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on European Economics |
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Issue of 2018‒02‒19
23 papers chosen by Giuseppe Marotta Università degli Studi di Modena e Reggio Emilia |
| By: | Henrik Müller; Giuseppe Porcaro; Gerret von Nordheim |
| Abstract: | Economic analyses largely ignore Europe’s fragmented public sphere, a feature that distinguishes the euro area from other major currency areas. This Policy Contribution identifies how narratives of the crisis developed since 2007, by identifying the key crisis-related topics in articles from four opinion-forming newspapers in the largest euro-area countries (Germany’s Süddeutsche Zeitung, France’s Le Monde, Italy’s La Stampa and Spain’s El País). In particular, the analysis considers where blame for the crisis has been laid with the aim of informing the current debate on euro-area governance reform. Such an exercise can help to understand the difficulties euro-area policymakers face when it comes to formulating solutions that are both appropriate and commonly acceptable. The analysis showed that Süddeutsche Zeitung blames everyone but Germany, the chief suspects being Greece and the European Central Bank; the paper stresses the need to return to a perceived status quo of stability and fairness. Le Monde blames everyone including the French political class, but largely refrains from criticism of European institutions such as the European Commission and the European Central Bank. La Stampa sees Italy as the victim of unfortunate circumstances, including the European Union austerity measures promoted by Germany, and Italy’s own politicians. El País primarily blames Spain for misconduct during the boom years preceding the crisis. This picture of differing narratives shows that each euro-area country faces different pressures from its respective public when discussing how to press ahead with effective euro-area governance reform. The global financial crisis and the subsequent recession had quite different effects in different euro-area countries. Therefore, it is unsurprising that the narratives differ in the four papers. National problems and solutions took centre stage in national discourses leaving systemic euro-area issues largely unmentioned. |
| Date: | 2018–02 |
| URL: | http://d.repec.org/n?u=RePEc:bre:polcon:24228&r=eec |
| By: | Holtemöller, Oliver; Scherer, Jan-Christopher |
| Abstract: | In this paper, we investigate to what extend sovereign stress and banking stress have contributed to this increase in the level and in the heterogeneity of nonfinancial firms' refinancing costs in the Euro area during the European debt crisis and how they did affect the monetary transmission mechanism. Employing a large firm-level data set containing two million observations, we are able to identify the increasing effect of government bond yield spreads (sovereign stress) and the share of non-performing loans (banking stress) on firms' financing costs in a panel model by assuming that idiosyncratic shocks to individual firms are uncorrelated with country-specific variables. Moreover, we estimate both sources of stress to have significantly impaired the monetary transmission mechanism between 2005 and 2013. This finding suggests that the ECB's asset purchase programmes during that period have helped to improve firms' financing conditions in stressed countries but that monetary policy transmission was still impaired due to the elevated level of banking stress in these countries. |
| Keywords: | banking stress,firms' financing conditions,government bond yields,interest rate channel,monetary policy transmission,sovereign stress |
| JEL: | E43 E44 E52 |
| Date: | 2018 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:iwhdps:32018&r=eec |
| By: | Massimiliano Pisani (Bank of Italy); Filippo Vergara Caffarelli (Bank of Italy) |
| Abstract: | This paper evaluates the macroeconomic effects on the UK and the euro area of an increase in trade tariffs associated with Brexit, by simulating a dynamic general equilibrium model of the UK, the euro area, and the rest of the world (RW). Our results are as follows: first, the imposition of tariffs reduces UK exports and economic activity by a non-negligible amount; second, the macroeconomic costs for the UK are reduced if it decides unilaterally not to increase tariffs on imports from the euro area and to reduce those on imports from the RW; third, the macroeconomic costs are particularly high if the lower UK trade openness resulting from the imposition of tariffs reduces the UK’s total factor productivity; and fourth, Brexit has negative, but quite limited, effects on euro-area economic activity. |
