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on European Economics |
| By: | Gabe J. de Bondt (European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany.) |
| Abstract: | This study presents empirical evidence on the long-run motives for holding euro area money by focusing on the role of equity and labour markets. Equity positively affects money demand through wealth effects, as equities are a significant store of household wealth and thus part of a financial transaction motive. Negative substitution effects through the expected return on equity reflect a speculative motive from the equity market. A precautionary motive from the labour market is captured by the annual change in the unemployment rate. The main conclusion is that equity and labour markets do matter for money. All three new elements, in particular housing and financial wealth, have been found statistically and economically significant in explaining M3 since 1983. These findings are robust across different proxies for the augmented motives and a shorter sample period starting in 1994. JEL Classification: E41, G11, C32. |
| Keywords: | euro area money demand, wealth, equity return, precautionary motive. |
| Date: | 2009–09 |
| URL: | http://d.repec.org/n?u=RePEc:ecb:ecbwps:20091086&r=eec |
| By: | Cristian Badarinza (Goethe University, House of Finance, Grueneburgweg 1, 60323 Frankfurt am Main, Germany.); Marco Buchmann (European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany.) |
| Abstract: | The aim of this study is to assess empirically to what extent the degree of heterogeneity of consumers’ inflation perceptions and expectations is driven by the flow of information related to current and future price developments in the euro area. We conduct the analysis both on an aggregate level for the euro area as well as for a set of countries using panel techniques. We find that the degree to which consumers’ expectations are discordant is negatively related to news intensity. Moreover, the results suggest that the absolute bias in expectations decreases as news become more intense and this effect has become more pronounced since the introduction of the common currency. JEL Classification: D12, D84, E31. |
| Keywords: | Inflation Expectations, Heterogeneity, Survey data, Euro Area, News. |
| Date: | 2009–09 |
| URL: | http://d.repec.org/n?u=RePEc:ecb:ecbwps:20091088&r=eec |
| By: | Setzer, Ralph; Wolff, Guntram B. |
| Abstract: | Conventional money demand specifications in the euro area have become unstable since 2001. We specify a money demand equation in deviations of individual euro area Member States variables from the euro area average and show that the income elasticity as well as the interest rate semi-elasticity remain stable. The corresponding deep parameters of the utility function have not changed. Aggregate money demand instability does therefore not result from altered standard factors determining the preference for holding money. Instead, other factors determine the aggregate monetary overhang. Since monetary developments cannot easily be explained by changing preferences, they should be closely monitored and might be a sign of imbalances. |
| Keywords: | Money demand; M3; national contributions; euro area |
| JEL: | E51 E52 E41 |
| Date: | 2009–03–05 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:17483&r=eec |
| By: | Ernst&Young |
| Abstract: | The study carried out by Ernst & Young provides a comprehensive overview of the implementation of the Tax Merger Directive (Council Directive 90/434/EEC as amended) in the 27 EU Member States. The purpose of the survey is to enable the Commission to assess the need for further EU-wide action in this area. The main finding of the survey is that most Member States have correctly transposed the Tax Merger Directive, but it has been under-utilised due to the fact that the corporate law allowing cross border mergers has not been in place in many countries up to recently. The findings and conclusions of the study are those of the authors and should not be construed as reflecting the position of the European Commission. |
| Keywords: | European Union, taxation, corporate taxation |
| JEL: | H22 |
| Date: | 2009–01 |
| URL: | http://d.repec.org/n?u=RePEc:tax:taxstu:0027&r=eec |
| By: | Christian Aßmann; Jens Hogrefe |
| Abstract: | Despite the single currency, yields on government bonds in the Euro Area deviate from German bond yields. These bond spreads are usually attributed to differing default and liquidity risks. Recent research points out that time-varying global factors, approximated by risk measures or short term interest rates, play an important role for the evaluation of theses risks. In this paper, instead of proxy variables latent processes are assumed to model the aforementioned time variation. We find, that default risks measured via expected debt-to-GDP ratio explain a good stake of the variation of bond spreads in the Euro area at least between 2003 and the take-off of the financial crisis. During the financial crisis default risks or rather their evaluation increased but lost relative importance compared to liquidity risks |
| Keywords: | Euro Area; bond spreads; time-varying coefficients; liquidity risk; default risk |
| JEL: | C32 G12 E43 E62 |
| Date: | 2009–09 |
| URL: | http://d.repec.org/n?u=RePEc:kie:kieliw:1548&r=eec |
