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on European Economics |
| By: | Massimiliano Caporin (Univerista' di Padova); Loriana Pelizzon (Univerista' Ca' Foscari Venezia and MIT Sloan); Francesco Ravazzolo (Norges Bank (Central Bank of Norway) and BI Norwegian Business School); Roberto Rigobon (MIT Sloan and NBER) |
| Abstract: | This paper analyzes the sovereign risk contagion using CDS spreads for the major euro area countries. Using several econometric approaches (non linear regression, quantile regression and Bayesian quantile with heteroskedasticity) we show that propagation of shocks in Europe's CDS's has been remarkably constant even though in a signi cant part of the sample periphery countries have been extremely a ected by their sovereign debt and scal situations. Thus, the integration among the di erent countries is stable, and the risk spillover among countries is not a ected by the size of the shock. |
| Keywords: | Sovereign Risk, Contagion |
| JEL: | E58 F34 F36 G12 G15 |
| Date: | 2012–04–10 |
| URL: | http://d.repec.org/n?u=RePEc:bno:worpap:2012_05&r=eec |
| By: | Carlo A. Favero |
| Abstract: | Unstability in the comovement among bond spreads in the euro area is an important feature for dynamic econometric modelling and forecasting. This paper proposes a non-linear GVAR approach to spreads in the euro area where the changing interdepence among these variables is modelled by making each country spread function of a global variable determined by fiscal fundamentals with a time-varying composition. The model naturally accommodates the possibility of multiple equilibria in the relation between default premia and local fiscal fundamentals. The estimation reveals a significant non-linear relation between spreads and fiscal fundamentals that generates time-varying impulse response of local spreads to shocks in other euro area countries spreads. The GVAR framework is then applied to the analysis of the dynamic effects of fiscal stabilization packages on the cost of government borrowing and to the evaluation of the importance of potential contagion effects determining a significant increase in cross-market linkages after a shock to a group of countries. |
| Date: | 2012 |
| URL: | http://d.repec.org/n?u=RePEc:igi:igierp:431&r=eec |
| By: | Banerjee, Ritwik |
| Abstract: | Unsustainable levels of debt for some European economies is causing enormous strain in the Euro area. How to tide over the debt crisis seems to be the most important objective the European policy makers are currently facing. We use a dynamic general equilibrium closed economy model to compute the dynamic Laffer Curves for Portugal, Ireland, Greece and Spain for different class of taxes. We conclude that there exists scope for considerable revenue generation by raising certain class of taxes. Thus revenue generation, along with fiscal consolidation holds key for debt reduction. |
| Keywords: | fiscal consolidation; dynamic laffer curve; tax revenue; fiscal policy |
| JEL: | E62 E61 O52 |
| Date: | 2012–04–07 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:37956&r=eec |
| By: | Ansgar Belke; Matthias Göcke; Martin Guenther |
| Abstract: | A non-linear model is applied where suddenly strong spurts of exports occur when changes of the exchange rate go beyond a zone of inaction. We call the latter a “play” area – analogous to mechanical play and implement an algorithm describing path-dependent play-hysteresis into a regression framework. The hysteretic impact of real exchange rates on German exports is then estimated based on quarterly data from 1995Q1 to 2010Q3. For some of the main export partners of Germany outside the euro area and some of the most important tradable sectors we fi nd significant hysteretic effects for a part of the German exports. |
| Keywords: | Exchange rate movements; play-hysteresis; modelling techniques; switching/spline regression; export demand |
| JEL: | F14 C51 |
| Date: | 2012–04 |
| URL: | http://d.repec.org/n?u=RePEc:rwi:repape:0327&r=eec |
| By: | Leon Podkaminer (The Vienna Institute for International Economic Studies, wiiw) |