| Keywords: | Brexit, DSGE models, tariffs |
| JEL: | C54 F13 F15 |
| Date: | 2018–01 |
| URL: | http://d.repec.org/n?u=RePEc:bdi:wptemi:td_1163_18&r=eec |
| By: | Jauer, Julia; Liebig, Thomas; Martin, John P.; Puhani, Patrick A. |
| Abstract: | We estimate whether migration can be an equilibrating force in the labour market by comparing pre- and post-crisis migration movements at the regional level in both Europe and the United States, and their association with asymmetric labour market shocks. Based on fixedeffects regressions using regional panel data, we find that Europe’s migratory response to unemployment shocks was almost identical to that recorded in the United States after the crisis. Our estimates suggest that, if all measured population changes in Europe were due to migration for employment purposes – i.e. an upper-bound estimate – up to about a quarter of the asymmetric labour market shock would be absorbed by migration within a year. However, in Europe and especially in the Eurozone, the reaction to a very large extent stems from migration of recent EU accession country citizens as well as of third-country nationals. |
| Keywords: | Free mobility; migration; economic crisis; labour market adjustment; Eurozone; Europe; United States |
| JEL: | F15 F22 J61 |
| Date: | 2018–02 |
| URL: | http://d.repec.org/n?u=RePEc:usg:econwp:2018:02&r=eec |
| By: | Heinze, Henriette |
| Abstract: | Since the early 2000s German exports and net exports have grown persistently, generating huge current account surpluses. These surpluses have added to immense current account imbalances within and outside the European Monetary Union (EMU). Contributing to the economic policy debate of whether it is foreign demand or 'world-beating' price competitiveness driving German exports, the present paper econometrically investigates the determinants of German intra- and extra-EMU exports for the period 1995 to 2014. The longterm relationship between real exports, foreign activity and the real effective exchange rate is estimated using different explanatory variables in an error correction framework. The results show that German exports are very sensitive to foreign activity. Germany has benefited from growth dynamics of trading partners and high income elasticities of demand for German exports indicate strong non-price competitiveness. With regard to exchange rate effects, we do not detect a significant impact of the real exchange rate on intra-EMU exports. However, our estimations provide a stable relationship between the real exchange rate and extra-EMU exports. We calculate that the real exchange rate only explains 12% to 25% of our predicted export growth. Moreover, taking into account quantity and price effects caused by changes in the real exchange rate, we observe contrary effects on real and nominal exports. Thus, for the German economy it cannot simply be concluded that the real exchange rate is the indicator to focus on in explaining German export success. |
| Keywords: | German exports,current account imbalances,competitiveness,single equation error correction model |
| JEL: | C22 E12 F14 F41 F43 |
| Date: | 2018 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:ipewps:952018&r=eec |
| By: | Luís A. V. Catão |
| Abstract: | High external deficits in Greece, Ireland, Portugal and Spain are widely regarded as culprits of the post-2008 financial crises in the eurozone. This paper examines the main drivers of those imbalances and discusses how the mix of macroeconomic adjustment and structural reforms implemented in the last few years has affected the evolution of those countries’ external positions. The analysis combines modern theories of the current account and of the real exchange rate with panel data regressions to shed light on the standing of those economies’ external “competitiveness” broadly defined. |
| Date: | 2018–02 |
| URL: | http://d.repec.org/n?u=RePEc:ise:remwps:wp0272018&r=eec |
| By: | Gabriel Felbermayr; Jasmin Katrin Gröschl; Inga Heiland |
| Abstract: | We employ theory-grounded sectoral gravity models to estimate the effects of various steps of European product market integration on trade flows. We embed these estimates into a static Ricardian quantitative trade model featuring 43 countries and 50 goods and services sectors. Paying attention to the role of non-tariff trade barriers and of intra- and international value added networks, we simulate lower bounds to the trade, output, and welfare effects of different disintegration scenarios. Bootstrapping standard errors, we find statistically significant welfare losses of up to 23% of the 2014 baseline, but we also document a strong degree of heterogeneity across EU insiders. Effects on EU outsiders are often insignificant. The welfare effects from the Single Market dominate quantitatively, but the gains from Schengen and Eurozone membership are substantial for many countries as well. Percentage losses are more pronounced for more central EU members, while larger and richer countries tend to lose less. The effects of income transfers reveal some surprising patterns driven by terms-of-trade adjustments. |
