|
on European Economics |
| By: | Marcello Pericoli (Bank of Italy, Economic Research Department) |
| Abstract: | This paper evaluates the use of risk-neutral probability density functions implied in 3-month interest-rate futures options to assess market perceptions regarding future monetary policy moves options allow the information content implied in simpler derivatives to be extended by providing indicators for asymmetry and extreme values. First, a cubic spline is implemented to evaluate the densities. Second, the methodology is applied to quotes on deposits denominated in US dollars, euros and sterling from January 1999 toMay 2004 results show that markets correctly forecast the monetary easing of 2001 in the United States in the course of the second half of 2000, but not in the euro area and the United Kingdom. The evidence for the tightening cycle of 1999 is mixed: markets expected an increase in euro area policy rates at the beginning of 1999 expectations were less clear for the United States’ interest-rate increases. In the case of the United Kingdom the increase was not foreseen. |
| Keywords: | risk-neutral density, cubic spline, monetary policy, interest-rate futures options |
| JEL: | C52 E58 G13 G14 G15 |
| Date: | 2005–02 |
| URL: | http://d.repec.org/n?u=RePEc:bdi:wptemi:td_545_05&r=eec |
| By: | Andrea Nobili (Bank of Italy, Economic Research Department) |
| Abstract: | This paper deals with the usefulness of several measures of financial spreads (the slope of the yield curve, the reverse yield gap, the credit quality spread) for fore-casting real economic activity and inflation in the euro area. A quarterly Bayesian vector autoregression model is used to assess the marginal forecasting power of fi-nancial spreads for real economic activity and inflation. A benchmark BVAR is set up, containing real GDP, inflation and key indicators of monetary policy and foreign macroeconomic variables. The properties of the spreads as leading indicator are then assessed by augmenting the benchmark BVAR with the spreads, one at a time. We find that financial spreads have no or negligible marginal predictive con-tent for either target variable. Overall, there is no ready-to-use financial indicator that can replace an encompassing multivariate model for the prediction of target variables in the euro area. |
| Keywords: | financial spreads, bayesian VAR models, bayesian analysis, forecasting |
| JEL: | C11 C32 C53 |
| Date: | 2005–02 |
| URL: | http://d.repec.org/n?u=RePEc:bdi:wptemi:td_544_05&r=eec |
| By: | John Armour |
| Abstract: | This paper makes a case for the future development of European corporate law through regulatory competition rather than EC legislation |
| Keywords: | European law, company law, regulatory competition, corporate insolvency |
| JEL: | G34 H73 K22 |
| URL: | http://d.repec.org/n?u=RePEc:cbr:cbrwps:wp307&r=eec |
| By: | Marta Gómez-Puig |
| Abstract: | With the beginning of the European Monetary Union (EMU), euro-area sovereign securities’ adjusted spreads over Germany (corrected from the foreign exchange risk) experienced an increase that caused a lower than expected decline in borrowing costs. The objective of this paper is to study what explains that rising. In particular, if it took place a change in the price assigned by markets to domestic (credit risk and/or market liquidity) or to international risk factors. The empirical evidence supports the idea that a change in the market value of liquidity occurred with the EMU. International and default risk play a smaller role. |
| URL: | http://d.repec.org/n?u=RePEc:fda:fdadef:05-05&r=eec |
| By: | Colm Kearney (Trinity College, Dublin - School of Business Studies & Institute for International Integration Studies); Valerio Poti (Dublin City University - Business School) |
| Abstract: | We examine correlation dynamics using daily data from 1993 to 2002 on the 5 largest eurozone stock market indices. We also study, for comparison, the correlations of a sample of individual stocks. We employ both unconditional and conditional estimation methodologies,including estimation of the conditional correlations using the symmetric and asymmetric DCC-MVGARCH model, extended with the inclusion of a deterministic time trend. We confirm the presence of a structural break in market index correlations reported by previous researchers and, using an innovative likelihood-based search, we find that it occurred at the beginning the process of monetary integration in the Euro-zone. We find mixed evidence of asymmetric correlation reactions to news of the type modelled by conventional asymmetric DCC-MVGARCH specifications. |
| Keywords: | Correlation Dynamics, GARCH |
| JEL: | C32 G12 G15 |
| Date: | 2005–07–06 |
| URL: | http://d.repec.org/n?u=RePEc:wpa:wuwpfi:0507008&r=eec |
| By: | Enrique Alberola (Banco de España); Susana Garcia-Cervero (Deutsche Bank); Humberto López (World Bank); Angel Ubide (Tudor Investments) |
