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on European Economics |
| By: | Rousova, Linda |
| Abstract: | The Central European countries became members of the European Union (EU) in May 2004. Has their accession into the EU also resulted in a stronger financial integration with the global economy in general and with the "old" EU countries in particular? Based on a cointegration analysis applied to stock market movements, I detect for the period after the EU enlargement two new long-run equilibrium relations that indeed suggest a stronger inter-dependence of the markets, whereas no such relations can be observed before this date. In particular, one new relation links the Central European markets to the Western European market, reflecting tighter co-movements of the "new" and the "old" EU markets. The second relation points at the role of the US market for both the Central and the Western European markets. |
| Keywords: | Transition Economies; Emerging stock markets; Central Europe; European integration; Cointegration; Long-run stock market linkages |
| JEL: | C5 F36 G11 G15 |
| Date: | 2009–09–08 |
| URL: | http://d.repec.org/n?u=RePEc:lmu:muenec:10993&r=eec |
| By: | Yener Altunbas (University of Wales); Leonardo Gambacorta (Bank for International Settlements); David Marqués-Ibáñez (European Central Bank) |
| Abstract: | We find evidence of a bank lending channel for the euro area operating via bank risk. Financial innovation and the new ways to transfer credit risk have tended to diminish the informational content of standard bank balance-sheet indicators. We show that bank risk conditions, as perceived by financial market investors, need to be considered, together with the other indicators (i.e. size, liquidity and capitalization), traditionally used in the bank lending channel literature to assess a bankÂ’s ability and willingness to supply new loans. Using a large sample of European banks, we find that banks characterized by lower expected default frequency are able to offer a larger amount of credit and to better insulate their loan supply from monetary policy changes. |
| Keywords: | Bank, Risk, Bank Lending Channel, Monetary Policy |
| JEL: | E44 E52 |
| Date: | 2009–05 |
| URL: | http://d.repec.org/n?u=RePEc:bdi:wptemi:td_712_09&r=eec |
| By: | Nicolas Groshenny (Reserve Bank of New Zealand) |
| Abstract: | This paper estimates a medium-scale DSGE model with search unemployment by matching model and data spectra. Price markup shocks emerge as the main source of business-cycle fluctuations in the euro area. Key for the propagation of these disturbances are a high degree of inflation ndexation and a persistent response of monetary policy to deviations of inflation from the target. |
| JEL: | E32 C51 C52 |
| Date: | 2009–09 |
| URL: | http://d.repec.org/n?u=RePEc:nzb:nzbdps:2009/08&r=eec |
| By: | Blaes, Barno |
| Abstract: | This paper investigates the transmission of monetary policy in the euro area based on the factor augmented vector autoregressive approach of Bernanke, Boivin and Eliasz (2005) as well as on a standard VAR model. We focus on the reaction of monetary aggregates to a one-off monetary policy shock. We find that - as theory suggests - money growth is dampened by a restrictive monetary policy stance in the longer term. In the short-run, however, M3 growth may increase due to portfolio shifts caused by the rise in the short-term interest rate. This has consequences for the interpretation of money growth as an input for monetary policy decisions. |
| Keywords: | Monetary policy transmission,FAVAR,VAR,money stock,euro area. |
| JEL: | C32 E40 E52 |
| Date: | 2009 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:bubdp1:200918&r=eec |
| By: | Federica Origo; Claudio Lucifora |
| Abstract: | In recent years many countries of the European Union (EU) have implemented comprehensive smoking bans to reduce exposure to tobacco smoke in public places and all indoor workplaces. Despite the intense public debate, research on the impact of smoking regulation on health, particularly within the workplace, is still very limited. In this paper, we use a Diff-in Diff approach and comparable micro-data -- for a large number of European countries -- to evaluate the impact of national comprehensive smoking bans on both perceived workers’ health and presence of respiratory problems within workplaces. Results show that the introduction of comprehensive smoking bans has a significant effect on workers’ perceived health, particularly on the probability of exposure to smoke and fumes, also when we control for risk exposure. When we explore differences across countries, we find that the impact is stronger in countries starting with relatively worse perceived health conditions at the workplace. |