| Abstract: | Should the euro area continue to ‘muddle through’ and thus avoid deep recession in 2012, the Czech economy would escape recession as well. But its growth in 2012 will be depressed by the stubborn attempts to meet the fiscal targets, no matter what. A euro area recovery in 2013 and beyond would naturally (by way of stronger demand for imports) help speed up growth in the Czech Republic. In addition, the fiscal consolidation measures will by then become less intense (also because of the next regular parliamentary elections to be held in 2014). Good financial standing of the banking and corporate sectors, relatively low level of household debt, combined with competent policy of the Czech National Bank (determined to keep a very relaxed policy even in face of temporary hikes in inflation) should, by then, help accelerate growth – first of investments and then of private consumption and overall GDP. |
| Date: | 2012–03 |
| URL: | http://d.repec.org/n?u=RePEc:wii:fpaper:fc:9:cz&r=eec |
| By: | Sauter, Oliver |
| Abstract: | This paper is an empirical investigation of uncertainty in the Euro Zone as well as the US. It conducts a factor analysis of uncertainty measures starting in 2001 until the end of 2011. For this purpose I use survey-based data provided by the ECB and the Federal Reserve Bank of Philadelphia as well as the stock market indices VSTOXX and VIX, both measures of implied volatility of stock market movements. Each measure shows an increase in uncertainty during the last years marked by the financial turmoil. Given the rise in uncertainty, the question arises whether this uncertainty is driven by the same underlying forces. For the Euro Zone, I show that uncertainty can be separated into driving forces of short and long-term uncertainty. In the US there is a sharp distinction between uncertainty that drives stock market and “real” variables on the one hand and inflation (short and long-term) on the other hand. Combing both data sets, factor analysis delivers (1) an international stock market factor, (2) a common European uncertainty factor and (3) an US-inflation uncertainty factor. |
| Keywords: | monetary policy; uncertainty; survey forecast; forecast disagreement; factor analysis |
| JEL: | E5 E3 |
| Date: | 2012–03 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:38031&r=eec |
| By: | Florence Bonnet (International Labour Office, Social Security Department); Catherine Saget (International Labour Office, Economic and Labour Market Analysis Department); Axel Weber |
| Abstract: | Using data from standardized questionnaires on 77 countries, this document reviews policy response to the global crisis that was initiated in 2008, in the area of social protection. The most prevalent measure consists of changes to existing schemes, while few new schemes were initiated in the wake of the crisis. Partial unemployment systems have also been used outside Europe in emerging economies. Pension schemes were reformed in one-third of countries, at various stages of development. Middle-income countries more frequently expanded conditional cash transfers, while in low-income countries, the bulk of the protection concerns food subsidies. In terms of spending, automatic stabilizers, designed to mechanically cover more people in difficult times, represent a higher share of GDP than new programmes. Austerity measures were recorded in 10 per cent of countries. Regarding financing, 25 countries introduced or extended reductions in social security contributions, including 9 on a permanent basis. The document also reviews changes in the minimum wage. Almost half the countries in the sample increased their minimum wages during the period as a way of protecting purchasing power, a significant departure from previous crises’ trends. |
| Keywords: | social protection / social security / minimum wage / unemployment benefit / economic recession / developed countries / developing countries |
| Date: | 2012 |
| URL: | http://d.repec.org/n?u=RePEc:ilo:emwpap:2012-113&r=eec |
| By: | Dawn Holland; Tatiana Fic; Pawel Paluchowski; Ana Rincon-Aznar; Lucy Stokes |
| Date: | 2011–04 |
| URL: | http://d.repec.org/n?u=RePEc:nsr:niesrd:379&r=eec |
| By: | Alber, Jens; Heisig, Jan Paul |