| By: | Sergio Mayordomo; Juan Ignacio Peña; Eduardo S. Schwartz |
| Abstract: | A common European bond would yield a common European Monetary Union risk free rate. We present tentative estimates of this common risk free for the European Monetary Union countries from 2004 to 2009 using variables motivated by a theoretical portfolio selection model. First, we analyze the determinants of EMU sovereign yield spreads and find significant effects of the credit quality, macro, correlation, and liquidity variables. However, their effects are different before and after the current financial crisis, being stronger in the latter period. Robustness tests with different data frequencies, benchmarks, liquidity variables, cross section regressions and balanced panels confirm the initial results. We propose four different estimates of the common risk free rate and show that, in most cases, this common rate could imply savings in borrowing costs for all the countries involved. |
| JEL: | E43 E44 G15 |
| Date: | 2009–09 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:15353&r=eec |
| By: | Vladimir Kuzin; Massimiliano Marcellino; Christian Schumacher |
| Abstract: | This paper compares the mixed-data sampling (MIDAS) and mixed-frequency VAR (MF-VAR) approaches to model speci.cation in the presence of mixed-frequency data, e.g., monthly and quarterly series. MIDAS leads to parsimonious models based on exponential lag polynomials for the coe¢ cients, whereas MF-VAR does not restrict the dynamics and therefore can su¤er from the curse of dimensionality. But if the restrictions imposed by MIDAS are too stringent, the MF-VAR can perform better. Hence, it is di¢ cult to rank MIDAS and MF-VAR a priori, and their relative ranking is better evaluated empirically. In this paper, we compare their performance in a relevant case for policy making, i.e., nowcasting and forecasting quarterly GDP growth in the euro area, on a monthly basis and using a set of 20 monthly indicators. It turns out that the two approaches are more complementary than substitutes, since MF-VAR tends to perform better for longer horizons, whereas MIDAS for shorter horizons. |
| Keywords: | nowcasting, mixed-frequency data, mixed-frequency VAR, MIDAS |
| JEL: | E37 C53 |
| Date: | 2009 |
| URL: | http://d.repec.org/n?u=RePEc:eui:euiwps:eco2009/32&r=eec |
| By: | Jean-Paul Fitoussi (Observatoire Français des Conjonctures Économiques); Eloi Laurent |
| Date: | 2009 |
| URL: | http://d.repec.org/n?u=RePEc:fce:doctra:0921&r=eec |
| By: | Mardi Dungey; Denise R Osborn |
| Abstract: | Empirical modelling of the international linkages between the Euro Area and the US requires an open economy specification. This paper proposes and implements a structural VECM framework which imposes long run and short run cross-economy restrictions based on theoretically motivated restrictions and empirically supported dominance assumptions. The SVECM distinguishes between permanent and temporary shocks in a system where one cross-economy cointegrating relationship links output levels. In addition, the short run dynamics incorporate both contemporaneous interactions and feedbacks between the two economies. Importantly, greater empirical coherence is obtained by allowing for more direct inflationary effects between the two economies than considered in other recent analyses. Estimated using data from 1983Q1 to 2007Q4, the results demonstrate the cross-country impact of shocks. Although US shocks generally produce stronger effects, nevertheless some shocks originating in the Euro Area have significant effects on the US, particularly for inflation and interest rates. |
| Date: | 2009 |
| URL: | http://d.repec.org/n?u=RePEc:man:cgbcrp:121&r=eec |
| By: | Pricewaterhousecoopers |
| Abstract: | A study on the VAT invoicing rules contained in the VAT Directive (2006/112/EC) was carried out for the European Commission by PricewaterhouseCoopers. It aims to look at the four principal areas of invoicing - the requirement to issue an invoice, the content of an invoice, electronic invoicing and the storage of invoices - with a view to mapping the existing legislation in all Member States, analysing burdens on business and Member States' control needs, and providing recommendations for a more harmonised and modern set of VAT invoicing rules. |
| Keywords: | European Union, taxation, VAT |
| JEL: | H24 |
| Date: | 2009–01 |
| URL: | http://d.repec.org/n?u=RePEc:tax:taxstu:0026&r=eec |
| By: | Olfa Alouini (Observatoire Français des Conjonctures Économiques) |
| Date: | 2009 |
| URL: | http://d.repec.org/n?u=RePEc:fce:doctra:0901&r=eec |
| By: | Sebastian Dullien (HTW Berlin -- University of Applied Sciences); Ulrich Fritsche (Department for Socioeconomics, Department for Economics, University of Hamburg); Ingrid Groessl (Department for Socioeconomics, Department for Economics, University of Hamburg); Michael Paetz (Department for Economics, University of Hamburg) |
| Abstract: | Using a modified version of the model presented by Belke and Gros (2007), we analyze the stability of adjustment in a currency union. Using econometric estimates for parameter values we check the stability conditions for the 11 original EMU countries and Greece. We found significant instability in the model for a large number of countries. We then simulate the adjustment process for some empirically observed parameter values and find that even for countries with relatively smooth adjustment, the adjustment to a price shock in EMU might take several decades. |
