Thema Geldpolitik

The Transmission of Oil and Food Prices to Consumer Prices: Evidence for the MENA Countries

This paper investigates the effects of global oil and food price shocks to consumer prices in Middle East-North African (MENA) countries using threshold cointegration methods. Oil and food price shocks increase domestic prices in the long run, whereby the impact of food prices dominates. While global prices are weakly exogenous, consumer prices respond to deviations from the equilibrium relationship. ...

Sovereign Risk, Interbank Freezes, and Aggregate Fluctuations

This paper studies the bank-sovereign link in a dynamic stochastic general equilibrium set-up with strategic default on public debt. Heterogeneous banks give rise to an interbank market where government bonds are used as collateral. A default penalty arises from a breakdown of interbank intermediation that induces a credit crunch. Government borrowing under limited commitment is costly ex ante as bank ...

On the Relationship between Public and Private Investment in the Euro Area

This paper explores the long run relationship between public and private investment in the euro area in terms of capital stocks and gross investment flows. Panel techniques accounting for international spillovers are employed. While private and public capital stocks are cointegrated, the evidence is quite fragile for public and private investment flows. They enter a long run relationship only after ...

Sovereign Risk, Interbank Freezes, and Aggregate Fluctuations

This paper studies the bank-sovereign link in a dynamic stochastic general equilibrium set-up with strategic default on public debt. Heterogeneous banks give rise to an interbank market where government bonds are used as collateral. A default penalty arises from a breakdown of interbank intermediation that induces a credit crunch. Government borrowing under limited commitment is costly ex ante as bank ...

Inflationserwartungen im Euroraum sind nicht mehr fest verankert: neue Maßnahmen der EZB-Geldpolitik

Obwohl die Europäische Zentralbank (EZB) seit Jahren einen expansiv ausgerichteten geldpolitischen Kurs verfolgt, ist die Preisentwicklung im Euroraum nach wie vor äußerst schwach. Mehr noch: Wie der vorliegende Wochenbericht deutlich zeigt, sind die Inflationserwartungen im Euroraum nicht mehr ausreichend verankert. Sie entkoppeln sich zunehmend vom Inflationsziel der EZB. Damit steigt auch das Risiko, ...

Long Memory in UK Real GDP, 1851-2013: An ARFIMA-FIGARCH Analysis

This paper analyses the long-memory properties of both the conditional mean and variance of UK real GDP over the period 1851-2013 by estimating a multivariate ARFIMA-FIGARCH model (with the unemployment rate and inflation as explanatory variables). The results suggest that this series is non-stationary and non-mean-reverting, the null hypotheses of I(0), I(1) and I(2) being rejected in favour of fractional ...

Weak Inflation and Threat of Deflation in the Euro Area: Limits of Conventional Monetary Policy

Inflation in the euro area has been below the European Central Bank's target for almost a year now and it is also expected to remain at a very low level in the near future. On the one hand, such a low level of inflation is not in line with the ECB's objective. On the other hand, there is the risk that this situation will lead to a slide into deflation. In view of the ECB's historically low policy rates, ...

Unconventional Monetary Policy and Money Demand

This paper investigates the usefulness of the money demand relationship in times of unconventional monetary policies by cointegration methods. In contrast to the bulk of the literature, evidence in favour of a stable long run money demand function is presented both for the US and the euro area. Results are based on standard monetary aggregates, i.e. MZM for the US and M3 in case of the euro area. The ...

Schwache Preisentwicklung und Deflationsgefahr im Euroraum: Grenzen der konventionellen Geldpolitik

Die Inflationsrate im Euroraum liegt seit knapp einem Jahr unterhalb der von der Europäischen Zentralbank angestrebten Zielmarke und wird voraussichtlich auch in der kommenden Zeit auf einem sehr niedrigen Niveau verharren. Zum einen steht eine solch geringe Inflation nicht im Einklang mit der Zielsetzung der EZB, zum anderen besteht in dieser Situation die Gefahr, in eine Deflation abzurutschen. Angesichts ...

Gefahr einer Deflation ist durchaus real: Sieben Fragen an Kerstin Bernoth und Philipp König