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on European Economics |
| By: | Daniela Mantovani (University of Cambridge and Prometeia); Fotis Papadopoulos (Athens University of Economics and Business); Holly Sutherland (ISER, University of Essex); Panos Tsakloglou (Athens University of Economics and Business and IZA Bonn) |
| Abstract: | This paper considers the effects on current pensioner incomes of reforms designed to improve the long-term sustainability of public pension systems in the European Union. We use EUROMOD to simulate a set of common illustrative reforms for four countries selected on the basis of their diverse pension systems and patterns of poverty among the elderly: Denmark, Germany, Italy and the UK. The variations in fiscal and distributive effects on the one hand suggest that different paths for reform are necessary in order to achieve common objectives across countries, and on the other provide indications of the appropriate directions for reform in each case. |
| Keywords: | pensions, European Union, microsimulation |
| JEL: | C81 I30 H55 |
| Date: | 2005–03 |
| URL: | http://d.repec.org/n?u=RePEc:iza:izadps:dp1537&r=eec |
| By: | D R Osborn; P J Perez; M Sensier |
| Abstract: | This paper empirically models the relationship between quarterly business cycle movements in the US and the other G7 countries, including an analysis of the US with a European (E15) aggregate. By using a nonlinear smooth transition vector autoregressive framework, the possibility of asymmetric business cycle linkages is explored. Statistical testing almost always rejects linearity, with the nonlinearity in the VAR generally associated with lagged annual US growth. To represent different types of possible business cycle linkages, three nonlinear VAR models are estimated for each country with the US, where these represent common business cycle regimes, US-led (but not common) regimes and country-specific (or idiosyncratic) regimes. In general, high annual US growth is found to lead to a distinct business cycle regime in other G7 countries compared with average or low US growth. Tests indicate that quarterly US growth patterns are important for other countries primarily in the lower regime, with domestic autoregressive lags then sometimes insignificant. |
| Date: | 2005 |
| URL: | http://d.repec.org/n?u=RePEc:man:cgbcrp:50&r=eec |
| By: | Stephane Dees; Filippo di Mauro; M. Hashem Pesaran; L. Vanessa Smith |
| Abstract: | This paper presents a global model linking individual country vector error-correcting models in which the domestic variables are related to the country-specific variables as an approximate solution to a global common factor model. This global VAR is estimated for 26 countries, the euro area being treated as a single economy. This paper proposes two important extensions of previous research (see Pesaran, Schuermann and Weiner, 2004). First, it provides a theoretical framework where the GVAR is derived as an approximation to a global unobserved common factor model. Also using average pair-wise cross-section error correlations, the GVAR approach is shown to be quite effective in dealing with the common factor interdependencies and international comovements of business cycles. Second, in addition to generalised impulse response functions, we propose an identification scheme to derive structural impulse responses. We focus on identification of shocks to the US economy, particularly the monetary policy shocks, and consider the time profiles of their effects on the euro area. To this end we include the US model as the first country model and consider alternative orderings of the US variables. Further to the US monetary policy shock, we also consider oil price, US equity and US real output shocks. |
| Keywords: | Global VAR (GVAR), Global interdependencies, global macroeconomic modeling, impulse responses |
| JEL: | C32 E17 F47 |
| Date: | 2004–12 |
| URL: | http://d.repec.org/n?u=RePEc:scp:wpaper:04-6&r=eec |
| By: | Carlos M. Fernández-Otheo; Rafael Myro |
| URL: | http://d.repec.org/n?u=RePEc:fda:fdadef:04-03&r=eec |
| By: | Ebersberger, Bernd (Technology Analysis & Innovation Strategies, Fraunhofer Institute for Systems and Innovation); Lööf, Hans (CESIS - Centre of Excellence for Science and Innovation Studies, Royal Institute of Technology) |
| Abstract: | This paper addresses the involvement of foreign companies in domestic economies; the relative engagement of foreign-owned companies in R&D-activities; the relative embeddedness in various national innovation systems and the relative output performance from R&D and innovation. A comparison is made between the innovation and productivity of foreign owned enterprises, of different corporate styles, (Nordic, Anglo-Saxon and Continental European) and the different corporate structures of domestically owned firms (multinational and uninational). Using 5 186 firm level observations from Denmark, Finland, Norway and Sweden, and based on the international harmonized Community Innovation Survey and uniform econometric approaches; the study confirms previous findings, presents new results and identifies country, corporate style and corporate governance differences. Some new lights is also shed on a seemingly paradoxical relationship between R&D and innovation, and between R&D and productivity. |