| Keywords: | Structural gravity, European trade integration, general equilibrium, quantitative trade models. |
| JEL: | F13 F14 F17 |
| Date: | 2018 |
| URL: | http://d.repec.org/n?u=RePEc:ces:ifowps:_250&r=eec |
| By: | Harald Oberhofer (Department of Economics, Vienna University of Economics and Business; Austrian Institute of Economic Research); Michael Pfaffermayr (University of Innsbruck; Austrian Institute of Economic Research) |
| Abstract: | This paper proposes a new panel data structural gravity approach for estimating the trade and welfare effects of Brexit. The suggested Constrained Poisson Pseudo Maximum Likelihood Estimator exhibits some useful properties for trade policy analysis and allows to obtain estimates and confidence intervals which are consistent with structural trade theory. Assuming different counterfactual post-Brexit scenarios, our main findings suggest that UKs (EUs) exports of goods to the EU (UK) are likely to decline within a range between 7.2% and 45.7% (5.9% and 38.2%) six years after the Brexit has taken place. For the UK, the negative trade effects are only partially offset by an increase in domestic goods trade and trade with third countries, inducing a decline in UKs real income between 1.4% and 5.7% under the hard Brexit scenario. The estimated welfare effects for the EU are negligible in magnitude and statistically not different from zero. |
| Keywords: | Constrained Poisson Pseudo Maximum Likelihood Estimation, Panel Data, International Trade, Structural Gravity Estimation, Trade Policy, Brexit |
| JEL: | F10 F15 C13 C50 |
| Date: | 2018–01 |
| URL: | http://d.repec.org/n?u=RePEc:wiw:wiwwuw:wuwp259&r=eec |
| By: | Niamh Hardiman; Saliha Metinsoy |
| Abstract: | European countries have been required to formulate a national preference in relation to the EU Financial Transaction Tax. The two leading approaches to explaining how the financial sector makes its views felt in the political process – the structural power of the financial services sector based on potential disinvestment, and its instrumental power arising from direct political lobbying – fall short of providing a comprehensive account. The missing link is how and why policy-makers might be willing to adopt the priorities of key sectors of the financial services industry. We outline how two levels of ideational power might be at work in shaping outcomes, using Ireland as a case study. We argue firstly that background systems of shared knowledge that are institutionalized in policy networks generated broad ideational convergence between the financial sector and policymakers over the priorities of industrial policy in general. Secondly, and against that backdrop, debate over specific policy choices can leave room for a wider range of disagreement and indeed political and ideational contestation. Irish policymakers proved responsive to industry interests in the case of the FTT, but not for the reasons normally given. This work seeks to link literatures in two fields of inquiry. It poses questions for liberal intergovernmentalism in suggesting that the translation of structurally grounded material interests into national policy preferences is far from automatic, and argues that this is mediated by ideational considerations that are often under-estimated. It also contributes to our understanding of how constructivist explanations of policy outcomes work in practice, through a detailed case study of how material and ideational interests interact. |
| Keywords: | Economic integration; Multinational firms; International business; Globalization; Business taxes and subsidies; Intergovernmental relations |
| JEL: | F02 F15 F23 F55 H25 H70 P16 |
| Date: | 2017–10 |
| URL: | http://d.repec.org/n?u=RePEc:rru:oapubs:10197/9205&r=eec |
| By: | Isaac Mensah |
| Abstract: | This paper provides new empirical evidence of the “euro effect” on bilateral trade by allowing for a heterogeneous impact on "new" and “old” EMU members. By applying a Poisson estimator and focusing on a sample of 38 countries, our results show a statistically insignificant euro's effect on bilateral exports. However, disaggregating this effect, we report a relatively large euro's effect on bilateral trade for the "new" EMU countries. We also and no evidence of trade diversion, thus corroborating existing evidence. These results are robust to a number of sensitivity checks and, especially, to the use of a larger sample of countries. |
