nep-eec New Economics Papers
on European Economics
Issue of 2011‒08‒29
seventeen papers chosen by
Giuseppe Marotta
University of Modena and Reggio Emilia

  1. Ramifi cations of Debt Restructuring on the Euro Area – The Example of Large European Economies’ Exposure to Greece By Ansgar Belke; Christian Dreger
  2. Greek ricochet? What drove Poles' attitudes to the euro in 2009-2010 By Andrzej Torój; Joanna Osińska
  3. Applying and interpreting model-based seasonal adjustment. The euro-area industrial production series By Agustín Maravall Herrero; Domingo Pérez Cañete
  4. Fixed Exchange Rate Versus Inflation Targeting: Evidence from DSGE Modelling By Viktors Ajevskis; Kristine Vitola
  5. Lisbon strategy and EU countries’ performance: social inclusion and sustainability By Paola Bertolini; Francesco Pagliacci
  6. How Important is Wealth for Explaining Household Consumption Over the Recent Crisis?: An Empirical Study for the United States, Japan and the Euro Area By Clovis Kerdrain
  7. Estonie: l'euro détrône la couronne. By Antonin, Céline; Levasseur, Sandrine
  8. Stock market firm-level information and real economic activity By Filippo di Mauro; Fabio Fornari; Dario Mannucci
  9. What Drives Inflation in the Major OECD Economies? By Diego Moccero; Shingo Watanabe; Boris Cournède
  10. The Exchange Rate Pass-Through in the New EU Member States By Jimborean, R.
  11. Interest Rate Pass-through During the Global Financial Crisis: The Case of Sweden By Niels-Jakob Harbo Hansen; Peter Welz
  12. Estonia: Making the Most of Globalisation By Robert Price; Andreas Wörgötter
  13. Working Paper 08-11 - What has been the damage of the financial crisis to Belgian GDP? An assessment based on the FPB’s medium-term outlook By Igor Lebrun
  14. Forecasting the Yield Curve for the Euro Region By Benjamin M. Tabak; Daniel O. Cajueiro; Alexandre B. Sollaci
  15. Inequality and poverty during the recession in Italy By Massimo Baldini; Emanuele Ciani
  16. The Italian Labour Market and the Crisis By Tindara Addabbo; Anna Maccagnan
  17. Working Paper 18-10 - Comparaison des composantes de la croissance de la productivité : Belgique, Allemagne, France et Pays-Bas 1996-2007 By Bernadette Biatour; Chantal Kegels

  1. By: Ansgar Belke; Christian Dreger
    Abstract: The Greek government budget situation plays a central role in the debt crisis in the euro area. The debt to GDP ratio is above 150 percent, while the defi cit to GDP ratio exceeds 10 percent. To re-establish the Maastricht criteria, respectively, strong consolidation measures need to be implemented, with potential adverse eff ects on the Greek economy, and further credit requirements. Therefore, a debt conversion might become a reasonable alternative. The aim of this paper is to provide some simulation-based calculations on the expected fi scal costs for the governments in the large European countries Germany, France, Spain and Italy arising from diff erent policy options – among them a second Greek rescue package. Under realistic conditions, a debt conversion may be the less costly strategy for Greece and the euro area partner states. A value-added of these calculations lies in a potential transfer to smaller euro area member countries.
    Keywords: Euro area debt crisis; debt conversion; Greece
    JEL: F33 F34 H63
    Date: 2011–07
  2. By: Andrzej Torój (Ministry of Finance, Poland); Joanna Osińska (Ministry of Finance in Poland)
    Abstract: We investigate the determinants of support for the euro adoption in Poland in 2009 and 2010. Using two unique survey datasets, collected in December 2009 and June 2010, we estimate ordered and unordered logit models explaining the respondents' attitude to the introduction of the common currency. Whereas the public support has generally declined over this period, probably against the background of sovereign debt crises in the euro area, this decline was concentrated along some dimensions. We find that the declared level of information about the euro is a key driver of this support, both in 2009 and -- even more so -- in 2010, as well-informed respondents tend to be significantly more supportive of the common currency than badly-informed ones. We also find some evidence that political views influence the attitude towards the euro, but they are by no means its main determinant. During the crisis, the conviction of euro being a “strong, stable currency” has faded; instead, a negative attitude started to result from low income, high age and low economic knowledge. Surprisingly, in 2010 a more negative attitude was represented by students, white-collar workers and big city residents. All in all, the public perception of the euro does not seem to be fixed, but evolves with economic and political developments, so that new concerns appear.
