nep-eec New Economics Papers
on European Economics
Issue of 2007‒11‒10
twenty-two papers chosen by
Giuseppe Marotta
University of Modena and Reggio Emilia

  1. Asset Prices as Indicators of Euro Area Monetary Policy: An Empirical Assessment of Their Role in a Taylor Rule By Pierre L. Siklos; Martin T. Bohl
  2. Analysis of revisions to general economic statistics. By Mariagnese Branchi; Christian Dieden; Wim Haine; Csaba Horwáth; Andrew Kanutin; Linda Kezbere
  3. Higher Education Reform and the Renewed Lisbon Strategy: Role of Member States and the European Commission By Frederick van der Ploeg; Reinhilde Veugelers
  4. Wage flexibility in the new European Union members: How different form the “old” members? By Van Poeck Andrè; Veiner Maret; Plasmans Joseph
  5. The macroeconomics of social pacts By Acocella Nicola; Di Bartolomeo Giovanni; Tirelli Patrizio
  6. "For One More Year with You": Changes in Compulsory Schooling, Education and the Distribution of Wages in Europe By Giorgio Brunello; Margherita Fort; Guglielmo Weber
  7. Policy Words and Policy Deeds: The ECB and the Euro By Costas Milas; Christopher Martin
  8. The Determinants of Actual Migration and the Role of Wages and Unemployment in Albania: an Empirical Analysis By Cristina Cattaneo
  9. Labour Market Institutions and Their Contribution to Labour Market Performance in the New EU Member Countries By Ondřej Schneider; Kamila Fialová
  10. Trade and Migration in an Enlarged European Union: A Spatial Analysis By Justin B. May
  11. Inflation convergence in central and eastern European economies By Alina Spiru
  12. Inflation Dynamics and the Cross-Sectional Distribution of Prices in the E.U. Periphery By Dimitrios D. Thomakos; Constantina Kottaridi; Diego MŽndez-Carbajo
  13. Tax Structure and Female Labour Market Participation: Evidence from Ireland By Tim Callan; Arthur van Soest; John R. Walsh
  14. The REMSDB Macroeconomic Database of The Spanish Economy By J.E. Boscá; A. Bustos; A. Díaz; R. Doménech; J. Ferri; E. Pérez; L. Puch
  15. Travail et Maternité en Europe, COnditions de Travail et Politiques Publiques By Jérôme de Henau; Leila Maron; Danièle Meulders
  16. Price indices and unit value indices in German foreign trade statistics By von der Lippe, Peter
  17. The autonomy of national policy in a globalised world: the experience in the Scandinavian EU countries Denmark, Finland and Sweden By Stefanie Bahr; Thomas Sauer; Lena Vogel
  18. Educational Mismatches, Wages and Economic Growth: A Causal Analysis for the French Case since 1980 By Jean-Pascal Guironnet; Magali Jaoul-Grammare
  19. The Impact of Social and Tax Policies on Families with Children: Comparative Study of the Czech Republic, Hungary, Poland and Slovakia By Natálie Švarcová; Petr Švarc
  20. Is it possible to construct derivatives for the Paris residential market? By Michel Baroni; Fabrice Barthélémy; Mahdi Mokrane
  21. Introducing activity-based financing: a review of experience in Australia, Denmark, Norway and Sweden By Andrew Street; Kirsi Vitikainen; Afsaneh Bjorvatn; Anne Hvenegaard
  22. The Effects of Monetary Policy in the Czech Republic: An Empirical Study By Magdalena Morgese Borys; Roman Horvath

  1. By: Pierre L. Siklos (Wilfrid Laurier University and Viessmann Research Centre Waterloo, Canada and The Rimini Centre for Economics Analysis, Italy.); Martin T. Bohl (WestfŠlische Wilhelms-University MŸnster, Germany)
    Abstract: This paper estimates forward-looking and forecast-based Taylor rules for France, Germany, Italy, and the euro area. Performing extensive tests for over-identifying restrictions and instrument relevance, we find that asset prices can be highly relevant as instruments in policy rules. While asset prices improve Taylor rule estimates, different assets prove most relevant across countries and this result could be seen as complicating the tasks of the European Central Bank. Encompassing tests show that forecast-based outperform forward-looking Taylor rules. A policy implication is that central banks ought to release their own forecasts and the basis upon which they are generated.