| Keywords: | Gravity model, Bilateral exports, Euro, Poisson estimator |
| JEL: | F4 F14 F15 F33 C33 |
| Date: | 2017–12 |
| URL: | http://d.repec.org/n?u=RePEc:wsr:wpaper:y:2017:i:179&r=eec |
| By: | Redl, Chris (Bank of England) |
| Abstract: | This paper uses a data-rich environment to produce direct econometric estimates of macroeconomic and financial uncertainty in the United Kingdom for the period 1991–2016. These indices exhibit significant independent variation from popular proxies for macroeconomic and financial uncertainty. We identify the impact of uncertainty shocks using narrative sign restrictions, which allow us to exploit individual historic events to separate the impact of macroeconomic, financial and credit shocks on real variables. Using only traditional sign restrictions, we find that the real effects of macroeconomic uncertainty shocks are generally weaker than proxies suggest and that the effects depend on a subsequent rise in financial uncertainty and credit spreads to have a negative impact on GDP. Exploiting narrative events such as the disorderly exit from the Exchange Rate Mechanism, the dot-com recession and the financial crisis support this finding. However, conditioning on narrative events more closely associated with political uncertainty, ie tight general elections, suggests a stronger impact response of GDP to macro uncertainty shocks. We find these results are robust to controlling for both financial and global uncertainty. |
| Keywords: | Economic uncertainty; business cycles; United Kingdom |
| JEL: | D80 E32 |
| Date: | 2017–11–29 |
| URL: | http://d.repec.org/n?u=RePEc:boe:boeewp:0695&r=eec |
| By: | Petr Vanek (Department of Finance, Faculty of Business and Economics, Mendel University in Brno); Petr Korab (Department of Finance, Faculty of Business and Economics, Mendel University in Brno) |
| Abstract: | The paper investigates the motives of deposit and credit euroisation in Eastern Europe employing Bayesian empirical methodology. We analyse a unique dataset of macroeconomic fundamentals, perception surveys, and institutional quality indicators and deal with the uncertainty in the model by Bayesian model averaging. Apart from traditional fundamental factors, strong institutions are found to be an important driver of both credit and deposit euroisation. Business regulation, corruption environment, administrative costs and country-specific risk impact borrowing and saving behaviour in EURO and should be reflected in designing de-euroisation policies in the region. |
| Keywords: | Euroization, Bayesian model averaging, currency substitution, foreign currency borrowing, institutional quality |
| JEL: | E51 F02 P24 |
| Date: | 2018–02 |
| URL: | http://d.repec.org/n?u=RePEc:men:wpaper:73_2018&r=eec |
| By: | Francesco D’Acunto; Daniel Hoang; Michael Weber |
| Abstract: | Unconventional fiscal policy uses announcements of future increases in consumption taxes to generate inflation expectations and accelerate consumption expenditure. It is budget neutral and time consistent. We provide preliminary evidence for the effectiveness of such policies using changes in value-added tax (VAT) and household survey data for Poland. We find households increased their inflation expectations and willingness to purchase durables before the increase in VAT. Future research has to ensure income, wealth effects, or intratemporal substitution channels cannot explain these results and ideally exploit exogenous variation in VAT in a fixed nominal interest rate environment. |
| JEL: | D12 D84 D91 E21 E31 E32 E52 E62 |
| Date: | 2018–01 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:24244&r=eec |
| By: | António Afonso; Luís Gonçalves |
| Abstract: | We use a SVAR approach to the effects of fiscal and monetary policies, as well as their interactions (policy mix) for the US and the Euro Area (EMU). Overall, our results show that these two cases are different from each other. First, while in the case of the US there is evidence of Keynesian monetary policy, the same is not true in the case of the EMU. Second, considering the effects of the global economic and financial crisis, there is evidence of non-Keynesian fiscal policy in the case of the EMU (expansionary fiscal consolidation), while it does not hold in the case of the US. Third, there is evidence supporting the traditional inverse relationship between monetary policy interest rates and inflation in the case of the US, whereas in the case of the EMU there is a price puzzle (frequent in SVAR studies). Fourth, the baseline model seems to be robust in the case of the US, when considering the effects of the economic and financial crisis 2007-2009, while the opposite holds in the case of the EMU. However, in both cases, the policies seem to act as complements. Another similarity appears when analysing the relationship between public spending and taxation, where there is evidence supporting a fiscal retrenchment. |