    Keywords: EMU, attitudes towards the euro, public opinion, ordered logit, unordered logit
    JEL: C25 F33
    Date: 2011–08–17
  3. By: Agustín Maravall Herrero (Banco de España); Domingo Pérez Cañete (Banco de España)
    Abstract: The recent economic crisis has altered the dynamics of economic series and, as a consequence, introduced uncertainty in seasonal adjustment of recent years. This problem was discussed in recent workshops at the European Central Bank and at Eurostat in the context of adjustment of the Euro Area Industrial Production (EPI) series. Because a seasonal component is unobserved and undefi ned, it is diffi cult to compare results from different adjustment methods. Within the regARIMA model-based approach, however, a framework for systematic analysis and comparison of results is indeed present. The EPI series is analyzed under the TRAMO-SEATS framework. The purpose of the analysis is not to compare alternative methods, but to show how the results of the model-based analysis can be exploited at the identifi cation, diagnostics, and inference stages of modeling, and in the selection of an appropiate seasonal adjustment (and underlying model). Despite the uncertainty induced by the crisis (and the revisions to the unadjusted data), the automatic procedure, with ramps to capture the spectacular 2008 drop in the series, provides excellent and stable results.
    Keywords: Time series analysis, Seasonal adjustment, Regression-ARIMA models, Filtering and smoothing, program TSW
    JEL: C22 C52 C87
    Date: 2011–07
  4. By: Viktors Ajevskis; Kristine Vitola
    Abstract: We evaluate implications of inflation targeting versus fixed exchange rate regime for the UK, Sweden, Poland, the Czech Republic, Estonia, Latvia and Lithuania, i.e. seven EU non-euro area countries. To this end, we estimate a small open economy DSGE model and simulate a model under estimated structural parameters and different sets of policy parameters. The results obtained are compared in terms of inflation, output gap and interest rate volatility. For inflation targeting countries, a policy switch to fixed exchange rate would entail 3–6 times higher inflation volatility. In the Baltic economies, a policy change to inflation targeting with fully flexible exchange rate would amplify inflation volatility 2–4 times, whereas the existing price stabilisation and exchange rate fluctuations within the ERM II bands would entail 3–6 times more volatile inflation. Policy simulations thus show evidence that in all the countries the existing monetary rule guarantees more stable inflation and output than under alternative regimes.
    Keywords: DSGE, small open economy, fixed exchange rate, inflation targeting, Bayesian estimation
    JEL: C11 C3 C51 D58 E58 F41
    Date: 2011–07–25
  5. By: Paola Bertolini; Francesco Pagliacci
    Abstract: In 2010, the Lisbon Strategy came to its end. Even if many targets have not been fully reached by each of the 27 EU Members, a new and more ambitious reform strategy has been launched: the Europe 2020 Strategy. In order to evaluate the results of the Lisbon Strategy and of Europe 2020 Strategy, many indicators are yearly collected and published by EUROSTAT. From the analysis of these indicators, the work analyses how different European countries perform in economic, social and environmental issues. The paper moves from the works of Sapir [2006], who has already underlined – among the EU-15 – the existence of four different European social models (Nordic, Anglo- Saxon, Continental, Mediterranean), sharing different combinations of economic efficiency and social equity. This work tries to go further. First, it also underlines the role of the environmental issues in defining a sustainable European social model. Then, the analysis includes also Eastern countries, trying to identify the existence of possible Eastern social models. Therefore, in order to identify different European social models, we use a multivariate statistics methodology, i.e. the Principal Component Analysis (PCA), applied to a set of 20 variables (all the variables included in the short list of indicators from EU plus other environmental indicators) collected for all the European countries. The obtained results are among the expected ones. Sapir’s results are largely confirmed. In particular the supremacy of the Nordic model is straightforward. On the opposite side, when including environmental indicators, the Anglo-Saxon model seems to perform worse than Mediterranean one. Finally, referring to Eastern countries, a single social model does not emerge.