    Keywords: Monetary policy reaction functions, Asset prices, Instruments, European Central Bank
    JEL: E52 E58 C52
    Date: 2007–07
  2. By: Mariagnese Branchi (European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany.); Christian Dieden (European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany.); Wim Haine (European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany.); Csaba Horwáth (European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany.); Andrew Kanutin (European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany.); Linda Kezbere (European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany.)
    Abstract: The preparations for the introduction of the euro in 1999 involved the need for a new set of statistics for the euro area. Since then, significant progress has been made with regard to the coverage, timeliness and accuracy of these statistics. The reliability of the first releases – i.e. their stability in the process of later revisions – is an important quality-related feature. New data releases for the euro area have generally shown a very small or no bias, i.e. data revisions have been very modest and comparable with those of, for example, the United States or Japan. Despite the relatively small size of revisions, however, their combination with the low growth of the euro area economy may have drawn attention to such revisions of economic data for the euro area. This paper quantifies the revisions to selected key indicators in the period from the start of Monetary Union in 1999 to July 2007 and compares them with the corresponding medium term averages (1999-2006). The analysis covers the euro area, its six largest member countries, the United Kingdom, the United States and Japan. For this purpose, available time series for the various periods involved are used, series that record all revisions to published statistical data releases. The analysis is carried out separately for GDP growth and its expenditure components, for employment, unemployment rates, compensation per employee, labour cost indicators, industrial production, retail trade turnover and consumer prices. Overall, the evidence presented in this paper suggests that euro area data releases have generally shown a very small or no bias and have been more stable than those for individual euro area countries. Furthermore, recent euro area data show levels of revisions similar to those of the past, or levels of revisions that stabilised after the implementation of harmonised statistical concepts had largely been completed. JEL classification: E01, E21, E24, E31, E5
    Date: 2007–10
  3. By: Frederick van der Ploeg; Reinhilde Veugelers
    Abstract: Discussions on problems in higher education in Europe typically focus on rising enrolment rates, access, governance, underperformance in research and teaching, lack of internationalisation, the lack of private and public funding. Our proposals for reform are based on more autonomy for universities, higher tuition fees, more private funding, introduction of income-contingent loans, better governance, more competition and internationalisation. Taking a subsidiarity perspective, the role of the EU in reforming the higher education sector in Europe is providing mutual policy learning opportunities on higher education reforms across Member States and supporting the building of higher education infrastructure in Member States (through the Structural and FP Funds). But beyond the support to Member States policies, the EU should further develop the European dimension, through furthering the goals of the Bologna reforms, cross recognition of qualifications, funding and promoting intra-EU mobility of students, researchers and teachers. The EU should take more initiatives to facilitate global mobility and cooperation. Finally, consistent with the subsidiarity principle, the EU can develop "flagships" initiatives.
    Keywords: higher education, enrolment, access, governance, research, teaching, funding, tuition fees, income-contingent loans, open market for the EU, Bologna reforms, mobility, competition, subsidiarity, flagships
    JEL: H2 H4 I2
    Date: 2007
  4. By: Van Poeck Andrè; Veiner Maret; Plasmans Joseph
    Date: 2007–02
  5. By: Acocella Nicola; Di Bartolomeo Giovanni; Tirelli Patrizio
    Abstract: In this paper we analyze macroeconomic interactions between trade unions, the central bank and the fiscal policymaker. We explicitly model unions’ concern for public expenditure, paving the way for an analysis of the potential gains from cooperation between the fiscal policymaker and the unions, i.e. the so-called corporatist or social pacts that have characterized economic policies in a number of European countries in the last few decades. We also highlight the profoundly different incentives generated by institutional arrangements such as the Maastricht criteria and the Stability and Growth Pact. The former has unambiguously induced more efficient outcomes; the latter is likely to backfire!
