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Diskussionspapiere 1339 / 2013
Using a panel of annual data for 20 countries we show that synchronized fiscal consolidation (stimulus) programmes in different countries make their business cycles more closely linked, especially in the case of fiscal adjustments lasting 2 or 3 years. We also find: (i) little evidence of decoupling when an inflation targeting regime is unilaterally adopted; (ii) an increase in business cycle synchronization ...
2013| Luca Agnello, Guglielmo Maria Caporale, Ricardo M. Sousa
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Diskussionspapiere 1332 / 2013
This paper investigates the effects of global oil and food price shocks to consumer prices in Middle East-North African (MENA) countries using threshold cointegration methods. Oil and food price shocks increase domestic prices in the long run, whereby the impact of food prices dominates. While global prices are weakly exogenous, consumer prices respond to deviations from the equilibrium relationship. ...
2013| Ansgar Belke, Christian Dreger
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Externe Monographien
This paper investigates the effects of global oil and food price shocks to consumer prices in Middle East-North African (MENA) countries using threshold cointegration methods. Oil and food price shocks increase domestic prices in the long run, whereby the impact of food prices dominates. While global prices are weakly exogenous, consumer prices respond to deviations from the equilibrium relationship. ...
Essen:
RWI,
2013,
26 S.
(Ruhr Economic Papers ; 448)
| Ansgar Belke, Christian Dreger
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Diskussionspapiere 1288 / 2013
This paper examines the PPP hypothesis analysing the behaviour of the real exchange rates vis-à-vis the US dollar for four major currencies (namely, the Canadian dollar, the euro, the Japanese yen and the British pound). An innovative approach based on fractional integration in a multivariate context is applied to annual data from 1970 to 2011. Long memory is found to characterise the Canadian dollar, ...
2013| Guglielmo Maria Caporale, Luis A. Gil-Alana, Yuliya Lovcha
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Externe referierte Aufsätze
In the debate on global imbalances, the euro area countries received inreasing attention since the outbreak of the financial crisis. While the current account is on balance for the entire area, divergences between individual member states have increased since the introduction of the common currency and are part of the excessive imbalances procedure. This paper explores the determinants of the imbalances ...
In:
Review of International Economics
21 (2013), 1, S. 6-17
| Ansgar Belke, Christian Dreger
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Externe referierte Aufsätze
We examine the global dimension of inflation in 24 OECD countries between 1980 and 2007 in a Phillips curve framework. We decompose output gaps and changes in unit labour costs into common (or global) and idiosyncratic components using a factor analysis and introduce these components separately in the regression. We find that the common component of changes in unit labour costs has a notable impact ...
In:
Oxford Bulletin of Economics and Statistics
75 (2013), 1, S. 103-122
| Sandra Eickmeier, Katharina Pijnenburg
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Diskussionspapiere 1304 / 2013
The paper analyses the global spillovers of the Federal Reserve's unconventional monetary policy measures. First, we find that Fed measures in the early phase of the crisis (QE1), but not since 2010 (QE2), were highly effective in lowering sovereign yields and raising equity markets in the US and globally across 65 countries. Yet Fed policies functioned in a procyclical manner for capital flows to ...
2013| Marcel Fratzscher, Marco Lo Duca, Roland Straub
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Externe referierte Aufsätze
This paper provides a study of bond yield differentials among EU government bonds on the basis of a unique data set of issue spreads in the US and DM (Euro) bond market between 1993 and 2009. Interest differentials between bonds issued by EU countries and Germany or the USA contain risk premiums which increase with fiscal imbalances and depend negatively on the issuer's relative bond market size. The ...
In:
Journal of International Money and Finance
31 (2012), 5, S. 975-995
| Kerstin Bernoth, Jürgen von Hagen, Ludger Schuknecht
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Diskussionspapiere 1221 / 2012
This paper examines the contemporaneous relationship between the exchange rate regime and structural economic reforms for a sample of CEEC/CIS transition countries. We investigate empirically whether structural reforms are complements or substitutes for monetary commitment in the attempt to improve macroeconomic performance. Both EBRD and EFW data suggest a negative relationship between flexible exchange ...
2012| Ansgar Belke, Lukas Vogel
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Externe referierte Aufsätze
We study the determinants of sovereign bond yield spreads across 10 EMU countries between Q1/1999 and Q1/2010. We apply a semiparametric time-varying coefficient model to identify, to what extent an observed change in the yield spread is due to a shift in macroeconomic fundamentals or due to altering risk pricing. We find that at the beginning of EMU, the government debt level and the general investors' ...
In:
Journal of International Money and Finance
31 (2012), 3, S. 639-656
| Burcu Erdogan, Kerstin Bernoth