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278 Ergebnisse, ab 231
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
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
DIW Roundup 60 / 2015

Central Bank Asset Puchases I: The Theory

In the face of interest rates having hit their zero lower bound in major economies, large-scale asset purchases have become an important weapon of central banks in recent years. It is, however, not clear whether and under which circumstances such policy measures produce the desired effects. This round-up provides a selective overview of theoretical research that has been devoted to understand under ...

2015| Carolin Raab, Philipp König, Kerstin Bernoth
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 1199 / 2012

Effects of Global Liquidity on Commodity and Food Prices

This paper investigates the relationship between global liquidity and commodity and food prices applying a global cointegrated vector-autoregressive model. We use different measures of global liquidity and various indices of commodity and food prices for the period 1980-2011. Our results support the hypothesis that there is a positive long-run relation between global liquidity and the development of ...

2012| Ansgar Belke, Ingo G. Bordon, Ulrich Volz
Video

Nachgeforscht : bei Kerstin Bernoth zum EZB-Anleihekaufprogramm

Auf ihrer Ratssitzung im Januar beschloss die Europäische Zentralbank (EZB) ein umfassendes Ankaufprogramm für Anleihen, insbesondere Staatsanleihen. Die Käufe sollen dazu dienen, die Inflationsrate und die Inflationserwartungen wieder bei knapp unter zwei Prozent zu verankern.Ob und unter welchen Bedingungen dies gelingen kann, erläutert Kerstin Bernoth im "Nachgeforscht"...

25.03.2015| Nachgeforscht
Externe referierte Aufsätze

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. ...

In: International Economics and Economic Policy 12 (2015), 1, S. 143-161 | Ansgar Belke, Christian Dreger
DIW Roundup 75 / 2015

Monetary Policy and the Risk-Taking Channel

Before the 2007 crisis, the trade-off between output and inflation played a leading role in the discussion of monetary policy. Instead, issues relating to financial stability played a less pronounced role in shaping the stance of monetary policy andwere limited to asset price dynamics. This Round-Up argues that the great interest that emerged after the 2007 crisis in the effects of monetary policy ...

2015| Michele Piffer
Diskussionspapiere 1496 / 2015

The Real-Time Predictive Content of Asset Price Bubbles for Macro Forecasts

This paper contributes to the debate of whether central banks can "lean against the wind" of emerging stock or house price bubbles. Against this background, the paper evaluates if new advances in real-time bubble detection, as brought forward by Phillips et al. (2011), can timely detect bubble emergences and collapses. Building on simulations, the paper shows that the detection capabilities of all ...

2015| Benjamin Beckers
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