| Abstract: | This paper calculates the equilibrium exchange rates for the Euro and the rest of the G-7 currencies. Building on the methodology of Alberola et al., it is shown that the stock of net foreign assets and the evolution of productivity are the fundamentals underlying the behaviour of the real exchange rate. Panel cointegration techniques allow for the extraction, using an unobserved components methodology, of a time- varying equilibrium real exchange rate, and deviations from this equilibrium provide an estimate of the degree of multilateral misalignment. Finally, an algebraic transformation converts these multilateral equilibrium real rates into bilateral equilibrium nominal rates. The results uncover that the Euro was slightly undervalued by the start of Stage III of EMU and that, despite a faint fall of its fundamentals since then, the slide during 1999 has widened the misalignment above 10% against other main currencies. |
| Keywords: | equilibrium exchange rates, panel cointegration, Euro, G-7 currencies |
| JEL: | F3 F4 |
| Date: | 2005–07–08 |
| URL: | http://d.repec.org/n?u=RePEc:wpa:wuwpif:0507004&r=eec |
| By: | Enrique Alberola (Banco de España); Jose M González-Minguez (Banco de España); Pablo Hernandez-de-Cos (Banco de España); Jose M Marqués (Banco de España) |
| Abstract: | Observed budget balances are an imperfect indicator of the fiscal policy stance, because fluctuations in economic activity induce automatic changes in the balance, hence the use of cyclically-adjusted balances (CAB). However, this paper shows that CABs (as measured through one of the two methods currently used by the Commission) tend to be systematically overestimated during downturns and underestimated during expansions. The dominant source of this distortion arises from the filtering of revenues deemed to be cyclical, possibly signalling a problem with the computation of elasticities. The effect of the items which are assumed not to move with the cycle is non significant, but this overall result conceals offseting effects: public investment turns to be significantly procyclical and interest payments and transfers to firms are countercyclical. |
| Keywords: | Structural balances, output gap |
| JEL: | D6 D7 H |
| Date: | 2005–07–08 |
| URL: | http://d.repec.org/n?u=RePEc:wpa:wuwppe:0507004&r=eec |
| By: | Ruiz Jiménez, Antonia M.; Górniak, Jaroslaw Jósef; Kosic, Ankica; Kiss, Paszkal; Kandulla, Maren |
| Abstract: | In this paper we empirically test three of the most significant theories about the emergence of a European identity. The three approaches considered here are, respectively: first, a "cultural" theory, which understands identities as being based on ethno-cultural factors generated through a long-term (historical) process; second, an "instrumental" theory, which conceives of identities as being based on self-interested calculation (whether economic or political); and a third "civic" theory, which understands identities as being based on agreement over rules for peaceful political co-existence. Our empirical test of these theories exploits Eurobarometer data. In recent years, many researchers have become increasingly dissatisfied with the way these surveys poll attitudes towards the EU. We have contributed to this debate by designing special new questions to measure national and European identities which were included in Eurobarometer 57.2 and are used here for this analysis. Our results provide only partial support for the theories mentioned above. We find that national and European identities are compatible. This is, in part, because while national identities are largely "cultural", European identities are primarily "instrumental". However, we also find that there is a sufficient European common "cultural" ground for a European identity to emerge. We have also confirmed that, because national and European identities are different, the development of a European identity does not necessarily imply the transfer of loyalties from the national to the supranational level. In all the countries analysed here, attachment to the nation remains strong, and certainly greater than attachment to Europe. We also show that it is harder for a European identity to develop in countries with a strong sense of national pride. |
| Keywords: | European identity; nationality; public opinion; Austria; Germany; Greece; Hungary; Italy; Czech Republic; Poland; Spain; U.K.; political science; sociology |
| Date: | 2004–07–29 |
| URL: | http://d.repec.org/n?u=RePEc:erp:eiopxx:p0116&r=eec |
| By: | Leal-Arcas, Rafael |
| Abstract: | This paper is a comparative institutional analysis of the EC's decision-making process in trade policy by focusing on three variables, i.e., competence (whether national or EC competence in EC trade policy), control (who controls the EC's position in international trade negotiations: the Commission or the EU Member States?) and efficiency versus accountability (technocratic versus democratic trade policy) at the national and supranational levels. The empirical background is the World Trade Organization, to which the EC and its Member States are members and, more precisely, the Doha Development Agenda, where the position of the EC is analyzed. The EC institutions and their interaction with EU Member States' institutions and trade policy is the core of this paper. The problems that the enlarged EU will face in its internal decision-making process (such as transparency, efficiency, accountability) can be paralleled to the WTO's decision-making process, and thus the European experience can be used as a role or guidance in the WTO forum so that we can learn from the EC's benefits and, more importantly, avoid the mistakes of the European experience in the decision-making process of international trade fora . The paper concludes that EC trade policy, as well as WTO rules and policies, need to change to become more efficient and accountable at the same time as they address the issue of lack of transparency and legitimacy of the current system of governance, denounced by the Laeken European Council. Thus, more leadership is needed. |