| Keywords: | Fiscal Policy, Monetary Policy, Crisis, Unconventional Monetary Policy, US, EMU |
| JEL: | E52 E61 E62 E63 H50 H60 |
| Date: | 2018–02 |
| URL: | http://d.repec.org/n?u=RePEc:ise:remwps:wp0282018&r=eec |
| By: | Oscar Claveria (AQR-IREA, University of Barcelona); Enric Monte (Polytechnic University of Catalunya (UPC)); Salvador Torra (Riskcenter-IREA, University of Barcelona) |
| Abstract: | The main objective of this study is to present a two-step approach to generate estimates of economic growth based on agents’ expectations from tendency surveys. First, we design a genetic programming experiment to derive mathematical functional forms that approximate the target variable by combining survey data on expectations about different economic variables. We use evolutionary algorithms to estimate a symbolic regression that links survey-based expectations to a quantitative variable used as a yardstick (economic growth). In a second step, this set of empirically-generated proxies of economic growth are linearly combined to track the evolution of GDP. To evaluate the forecasting performance of the generated estimates of GDP, we use them to assess the impact of the 2008 financial crisis on the accuracy of agents' expectations about the evolution of the economic activity in 28 countries of the OECD. While in most economies we find an improvement in the capacity of agents' to anticipate the evolution of GDP after the crisis, predictive accuracy worsens in relation to the period prior to the crisis. The most accurate GDP forecasts are obtained for Sweden, Austria and Finland. |
| Keywords: | Evolutionary algorithms; Symbolic regression; Genetic programming; Business and consumer surveys; Expectations; Forecasting JEL classification: C51, C55, C63, C83, C93 |
| Date: | 2018–01 |
| URL: | http://d.repec.org/n?u=RePEc:aqr:wpaper:201801&r=eec |
| By: | Joy, Mark (Bank of England); Lisack, Noemie (Bank of England); Lloyd, Simon (Bank of England); Reinhardt, Dennis (Bank of England); Sajedi, Rana (Bank of England); Whitaker, Simon (Bank of England) |
| Abstract: | There is substantial evidence that openness to trade raises economic growth and boosts living standards. But trade liberalisation has been asymmetric, focused on goods rather than services trade. The decline in goods trade barriers may have favoured countries specialising in goods, like China, Germany and Japan, allowing them to increase exports relative to imports, and contributing to their persistent current account surpluses. By contrast, countries like the United States and the United Kingdom, who specialise in the services sector where trade is more restricted, have been running persistent deficits. This pattern of persistent surpluses and deficits in these key countries has proven hard to explain in the International Monetary Fund’s External Balance Assessment methodology. This paper suggests that asymmetric trade liberalisation is one overlooked explanation. We demonstrate how realistic additions to textbook economic models allow trade policy to have persistent effects on current account imbalances. We also find empirical support for significant quantitative effects. These results suggest that liberalising services trade, levelling up to the liberalisation seen in goods trade, could reduce excess global imbalances by around 40%. Moreover it could contribute to higher and more inclusive global growth. |
| Keywords: | Comparative advantage; Current account; Global imbalances; Services trade policy; Trade liberalisation |
| JEL: | F13 F14 F15 F32 |
| Date: | 2018–01–24 |
| URL: | http://d.repec.org/n?u=RePEc:boe:finsta:0043&r=eec |
| By: | Clemens Fuest; Samina Sultan |
| Abstract: | This paper develops a model of tax competition with three countries, which initially form a union where countries refrain from using different tax rates in different sectors of the economy. We study the impact of one country leaving the union. We show that the introduction of discriminatory taxation in one country increases tax policy heterogeneity within the remaining union. Moreover, the incentives for the two remaining countries to harmonize their tax rates decline. We discuss these results in the context of the debate about the tax policy implications of Brexit. |