| Keywords: | Smoking bans, workers health, Difference-in-Differences |
| JEL: | I18 J28 |
| Date: | 2009–03 |
| URL: | http://d.repec.org/n?u=RePEc:wpc:wplist:wp10_09&r=eec |
| By: | María-Dolores, Ramon (Departamentos y Servicios::Departamentos de la UMU::Fundamentos del Análisis Económico) |
| Abstract: | This paper uses data on import unit values for nine different product categories and bilateral imports to study the pass-through of exchange rate changes into the prices of imports that originated inside the Euro Area made by some New Member States (NMSs) of the European Union and one candidate country (Turkey). I estimate industry-specific rates of pass-through across and within countries using the methodological approach proposed by de Bandt, Banerjee and Kozluk (2008). I did not find evidence in favour of the hypothesis of Local Currency Pricing (zero pass-through) and the hypothesis of Producer Currency Pricing (complete pass-through) could be accepted in some countries for different industries. My results also show that there is a clear positive relationship between exchange rate pass-through and average inflation in these countries. I do find a slightly positive pattern for the relationship between exchange rate pass-through and openness. With reference to the relationship between exchange rate pass-through and the type of exchange rate regime I observe that a less volatile exchange rate implies a less degree of exchange rate pass-through. In industries I obtain a less degree of exchange rate pass-through in differentiated manufactured products. By including possible statistical break-dates in the estimation process I observe that some NMSs have decreased the exchange rate pass-through in recent years. Some of the breaks are close to the dates of some major institutional changes in these countries (changes in monetary policy and exchange rate regimes and the starting up of the EU membership). |
| Keywords: | exchange rates, monetary union, pass-through, panel cointegration |
| JEL: | D12 R23 |
| Date: | 2009–06 |
| URL: | http://d.repec.org/n?u=RePEc:mur:wpaper:4698&r=eec |
| By: | Pufahl, Andrea; Weiss, Christoph R. |
| Abstract: | This paper extends previous research (Pufahl and Weiss, 2009) and applies a semi-parametric propensity score matching approach to evaluate the effects of agrienvironment (AE) programs on input use and farm output of individual farms in eight Member States of the European Union. We find substantial differences in treatment effects between countries. The analysis reveals significant effects of AE participation on production (Germany, France) and farm profits (France, Ireland, United Kingdom). AE participation sporadically reduces the intensity of land use as measured by the purchase of farm chemicals (fertilizer, pesticide) and grazing livestock densities. We also find differences in the treatment effect among farms with different farm size (heterogeneous treatment effects). |
| Keywords: | evaluation, agri-environment programs, propensity score matching, Germany, Italy, Spain, France, Portugal, United Kingdom, The Netherlands, EU-15, Agribusiness, Agricultural and Food Policy, |
| Date: | 2009–08–24 |
| URL: | http://d.repec.org/n?u=RePEc:ags:eaa111:52997&r=eec |
| By: | Simona COMI; Mara GRASSENI |
| Abstract: | The aim of this paper is to analyse the wage gap between temporary and permanent jobs in 12 European countries. We use the semi-parametric (quantile regression) approach and evaluate the wage gap across the entire wage distribution. We show that the fixed-term wage gap decreases as higher quantiles are considered, and that having a fixed-term contract penalizes low–skilled workers (at the bottom of the earnings distribution) more than high–skilled ones. Finally, we decompose the wage differential across the entire wage distribution in order to account for the relative importance of observed characteristics versus different returns to skills. We find that workers with the same characteristics as temporary workers would receive higher wages if they worked on permanent contracts in almost all the countries considered, and that this finding is stable across? the entire wage distribution. |
| Keywords: | Temporary jobs, fixed-term contracts, wage differentials, quantile regression, decomposition. |
| JEL: | J31 |
| Date: | 2009–07 |
| URL: | http://d.repec.org/n?u=RePEc:wpc:wplist:wp17_09&r=eec |
| By: | Herrmann, Sabine |
