|
on European Economics |
| By: | Filippo COSSETTI (Universita' Politecnica delle Marche, Dipartimento di Economia); Francesco GUIDI (Universita' Politecnica delle Marche, Dipartimento di Economia) |
| Abstract: | This paper aims to explore the effects of the ECB monetary policy on the Euro area yield curve. Using cointegration techniques, this paper investigates the long-run relationships among the EONIA and Euro area money market interest rates. Results show that presence of cointegration was rejected for maturities longer than six years, implying that European Central Bank monetary policy actions do not exert significant impact on the entire spectrum of the yield curve. In addition, we also consider the transmission of EONIA interest rate volatility to the money market interest rates using EGARCH models. We find that EONIA volatility is transmitted to short and medium-period interest rates, whereas longer-term rates are not affected. |
| Keywords: | EGARCH models, Monetary policy, cointegration, term structure of interest rates |
| JEL: | E42 E43 E58 |
| Date: | 2009–11 |
| URL: | http://d.repec.org/n?u=RePEc:anc:wpaper:334&r=eec |
| By: | Rittler, Daniel |
| Abstract: | This paper deals with the modeling of the relationship of European Union Allowance spot- and futures-prices within the second commitment period of the European Union Emission Trading Scheme. Based on high frequency data, we analyze causality in the first and the second conditional moments. To reveal long run price discovery we compute the common factor weights proposed by Schwarz and Szakmary (1994) and the information share proposed by Hasbrouck (1995) based on the estimated coefficients of a vector error correction model. To analyze the short run dynamics we perform Granger causalty tests. The GARCH-BEKK model introduced by Engle and Kroner (1995) is employed to analyze the volatility transmission structure. We identify the futures market to be the leader of the long run price discovery process whereas a bidirectional short run causality structure is observed. Furthermore we detect unidirectional volatility transmission from the futures to the spot market at highest frequencies. |
| Keywords: | CO2 Emission Allowances; Causality; Volatility Transmission; Spot Prices; Futures Prices |
| Date: | 2009–11–25 |
| URL: | http://d.repec.org/n?u=RePEc:awi:wpaper:0492&r=eec |
| By: | Dimitris A. Georgoutsos (Athens University of Economics & Business); Petros M. Migiakis (Bank of Greece) |
| Abstract: | In the present paper we examine interactions among five benchmark ten year government bonds, namely those of the US, Germany, France, Italy and the Netherlands. Our aim is to illustrate empirically a network of interactions existing among the major bond markets of Europe and the US market taking into account shifts in the underlying stochastic processes. For this purpose, and in contrast to the rest of the relevant empirical literature, after specifying the long-run equilibrium relations we estimate the linkages between the bond markets as subject to hidden Markov chains, by applying the Markov Switching Vector Error Correction framework (MS-VECM). This formulation is found to efficiently reflect the shifts brought about by significant economic events, such as the European monetary unification. As a result we illustrate different short-run relations referring to the periods before and after monetary union. Overall, our empirical results indicate that stronger interactions between the markets of the system exist in the period after the EMU. Also, by means of a variance decomposition analysis we assess leader-follower relations which indicate that the benchmark status of bonds has changed since the introduction of the common monetary policy framework in Europe. |
| Keywords: | Financial integration; bond markets; benchmarks; Markov Switching |
| JEL: | F21 F37 G12 G15 |
| Date: | 2009–09 |
| URL: | http://d.repec.org/n?u=RePEc:bog:wpaper:103&r=eec |
| By: | Robert Stehrer (The Vienna Institute for International Economic Studies, wiiw); Neil Foster (The Vienna Institute for International Economic Studies, wiiw); Jesus Crespo-Cuaresma |
| Abstract: | We analyse the robustness of potential determinants of the differences in the long-run growth rate of GDP per capita across EU regions using quantile regression. We propose using Bayesian Model Averaging (BMA) methods on the class of quantile regression models in order to assess the set of relevant covariates in cross-regional growth regressions allowing for different effects across quantiles of the growth variable. The results indicate that the set of robust growth determinants differs across quantiles. The set of robust variables includes skill endowment and initial GDP per capita when not and physical investment when taking country fixed effects into account. However, even when a variable is found to be robust across quantiles the estimated impact on growth of that variable is often found to differ across the quantiles. |
| Keywords: | economic growth, Bayesian Model Averaging, quantile regressions, International Trade and Competitiveness, Services |
| JEL: | C11 C21 R11 |
| Date: | 2009–05 |
| URL: | http://d.repec.org/n?u=RePEc:wii:wpaper:54&r=eec |
| By: | Walter G. Park; Peter Hingley |
