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Topic Monetary Policy

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543 results, from 461
  • FINESS Working Papers 7.1b / 2008

    Money Velocity and Asset Prices in the Euro Area

    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
  • Diskussionspapiere 795 / 2008

    M3 Money Demand and Excess Liquidity in the Euro Area

    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
  • Refereed essays Web of Science

    The Dynamics of European Inflation Expectations

    We investigate the relevance of Carroll's sticky information model of inflation expectations for four major European economies (France, Germany, Italy and the United Kingdom). In contrast to the most rational expectation models, households in the sticky information environment update their expectations occasionally rather than instantaneously due to the costs of acquiring and processing information. ...

    In: The B.E. Journal of Macroeconomics 8 (2008), 1, Article 12 | Jörg Döpke, Jonas Dovern, Ulrich Fritsche, Jiri Slacalek
  • Diskussionspapiere 819 / 2008

    Does the Nominal Exchange Rate Regime Affect the Real Interest Parity Condition?

    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
  • Diskussionspapiere 813 / 2008

    Money Velocity and Asset Prices in the Euro Area

    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
  • Diskussionspapiere 814 / 2008

    Assessing the Impact of the ECB's Monetary Policy on the Stock Markets: A Sectoral View

    This paper analyzes the response of the European stock markets to the monetary policy shocks by the European Central Bank using the heteroskedasticity based approach of Rigobon (2003). We find that monetary policy tightening has a heterogeneous impact on the Euro Area sectors on the day the monetary policy is publicly announced. Furthermore, we provide statistical evidence against the use of the popular ...

    2008| Konstantin A. Kholodilin, Alberto Montagnoli, Oreste Napolitano, Boriss Siliverstovs
  • Diskussionspapiere 667 / 2007

    Unit Labor Cost Growth Differentials in the Euro Area, Germany, and the US: Lessons from PANIC and Cluster Analysis

    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
  • Diskussionspapiere 660 / 2007

    The Store-of-Value-Function of Money as a Component of Household Risk Management

    We analyse how money as a store of value affects the decisions of a representative household under diversifiable and non-diversifiable risks given that the central bank successfully stabilizes the rate of inflation at a low level. Assuming exponential utility allows us to derive an explicit relationship between optimal money holdings, the household's desire to tilt, smooth and stabilize consumption ...

    2007| Ingrid Größl, Ulrich Fritsche
  • Diskussionspapiere 674 / 2007

    Does the Dispersion of Unit Labor Cost Dynamics in the EMU Imply Long-Run Divergence? Results from a Comparison with the United States of America and Germany

    Using unit labor cost (ULC) data from Euro area countries as well as US States and German Länder we investigate inflation convergence using different approaches, namely panel unit root tests, co-integration tests and error-correction models. All in all we cannot reject convergence of ULC growth in EMU, however, country-specific deviations from the rest of the currency union are more pronounced in Europe ...

    2007| Sebastian Dullien, Ulrich Fritsche
  • Diskussionspapiere 675 / 2007

    Money Demand in Estonia

    This study develops a parsimonious stable coefficient money demand model for Estonia for the period from 1995 till 2006. Using the Johansen Full Information Maximum Likelihood framework the two cointegrating vectors are found among the system variables including the real money balances, the gross domestic product, the long- and short-term interest rates, and the rate of inflation. The first cointegrating ...

    2007| Boriss Siliverstovs
543 results, from 461
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