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Real interest rate convergence among G7 countries : conference paper

Riedel, Jana - 2013

We analyze real interest rate convergence among six industrialized countries in between 1975M1-2011M3 within a multi-country framework by means of a dynamic latent factor model. The real interest rates are decomposed into permanent and transitory factors, and country-specific components....

Persistent link: https://www.econbiz.de/10010339303

Exchange rate and price dynamics at the zero lower bound : conference paper

Bäurle, Gregor; Kaufmann, Daniel - 2013

In this paper, we analyse nominal exchange rate and price dynamics after risk shocks with short-term interest rates … constrained by the zero lower bound (ZLB). We show with a stylized theoretical model that temporary risk shocks may lead to … the price level to a temporary risk shock are permanent. Our theoretical discussion shows that adopting a credible long …

Persistent link: https://www.econbiz.de/10010340556

What can break-even inflation rates tell us about the anchoring of inflation expectations in the Euro area? : conference paper

Lemke, Wolfgang; Strohsal, Till - 2013 - Preliminary

anchored during the financial crisis. Since autumn 2008, the volatility of BEIRs has increased considerably. We treat observed … illiquidity or demand-supply imbalances, but not reflecting genuine inflation expectations and inflation risk premia. We estimate …, measurement noise accounts for up to 30% of the increase in volatility of BEIRs. …

Persistent link: https://www.econbiz.de/10010341627

Long-run trends or short-run fluctuations : what establishes the correlation between oil and food prices? ; conference paper

Krätschell, Karoline; Schmidt, Torsten - 2013 - This version: July, 2012

In this paper we use the frequency domain Granger causality test of Breitung/Candelon (2006) to analyse short and long-run causality between energy prices and prices of food commodities. We find that the oil price Granger causes all the considered food prices. However, when controlling for...

Persistent link: https://www.econbiz.de/10010341671

Sources of real exchange rate fluctuations : the role of supply shocks revisited ; conference paper

Gehrke, Britta; Yao, Fang - 2013 - This version: August 2013

This paper re-examines the role of real supply shocks in international business cycles. In contrast to previous studies, we extend the concept of supply shocks beyond the productivity shock towards labor supply shocks. Our analysis simultaneously identifies five real and nominal disturbances in...

Persistent link: https://www.econbiz.de/10010344601

Decomposing Beveridge curve dynamics by correlated unobserved components : the impact of labour market reforms in Germany ; conference paper

Klinger, Sabine; Weber, Enzo - 2014

Between 1979 and 2009, the German labour market moved along a Beveridge curve with changing slope that used to shift outwards but shifted inwards after severe labour market reforms had come into force. We analyse these dynamics and focus on the macroeconomic outcome of the reforms. For that...

Persistent link: https://www.econbiz.de/10010487258

The estimation uncertainty of permanent-transitory decompositions in co-integrated systems : conference paper

Schreiber, Sven - 2014 - This version: February 2014

The topic of this paper is the estimation uncertainty of the Stock-Watson and Gonzalo-Granger permanent-transitory decompositions in the framework of the co-integrated vector autoregression. We suggest an approach to construct the confidence interval of the transitory component estimate in a...

Persistent link: https://www.econbiz.de/10010489880

Confidence bands for impulse responses : Bonferroni versus Wald ; conference paper

Lütkepohl, Helmut; Staszewska-Bystrova, Anna; Winker, Peter - 2014

In impulse response analysis estimation uncertainty is typically displayed by constructing bands around estimated impulse response functions. These bands may be based on frequentist or Bayesian methods. If they are based on the joint distribution in the Bayesian framework or the joint asymptotic...

Persistent link: https://www.econbiz.de/10010490641

News media, common information, and sectoral comovement : conference paper

Buchen, Teresa - 2014

This paper investigates whether information complementarities can explain the strong patterns of sectoral comovement observed empirically. It tests the theoretical model by Veldkamp and Wolfers (2007), which suggests that firms' output decisions are based on aggregate information rather than...

Persistent link: https://www.econbiz.de/10010484401

Monitoring stationarity and cointegration : conference paper

Wagner, Martin; Wied, Dominik - 2014

We propose a monitoring procedure to detect a structural change from stationary to integrated behavior. When the procedure is applied to the errors of a relationship between integrated series it thus monitors a structural change from a cointegrating relationship to a spurious regression. The...

Persistent link: https://www.econbiz.de/10010484411