| Abstract: | At the European Patent Office (EPO) a comprehensive data file called PRI is maintained of patent families. The file records are based on published patent documents, indexed by the priority number of the first patent filing, with information on subsequent patenting activities for that invention in the four major economic blocs: EPC contracting states, Japan, USA and Others. It is possible to filter the data in order to highlight the most important inventions, for example by selecting Trilateral patent families that lead to patenting activity in EPC contracting states (including EPO), Japan and USA. The relationship between patent families and subsequent filings is not one-to-one. In order to compare calculated figures from the EPO data set with an alternative system of consolidated families, it is suggested that bounds may be calculable for numbers of consolidated families by taking account of the overall numbers of network links between priority forming first filings and subsequent filings. The key to this methodology is the identification of all the links between first filings and subsequent filings in a family. There is a timeliness problem caused by a considerable delay between the date of first filing and the appearance of a publication that can index a patent family. A method is described by which more up-to-date counts of families (numbers of priorities) can be made by augmenting the database with information that is available in the distinct filings databases at the patent offices. The families data set can be used to investigate the patenting behaviour by individual companies, industries, countries or economic blocs, or to study changing patterns of technology in world-wide industrial research. Some representative data are presented over a series of years that show increasing trends for the numbers of world-wide first filings, for numbers of filings flowing from one country to another, for numbers of patent families making use of the PCT system, and for the numbers of families within the EPC contracting states area that make use of the EPO. Good forecasts for numbers of patent filings at the EPO are needed for the purpose of internal resource requirements planning. An initial attempt is described to set up an econometric model for the development of subsequent filings at the EPO, based on patent families information and on concomitant variables including source country R&D stock per worker and source country GDP per capita. It may eventually be possible to generalise a successful model of this type in order to predict filings flows to and from all the major patent offices. |
| Date: | 2009–07 |
| URL: | http://d.repec.org/n?u=RePEc:amu:wpaper:2009-08&r=eec |
| By: | Susanto Basu (Boston College; NBER); Luigi Pascali (Boston College); Fabio Schiantarelli (Boston College; IZA); Luis Serven (World Bank) |
| Abstract: | We prove that the change in welfare of a representative consumer is summarized by the current and expected future values of the standard Solow productivity residual. The equivalence holds if the representative household maximizes utility while taking prices parametrically. This result justifies TFP as the right summary measure of welfare (even in situations where it does not properly measure technology) and makes it possible to calculate the contributions of disaggregated units (industries or firms) to aggregate welfare using readily available TFP data. Based on this finding, we compute firm and industry contributions to welfare for a set of European OECD countries (Belgium, France, Great Britain, Italy, Spain), using industry-level (EU-KLEMS) and firm-level (Amadeus) data. After adding further assumptions about technology and market structure (firms minimize costs and face common factor prices), we show that welfare change can be decomposed into three components that reject respectively technical change, aggregate distortions and allocative efficiency. Then, using theoretically appropriate firm-level data, we assess the importance of each of these components as sources of welfare improvement in the same set of European countries. |
| Keywords: | Productivity, Welfare, Reallocation, Technology, TFP |
| JEL: | D24 D90 E20 O47 |
| Date: | 2009–11–23 |
| URL: | http://d.repec.org/n?u=RePEc:boc:bocoec:728&r=eec |
| By: | Nigel Rice; Silvana Robone; Peter Smith |
| Abstract: | This paper explores the use of anchoring vignettes as a means to adjust survey reports of health system performance for differential reporting behaviour using data contained within the World Health Survey (WHS). Survey respondents are asked to rate their experiences of health systems across a number of domains on a five-point categorical scale. Using data provided through a set of vignettes we investigate variations in reporting of interactions with health services across both socio-demographic groups and countries. We show how the method of anchoring vignettes can be used to enhance cross-country comparability of performance. Our results show large differences in the rankings of country performance once adjustment for systematic country-level reporting behaviour has been undertaken compared to a ranking based on raw unadjusted data. |
| Keywords: | Anchoring vignettes; Cross-country comparison; Health care responsiveness; Health system performance |
| Date: | 2009–10 |
| URL: | http://d.repec.org/n?u=RePEc:yor:hectdg:09/29&r=eec |
| By: | Céline CARRERE (Centre d'Etudes et de Recherches sur le Développement International); Jaime MELO DE (Université Genève) |
| Abstract: | It was a hope of LDCs that the DOHA round would bring them greater market access in OECD countries than for non-LDCs. Using HS-6 tariff level data for the US and the EU for 2004, this paper estimates that, once the erosion from preferential access into the EU to non-LDCs are taken into account, LDCs have about a 3% preferential margin in the EU market. In the US market, in spite of preferences under AGOA, on a trade-weighted basis, LDCs are discriminated against. Under various "Swiss formulas" for tariff cuts, effective market access for LDCs in the EU will be negligible and still negative in the US. If the US were to apply a 97% rule (i.e. duty-free, quota-free access for all but three percent of the tariff lines), LDCs could increase exports by 10% or about $1billion annually. Effective market access is further reduced by complicated Rules of Origin (RoO) applied by the EU and the US. Furthermore, generally, the most restrictive RoO fall on products in which LDCs have the greatest preferential market access. |
| Keywords: | LDCs, Rules of Origin, market access |
| Date: | 2009 |
| URL: | http://d.repec.org/n?u=RePEc:cdi:wpaper:1056&r=eec |