| Keywords: | Multinational enterprises; Take-Over; Corporate governance; Cross-country comparison; Spillovers; R&D; Innovation; Productivity |
| JEL: | C31 D21 F23 G34 L22 O31 O33 |
| Date: | 2005–03–18 |
| URL: | http://d.repec.org/n?u=RePEc:hhs:cesisp:0027&r=eec |
| By: | Boeri, Tito (Bocconi University, CEPR and IZA Bonn); Brandolini, Andrea (Bank of Italy) |
| Abstract: | In the Italian public debate growing attention has been recently paid to “household impoverishment”. Subjective indicators of economic condition show that this concern reflects a common sentiment of the Italian population. On the other hand, estimates based on the Bank of Italy’s Survey of Household Income and Wealth reveal a surprising stability of income distribution in the period 1993-2002, after the sharp widening amid the 1991-92 recession. A number of possible reasons that can account for this apparent inconsistency are investigated: data deficiencies; disappointed expectations; significant distributive changes across socio-economic groups which have cancelled out at the aggregate level; higher income mobility not captured by static inequality indices. |
| Keywords: | household confidence, income inequality, poverty, income mobility |
| JEL: | D31 I3 |
| Date: | 2005–03 |
| URL: | http://d.repec.org/n?u=RePEc:iza:izadps:dp1530&r=eec |
| By: | Armin Falk (IZA Bonn and University of Bonn); Josef Zweimüller (University of Zurich and IZA Bonn) |
| Abstract: | Right-wing extremism is a serious problem in many societies. A prominent hypothesis states that unemployment plays a crucial role for the occurrence of right-wing extremist crime. In this paper we empirically test this hypothesis. We use a previously not used data set which includes all officially recorded right-wing criminal acts in Germany. These data are recorded by the German Federal Criminal Police Office on a monthly and state level basis. Our main finding is that there is in fact a significant positive relation between unemployment and rightwing criminal activities. We show further that the big difference in right-wing crime between East and West German states can mostly be attributed to differences in unemployment. This finding reinforces the importance of unemployment as an explanatory factor for right-wing crime and questions explanations based solely on the different socialization in former communist East Germany and the liberal West German states. Our data further allow us to separate violent from non-violent right-wing crimes. We show that unemployment is closely related to both types of crimes, but that the association with non-violent crimes is much stronger. Since right-wing crime is committed particularly by relatively young males, we also explore whether the youth unemployment rate is a better predictor for right-wing crime than total unemployment. This hypothesis can be rejected: given total unemployment, a higher share of youth unemployment does not affect right-wing extremist crime rates. |
| Keywords: | hate crime, right-wing extremism, unemployment, cost of unemployment |
| JEL: | K14 J60 J15 |
| Date: | 2005–03 |
| URL: | http://d.repec.org/n?u=RePEc:iza:izadps:dp1540&r=eec |
| By: | Nicholas Apergis (University of Macedonia, Greece); Stephen M. Miller (University of Connecticut and University of Nevada, Las Vegas); Alexandros Panethimitakis (University of Athens); Athanassios Vamvakidis (International Monetary Fund) |
| Abstract: | This paper evaluates inflation targeting and assesses its merits by comparing alternative targets in a macroeconomic model. We use European aggregate data to evaluate the performance of alternative policy rules under alternative inflation targets in terms of output losses. We employ two major alternative policy rules, forward-looking and spontaneous adjustment, and three alternative inflation targets, zero percent, two percent, and four percent inflation rates. The simulation findings suggest that forward-looking rules contributed to macroeconomic stability and increase monetary policy credibility. The superiority of a positive inflation target, in terms of output losses, emerges for the aggregate data. The same methodology, when applied to individual countries, however, suggests that country-specific flexible inflation targeting can improve employment prospects in Europe. |
| JEL: | E31 E32 E37 E52 |