| Keywords: | EMU, convergence, stability, inflation |
| JEL: | E32 E61 C32 |
| Date: | 2009–09 |
| URL: | http://d.repec.org/n?u=RePEc:hep:macppr:200907&r=eec |
| By: | Raquel Ortega-Argilés (European Commission, Joint Research Center (JRC), Institute for Prospective Technological Studies (IPTS)); Mariacristina Piva (DISCE, Università Cattolica); Lesley Potters (European Commission, Joint Research Center (JRC), Institute for Prospective Technological Studies (IPTS)); Marco Vivarelli (DISCE, Università Cattolica) |
| Abstract: | This paper discusses the link between R&D and productivity across the European industrial and service sectors. The empirical analysis is based on both the European sectoral OECD data and on a unique micro longitudinal database consisting of 532 top European R&D investors. The main conclusions are as follows. First, the R&D stock has a significant positive impact on labour productivity; this general result is largely consistent with previous literature in terms of the sign, the significance and the magnitude of the estimated coefficients. More interestingly, both at sectoral and firm levels the R&D coefficient increases monotonically (both in significance and magnitude) when we move from the low-tech to the medium and high-tech sectors. This outcome means that corporate R&D investment is more effective in the high-tech sectors and this may need to be taken into account when designing policy instruments (subsidies, fiscal incentives, etc.) in support of private R&D. However, R&D investment is not the sole source of productivity gains; technological change embodied in gross investment is of comparable importance on aggregate and is the main determinant of productivity increase in the low-tech sectors. Hence, an economic policy aiming to increase productivity in the low-tech sectors should support overall capital formation. |
| Keywords: | R&D, productivity, high-tech sectors, innovation, industrial policy |
| JEL: | O33 |
| Date: | 2009–07 |
| URL: | http://d.repec.org/n?u=RePEc:ctc:serie2:dises0955&r=eec |
| By: | Mireille Matt; Stéphane Robin; Sandrine Wolff |
| Abstract: | We analyze the micro rationale of EU-sponsored collaborations compared to non-sponsored, spontaneous collaborations. We compare the incentives and coordination mechanisms of each type of collaboration, and derive propositions that we test empirically. Our econometric analysis uses recent data on (sponsored and non-sponsored) projects conducted by participants in the 5th and 6th European R&D Framework Programmes. Our empirical findings support our main propositions. Compared to spontaneous collaborations, EU-sponsored collaborations clearly have different characteristics and follow a different rationale. However, there is no major difference between the different types of EU-sponsored collaborations. |
| Keywords: | Strategic R&D Collaborations; European Framework Programmes; Research Joint Ventures. |
| JEL: | L21 L24 O31 O32 |
| Date: | 2009 |
| URL: | http://d.repec.org/n?u=RePEc:ulp:sbbeta:2009-29&r=eec |
| By: | Biagetti, Marco; Scicchitano, Sergio |
| Abstract: | The primary purpose of this paper is to explore the potential for EU-SILC data to deepen our understanding of the determinants of inequality in workers’ formal life-long learning (LLL) in Europe. In particular we investigate the incidence of personal, job-specific and firm-specific characteristics on the workers’ probability to undertake adult learning. To do so, we first estimate LLL incidence in the whole sample for men and women. Then we estimate separate 21 country-specific equations, for both sexes. This method allows to investigate cross-country gender differences and avoid unobserved heteroscedasticity due to sex, which we clearly find in the data. For the whole sample the results show that, for both men and women, formal LLL incidence is significantly higher among young, better educated, part-time and temporary workers, and lower among those who changed current job in the last year, employed in small firms and having low-skilled occupations. Furthermore, some gender differences for the whole sample emerge. When estimating separate equations for each country and for both sexes, a significant cross-country heterogeneity and a weaker significance of the coefficients come to light. In particular, a couple of relevant results emerge for Scandinavian countries with regard to the complementarity between past level of education and current adult learning. Finland is the only country in the sample in which, for both men and women, less educated workers are more likely to undertake formal LLL, thus making adult learning system able to avoid, for both men and women, existing inequality in human capital, as it results from education levels. Denmark is the only country where, for women, being less educated turns out to be the predictor with the greatest significant magnitude of the effect in the variation of the probability. |
| Keywords: | education; training; lifelong learning; human capital; inequality; Europe |
| JEL: | J40 J24 |
| Date: | 2009–09–16 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:17356&r=eec |
| By: | Alessandra Righi; Dario Sciulli |