    Keywords: Corporatism, trade unions, fiscal policy, monetary conservativeness, policy game
    JEL: E42 E58 E61 E62 E64 H30 J51 J58
    Date: 2007–11
  6. By: Giorgio Brunello (University of Padova, CESifo and IZA); Margherita Fort (European University Institute and University of Padova); Guglielmo Weber (University of Padova, CEPR and IFS)
    Abstract: Using data from 12 European countries and the variation across countries and over time in the changes of minimum school leaving age, we study the effects of the quantity of education on the distribution of earnings. We find that compulsory school reforms significantly affect educational attainment, especially among individuals belonging to the lowest quantile of the distribution of ability. Contrary to previous findings in the relevant literature, we find that additional education reduces wage inequality below median income and increases it above median income. There is also evidence in our data that education and ability are complements in the production of human capital and earnings. While these results support an elitist education policy - more education to the brightest, they also suggest that investing in the less fortunate but bright could payoff both on efficiency and on equity grounds.
    Keywords: education reforms, distribution of earnings, Europe
    JEL: J24
    Date: 2007–10
  7. By: Costas Milas (Keele University, UK and The Rimini Centre for Economics Analysis, Italy.); Christopher Martin (Brunel University, UK)
    Abstract: This paper argues that existing empirical models of interest rate rules are too simplistic. The hybrid Phillips curve implies that policymakers should respond to both current and expected future inflation rates, in contrast to existing models. We provide evidence that UK policymakers do this.
    Keywords: optimal monetary policy; inflation persistence; Phillips curve
    JEL: C51 C52 E52 E58
    Date: 2007–07
  8. By: Cristina Cattaneo (Cattaneo University (LIUC))
    Abstract: The paper explores the determinants of internal migration in Albania, adopting a neoclassical approach to migration: an internal migration function is estimated using district wage and unemployment rate differentials. The aggregate level wages and unemployment, included in the migration equation, are retrieved from a first stage wage and unemployment equations, estimated controlling for personal characteristics. Moreover, in order to test the predictions of the human capital model of migration, the difference between migrants and non-migrants is emphasized in the estimation. The data source is the “Living Standard Measurement Survey for Albania” (2002), undertaken by the national Institute of Statistics and the World Bank jointly. The results reveal that both wage and unemployment differentials are important determinats of the propensity to migrate in Albania. This conclusion is further emphasized by noting that migrants gain substantially in terms of higher returns to individual characteristics after emigration.
    Date: 2006–11
  9. By: Ondřej Schneider (Institute of Economic Studies, Faculty of Social Sciences, Charles University, Prague, Czech Republic); Kamila Fialová (Institute of Economic Studies, Faculty of Social Sciences, Charles University, Prague, Czech Republic)
    Abstract: This paper focuses on the role of labour market institutions in explaining different labour market developments in European countries, with a special attention to the new European Union member countries. Labour market in these two parts of the EU witnessed diverging developments in the late 1990’s. While labour markets indicators generally improved in the “old” EU15, they were exposed to severe shocks in Central Europe. At the same time, Central European labour markets’ institutional background was changing and converging to the EU “standards”. This may allow us to analyse effects of various institutional setups and of their changes on major labour market indicators. We aim at complementing several studies from the late 1990’s by using more recent data that allow us to compare institutional setups from the mid 1990’s and early 2000’s both in “old” and “new” EU member states. We estimate effects of labour market institutions on various performance indicators (unemployment, long-term unemployment, employment, activity rate). While institutional arrangements played relatively minor role in both unemployment measures, they were much more powerful in explaining labour supply decisions. Our results confirm that high taxes and stricter employment protection increase unemployment and depress activity rate. We also show that active labour market policies seem to reduce unemployment and increase activity rate. Statistical tests further do not indicate that there is a difference in the institutional effects between “old” and “new” EU members.
    Keywords: labour market, unemployment, European Union, labour market institutions
    JEL: J48 J51
    Date: 2007–11
  10. By: Justin B. May (Department of Economics, College of William and Mary)
    Abstract: One of the most prominent features in the evolution of the European Union (EU) has been its geographical expansion. Using a dynamic general equilibrium approach, this paper predicts the effects of future eastward expansions of the EU on both inter- and intra-national flows of trade and labor. Underlying the simulations is a spatial model of the EU incorporating heterogeneous firms, intra-industry trade, iceberg trade costs, and many possible locations. Locations are populated by a large number of potential firms, and these firms employ labor that varies across countries in its relative skill. The dynamics of the model are such that unprofitable firms are forced to exit in the long run, and workers have the opportunity to migrate in response to steep gradients in real compensation. Novel features of the data used here are that locations are defined in a very precise way and that the simulations take as their starting point a proxy for the actual distribution of economic activity across the European landmass. The model is calibrated to match aggregate trade and migration data from the 2004 enlargement as well as data on exporter characteristics. Simulations of enlargement predict an increase in aggregate exports of potential new members to the previous EU-15 of 4.8 percent of GDP in the five-year period following adoption of the acquis communautaire and net migration flows from potential new members to the previous EU-15 of 1.1 percent of aggregate acceding country population over the same period. Moreover, the simulations deliver many of the stylized facts of economic geography.
