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DIW Discussion Papers 937 / 2009
The paper scrutinizes the role of wages and capital flows for competitiveness in the new EU member states in the context of real convergence. For this purpose it extends the seminal Balassa-Samuelson model by international capital markets. The augmented Balassa-Samuelson model is linked to the monetary overinvestment theories of Wicksell and Hayek in order to trace cyclical deviations of real exchange ...
2009| Ansgar Belke, Gunther Schnabl, Holger Zemanek
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DIW Discussion Papers 933 / 2009
Global liquidity expansion has been very dynamic since 2001. Contrary to conventional wisdom, high money growth rates have not coincided with a concurrent rise in goods prices. At the same time, however, asset prices have increased sharply, significantly outpacing the subdued development in consumer prices. We investigate the interactions between money and goods and asset prices at the global level. ...
2009| Ansgar Belke, Walter Orth, Ralph Setzer
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DIW Discussion Papers 932 / 2009
This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as the US over the period 1973-2008. We carry out the analysis on both sectors and individual industries within sectors. As a first step, we use the Stock and ...
2009| Guglielmo Maria Caporale, Burcu Erdogan, Vladimir Kuzin
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DIW Discussion Papers 922 / 2009
We analyze the importance of global shocks for the global economy and national policy makers. More specifically, we investigate whether monetary policy has become less effective in the wake of financial globalization. We also examine whether there is increasing uncertainty for central banks due to globalization-driven changes in the national economic structure. A FAVAR framework is applied to derive ...
2009| Ansgar Belke, Andreas Rees
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DIW Discussion Papers 917 / 2009
We assess the differences that emerge in Taylor rule estimations for the ECB when using ex-post data instead of real time forecasts and vice versa. We argue that previous comparative studies in this field mixed up two separate effects. First, the differences resulting from the use of ex-post and real time data per se and, second, the differences emerging from the use of non-modified real time data ...
2009| Ansgar Belke, Jens Klose
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DIW Discussion Papers 915 / 2009
This paper quantifies the impact of incentives related to potential membership on institutional change as measured by the World Bank Governance Indicators (WBGI). Based on a panel of 25 transition countries for the period from 1996 to 2008 we show that pre-accession incentives provided by EU and NATO clearly matter for institutional development. In addition, path-dependency determined by cultural norms ...
2009| Ansgar Belke, Ingo Bordon, Inna Melnykovska, Rainer Schweickert
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DIW Discussion Papers 912 / 2009
The effects of inter-government fiscal arrangements on variation in regional economic growth are analyzed for Russia, a country with large cross-regional differences and considerable fiscal redistribution. Moreover, fiscal reforms implemented in the first half of 2000s, which followed to some extent scientific advice, make analysis of this case particularly interesting. We observe that post-reform ...
2009| Lev Freinkman, Konstantin A. Kholodilin, Ulrich Thießen
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DIW Discussion Papers 911 / 2009
The purpose of this contribution is to illustrate the mechanism by which higher oil prices might lead to lower interest rates in the context of a simple model that takes into account the global external savings equilibrium. The simple model has interesting implications for how one views the huge US current account deficit and how the emergence of China's savings surplus and oil supply shocks impact ...
2009| Ansgar Belke, Daniel Gros
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DIW Discussion Papers 909 / 2009
This paper estimates a time-varying AR-GARCH model of inflation producing measures of inflation uncertainty for the euro area, and investigates the linkages between them in a VAR framework, also allowing for the possible impact of the policy regime change associated with the start of EMU in 1999. The main findings are as follows. Steady-state inflation and inflation uncertainty have declined steadily ...
2009| Guglielmo Maria Caporale, Luca Onorante, Paolo Paesani
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DIW Discussion Papers 906 / 2009
This study assesses the relative performance of Greek equity funds employing a non-parametric method, specifically Data Envelopment Analysis (DEA). Using an original sample of cost and operational attributes we explore the effect of each variable on funds' operational efficiency for an oligopolistic and bank-dominated fund industry. Our results have significant implications for the investors' fund ...
2009| Vassilios Babalos, Guglielmo Maria Caporale, Nikolaos Philippas