| Keywords: | competences; international agreements; transparency; international trade; common commercial policy; trade policy; accountability; institutions; European Commission; European Parliament; Council of Ministers; WTO; political science; law |
| Date: | 2004–09–23 |
| URL: | http://d.repec.org/n?u=RePEc:erp:eiopxx:p0119&r=eec |
| By: | Dür, Andreas; Mateo, Gemma |
| Abstract: | A comparison of the results of the six most recent Intergovernmental Conferences (IGCs) in the European Union (EU) indicates that member governments' success in achieving substantial compromises based on issue linkages differs across cases. An examination of supranational and intergovernmental bargaining theory shows that both fail to provide a satisfactory explanation for this variation. Instead, we argue that the problem that all participants to a negotiation have an incentive to maximise individual rather than overall gains often leads to efficiency losses. In IGCs, EU member states established two procedures to surmount this problem: a preparatory phase precedes the actual negotiations, and the Council presidency acts as a mediator in the negotiations. Lack of time for preparation, a biased presidency, or external shocks that reduce the capacity of the presidency to guide the negotiations, however, can cause efficiency losses in IGCs since under these conditions the two procedures fall short of facilitating bargaining efficiency. In an empirical analysis of all IGCs from the Single European Act to the Constitutional Treaty, we find support for our argument. |
| Keywords: | Amsterdam Treaty; constitution building; European Convention; European Council; IGC 1996; IGC 2000; intergovernmental conferences; intergovernmentalism; Maastricht Treaty; Nice Treaty; treaty reform; political science |
| Date: | 2004–10–12 |
| URL: | http://d.repec.org/n?u=RePEc:erp:eiopxx:p0123&r=eec |
| By: | Oscar Bajo-Rubio; Antonio G. Gómez-Plana |
| Abstract: | In this paper we provide an empirical assessment of two of the measures proposed in the context of the European Single Market, namely, easing the provision of domestic and foreign services, and modifying the rules of public procurement, for the case of Spain. We build and simulate a computable general equilibrium (CGE) model, which incorporates three particular features: (i) increasing returns to scale and a noncompetitive price rule; (ii) sectoral export demand functions; and (iii) equilibrium unemployment according to a matching function approach. |
| URL: | http://d.repec.org/n?u=RePEc:fda:fdaeee:208&r=eec |
| By: | Nikolaus Bartzsch; Ben Craig; Falko Fecht |
| Abstract: | This paper analyzes the individual bidding behavior of German banks in the money market auctions conducted by the ECB from the beginning of the third quarter of 2000 to the end of the first quarter of 2001. Our approach takes a variety of characteristics of the individual banks into account. In particular, we consider variables that capture the different use of liquidity and the different attitude towards liquidity risk of the individual banks. It turns out that these characteristics are reflected in the banks’ respective bidding behavior to a large extent. Thus our study contributes to a deeper understanding of the way liquidity is managed in the banking sector. |
| Keywords: | Banks and banking, Central ; Bank liquidity ; European Central Bank |
| Date: | 2005 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedcwp:0506&r=eec |
| By: | Dolores Messer (University of Bern); Stefan C. Wolter (Swiss Coordination Center for Research in Education, University of Bern, CESifo and IZA Bonn) |
| Abstract: | The number of university students participating in exchange programs has risen sharply over the last decade, but a survey of Swiss university graduates (class of 1999 and 2001) shows that participation in student exchange programs significantly prolongs the period of time spent studying at university. Given this fact, the advantages of exchange programs for students need to be identified. Analyses show that student exchange programs are associated with higher starting salaries and an increased likelihood of opting for postgraduate study - but only if all exchange semesters are factored in, not just those accredited by the university of matriculation. Using instrumental variable estimations (IV), however, shows that the cited outcomes are not causally related to participation in exchange programs. Therefore the big question is: Where’s the benefit that justifies having to study for almost a whole year longer? |
| Keywords: | exchange semester, ERASMUS, graduate survey, instrumental variables, Switzerland |
| JEL: | J24 J31 J44 |
| Date: | 2005–07 |
| URL: | http://d.repec.org/n?u=RePEc:iza:izadps:dp1656&r=eec |
| By: | Urmas Varblane; Katrin Männik; Helena Hannula |