    Keywords: Dynamic General Equilibrium, Enlargement, European Union, Migration, Spatial, Trade
    JEL: F12 F15 F16 F22
    Date: 2007–10–31
  11. By: Alina Spiru
    Abstract: In this study, the degree of convergence of inflation rates of Central and East European economies to a variety of measures of European norm inflation is assessed using a range of techniques. These include unit root testing based upon panels of data and - an innovation to the pertinent literature - tests of nonlinear convergence. The results suggest that while convergence can be revealed in a number of cases, there is some sensitivity associated with the testing framework, in particular whether time series or panel methods are used. Furthermore, the inflation convergence performance of the CEE countries is conditional on the chosen inflation benchmark, the composition of the panel and the correlations among members. Moreover, by conducting a battery of linearity tests, it is found that nonlinear inflation convergence is virtually ubiquitous for the period that includes the accession of the Central and Eastern European former transition economies into the EU.
    Keywords: inflation convergence, panel data, linearity tests
    Date: 2007
  12. By: Dimitrios D. Thomakos (University of Peloponnese, Greece and The Rimini Centre for Economics Analysis, Italy.); Constantina Kottaridi (University of Peloponnese, Greece); Diego MŽndez-Carbajo (Illinois Wesleyan University, USA)
    Abstract: We explore the connection between inflation and its higher-order moments for three economies in the periphery of the European Union (E.U.), Greece, Portugal and Spain. Motivated by a micro-founded model of inflation determination, along the lines of the hybrid New Keynesian Phillips curve, we examine whether and how much does the cross-sectional skewness in producer prices affect the path of inflation. We develop our analysis with the perspective of economic integration/inflation harmonization (in the E.U.) and discuss the peculiarities of these three economies. We find evidence of a strong positive relation between aggregate inflation and the distribution of relative-price changes for all three countries. A potentially important implication of our results is that, if the cross-sectional skewness of prices is directly related to aggregate inflation, not only the direction but also the magnitude of a nominal shock would influence output and inflation dynamics. Moreover, the effect of such a shock could be received asymmetrically, even when countries share a common currency.
    Keywords: Inflation; Cross-sectional distribution of prices; Greece, Portugal, Spain; European Union; Harmonization.
    JEL: E31
    Date: 2007–07
  13. By: Tim Callan (ESRI and IZA); Arthur van Soest (Tilburg University, RAND and IZA); John R. Walsh (ESRI)
    Abstract: How great an effect does the structure of income taxes have on women’s labour market participation? This issue is investigated using a discrete choice static labour supply model for married couples in Ireland. The model incorporates fixed costs of working and simultaneously explains participation decisions and preferred hours of work. Details of the tax system are fully incorporated, and key elements of the welfare system are also taken into account. The model is estimated using data from the 1994 wave of the Living in Ireland Survey. The results are used to analyse the labour supply effects of a move to greater independence in the tax treatment of couples. The influence of tax structure on participation is reconsidered in the light of trends in women’s participation in the labour market and two key changes in the structure of taxation: a shift from a joint or aggregated basis of assessment to an "incomesplitting" system in 1980 and a further substantial shift from income-splitting towards greater independence from 2000 onwards.
    Keywords: labour supply, discrete choice, micro-simulation
    JEL: H31 J22
    Date: 2007–10
  14. By: J.E. Boscá (University of Valencia, Spain); A. Bustos (Ministry of Economics and Finance, Spain); A. Díaz (Ministry of Economics and Finance, Spain); R. Doménech (University of Valencia, Spain. Economic Bureau of the Prime Minister, Spain); J. Ferri (University of Valencia, Spain); E. Pérez (Ministry of Economics and Finance, Spain); L. Puch (FEDEA, Universidad Complutense and ICAE, Spain)
    Abstract: This paper presents a new macroeconomic database for the Spanish economy, REMSDB. The construction of this database has been oriented to conducting medium-term simulations for policy evaluation with the REMS model, a large Rational Expectations macroeconomic Model for Spain. The paper provides a detailed description of the data and documents its main statistical properties. The database is thought to be of major interest to related applications,whether strictly associated with the REMS model or, rather, with empirical macroeconomic studies.