| Abstract: | The school-to-work transition is a turbulent period of youth, with possible consequences on the social and working conditions of individuals. The alternative status of employment during the transition possibly affect the transition probabilities. On the one side, the larger use of temporary contracts has made entry in the labour market easier, but has also made longer and, sometimes, harder the path toward a stable job. On the other side, periods of no work possibly deteriorate skills, while vocational experiences possibly avoid the obsolescence of skills. This paper applies discrete time duration models to ECHP micro information to investigate both the role of individual characteristics and, overall, of alternative origin labour market status in favoring the school-to-permanent work transition, focusing on ten European countries. The timing of the transition and the allocation of time to alternative labour market status differ among countries. Vocational training experience increases the hazard rate. Temporary contracts positively operate in Southern countries, where unemployment and inactivity prevail among school-leavers. On the contrary, where temporary jobs are widely used they reduce the hazard rate, favoring the establishment of a strong separating equilibrium, at least in the short-term. However, individuals with at least one temporary job or vocational training period show a greater duration dependence parameter, indicating their role in reducing the stigma effect of no permanent employment positions. |
| Keywords: | school-to-work transition, duration model, unobserved heterogeneity |
| JEL: | J24 J64 C41 |
| Date: | 2009–06–01 |
| URL: | http://d.repec.org/n?u=RePEc:pia:wpaper:65/2009&r=eec |
| By: | Zeynep Or (IRDES institut for research and information in health economics); Chantal Cases (IRDES institut for research and information in health economics); Melanie Lisac (Bertelsmann Stiftung); Karsten Vrangbaek (University of Copenhagen); Ulrika Winblad (Department of Public Health and Caring Sciences Uppsala Univeristy); Gwyn Bevan (London School of Economics) |
| Abstract: | Industrialised countries face similar challenges for improving the performance of their health system. Nevertheless the nature and intensity of the reforms required are largely determined by each country's basic social security model. This paper looks at the main differences in performance of five countries and reviews their recent reform experience, focusing on three questions: Are there systematic differences in performance of Beveridge and Bismarck-type systems? What are the key parameters of health care system which underlie these differences? Have recent reforms been effective? Our results do not suggest that one system-type performs consistently better than the other. In part, this may be explained by the heterogeneity in organisational design and governance both within and across these systems. Insufficient attention to those structural differences may explain the limited success of a number of recent reforms. |
| Keywords: | Health system, Beveridge, Bismarck, reforms, performance |
| JEL: | I18 O57 |
| Date: | 2009–09 |
| URL: | http://d.repec.org/n?u=RePEc:irh:wpaper:dt27&r=eec |
| By: | Narula, Rajneesh (John H Dunning Centre for International Business, Henley Business School, University of Reading); Michel, Julie (Center for Competitiveness, Faculty of Economics and Social Sciences, University of Fribourg) |
| Abstract: | There is a growing international dispersion of R&D activities by MNEs for the purposes of maintaining and augmenting their knowledge assets. Firms need to tap into alternative knowledge sources , as home countries are rarely able to meet all their technological needs. However, accessing to foreign knowledge implies integration with the host country innovation system that requires considerable time and resources. Although asset-augmenting activities are seen as primarily benefitting the MNE, we argue that home country innovation systems can also benefit from reverse knowledge transfer. Policy makers need to promote these linkages and flows, rather than seeing R&D internationalisation as a threat to the home economy. New knowledge developed abroad by firms can and should be encouraged to be transferred to the rest of the firm and to the local environment of the home country. |
| Keywords: | reverse knowledge transfer, R&D, innovation policy, EU |
| JEL: | F23 O32 L22 |
| Date: | 2009 |
| URL: | http://d.repec.org/n?u=RePEc:dgr:unumer:2009035&r=eec |
| By: | Bernard Bartels |
| Abstract: | With the transition to the European Monetary Union (EMU), the instrument of monetary policy for individual member countries has been abolished. This step has led to serious challenges for the diferent states to stabilize their economies to various economic shocks. Diferent labor market rigidities lead to diferent responses to monetary impulses in the countries. This paper deals with this problem by setting up a VAR-analysis to investigate the diferent shocks on Germany and Austria. The results show that Germany experiences less uctuation in growth and unemployment than Austria which can be assigned to higher labor market rigidities |
| Keywords: | monetary transmission mechanism, vector autoregression |
| JEL: | D21 F14 L22 |
| Date: | 2009–06 |
| URL: | http://d.repec.org/n?u=RePEc:kie:kieasw:452&r=eec |
