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on European Economics |
| By: | Nidhaleddine Ben Cheikh (University of Rennes 1 - CREM UMR CNRS 6211, France) |
| Abstract: | This paper examines the presence of nonlinear mechanism in the exchange rate pass-through (ERPT) to CPI inflation for 12 euro area (EA) countries. Using logistic smooth transition models, we explore the existence of nonlinearity with respect to economic activity along the business cycle. Our results provide a strong evidence of nonlinearity in 6 out of 12 EA countries with significant differences in the degree of ERPT between the periods of expansion and recession. However, we find no clear direction in this regime-dependence of pass-through to business cycle. In some countries, ERPT is higher during expansions than in recessions; however, in other countries, this result is reversed. These cross-country differences in the nonlinear mechanism of pass-through would have important implications for the design of monetary policy and the control of inflation in the EA context. |
| Keywords: | Exchange Rate Pass-Through, Inflation, Smooth Transition Regression |
| JEL: | C22 E31 F31 |
| Date: | 2013–01 |
| URL: | http://d.repec.org/n?u=RePEc:tut:cremwp:201306&r=eec |
| By: | Kaji, Sahoko (Asian Development Bank Institute) |
| Abstract: | This paper emphasizes the importance of Europe’s structural problems and governance as the cause of the current euro area crisis. The euro may have led to bubbles, but member economies were not free of trouble before the euro. Many members were losing competitiveness and in need of removing structural rigidities. If anything, the euro was expected to encourage structural reform, by taking away the easy choice of monetary and fiscal expansion. We first discuss the relationship between the single currency and economic stability in Europe. We confirm the asymmetries that remained after the introduction of the euro and then discuss the governance overhaul taking place in Europe today. This overhaul was something that should have been done before introducing the euro, and its advancement may be the silver lining of this crisis. Finally, we touch upon the implications for Asia and Japan, from the point of view of the choice of exchange rate regime as a method to advance necessary reforms. |
| Keywords: | single currency; europe; euro area crisis; economic stability; exchange rate regimes |
| JEL: | F33 F41 |
| Date: | 2013–02–20 |
| URL: | http://d.repec.org/n?u=RePEc:ris:adbiwp:0408&r=eec |
| By: | Slawomir Ireneusz Bukowski |
| Abstract: | The aim of this paper is to outline results of investigations into the degree of the Polish and Slovak equity market integration with the euro area equity market. In investigations was used monthly data from the 1999:01-2011:12 period concerning the yield performance of the following indices: WIG, DJ EUROSTOXX, DOW JONES COMPOSITE AVERAGE and SAX. The model of the “increased impact of the common information component on equity market yields” estimated by means of GARCH (1,1) was used as a measure of the equity market integration. In the period from 1999 to 2009, the Polish equity market was more integrated with the global market than with the euro area equity market. On the other hand, the Slovak equity market was more integrated with the global market in the 1999-2004 period whereas in the years 2005-2011 its higher integration degree with the euro area equity market was noted accompanied by a low integration degree with the global market. |
| Keywords: | stock exchange, degree of equity market integration, yield, price- based measures, news-based measures, ratio of variance |
| JEL: | G10 G15 G19 |
| Date: | 2013–01–28 |
| URL: | http://d.repec.org/n?u=RePEc:pia:wpaper:115/2013&r=eec |
| By: | Raphaël Chiappini |
| Abstract: | This paper analyses the evolution of the specialisation pattern of 11 Euro area countries by analysing their comparative and technological advantages over the period 1990-2008. Using the estimation of marginal densities and Markov transition probabilities, we examine both the external shape of the distribution of technological and comparative advantages and the intra-distribution dynamics. Our results point out that there is, on average, a high persistence in industrial specialisation patterns of the 11 Euro area countries under scrutiny, conrming a lock-in eect, notably for Italy. Nevertheless, our results related to technological specialisation reveal a large mobility of technological advantages during the same period, especially in Spain. |
| Keywords: | specialisation dynamics, revealed comparative advantage, technological comparative advantage, transition probability, intra-distribution dynamics |
| JEL: | C14 F14 O33 |
| Date: | 2013–01 |
| URL: | http://d.repec.org/n?u=RePEc:gre:wpaper:2013-01&r=eec |
| By: | Paul Hubert (Ofce sciences-po) |
| Abstract: | The European Central Bank publishes inflation projections quarterly. This paper aims at establishing whether they influence private forecasts and whether they may be considered as an enhanced means of implementing policy decisions by facilitating private agents’ information processing. We provide original evidence that ECB inflation projections do influence private inflation expectations. We also find that ECB projections give information about future ECB rate movements, and that the ECB rate has different effects if complemented or not with the publication of ECB projections. We conclude that ECB projections enable private agents to correctly interpret and predict policy decisions |