| Abstract: | The German Hartz reforms, introduced by the Red-Green coalition government in the years 2003 to 2005, form part of a broader pattern of European activation policies which have become known as new labour policies. The idea of these reforms was to reduce welfare dependency and to boost activity rates by making work pay, and by transforming the welfare state from a passive instrument of social protection to an enabling social investment that fosters universal labour force participation as the ultimate form of social inclusion. The German variety of these policies abolished earnings-related benefits to the long-term unemployed, partly fused the unemployment compensation scheme with the minimum income social assistance scheme and increased activating pressures on ablebodied people at working age by combining new sanctions with an extension of placement services. Based on a description of the relevant institutional changes, we show that means-tested benefits have become the major form of social transfer payments to the unemployed. The reforms also entailed a massive growth in German employment and especially in low-wage employment. As non-standard forms of employment proliferated, growing proportions of economically active people joined the ranks of the working poor by combining earnings from work with means-tested in-work benefits. Based on survey data from the German Socio-Economic Panel (GSOEP), we show that the working poor enjoy higher life satisfaction, social integration and civic engagement than the nonworking poor. However, these individual and social benefits of employment critically depend on pay levels and overall job quality, as our own analyses confirm for the case of men's life satisfaction. The welfare gains achieved by Germany's recent reforms may therefore be smaller than suggested by employment rates alone, because people near the poverty line are now more willing to make concessions and to accept job offers even if the jobs they get are of minor quality. -- Die von der rot-grünen Bundesregierung nach der Jahrtausendwende durchgesetzten Hartz-Reformen sind Teil eines allgemeinen Musters der Aktivierungspolitik, die von mehreren sozialdemokratischen Regierungen Europas unter dem Stichwort new labour betrieben wurde. Das Ziel dieser Reformpolitik war es, die Abhängigkeit von staatlichen Transferzahlungen zu mindern und das Beschäftigungsniveau zu steigern, indem Arbeit im Niedriglohnsektor mit Hilfe von Subventionen attraktiver gemacht und der Sozialstaat von einer reaktiven Instanz des sozialen Schutzes zu einem befähigenden Instrument sozialer Investition umgebaut wurde. Die deutsche Variante dieser Politik schaffte die einkommensbezogenen Leistungen für Langzeitarbeitslose ab, fusionierte die soziale Sicherung der Arbeitslosen teilweise mit der Sozialhilfe und erhöhte den Aktivierungsdruck auf die Leistungsempfänger durch eine Politik des Forderns und Förderns, die neue Sanktionsmöglichkeiten mit verbesserten Bildungs- und Vermittlungsdiensten verband. Auf der Grundlage einer Beschreibung der wichtigsten institutionellen Reformen zeigen wir, dass die an Bedürftigkeitstests gebundene Grundsicherung heute die bei weitem häufigste Transferzahlung für Arbeitslose darstellt. Das Beschäftigungsniveau ist seit den Reformen insbesondere im Niedriglohnsektor beträchtlich gestiegen. Da vor allem diverse Formen atypischer Beschäftigung zugenommen haben, zählt ein wachsender Teil der Erwerbstätigen zur Gruppe der arbeitenden Armen, die ihr Erwerbseinkommen mit Leistungen der Grundsicherung aufstocken. Auf der Basis von SOEP-Daten zeigen wir, dass die arbeitenden Armen nicht nur zufriedener, sondern auch in vielfältiger Weise besser sozial integriert sind als vergleichbare nicht arbeitende Arme. Wie wir am Beispiel der Lebenszufriedenheit von Männern zeigen, hängen die positiven Effekte der Erwerbstätigkeit allerdings entscheidend von der Entlohnung und anderen Aspekten der Arbeitsplatzqualität ab. Die Wohlfahrtsbilanz der Hartz-Reformen könnte deshalb ungünstiger ausfallen, als die Beschäftigungsentwicklung vermuten lässt, da Arbeitsuchende nun eher zu Konzessionen bereit sind und auch schlechtere Stellenangebote akzeptieren. |
| Keywords: | Minimum income support,unemployment compensation,labour market reforms,Hartz reform,activation policy,social inclusion,recommodification,working and non-working poor,Mindestsicherung,Arbeitslosenunterstützung,Arbeitsmarktreformen,Hartz-Reform,Aktivierungspolitik,soziale Inklusion und Teilhabe,Rekommodifizierung,arbeitende und nicht arbeitende Arme |
| JEL: | I38 J68 |
| Date: | 2011 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:wzbisi:spi2011211&r=eec |