    Keywords: European policies, Lisbon Strategy, social models, sustainability
    JEL: R11 R58
    Date: 2011–03
  6. By: Clovis Kerdrain
    Abstract: This paper provides new empirical results linking financial and housing wealth to household consumption for the United States, Japan and the euro area. The results suggest that there are important cross-country differences in how wealth, especially housing wealth, affects consumption. They further demonstrate that it can be important to take into account wealth effects on consumption in short-term forecasting exercises, a point which is particularly well illustrated in relation to the recent economic crisis. In addition, conditional projections underline the importance of asset price developments and wealth in determining US savings over the medium term.<P>Quelle est l'importance du patrimoine pour expliquer la consommation des ménages au cours de la crise récente ? : Une étude empirique appliquée aux États-Unis, au Japon et à la zone euro<BR>Cette étude fournit de nouveaux résultats empiriques établissant un lien entre la consommation des ménages et leur patrimoine financier et immobilier aux États-Unis, au Japon et pour la zone euro. Les résultats suggèrent que l'importance des effets-richesse dans la consommation varie sensiblement entre les pays, en particulier en ce qui concerne la richesse immobilière. Ils montrent également qu'il peut être important de prendre en compte ces effets-richesse dans les exercices de prévision de la consommation à court terme, ce que la période de crise récente permet d'illustrer. De plus, des projections conditionnelles soulignent l’importance de l’évolution des prix d’actifs et de la richesse dans la détermination de l’épargne aux Etats-Unis sur le moyen terme.
    Keywords: housing wealth, effet de richesse, Patrimoine immobilier, patrimoine financier, Équation de consommation
    JEL: C22 D12 E21 E44
    Date: 2011–05–25
  7. By: Antonin, Céline (Centre de recherche en économie de Sciences Po); Levasseur, Sandrine (Centre de recherche en économie de Sciences Po)
    Abstract: Le 1er janvier 2011, l'Estonie deviendra le 17e membre de la zone euro. Voilà qui devrait faire réfléchir ceux qui envisagent l'éclatement de la zone. En Estonie, l'euro est en effet perçu comme une consécration de la politique pro-européenne menée depuis l'effondrement de l'ex-URSS. Depuis près de vingt ans, l'Estonie s'est ancrée à l'Europe en matière monétaire - via le currency board -, en matière commerciale - les deux tiers de ses exportations ayant pour destination l'Union européenne (UE) -, et enfin en matière budgétaire par le biais d'une politique budgétaire rigoureuse. Cet effort a permis au pays de remplir les critères de Maastricht. Pourtant, ces critères ne permettent pas de rendre compte pleinement des enjeux de l'intégration de l'Estonie à la zone euro. Après treize années de croissance (1994-2007), l'Estonie a subi la crise de plein fouet, enregistrant une récession record de -13,9% en 2009. Cette forte dégradation conjoncturelle se double de faiblesses structurelles - faible compétitivité, fort endettement privé, pressions inflationnistes - qui risquent d'en faire un nouveau maillon faible de la zone euro, au moment même où cette dernière cherche à se redéfinir.
    Date: 2010–12
  8. By: Filippo di Mauro (European Central Bank, Kaiserstrasse 29, D-60311 Frankfurt am Main, Germany.); Fabio Fornari (European Central Bank, Kaiserstrasse 29, D-60311 Frankfurt am Main, Germany.); Dario Mannucci (Prometeia, Via G. Marconi 43, 40122 Bologna, Italy.)
    Abstract: We provide evidence that changes in the equity price and volatility of individual firms (measures that approximate the definition of 'granular shock' given in Gabaix, 2010) are key to improve the predictability of aggregate business cycle fluctuations in a number of countries. Specifically, adding the return and the volatility of firm-level equity prices to aggregate financial information leads to a significant improvement in forecasting business cycle developments in four economic areas, at various horizons. Importantly, not only domestic firms but also foreign firms improve business cycle predictability for a given economic area. This is not immediately visible when one takes an unconditional standpoint (i.e. an average across the sample). However, conditioning on the business cycle position of the domestic economy, the relative importance of the two sets of firms - foreign and domestic - exhibits noticeable swings across time. Analogously, the sectoral classification of the firms that in a given month retain the highest predictive power for future IP changes also varies significantly over time as a function of the business cycle position of the domestic economy. Limited to the United States, predictive ability is found to be related to selected balance sheet items, suggesting that structural features differentiate the firms that can anticipate aggregate fluctuations from those that do not help to this aim. Beyond the purely forecasting application, this finding may enhance our understanding of the underlying origins of aggregate fluctuations. We also propose to use the cross sectional stock market information to macro-prudential aims through an economic Value at Risk. JEL Classification: C53, C58, F37, G15.
