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International policy transmissions before and after establishing a monetary union
Rumler, Fabio - 1999
This paper analyzes the effects of the implementation of a monetary union on the international transmission of monetary and fiscal policies. A dynamic three-country general equilibrium model, exhibiting monopolistic competition and sticky prices, is used to show how asymmetric monetary and...
Persistent link: https://www.econbiz.de/10010291919
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Output gaps in European Monetary Union: New insights from input augmentation in the technological progress
Dimitz, Maria Antoinette - 2001
Output gaps for ten European countries and the USA are estimated based on a CES production function with input augmentation in the technological progress. The substitution parameter is estimated from the coefficients of the labor and capital demand functions. The estimation is done using...
Persistent link: https://www.econbiz.de/10010292745
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Financial structure and its impact on the convergence of interest rate pass-through in Europe: A time-varying interest rate pass-through model
Schwarzbauer, Wolfgang - 2006
So far studies concerned with the interest pass-through of monetary policy have not taken into account one central issue that arose in Europe in the late 1990s: the importance of financial structure for the convergence of monetary transmission. This study addresses this shortcoming. We estimate...
Persistent link: https://www.econbiz.de/10010293728
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Testing for Parameter Stability in DSGE Models. The Cases of France, Germany, Italy, and Spain
Jerger, Jürgen; Röhe, Oke - 2012
structural breaks after the beginning of the second stage of EMU in the mid-nineties, while the estimates for Spain show a …
Persistent link: https://www.econbiz.de/10010294717
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Structural Breaks in Inflation Dynamics within the European Monetary Union
Windberger, Thomas; Zeileis, Achim - 2011
To assess the effects of the EMU on inflation rate dynamics of its member states, the inflation rate series for 21 …
Persistent link: https://www.econbiz.de/10010294763
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Performance-sensitive government bonds - A new proposal for sustainable sovereign debt management
Bank, Matthias; Kupfer, Alexander; Sendlhofer, Rupert - 2011
problems within the EMU are not only missing the right incentives but also setting the wrong ones. In contrast to current …
Persistent link: https://www.econbiz.de/10010294841
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Estimating Exchange Rate Dynamics with Diffusion Processes: An Application to Greek EMU Data
Wilfling, Bernd; Trede, Mark - 2004
processes which have to be estimated by discretely sampled observations. Using daily exchange rate data prior to the Greek EMU … increased central bank intervention activities in the run-up to the Greek EMU entrance. Thus the modelling and estimation …
Persistent link: https://www.econbiz.de/10010295399
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Since when have FOREX markets incorporated EMU into currency pricing? Evidence from four exchange rate series
Wilfling, Bernd - 2001
-switching GARCH model this paper estimates the volatility processes of four EMU exchange rate returns vis-?-vis the German mark using … daily data for the time prior to Stage III of EMU. Statistical inference yields the dates at which financial markets began … to incorporate the expected EMU participation of each country into currency pricing. The data exhibits strong econometric …
Persistent link: https://www.econbiz.de/10010295594
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Expected budget deficits and interest rate swap spreads - Evidence for France, Germany and Italy
Heppke-Falk, Kirsten H.; Hüfner, Felix P. - 2004
This study analyses whether expected budget deficits have an impact on interest rate swap spreads in France, Germany and Italy. We use monthly deficit forecasts from financial market participants to take the forward-looking behaviour of financial markets into account. Results of a SUR estimation...
Persistent link: https://www.econbiz.de/10010295667
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Comovements and heterogeneity in the Comovements and heterogeneity in the dynamic factor model
Eickmeier, Sandra - 2006
transmission to individual EMU countries. Our most important findings are the following. EMU countries share five common trends … 1999 on and of inflation in the mid-1980s and the mid-1990s. To examine the transmission of common shocks to individual EMU …
Persistent link: https://www.econbiz.de/10010295820