| Keywords: | International taxation, tax competition, preferential tax regimes |
| JEL: | H20 H73 |
| Date: | 2018 |
| URL: | http://d.repec.org/n?u=RePEc:ces:ifowps:_248&r=eec |
| By: | Tatiana Cesaroni (Bank of Italy); Riccardo De Bonis (Bank of Italy); Luigi Infante (Bank of Italy) |
| Abstract: | According to macroeconomic predictions firms are expected to be net borrowers: the net change of their financial assets should be smaller than the net change of their financial liabilities. However, since the mid-1990s, the non–financial sector has been on average a net lender in countries such as Japan, the UK, Germany and the Netherlands. Conversely firms remained on average net borrowers in countries such as France, Italy and the US. Using financial accounts, we investigate the sources of corporate sector surpluses and deficits applying panel data techniques. Our statistics include 18 industrial countries over the period 1995-2014. We find that firms’ surpluses are structurally linked to net foreign direct investments. The econometric results are robust to the use of variables that control for the business cycle, such as the output gap, the ratio of corporate investment to GDP, firms’ profits and leverage, and taxation. |
| Keywords: | Net lending/net borrowing, corporate sector, global saving glut, panel data |
| JEL: | E2 G3 |
| Date: | 2018 |
| URL: | http://d.repec.org/n?u=RePEc:lui:lleewp:18137&r=eec |
| By: | Elton Beqiraj (University La Sapienza); Giovanni Di Bartolomeo (University La Sapienza); Marco Di Pietro (University La Sapienza); Carolina Serpieri (European Commission - JRC) |
| Abstract: | The recent financial crisis had serious worldwide impacts. Initial resilience and good past performances led to the illusion that the Central and Eastern European (CEE) region was able to decouple from developments in advanced economies. This initial illusion was however immediately denied since the crisis spread to that region just with a lag. The CEE region was, in fact, suddenly placed at the epicenter of the emerging market crisis. Further, the consequences of the crisis were not uniform among countries of the CEE region. Strong cross-country disparities in the resistance and recovery capacities have been observed. Focusing on a CEE sub-region, the Central Europe and the Baltics (CEB), our research project aims to analyze and disentangle the resilience performance to the 2008 financial crisis within countries of this region according to their shock isolation and absorptive capacities. We develop a new methodology to investigate two important dimensions of resilience, namely recovery and resistance. The latter can be defined as the relative vulnerability or sensitivity of economies within CEB region to disturbances and disruptions, whereas the former is the speed and extent of recovery from such a disruption or recession. Our methodology is based on Bayesian estimation techniques for general equilibrium models. We build and estimate a DSGE model for a small-open economy, which features nominal wage and price rigidities, as well as financial frictions in the form of liquidity-constrained households and limited access to deposits for the bank system. Then we group our parameter estimates in two sets: structural parameters and stochastic structure. The former individuates the deep parameters affecting the economic recovery capacities after stochastic disturbances (innovations) occur; the latter governs the innovation distributions and their intrinsic persistence. Accordingly, we study the relative differences across CEB economies using Principal Component Analysis (PCA), obtaining synthetic orthogonal indexes of these differences in a parsimonious way. Finally, we use the two sets to compare the relative recovery (resistance) country performances of a single country to those of a hypothetical economy characterized by a CEB average structural (stochastic) set of estimated parameters. Precisely, considering estimated parameters as variables of a cross-sectional dataset organized by country, we first look at national differences considering as reference a hypothetical country, where there are no distortions and/or unaffected by disturbances; second we use, as reference, a hypothetical average country, built on the estimated parameter means. |
| Keywords: | resilience, DSGE model, financial frictions, Bayesian estimation, principal component analysis, CEE region. |
| Date: | 2017–12 |
| URL: | http://d.repec.org/n?u=RePEc:ipt:iptwpa:jrc109632&r=eec |