| Keywords: | Monetary policy, ECB, Private forecasts,Influence, structural Var |
| JEL: | E52 E58 |
| Date: | 2013–02 |
| URL: | http://d.repec.org/n?u=RePEc:fce:doctra:13-04&r=eec |
| By: | Tom Engsted (Aarhus University and CREATES); Thomas Q. Pedersen (Aarhus University and CREATES) |
| Abstract: | Vector-autoregressive models are used to decompose housing returns in 18 OECD countries into cash ?ow (rent) news and discount rate (return) news. Only for two countries - Germany and Ireland - do changing expectations of future rents play a dominating role in explaining housing return volatility. For the majority of countries news about future returns is the main driver, and both real interest rates and risk premia play an important role in accounting for housing market volatility. Bivariate cross-country correlations and principal components analyses indicate that part of the return movements have a common factor among the majority of countries. However, in a minority of countries (Germany, Japan, and the Netherlands) return movements have been basically unrelated to return movements in other countries. |
| Keywords: | Housing return volatility, variance decomposition, dynamic Gordon growth model, innovation and news components, VAR model, principal components, OECD countries |
| JEL: | C32 G12 R31 |
| Date: | 2013–02–28 |
| URL: | http://d.repec.org/n?u=RePEc:aah:create:2013-04&r=eec |
| By: | Silvia Fedeli; Francesco Forte; Ottavio Ricchi |
| Abstract: | With the new European fiscal compact, fiscal rules of budget balance over the cycle have been introduced to limit the growth of the debt ratio to GDP. The objection may arise that they would have an adverse effect, especially in the long run on employment and growth. We test the proposition about unemployment by investigating, with a panel of 22 OECD countries (1980-2009), the relationship between Non-Accelerating Inflation Rate of Unemployment, NAIRU, as dependent variable, the underlying net lending government as a percentage of potential GDP (UNLG/pot.GDP), and the general government total receipts as a percentage of GDP, controlling the results with additional variables which may be credited to impact on NAIRU also in the short term. We find that UNLG/pot.GDP and the increase in fiscal burden may be both relevant in increasing the NAIRU in the long run. Thus one can say that, in the long run, high deficits not only do not reduce unemployment but aggravate it, and high tax burdens needed to finance the service of the debt and other public expenditure, under an invariant UNLG/pot.GDP, further increase the NAIRU, even if the inverse relation may also be true. In the short term there is no significant effect of these variables. Results are robust to the presence of cross section correlation. These results suggest that the assert that the constitutional rule of balancing the budget may create unemployment does not find an empirical evidence. They also suggest that further analysis should be carried out to test whether exogenous cause of a high NAIRU may impact on the budgetary deficit, thus making harder to adopt this rule. |
| Keywords: | NAIRU, fiscal policies indicators, cointegration analysis |
| JEL: | C23 E24 E62 H62 |
| Date: | 2013–02 |
| URL: | http://d.repec.org/n?u=RePEc:sap:wpaper:wp160&r=eec |
| By: | Carsten Hefeker (University of Siegen); Michael Neugart (University of Darmstadt) |
| Abstract: | The implementation of European Union directives into national law is at the discretion of member states. We analyze incentives for member states to deviate from these directives when the European Commission may sue a defecting member state and rulings at the European Court of Justice (ECJ) are uncertain. We find that higher uncertainty about the preferences of the ECJ increases policy deviation, irrespective of whether a case is taken to court or not. If decisions of member states to deviate are independent, the incidence of filed cases decreases while for thos policies reaching the ECJ deviations increase. |
| Keywords: | European Union law, directives, compliance, European Court of Justice, court behavior, uncertainty, legal process, European Commission |
| JEL: | D72 D78 K41 |
| Date: | 2013 |
| URL: | http://d.repec.org/n?u=RePEc:mar:magkse:201309&r=eec |
| By: | Leonardo Becchetti (University of Rome "Tor Vergata"); Massimo Ferrari (University of Rome "Tor Vergata"); Ugo Trenta (Poste Italiane) |
| Abstract: | We analyse the impact of the introduction of the French Tobin tax on volumes, liquidity and volatility of affected stocks with parametric and non parametric tests on individual stocks, difference in difference tests and other robustness checks controlling for simultaneous month-of-the-year and size effects. Our findings document that the tax has a significant impact in terms of reduction in transaction volumes and intraday volatility. The reduction in volumes traded occurs in similar proportion in non taxed small cap stocks. |
| Keywords: | Financial Transaction Tax; intraday volatility; liquidity, transaction volumes |
| JEL: | G18 G12 G14 |
| Date: | 2013–03–01 |
| URL: | http://d.repec.org/n?u=RePEc:rtv:ceisrp:266&r=eec |