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Diskussionspapiere 819 / 2008
The real interest partity (RIP) condition combines two cornerstones in international finance, uncovered interest parity (UIP) and ex ante purchasing power parity (PPP). The extent of deviation from RIP is therefore an indicator of the lack of product and financial market integration. This paper investigates whether the nominal exchange rate regime has an impact on RIP. The analysis is based on 15 annual ...
2008| Christian Dreger
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Diskussionspapiere 842 / 2008
2008| Patricia Alvarez-Plata, Alicia Garcia-Herrero
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Other refereed essays
In:
International Economics and Economic Policy
5 (2008), 3, S. 269-295
| Sebastian Dullien, Ulrich Fritsche
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FINESS Working Papers 7.1b / 2008
Monetary growth in the euro area has exceeded its target since several years. At the same time, the money demand function seems to be increasingly unstable if more recent data are used. If the link between money balances and the macroeconomy is fragile, the rationale of monetary aggregates in the ECB strategy has to be doubted. In fact, a rise in the income elasticity after 2001 can be observed, and ...
2008| Christian Dreger, Jürgen Wolters
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FINESS Working Papers 7.1a / 2008
Money growth in the euro area has exceeded its target since 2001. Likewise, recent empirical studies did not find evidence in favour of a stable long run money demand function. The equation appears to be increasingly unstable if more recent data are used. If the link between money balances and the macroeconomy is fragile, the rationale of monetary aggregates in the ECB strategy has to be doubted. In ...
2008| Christian Dreger, Jürgen Wolters
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FINESS Working Papers 1.1c / 2008
The real interest partity (RIP) condition combines two cornerstones in international finance, uncovered interest parity (UIP) and ex ante purchasing power parity (PPP). The extent of deviation from RIP is therefore an indicator of the lack of product and financial market integration. This paper investigates whether the nominal exchange rate regime has an impact on RIP. The analysis is based on 15 annual ...
2008| Christian Dreger
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Refereed essays Web of Science
We estimate the Sticky Information Phillips Curve model of Mankiw and Reis (2002) using survey expectations of professional forecasters from four major European economies. Our estimates imply that inflation expectations in France, Germany, and the United Kingdom are updated about once a year, while in Italy, about once each 6 months.
In:
Journal of Money, Credit and Banking
40 (2008), 7, S. 1513-1519
| Jörg Döpke, Jonas Dovern, Ulrich Fritsche, Jiri Slacalek
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Diskussionspapiere 703 / 2007
This study develops a parsimonious stable coefficient money demand model for Latvia for the period from 1996 till 2005. A single cointegrating vector between the real money balances, the gross domestic product, the long-term interest rate, and the rate of inflation is found. Our study contributes to better understanding of the factors shaping the demand for money in the new Member States of the ...
2007| Boriss Siliverstovs
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Refereed essays Web of Science
Within a wide range of other economic and financial indicators, money is highly relevant to the two-pillar monetary strategy of the European Central Bank for detecting risks to price stability over the medium term. Money demand models are a natural benchmark for assessing monetary developments. The existence of a well-specified and stable relation between money and prices can be perceived as a prerequisite ...
In:
Eastern European Economics
45 (2007), 2, S. 75-94
| Christian Dreger, Hans-Eggert Reimers, Barbara Roffia
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Diskussionspapiere 667 / 2007
Inflation differentials in the Euro area are mainly due to a sustained divergence of wage developments across the Euro area, and narrower differences in labour productivity growth (Alvarez et al., 2006). We investigate convergence of inflation using unit labour cost (ULC) growth and applying PANIC (Bai and Ng, 2004) and cluster procedures (Hobijn and Franses, 2000, Busetti et al., 2006) to Euro area ...
2007| Ulrich Fritsche, Vladimir Kuzin