    Keywords: E32, E37
    Date: 2007–10
  15. By: Jérôme de Henau (DULBEA, Université libre de Bruxelles, Brussels); Leila Maron (DULBEA, Université libre de Bruxelles, Brussels); Danièle Meulders (DULBEA, Université libre de Bruxelles, Brussels)
    Abstract: Le but de cette étude est, d'une part, d'analyser le coût de la maternité en termes de conditions et de perspectives de travail et, d'autre part, de mesurer l'impact (positif ou négatif) des politiques publiques sur les décisions des femmes en matière de maternité et d'emploi. Les résultats indiquent que les écarts d'emploi observés entre les femmes sans enfants et les femmes avec enfants en bas âge sont essentiellement imputables à une hausse de l’inactivité dans la plupart des pays. Toutefois, au Luxembourg, en Autriche, au Royaume-Uni et aux Pays-Bas, le travail à temps partiel explique également une part importante de l’écart. En termes de politiques publiques, les systèmes d'accueil d'enfants sont le moyen le plus efficace pour garantir l’accès au travail des parents tandis qu'en ce qui concerne les congés de maternité, leur durée devrait être limitée à la période nécessaire pour se remettre de l'accouchement afin d'éviter de mettre en péril la carrière professionnelle de la mère. Il en est de même pour les congés parentaux. Ce type de congé devrait être obligatoirement partagé entre les deux parents.
    Keywords: conditions de travail, emploi, maternité, politiques publiques.
    JEL: J13 J16 J18 J22
    Date: 2007–10
  16. By: von der Lippe, Peter
    Abstract: There is presently an international discussion among statistical institutes, reserve banks etc. about the feasibility of replacing true price indices of exports and imports by unit value indices. For the very few countries, such as Germany, providing both indices on a monthly basis this would mean to give up a (costly) compilation of P-indices. The paper shows that this would be unwise. It aims at exploring the still not well understood methodological differences of both types of indices, and it is also reporting some empirical results of a research project in cooperation with the German Bundesbank.
    Keywords: unit value indices; foreign trade statistics
    JEL: C43
    Date: 2007–01–07
  17. By: Stefanie Bahr; Thomas Sauer (University of Applied Sciences Jena); Lena Vogel (University of Kent)
    Abstract: The aim of this study was to provide answers to two research questions. While the first one is concerned with the causes of the remarkable macroeconomic resilience of the Nordic EU-countries since the mid-1990s, the second one is related to the sustainability of a high degree of government activity in times of financial globalisation. The authors start their inquiry with the suggestion that it is the Scandinavian welfare state that closely connects these short-term and long-term issues. It turned out that the concepts of norm-based regimes and regime constellations based on institutional complementarities are extremely helpful in the exploration of these interconnections. This result is substantiated by an extensive review of the literature on the Scandinavian welfare state and, in particular, by an econometric investigation of macroeconomic regimes and regime shifts in the Nordic EU countries.
    Date: 2007
  18. By: Jean-Pascal Guironnet; Magali Jaoul-Grammare
    Abstract: In the last two decades, France has experienced an increase in mismatches between education and work. This article studies twenty two years of French productivity to highlight the causes and effects of overeducation on the employee wages and the national income. From the INSEE and Cereq data, this analysis shows a positive effect in the short term on wages of the least qualified and overeducated worker. Furthermore, overeducation phenomenon does not penalize the higher graduates. Paradoxically, if it is always profitable for individuals to increase their education investment; in term of growth, overeducation of the higher graduates produce an unfavourable short term effect on GDP.
