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Determinants of inflation and price level differentials across the euro area countries
Andersson, Malin; Masuch, Klaus; Schiffbauer, Marc - 2009
This paper analyses the determinants of inflation differentials and price levels across the euro area countries …. Dynamic panel estimations for the period 1999-2006 show that inflation differentials are primarily determined by cyclical … positions and inflation persistence. The persistence in inflation differentials appears to be partly explained by administered …
Persistent link: https://www.econbiz.de/10003969278
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Determinants of inflation and price level differentials across the euro area countries
Andersson, Malin; Masuch, Klaus; Schiffbauer, Marc - 2009
This paper analyses the determinants of inflation differentials and price levels across the euro area countries …. Dynamic panel estimations for the period 1999-2006 show that inflation differentials are primarily determined by cyclical … positions and inflation persistence. The persistence in inflation differentials appears to be partly explained by administered …
Persistent link: https://www.econbiz.de/10011605175
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Convergence of Interest Rate Pass-Through in a Wider Euro Zone?
Sander, Harald; Kleimeier, Stefanie - 2006
This study investigates interest rate pass-through convergence for the eight Central and Eastern European countries (CEECs) that joined the European Union. Based on a unifying empirical pass-through model that allows for thresholds, asymmetric adjustment, and structural changes, we find that the...
Persistent link: https://www.econbiz.de/10014053877
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Catching-up and Inflation in Europe : Balassa-Samuelson, Engel's Law and Other Culprits
Égert, Balázs - 2010
This study analyses the impact of economic catching-up on annual inflation rates in the European Union with a special … Balassa-Samuelson effect is not an important driver of inflation rates. By contrast, we find that the initial price level and … regulated prices strongly affect inflation outcomes in a nonlinear manner and that the extension of Engel’s Law may hold during …
Persistent link: https://www.econbiz.de/10012444720
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Real Effects of Sovereign Bond Market Spillovers in the Euro Area
Gadatsch, Niklas - 2016
This paper develops a small open economy model to investigate the impact of rising sovereign bond market spreads on the real economy. One key element of the model is a “sovereign risk channel” through which tensions in the sovereign bond market tend to spill over into private credit markets....
Persistent link: https://www.econbiz.de/10012985874
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Frequency-Domain Analysis of Debt Service in a Macro-Finance Model for the Euro Area
Renne, Jean-Paul - 2010
activity, those associated with inflation-linked bonds and short-term nominal bonds tend to be pro-cyclical …
Persistent link: https://www.econbiz.de/10014193937
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Real Convergence, Price Level Convergence and Inflation Differentials in Europe
Égert, Balázs - 2021
root of different inflation rates in Europe including the EU-27. Among others, we study the structural and cyclical factors … descriptive statistics. Subsequently, we set out the possible mismatches between price level convergence and inflation rates … factors on observed inflation rates first in an accounting framework and then by relying on panel estimations. Our estimation …
Persistent link: https://www.econbiz.de/10013316808
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With a little help from my friends : survey-based derivation of euro area short rate expectations at the effective lower bound
Geiger, Felix; Schupp, Fabian - 2018
The estimation of dynamic term structure models (DTSMs) turns out to be challenging in the presence of a small sample. It is exacerbated if the sample is characterized by a prolonged period of low interest rates near a time-varying effective lower bound. These challenges all weigh heavily when...
Persistent link: https://www.econbiz.de/10011888340
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With a Little Help from My Friends : Survey-Based Derivation of Euro Area Short Rate Expectations at the Effective Lower Bound
Geiger, Felix - 2019
The estimation of dynamic term structure models (DTSMs) turns out to be challenging in the presence of a small sample. It is exacerbated if the sample is characterized by a prolonged period of low interest rates near a time-varying effective lower bound. These challenges all weigh heavily when...
Persistent link: https://www.econbiz.de/10012898391
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Can Interest Rate Spreads Stabilize the Euro Area?
Brzoza-Brzezina, Michal - 2015
Since the creation of the euro area significant interest rate spreads have arisen between Euro area countries, both for public and private debt. We check whether these spreads could be made to work towards the goal of providing more stability to the Euro area. In particular we focus on reducing...
Persistent link: https://www.econbiz.de/10013017357