| By: | Anthony Edo; Yvonne Giesing; Jonathan Öztunc; Panu Poutvaara |
| Abstract: | Immigration has become one of the most divisive political issues in the United States, the United Kingdom, France and several other Western countries. We estimate the impact of immigration on voting for far-left and far-right parties in France, using panel data on presidential elections from 1988 to 2012. To derive causal estimates, we instrument more recent immigration flows by past settlement patterns in 1968. We find that immigration increases support for far-right candidates and has no robust effect on far-left voting. The increased support for far-right candidates is driven by low-skilled immigrants from non-Western countries. |
| Keywords: | Voting, immigration, political economy |
| JEL: | D72 F22 J15 P16 |
| Date: | 2017 |
| URL: | http://d.repec.org/n?u=RePEc:ces:ifowps:_244&r=eec |
| By: | Nikolaos Antonakakis (Department of Business and Management, Webster Vienna Private University, Praterstrasse Vienna, Austria and Economics and Finance Subject Group, University of Portsmouth, Portsmouth Business School, Portsmouth, UK); David Gabauer (Department of Business and Management, Webster Vienna Private University, Praterstrasse Vienna, Austria); Rangan Gupta (Department of Economics, University of Pretoria, Pretoria, South Africa) |
| Abstract: | In this study, we examine the transmission of international monetary policy shocks across developed economies based on a time-varying parameter vector autoregressive (TVP-VAR) methodology. Using daily data on shadow short rates over the period of January 2, 1995 to September 22, 2017, we find the following empirical regularities. International monetary policy shocks are an important source of domestic monetary policy fluctuations. Moreover, the magnitude of international monetary policy spillovers behaves heterogeneously overtime, with peaks reached during the “Great Recession”. In addition, the dominant transmitters of international monetary policy shocks are the Euro Area and the US, while Japan and the UK are the dominant receivers of international monetary policy shocks. Interestingly enough, international monetary policy shocks originating from the US are the largest during the zero lower bound and the related unconventional monetary policy actions era, indicating potential gains from monetary policy coordination. |
| Keywords: | Monetary policy spillovers, Dynamic connectedness, TVP-VAR |
| JEL: | C32 C50 E52 |
| Date: | 2018–01 |
| URL: | http://d.repec.org/n?u=RePEc:pre:wpaper:201806&r=eec |
| By: | J. Ignacio García-Pérez (Department of Economics, Universidad Pablo de Olavide); Bruno Contini (Università di Torino & Collegio C. Alberto); Toralf Pusch (Hans Böckler Stiftung, Düsseldorf); Roberto Quaranta (Collegio C. Alberto) |
| Abstract: | This study proposes a new approach to the analysis of non-employment and its duration in Germany, Italy and Spain using administrative longitudinal databases. Non-employment includes the discouraged unemployed not entitled to draw unemployment benefits and the long-term inactive. Many of the non-employed individuals will never return to the official labour market. We estimate the magnitude and duration of non-employment, applying the survival methodology developed in recent years to deal with ‘workforce disposal’. Long-term non-employment (LTNE) may lead to dramatic changes in individual lifestyles, family and childbearing projects, levels of poverty and welfare at large. |
| Keywords: | labor economics, inactivity, long-term unemployment, turnover. |
| JEL: | D1 J0 J1 J6 |
| Date: | 2018–01 |
| URL: | http://d.repec.org/n?u=RePEc:pab:wpaper:18.01&r=eec |
| By: | Costas Karfakis (Department of Economics, University of Macedonia); Eftychia Karfaki (Department of Economics, University of Macedonia) |
| Abstract: | This paper examines the relationship between the financial cycle and real output in Greece. The quantile analysis indicates that the financial cycle is a leading indicator of real output in the upper and lower tails of its conditional distribution, given the presence of other explanatory variables. In addition, in the lower quantile, the real output is driven by changes in perceptions about the performance of the Greek economy. Thus, a rise in the financial cycle along with positive expectations of the private sector about the future prospects of the real economy seems to represent the main driving forces of the Greek economy out of the current depression. |
| Keywords: | Financial cycle, real output, quantile analysis, Granger causality test. |
| JEL: | C22 E32 E51 E52 F41 |
| Date: | 2018–02 |
| URL: | http://d.repec.org/n?u=RePEc:mcd:mcddps:2018_02&r=eec |