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Thema Geldpolitik

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422 Ergebnisse, ab 411
DIW Wochenbericht 50 / 2013

Zinskartelle, Währungskartelle... und was kommt noch? Kommentar

2013| Dorothea Schäfer
Externe referierte Aufsätze

The Global Dimension of Inflation: Evidence from Factor-Augmented Phillips Curve

We examine the global dimension of inflation in 24 OECD countries between 1980 and 2007 in a Phillips curve framework. We decompose output gaps and changes in unit labour costs into common (or global) and idiosyncratic components using a factor analysis and introduce these components separately in the regression. We find that the common component of changes in unit labour costs has a notable impact ...

In: Oxford Bulletin of Economics and Statistics 75 (2013), 1, S. 103-122 | Sandra Eickmeier, Katharina Pijnenburg
Diskussionspapiere 1339 / 2013

Fiscal Adjustment and Business Cycle Synchronization

Using a panel of annual data for 20 countries we show that synchronized fiscal consolidation (stimulus) programmes in different countries make their business cycles more closely linked, especially in the case of fiscal adjustments lasting 2 or 3 years. We also find: (i) little evidence of decoupling when an inflation targeting regime is unilaterally adopted; (ii) an increase in business cycle synchronization ...

2013| Luca Agnello, Guglielmo Maria Caporale, Ricardo M. Sousa
Diskussionspapiere 1288 / 2013

The PPP Hypothesis Revisited: Evidence Using a Multivariate Long-Memory Model

This paper examines the PPP hypothesis analysing the behaviour of the real exchange rates vis-à-vis the US dollar for four major currencies (namely, the Canadian dollar, the euro, the Japanese yen and the British pound). An innovative approach based on fractional integration in a multivariate context is applied to annual data from 1970 to 2011. Long memory is found to characterise the Canadian dollar, ...

2013| Guglielmo Maria Caporale, Luis A. Gil-Alana, Yuliya Lovcha
Externe referierte Aufsätze

Current Account Imbalances in the Euro Area: Does Catching up Explain the Development?

In the debate on global imbalances, the euro area countries received inreasing attention since the outbreak of the financial crisis. While the current account is on balance for the entire area, divergences between individual member states have increased since the introduction of the common currency and are part of the excessive imbalances procedure. This paper explores the determinants of the imbalances ...

In: Review of International Economics 21 (2013), 1, S. 6-17 | Ansgar Belke, Christian Dreger
Diskussionspapiere 1221 / 2012

Monetary Commitment and Structural Reforms: A Dynamic Panel Analysis for Transition Economies

This paper examines the contemporaneous relationship between the exchange rate regime and structural economic reforms for a sample of CEEC/CIS transition countries. We investigate empirically whether structural reforms are complements or substitutes for monetary commitment in the attempt to improve macroeconomic performance. Both EBRD and EFW data suggest a negative relationship between flexible exchange ...

2012| Ansgar Belke, Lukas Vogel
Diskussionspapiere 1255 / 2012

Persistence and Cycles in the US Federal Funds Rate

This paper uses long-range dependence techniques to analyse two important features of the US Federal Funds effective rate, namely its persistence and cyclical behaviour. It examines annual, monthly, bi-weekly and weekly data, from 1954 until 2010. Two models are considered. One is based on an I(d) specification with AR(2) disturbances and the other on two fractional differencing structures, one at ...

2012| Guglielmo Maria Caporale, Luis A. Gil-Alana
Externe referierte Aufsätze

Sovereign Bond Yield Spreads: A Time-Varying Coefficient Approach

We study the determinants of sovereign bond yield spreads across 10 EMU countries between Q1/1999 and Q1/2010. We apply a semiparametric time-varying coefficient model to identify, to what extent an observed change in the yield spread is due to a shift in macroeconomic fundamentals or due to altering risk pricing. We find that at the beginning of EMU, the government debt level and the general investors' ...

In: Journal of International Money and Finance 31 (2012), 3, S. 639-656 | Burcu Erdogan, Kerstin Bernoth
422 Ergebnisse, ab 411