    Keywords: Business cycle forecasting, granular shock, international linkages.
    Date: 2011–08
  9. By: Diego Moccero; Shingo Watanabe; Boris Cournède
    Abstract: This paper presents an empirical analysis of the determinants of inflation in the United States, Japan, the euro area and the United Kingdom, focusing on the role of resource utilisation, inflation expectations, inflation persistence and imported inflation. It also includes a cross-sectional analysis that focuses on inflation dynamics over episodes of persistent large slack and low inflation. The main findings of this analysis are as follows: i) During the crisis, the stability of inflation expectations has held up actual inflation, so far preventing the huge slack in resource utilisation from leading to a disinflationary spiral; ii) Disinflationary pressures also seem to have been moderated by the flattening of the Phillips curve in an environment of persistent large economic slack and low inflation; iii) The link between long-term inflation expectations and past inflation outcomes has become weaker over time and appears to have almost disappeared recently; iv) The estimated Phillips curves coupled with the November 2010 projection of explanatory variables presented in the OECD Economic Outlook No. 88 and excluding the recent period of strong commodity prices point to inflation remaining low but positive, except in Japan where deflation is expected to continue past end-2012; v) The inflation outlook and associated risks argue for withdrawing monetary policy accommodation gradually in the short term, while being vigilant about the build up of broad-based inflationary pressures over the medium term.<P>Quels sont les facteurs d'inflation dans les économies de l'OCDE<BR>Cet article présente une analyse empirique des déterminants de l'inflation aux États-Unis, au Japon, dans la zone euro et au Royaume-Uni, mettant l'accent sur le rôle de l'utilisation des ressources, les anticipations d'inflation, la persistance de l'inflation et l'inflation importée. Il propose également une analyse de la dynamique de l'inflation au cours des épisodes durables de nette sous-utilisation des capacités et de faible inflation. Les principales conclusions de cette analyse sont les suivantes: i) Pendant la crise, la stabilité des anticipations d'inflation a empêché que le sous-emploi des ressources ne conduise à une spirale déflationniste, ii) Il semble également que les pressions désinflationnistes aient été modérées par l'aplatissement de la courbe de Phillips dans un contexte de faiblesse économique persistante et de basse inflation; iii) L’influence des derniers chiffres d’inflation sur les attentes d'inflation à long terme s'est affaiblie au fil du temps et semble avoir presque disparu récemment; iv) Des prévisions fondées sur les courbes de Phillips estimées et les projections des Perspectives Économiques de l’OCDE n°88 de novembre 2010 excluant la période récente de hausse des prix des produits de base suggèrent une inflation restant faible, mais positive d’ici à fin 2012, sauf au Japon où la déflation devrait se poursuivre au moins jusqu’au-delà de cette période; v) La configuration des risques à court terme et à moyen terme plaide pour un retrait progressif de l’expansion monétaire en demeurant vigilant quant au risque d’apparition de pressions inflationnistes à moyen terme.
    Keywords: United Kingdom, Japan, United States, disinflation, euro area, Phillips curves, core and headline inflation, inflation forecast, inflation expectations, resource slack, Royaume-Uni, Japon, États-Unis, zone Euro, désinflation, courbes de Phillips, fondement et base de l'inflation, anticipations d'inflation, fluctuation des ressources
    JEL: C53 E31 E52
    Date: 2011–04–08
  10. By: Jimborean, R.
    Abstract: This paper aims to complete our understanding of the relationship between changes in nominal effective exchange rates and prices in the new EU member states. We investigate the exchange rate pass-through to import, producer and consumer prices for ten Central and Eastern European countries with quarterly data from January 1996 to June 2010. In a first step, the pass-through estimates are derived from a dynamic panel data model, through the generalized method of moments. A statistically significant exchange rate pass-through to import prices is found, while no statistically significant exchange rate pass-through is estimated to consumer and producer prices. We further investigate whether exchange-rate pass-through estimates have declined in response to a change in inflation environment and find evidence of such decline only for import prices, both in the short run and the long run. In a second step, we proceed to an individual analysis, country by country, and find support for an increased heterogeneity in the exchange rate pass-through estimates. We equally test for the stability of the estimated.