| Abstract: | This paper examines the relationship between the exchange rate regime and the pace of current account adjustment. The panel data set we refer to includes 11 catching-up countries from central, eastern and south-eastern Europe between 1994 and 2007. The exchange rate regime is measured by a continuous z-score measure of exchange rate volatility proposed by Gosh, Gulde and Wolf (2003). Based on a basic autoregression estimation, the results indicate that a more flexible exchange rate regime significantly enhances the rate of current account adjustment. |
| Keywords: | Current account adjustment,exchange rate regime,Central and Eastern Europe |
| JEL: | F32 F31 O52 |
| Date: | 2009 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:bubdp1:200922&r=eec |
| By: | Werner, Karl; Moormann, Jürgen |
| Abstract: | Most previous research on efficiency in banking takes a regulatory perspective. In contrast, this paper investigates the empirical relation between efficiency and profitability in five large economies of the European Union during the period 1998-2005 and discusses the results from the perspective of corporate bank strategy. Methodologically the existing literature is expanded by the use of DEA super-efficiency values to regress profitability, the incorporation of risk by calculative costs of capital, and a model specification built on the modern understanding of banks as centers of value creation. The results of the conducted static and dynamic regression analyses show that profitable banks operate with higher technical efficiency than their competitors. Furthermore, the strategic environment and in this regard the structure and concentration of the national financial sector have a considerable impact on a bank's financial performance. Both issues proved to be statistically and economically significant. Thus, the results support the appropriateness of the generic strategy of cost leadership for the European banking market. Banks following this strategic position were able to achieve higher excess returns during the analyzed period. |
| Keywords: | Banks,corporate strategy,efficiency,operational efficiency,profitability |
| JEL: | C14 G21 L25 M21 |
| Date: | 2009 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:fsfmwp:111&r=eec |
| By: | Kangasniemi, Mari; Mas, Matilde; Robinson, Catherine; Serrano, Lorenzo |
| Abstract: | Increased internationalization over the past 20 years has meant that labour has become increasingly mobile, and whilst employment and earnings effects have been extensively analysed in host and source nations, the implications for firm and industry performance have been largely ignored. This paper explores the direct economic consequences of immigration on host nations’ productivity performance at a sectoral level. We consider its impact in two very different European countries, Spain and the UK. Whilst the UK has traditionally had a substantial in-flow of migration, for Spain, the phenomenon is much more recent. The paper provides an overview of the role played by immigration on per capita income, highlighting the importance of demographic differences. We then go on to analyze the role of migration on productivity using two different approaches: i) growth accounting methodology and ii) econometric estimation of a production function. Our findings indicate that migration has had very different implications for Spain and the UK, migrants being more productive than natives in the UK but less productive than natives in Spain. This may in part be a function of different immigration policies, particularly related to the skill requirements on entry, but also in part a feature of the host nations’ ability to ‘absorb’ foreign labour. |
| Keywords: | Key words: migration; productivity; industries |
| JEL: | O40 J30 J20 |
| Date: | 2009 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:17212&r=eec |
| By: | Hubbard, Carmen |
| Abstract: | This paper discusses and explores different approaches to the definition of small in relation to farms in the EU. It focuses on distributions of farms using different size criteria, making comparisons of the extent to which one criterion maps onto another. Differences in farm structure that exist between and within both the established and new Member States make it particularly difficult to determine a unique definition of smallness, suggesting perhaps the use of a relative rather than absolute measure of size. |
| Keywords: | small farms, European Union, farm size, subsistence, Consumer/Household Economics, |
| Date: | 2009–08–20 |
| URL: | http://d.repec.org/n?u=RePEc:ags:eaa111:52852&r=eec |