| Date: | 2005–03 |
| URL: | http://d.repec.org/n?u=RePEc:uct:uconnp:2005-06&r=eec |
| By: | Cécile Carpentier; Jean-Marc Suret |
| Abstract: | Most countries have set up structures and programs for new business creation and financing. We analyze strategies implemented in France, Germany and United Kingdom, where the proportion of government funds in venture capital financing is significantly smaller than in the Quebec, yet the rate of creation and growth of tech start-ups is comparable. In these countries, intervention is based on R&D, transfer, incubation and start-up, in high technology industries exclusively. Except in France, universities are pivotal to new business creation. Internal or subordinated divisions of ministries are created to manage and evaluate governmental programs, define priorities and avoid financing non-crucial industries. Often of limited duration, government programs must abide by rigorous performance and accreditation criteria. Tax incentives are generally not associated with these initiatives. <P>La plupart des pays ont instauré des institutions et des mécanismes dédiés à la création de nouvelles entreprises et au financement de leur croissance. Nous analysons les stratégies mises en place par la France, l’Allemagne et le Royaume-Uni. Dans ces pays, la part de l’État dans le financement par capital de risque est significativement inférieure à celle du Québec sans que la performance en termes de création et de croissance d’entreprises technologiques ne semble inférieure. Ces pays ont privilégié une action ciblée, axée sur les stades de R&D, transfert, incubation et démarrage, clairement restreinte aux technologies. Les universités sont, à l’exception de la France, au centre de l’effort de création de nouveaux projets d’entreprises. Des structures internes ou directement subordonnées aux ministères sont mises en place pour gérer et évaluer les programmes, établir les priorités et éviter les dérapages vers des secteurs en demande de fonds mais non prioritaires. Les programmes, dont la durée de vie est souvent limitée, sont très largement soumis à des critères de performance et d’accréditation rigoureux. Les modes d’intervention autres que les déductions fiscales sont privilégiés. |
| Keywords: | small business, public policy, business creation, financing, start-ups, petite entreprise, politiques publiques, création d'entreprises, financement, Europe |
| Date: | 2005–03–01 |
| URL: | http://d.repec.org/n?u=RePEc:cir:cirwor:2005s-12&r=eec |
| By: | Rebeca Albacete; Antoni Espasa |
| Abstract: | Economic agents and financial authorities require frequent updates to a path of accurate inflation forecasts and need forecasts to include an explanation of the factors by which they are determined. This paper studies how to approach this need, developing a method for analysing inflation in the euro area, measured according to HICP. Time series models using the most recent information on prices and an important functional and geographically disaggregation can provide monthly forecasts which are reasonably accurate, but they do not provide an explanation of the factors by which the forecast is determined. In this respect, it is important to enlarge the data set used considering explanatory variables and build congruent econometric models including variables which, following previous works by D. Hendry, capture disequilibria on different markets, goods and services, labour, monetary and international. The final result of this work shows that combining the forecasts from a monthly time series vector model, constructed on price subindexes from a disaggregation of the HICP by countries and sectors, with the forecasts derived from a quarterly econometric vector model on aggregate inflation and other economic variables, very accurate forecasts are obtained. Both vector models are specified including empirical cointegration restrictions, which in the first case capture the constrains necessary present between the trends of the price subindexes and in the second approximate the long-run restrictions postulated by economic theory. |
| Date: | 2005–01 |
| URL: | http://d.repec.org/n?u=RePEc:cte:wsrepe:ws050401&r=eec |
| By: | Aleš Bulíř; Kateřina Šmídková |
| Abstract: | Estimation and simulation of sustainable real exchange rates in some of the new EU accession countries point to potential difficulties in sustaining the ERM2 regime if entered too soon and with weak policies. According to the estimates, the Czech, Hungarian, and Polish currencies were overvalued in 2003. Simulations, conditional on large-model macroeconomic projections, suggest that under current policies those currencies would be unlikely to stay within the ERM2 stability corridor during 2004-2010. In-sample simulations for Greece, Portugal, and Spain indicate both a much smaller misalignment of national currencies prior to ERM2, and a more stable path of real exchange rates over the medium term than can be expected for the new accession countries. |
