
This paper examines the feasibility of implementing Linear Quadratic Gaussian (LQG) Control in structural cointegrated VAR models and sheds some light on the two major problems generated by such implementation. The first aspect to be taken into account is the effect of the presence of unit roots...
Persistent link: https://www.econbiz.de/10009635883
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Monetary policy analysis in a small open economy using Bayesian cointegrated structural VARs
Villani, Mattias; Warne, Anders - 2003
Structural VARs have been extensively used in empirical macroeconomics during the last two decades, particularly in analyses of monetary policy. Existing Bayesian procedures for structural VARs are at best confined to a severly limited handling of cointegration restrictions. This paper extends...
Persistent link: https://www.econbiz.de/10009636519
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Monetary policy shocks in the euro area and global liquidity spillovers
Sousa, João; Zaghini, Andrea - 2004
including a global liquidity aggregate. The impulse responses obtained show that a positive shock to extra-euro area liquidity …
Persistent link: https://www.econbiz.de/10009636532
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Identifying fiscal shocks and policy regimes in OECD countries
Arcangelis, Giuseppe de; Lamartina, Serena - 2003
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
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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
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A structural common factor approach to core inflation estimation and forecasting
Morana, Claudio - 2004
principal components estimator, suited to estimate systems of fractionally cointegrated processes. The proposed core inflation … measure is the scaled common persistent factor in inflation and excess nominal money growth and bears the interpretation of … monetary inflation. The proposed measure is characterised by all the properties that an u0093idealu0094 core inflation process …
Persistent link: https://www.econbiz.de/10009636528
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The impact of monetary union on trade prices
Anderton, Robert; Baldwin, Richard E.; Taglioni, Daria - 2003
formation of a monetary union may induce changes that help harmonise inflation rates. The effect might be large if the …
Persistent link: https://www.econbiz.de/10009635969