    Date: 2007–04
  19. By: Natálie Švarcová (Institute of Economic Studies, Faculty of Social Sciences, Charles University, Prague, Czech Republic); Petr Švarc (Institute of Economic Studies, Faculty of Social Sciences, Charles University, Prague, Czech Republic)
    Abstract: The paper compares the impact of government measures focused on families with children in the Czech Republic, Hungary, Poland and Slovakia. The ageing of population and the decline in fertility rates will in future importantly influence economic as well as social environment in the European countries. One of the responses on declining fertility rates is the promotion of demographic renewal in Europe through various kinds of policy measures ranging from better availability of quality provisions for combining child care and work, child care facilities and family support. We focus on the overall financial impact of governmental policies on families with children in the four examined countries. The paper evaluates impact of government subsidies and tax systems in the Czech Republic, Hungary, Poland and Slovakia on the net income of families with children compared to the childless couples.
    Keywords: family policy, income taxation, subsidies, fertility
    JEL: H24 J13
    Date: 2007–11
  20. By: Michel Baroni (ESSEC Business School, Cergy-Pontoise Cedex, France); Fabrice Barthélémy (THEMA, Université de Cergy-Pontoise); Mahdi Mokrane (AEW EUROPE, Paris, France)
    Abstract: In this paper we address the issue of the robustness of the price level, mean, and variance estimates for two sets of repeat sales real estate price indices: the classical WRS method and a PCA factorial method, as elaborated in Baroni, Barthélémy and Mokrane (2007). Our work can be seen as an extension of Clapham, Englund, Quigley and Redfearn (2006), with the aim of helping to judge of the efficiency of such indices in designing real estate derivatives contracts. We use an extensive repeat sales database for the Paris (France) residential market. We describe the dataset used and compute the parameters (drift and volatility) of the indices produced over the period 1982- 2005. The aim here is to test the sensitivity of these two indices to revision due to additional repeat-sales transactions information. Our analysis is conducted on the global Paris market and on submarkets. Our main conclusion is that the revision problem may cause serious concern for the stability of key parameters that are used as inputs in the pricing of derivatives contracts. The impact of index revision is important on the estimate of the index price level. This result is consistent with the finding of the existing literature for the US and Swedish markets. We also find that although the revision impact on the trend estimate can be important, the WRS method seems more robust and derivatives contracts such as swaps may be based on such indices. Finally, and this is probably the most promising result, revision influence on volatility estimates seems to be less stringent, and according to the robustness of the volatility estimate, the BBM factorial index seems to fare relatively better than the WRS index. Hence, we find that the factorial index could better sustain volatility based derivatives such as call or put options.
    Date: 2007
  21. By: Andrew Street (Centre for Health Economics, University of York); Kirsi Vitikainen; Afsaneh Bjorvatn; Anne Hvenegaard
    Abstract: We review and evaluate the international literature on activity-based funding of health services, focussing especially on experience in Australia (Victoria), Denmark, Norway and Sweden. In evaluating this literature we summarise the differences and pros and cons of three different funding arrangements, namely cost-based reimbursement, global budgeting and activity-based financing. The institutional structures of the four jurisdictions that are the main focus of the review are described, and an outline is provided about how activity-based funding has been introduced in each. We then turn to the mechanics of activity-based funding and discuss in detail how patients are classified, how prices are set and how other services are funded. Although concentrating on the four jurisdictions, we draw on wider international experience to inform this discussion. We review evidence of the impact of activity-based funding in the four jurisdictions on efficiency, activity rates, waiting times, quality and overall expenditure. Finally we conclude with a brief commentary of some of the challenges that would have to be faced if implementing activity-based funding.
    Date: 2007–10
  22. By: Magdalena Morgese Borys; Roman Horvath
    Abstract: In this paper, we examine the effects of Czech monetary policy on the economy within VAR and the structural VAR framework. Subject to various sensitivity tests, we find that contractionary monetary policy shock has a negative effect on the degree of economic activity and price level, both with a peak response after one year or so. Regarding the prices at the sectoral level, tradables adjust faster than non-tradables, which is in line with microeconomic evidence on price persistence. There is a rationale in using the real-time output gap instead of current GDP growth as using the former results in much more precise estimates. There is no evidence for price puzzle within the system. The results indicate a rather persistent appreciation of domestic currency after monetary tightening with a gradual depreciation afterwards.
    Keywords: Monetary policy transmission, VAR, real-time data, sectoral prices.
    JEL: E52 E58 E31
    Date: 2007–09

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