| Keywords: | ERM2, Foreign direct investment, Sustainable real exchange rates. |
| JEL: | F31 F33 F36 F47 |
| Date: | 2004–12 |
| URL: | http://d.repec.org/n?u=RePEc:cnb:wpaper:10/2004&r=eec |
| By: | Ian Babetskii |
| Abstract: | There are two opposite points of view on the link between economic integration and business cycle synchronization. De Grauwe (1997) classifies these competing views as “The European Commission View” and “The Krugman View”. According to the European Commission (1990), closer integration leads to less frequent asymmetric shocks and to more synchronized business cycles between countries. On the other hand, for Krugman (1993) closer integration implies higher specialization and, thus, higher risks of idiosyncratic shocks. Drawing on the evidence from a group of transition countries which have experienced a notable increase in trade openness and economic integration with the European Union during the past decade, this paper tries to determine whose argument is supported by the data. This is done by confronting estimated time-varying coefficients of supply and demand shock asymmetry with indicators of trade intensity and exchange rates. We find that (i) an increase in trade intensity leads to higher symmetry of demand shocks; the effect of integration on supply shock asymmetry varies from country to country; (ii) a decrease in exchange rate volatility has a positive effect on demand shock convergence. The results for demand shocks can be interpreted in favor of “The European Commission View”, also known as the endogeneity argument by Frankel and Rose (1998) in the OCA criteria discussion, according to which trade links reduce asymmetries between countries. Overall, our results support Kenen’s (2001) argument that the impact of trade integration on shock asymmetry depends on the type of shock. |
| Keywords: | EU enlargement, business cycle, trade, OCA (optimal currency area) |
| JEL: | E32 F30 F42 |
| URL: | http://d.repec.org/n?u=RePEc:cnb:wpaper:2/2004&r=eec |
| By: | Anca Pruteanu |
| Abstract: | With this work, we aim to enrich the knowledge about the monetary policy transmission mechanism in the Czech Republic with empirical evidence on the impact of monetary policy on bank lending. Using a panel of quarterly time series for Czech commercial banks for the period 1996–2001, we study the overall effect of monetary policy changes on the growth rate of loans and the characteristics of the supply of loans. The characterization of the credit market’s supply side allows us to make inferences on the operativeness of the credit channel (the bank lending channel and the broad credit channel) of the monetary transmission mechanism. We find that changes in monetary policy alter the growth rate of loans with considerably stronger magnitude in the period 1999–2001 than in the period 1996–1998. From the analysis intended to capture the characteristics of the supply of loans, we conclude that the lending channel was operative in the period 1996–1998: we find cross-sectional differences in the lending reactions to monetary policy shocks due to degree of capitalization and liquidity. For the subsequent period 1999– 2001, the results also show distributive effects of monetary policy due to bank size and a bank’s proportion of classified loans. In the context of steadily decreasing interest rates, this bolsters the supposition of credit rationing and hence that of an operative broad credit channel. At the same time, we find evidence of linear relationships between bank characteristics and the growth rate of loans, and again these relationships change between the two time periods. This bodes well with the changes in the structure and attitude towards lending of the Czech commercial banks. |
| Keywords: | Bank lending channel, broad credit channel, credit rationing, monetary transmission mechanism. |
| JEL: | E52 E51 E58 G21 |
| URL: | http://d.repec.org/n?u=RePEc:cnb:wpaper:3/2004&r=eec |
| By: | Martin Cincibuch; Jiri Podpiera |
| Abstract: | Using the simple arbitrage model, we decompose real appreciation in tradables in three Central European countries between the pricing-to-market component (disparity) and the local relative price component (substitution ratio). Appreciation is only partially explained by local relative prices. The rest is absorbed by disparity, depending on the size of the no-arbitrage band. The observed disparity fluctuates in a wider band for differentiated products than for a commodity like goods. |
| Keywords: | Purchasing power parity, pricing-to-market, transition, real appreciation, exchange rates |
| JEL: | F12 F15 |
| Date: | 2004–12 |
| URL: | http://d.repec.org/n?u=RePEc:cnb:wpaper:9/2004&r=eec |