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The paper provides new evidence on the causal relationship between money and price for the euro area using quarterly data for the period 1980 to 2006, employing two alternative methods of estimation: the vector error correction (VEC) and time-varying coefficient (TVC) estimation techniques. The...
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This paper uses data for Australia, the United States, Japan and the euro area to examine the relative performance of the headline CPI, exclusion-based 'cores', and trimmed means as measures of underlying inflation. Overall, we find that trimmed means tend to outperform headline and exclusion...
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We build a factor-augmented interacted panel vector-autoregressive model of the Euro Area (EA) and estimate it with Bayesian methods to compute government spending multipliers. The multipliers are contingent on the overall monetary policy stance, captured by a shadow monetary policy rate. In the...
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We show that negative monetary policy rates induce systemic banks to reach-for-yield. For identification, we exploit … the introduction of negative deposit rates by the European Central Bank in June 2014 and a novel securities register for … the 26 largest euro area banking groups. Banks with more customer deposits are negatively affected by negative rates, as …
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