    Keywords: inflation and prices, exchange rate pass-through, GMM, international topics.
    JEL: C33 E31 E42 E52 F31 O52
    Date: 2011
  11. By: Niels-Jakob Harbo Hansen; Peter Welz
    Abstract: A stable relationship between monetary policy rates and bank lending and deposit rates faced by consumers and companies is essential for the effective transmission of monetary policy decisions. This paper studies how changes in the policy rate set by the Swedish central bank, the Riksbank, have been transmitted to money market rates and, in turn, to retail rates before and during the financial turmoil that erupted in summer 2007. Historically, the Riksbank has been successful in effectively controlling money market rates, but during the financial turmoil the transmission of impulses from the policy rate to money market rates appears to have been weakened by elevated and volatile risk premia, although these increased less in Sweden than in the euro area, United Kingdom and United States. The pass-through from money market rates to retail rates is found to have been complete, but sluggish, before the turmoil. Pass-through was also faster into short-term loan rates for non-financial companies than for households. During the turmoil the pass-through from money market to lending rates has been preserved at short maturities, but not at longer maturities. Lack of access to long-term funding has likely played a role.<P>Le canal de transmission des taux d'intérêt pendant la crise financière mondiale : le cas de la Suède<BR>L’existence d’une relation stable entre les taux d’intérêt fixés par les autorités monétaires et les taux que les banques offrent aux ménages et aux entreprises est essentielle pour la transmission des décisions de politique monétaire. Cet article étudie comment les changements de taux d’intérêt de la banque centrale de Suède, la Riksbank, se répercutent sur les taux du marché monétaire, puis sur les taux proposés par les institutions financières à leurs clients, avant et pendant la crise financière démarrant en 2007. Le contrôle de la Riksbank sur les taux du marché monétaire, fort au court des dernières années, apparaît affaibli par l’importance et la volatilité des primes de risque depuis l’été 2007, même si ces dernières ont moins augmenté en Suède que dans d’autres pays de l’OCDE. La transmission des variations des taux du marché monétaire aux taux offerts par les institutions financières semble avoir été complète avant la crise, bien que lente. Elle était aussi plus rapide pour les prêts de court terme aux entreprises non-financières que pour les prêts aux ménages. Pendant la crise, le canal de transmission des taux du marché monétaire aux taux offerts par les institutions financières a été préservé pour les courtes maturités, mais affaibli pour les longues maturités. Le manque d’accès à des financements de long terme a pu jouer un rôle.
    Keywords: Sweden, interest rate pass-through, financial crisis, monetary transmission, Suède, crise financière, canaux de transmission de la politique monétaire, transmission des taux d’intérêt
    JEL: E43 E52
    Date: 2011–04–08
  12. By: Robert Price; Andreas Wörgötter
    Abstract: Estonia has already experienced many benefits of increasing international integration, most obviously in significant convergence. From the Russian crisis in 1998 to the great recession in 2009 Estonia gained an impressive 20% in GDP per capita relative to the EU27 average in PPPs. Like the other Baltic economies, however, a considerable part of earlier convergence gains was lost in the crisis, the impact of which was aggravated by the collapse of world trade. While this was also true for Ireland, central European countries in the process of catching up, like Czech Republic, Poland and Slovakia, have been less affected by the crisis and have been able to maintain most of their convergence gains. Moreover, prior to the recession Estonia’s gap in income and productivity levels compared with the EU average was still around 30% and as the country emerges from recession it faces major policy challenges to regain its pre-crisis rate of growth potential. A greater focus on closing the productivity gap in the manufacturing-for-export sector compared with other transition countries would serve as a useful and challenging benchmark in order to get more out of globalisation.<P>Estonie : Tirer le meilleur parti de la mondialisation<BR>L'Estonie a déjà tiré grand profit du renforcement de son intégration internationale, et notamment des résultats probants obtenus en matière de convergence. Entre la crise russe de 1998 et la profonde récession de 2009, le pays a amélioré de quelque 20% - chiffre impressionnant - sa position relative, en PPA, par rapport au PIB moyen par habitant de l'UE27. Mais comme dans les autres pays baltes, une grande part des gains antérieurs liés à la convergence a fondu avec la crise, elle-même aggravée par l'effondrement du commerce mondial. Si l'Irlande a connu le même sort, des pays d'Europe centrale en plein rattrapage tels que la Pologne, la République tchèque et la République slovaque ont été moins touchés par la crise et ont pu préserver la majeure partie de leurs gains de convergence. Toutefois, l'écart entre les niveaux moyens de revenu et de productivité communautaires et estoniens avoisinait encore 30 % avant la récession ; au moment où l'Estonie sort de la crise, les pouvoirs publics se heurtent donc à des défis de taille pour maintenir le taux de croissance potentielle enregistré avant la récession. Dans la perspective de mieux exploiter la mondialisation, l'accent mis par d'autres pays en transition sur la résorption du déficit de productivité dans le secteur manufacturier exportateur pourra servir de point de repère intéressant.