| By: | Zsuzsa Munkácsi (Magyar Nemzeti Bank) |
| Abstract: | Before the millennium Hungary’s market share in exports of goods was increasing at the fastest rate in Central and Eastern Europe; however, after 2000 that growth became the lowest. The slowdown in growth in Hungary’s export market share is mainly due to the stagnating price index of goods exports. The aim of this paper is to examine whether this process was caused by reaching an equilibrium or structural factors. In the paper the exports of goods structure (by product, country, technology, skill and intensity), the relationship between export specialisation and export price indices, and the role of import demand in specialisation are examined for the Visegrad Group and Romania in the periods 1995–1999 and 2000–2007. The results imply that the stagnation of Hungarian goods export prices is partly natural and partly brought about by structural factors. |
| Keywords: | exports, export structure, specialisation. |
| JEL: | F10 F14 F15 |
| Date: | 2009 |
| URL: | http://d.repec.org/n?u=RePEc:mnb:opaper:2009/81&r=eec |
| By: | Maria das Dores B. Moura Oliveira (UPIN – Universidade do Porto Inovação, Universidade do Porto); Aurora A.C. Teixeira (INESC Porto; CEFUP, Faculdade de Economia, Universidade do Porto) |
| Abstract: | The environment in which technology transfer takes place plays a key role in defining the best approaches and, ultimately, their success. In the present paper we analyse the extent to which Technology Transfer Offices (TTOs) efficiency is influenced by framework conditions and, in particular, by the innovation policies and programmes. We hypothesise that countries with higher technology transfer efficiency levels would have innovation policies more supportive to technology transfer efforts. Results based on an in depth account and statistical analysis of over 60 innovation policies from Switzerland (widely associated to high levels of technology transference efficiency) and Portugal (a laggard country in this particular) corraborate our initial hypothesis. Switzerland policies overall include more references to knowledge and technology transfer, in the form of licenses, R&D collaboration and spin-offs, than Portuguese policies. One exception is the case of patents (intellectual property rights, in general) with stronger weight in Portuguese policies and, to some extent, the support to spin-off creation and venture capital. The findings highlighted significant differences in variables with impact in technology transfer, namely the priorities addressed, target groups and funding eligibility, aspects of the innovation process targeted and forms of funding. From the exercise it was possible to derive some policy implications. Specifically, we advance that if a country wishes to increase technology transfer efficiency then it should implement a mandate for R&D cooperation between different actors, give priority to fund cutting edge science and research performers, and attribute a higher emphasis on applied industrial research and prototype creation aspects of the innovation process. |
| Keywords: | Technology transfer, innovation policies, technology transfer efficiency |
| Date: | 2009–09 |
| URL: | http://d.repec.org/n?u=RePEc:inc:wpaper:2009-09-wp5&r=eec |
| By: | Manon Domingues Dos Santos (CREST - Centre de Recherche en Économie et Statistique - INSEE - École Nationale de la Statistique et de l'Administration Économique); François-Charles Wolff (LEMNA - Laboratoire d'économie et de management de Nantes Atlantique - Université de Nantes : EA4272) |
| Abstract: | In this paper, we study the impact of the human capital background on ethnic educational gaps between second-generation immigrants in France. First, we show that the skill of immigrants explains the main part of the ethnic educational gap between their children. More precisely, if the education of immigrants has a predominant impact on the educational attainment of their children, their assimilation degree, essentially captured by their French fluency or their length of stay in France, also contributes to explain ethnic educational gaps. Secondly, we show that the impact of the immigrants' education on the educational attainment of their children depends on their country of origin, their place of schooling as well as their French proficiency. |
| Date: | 2009–09–17 |
| URL: | http://d.repec.org/n?u=RePEc:hal:wpaper:hal-00417879_v1&r=eec |
| By: | Frank M. Fossen; Davud Rostam-Afschar |
| Abstract: | The well-documented positive correlation between income risk and wealth was interpreted as evidence for high amounts of precautionary wealth in various studies. However, the large estimates emerged from pooling non-entrepreneurs and entrepreneurs without controlling for heterogeneity. This paper provides evidence for Germany based on representative panel data including private wealth balance sheets. Entrepreneurs, who face high income risk, hold more wealth than employees, but it is shown that this is not due to precautionary motives. Entrepreneurs may rather save for old age, as they are usually not covered by statutory pension insurance. The analysis accounts for endogeneity of entrepreneurial choice. |
| Keywords: | precautionary saving, precautionary wealth, entrepreneurship |
| JEL: | D91 D12 E21 |
| Date: | 2009 |
| URL: | http://d.repec.org/n?u=RePEc:diw:diwwpp:dp920&r=eec |