| Abstract: | The paper analyses the link between the autonomy according to business function and the performance of foreign subsidiaries in Slovenia, Poland, Hungary, Slovakia and Estonia. The obtained results supported the argument that the relationship between autonomy and performance depends on the type of autonomy. Marketing and finance are the most powerful dimensions of autonomy. Higher autonomy in marketing is negatively linked with technology upgrading, measured by the productivity level, the improvement of technological level of production equipment, and the quality of products. The higher the financial autonomy of the subsidiaries the bigger the positive changes in all fields of performance. |
| Date: | 2005 |
| URL: | http://d.repec.org/n?u=RePEc:mtk:febawb:38&r=eec |
| By: | Joana Costa (Faculdade de Economia, Universidade do Porto); Aurora A. C. Teixeira (CEMPRE, Faculdade de Economia, Universidade do Porto) |
| Abstract: | Within a debatable framework of ‘natural replication’ of well-succeeded cases such as the Silicon Valley, Route 128, OECD countries have been implementing policy measures directed to the stimulation of the development of regional clusters composed by Technology-Intensive Firms (TIF) around universities believing that this would increase economic returns from public research investment thereby fostering regional economic development. That is because knowledge-based goods and services are highly valuated by consumers and the TIF can increase the rate of innovation in the economy as a whole. Thus, the creation of science parks, the support of business incubators, seed capital, specific supports for the development of joint R&D projects are sponsored by public authorities as an effort to link universities to industrial innovation. This investigation tries an empirical answer to the following questions: 1) Are universities important as source of information and knowledge use for TIF innovation activities?; 2) How relevant are universities for the location decisions of TIF?; Is TIF’s human capital composition a relevant variable for strengthening university-TIF linkages and thus contributing for enhancing regional innovation capabilities? Based on survey data of Portuguese TIF (composed by 425 firms from a total of 728 that reported having performed R&D activities in 2001-2003), and contrasting with Community Innovation Survey (CIS) related evidence, we conclude that university is critical to these firms innovative activities being therefore likely to substantially and positively impact on regional knowledge network flows and density. The evidence collected shows therefore an unequivocal support for public policies measures targeting TIF as innovation leverages and regional boosters. |
| Keywords: | technology intensive firms, universities linkages, Portugal |
| JEL: | O31 O32 O38 C25 |
| Date: | 2005–07 |
| URL: | http://d.repec.org/n?u=RePEc:por:fepwps:181&r=eec |
| By: | Levent, Tuzin Baycan (Vrije Universiteit Amsterdam, Faculteit der Economische Wetenschappen en Econometrie (Free University Amsterdam, Faculty of Economics Sciences, Business Administration and Economitrics); Nijkamp, Peter |
| Abstract: | Urban green spaces play a key role in improving the liveability of our towns and cities. The quality and viability of cities depend largely on the design, management and maintenance of urban green as well as on open and public spaces that make up an important social constellation and offer a visual representation of urban quality. Actually, urban green spaces may be seen as an important contribution to a sustainable development of cities. However, the full potential of green spaces is not always realized, so that current management practices are sometimes sub-optimal. From a policy perspective, the results of several case studies have highlighted critical policy needs and priorities for the development and management of urban green spaces. It is, therefore, of strategic importance to compare and evaluate urban green space policies for identifying the best practices with a view to proper policy recommendations and guidance for urban society and planning authorities in order to improve the quality of life in modern cities. Against this background, the present study investigates urban green spaces from a policy evaluation perspective and analyses in a comparative sense European cities in order to obtain strategic and policy relevant information on the key features of urban green. The study aims to compare and evaluate the current management practices in various European cities on the basis of the actual performance of urban green space policies. The data and information used for comparison and evaluation are based on extensive survey questionnaires filled out by relevant departments or experts of municipalities in European cities which aim to share their experience in innovative green space policies and strategies. As a rather novel methodological contribution, a recently developed artificial intelligence method, i.e. rough set analysis, is deployed to assess and identify the most important factors that are responsible for successes and failures of urban green space policies. Our approach is able to reveal the most critical policy variables |
| Keywords: | urban society; green spaces; european cities; comparison |
| Date: | 2004 |
| URL: | http://d.repec.org/n?u=RePEc:dgr:vuarem:2004-22&r=eec |