    Keywords: globalisation, productivity, competition, education, innovation, convergence, FDI, Estonia, export performance, enterprise, periphery, productivité, entreprise, innovation, éducation, convergence, concurrence, mondialisation, Estonie, performance à l'exportation, périphérie, IDE
    JEL: F14 F23
    Date: 2011–06–21
  13. By: Igor Lebrun
    Abstract: A consensus quickly emerged among national and international organizations, based on past experiences, that the financial crisis that erupted in 2008 would have a long-lasting impact on the level of output. An initial quantification of the potential output loss imputable to the crisis for Belgium was presented in WP 10-09. This Working Paper provides an update of this analysis and examines through the successive revisions of projections made by the Federal Planning Bureau how the perception of the crisis has evolved over the last two years and what its implications are for the medium run.  The shortfall in potential output is now estimated to be less than 3 %, close to the area-wide loss estimated for the OECD-countries.
    Keywords: Financial crisis, Potential output
    JEL: C5 E1 O47
    Date: 2011–06–21
  14. By: Benjamin M. Tabak; Daniel O. Cajueiro; Alexandre B. Sollaci
    Abstract: This paper compares the forecast precision of the Functional Signal plus Noise (FSN), the Dynamic Nelson-Siegel (DL), and a random walk model. The empirical results suggest that both outperform the random walk at short horizons (one-month) and that the the FSN model outperforms the DL at the one-month forecasting horizon. The conclusions provided in this paper are important for policy makers, fixed income portfolio managers, financial institutions and academics.
    Date: 2011–08
  15. By: Massimo Baldini; Emanuele Ciani
    Abstract: This paper simulates the effects of the recent economic crisis on income inequality and poverty in Italy. We impute the changes in employment rates for groups of the population, obtained from the Labour force survey, on the Silc sample for Italy, and simulate in detail also the resulting changes in unenployment benefits and in the Cassa Integrazione Guadagni, a wage supplement fund greatly expanded in the last few years.
    Keywords: Quality of work, health status, elderly
    Date: 2011–08
  16. By: Tindara Addabbo; Anna Maccagnan
    Abstract: The aim of this paper is to analyse the effects of the crisis on the Italian labour market. The Italian labour market is characterized by deep gender differences and regional variability. The data show that the crisis lead to an increase in the gap of female employment rates and womens inactivity rates with respect to Europe. The North of Italy experienced a higher increase in unemployment than the South, where many people withdrew from the labour market because of poor employment prospects. Moreover, in Italy, the increase in unemployment has been mitigated by the increase in the number of workers having access to the wage supplementation fund who are not computed within the unemployed. However, the heterogeneity in the system of unemployment benefits increased inequalities amongst the unemployed. Using a micro simulation techniques, we estimate the effect of the crisis on income distribution and poverty and find that at the national level, the population showed a reduction in equivalised household income by about 1 percent. The limited impact on household's equivalent income can be connected to the relatively high share of unemployed who are young with relatively low income and sustained by other members of the household.
    Keywords: labour market, poverty, economic crisis
    JEL: J6 I32
    Date: 2011–02
  17. By: Bernadette Biatour; Chantal Kegels
    Keywords: Labour productivity, Growth accounting, Total factor productivity
    JEL: C82 D24 E22 E32 F43
    Date: 2010–10–21

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