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European Central Bank
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Monetary Policy Strategy In A Global Environment
March 1, 2009, 12:00am PST
Since the mid-1980s the world economy has gone through profound transformations of which the sources and effects are probably not yet completely understood. The process of continuous integration...
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Non? Standard Monetary Policy Measures And Monetary Developments
September 1, 2010, 12:00am PDT
Standard accounts of the Great Depression (notably the seminal offering of Friedman and Schwartz, 1963) attribute an important causal role to monetary policy errors in accounting for the...
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Inflation Models, Optimal Monetary Policy And Uncertain Unemployment Dynamics: Evidence From The US And The Euro Area
April 1, 2008, 12:00am PDT
This paper explores the role that model uncertainty plays in determining the effect of monetary policy shocks on unemployment dynamics in the euro area and the US. The authors specify a range of...
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Theoretical Notes On Bubbles And The Current Crisis
June 1, 2011, 12:00am PDT
The authors explore a view of the crisis as a shock to investor sentiment that led to the collapse of a bubble or pyramid scheme in financial markets. They embed this view in a standard model of...
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Do Financial Investors Destabilize The Oil Price?
June 1, 2011, 12:00am PDT
In this paper, the authors assess whether and to what extent financial activity in the oil futures markets has contributed to destabilize oil prices in recent years. They define a destabilizing...
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Systemic Risk-Taking: Amplification Effects, Externalities, And Regulatory Responses
June 1, 2011, 12:00am PDT
This paper analyzes the efficiency of risk-taking decisions in an economy that is prone to systemic risk, captured by financial amplification effects that occur in response to strong adverse...
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Have Euro Area And EU Economic Governance Worked? Just The Facts
May 1, 2011, 12:00am PDT
The authors test whether two key elements of the EU and euro area economic governance framework, the Stability and Growth Pact and the Lisbon Strategy, have had any impact on macroeconomic...
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White Papers
Fiscal Data Revisions In Europe
May 1, 2011, 12:00am PDT
Public deficit figures are subject to revisions, as most macroeconomic aggregates are. Nevertheless, in the case of Europe, the latter could be particularly worrisome given the role of fiscal data...
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Exact Likelihood Computation For Nonlinear DSGE Models With Heteroskedastic Innovations
May 1, 2011, 12:00am PDT
Phenomena such as the Great Moderation have increased the attention of macro-economists towards models where shock processes are not (log-) normal. This paper studies a class of discrete-time...
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How Wages Respond To Shocks: Asymmetry In The Speed Of Adjustment
May 1, 2011, 12:00am PDT
The time series of various economic variables often exhibit asymmetry: decreases in the values tend to be sharp and fast, whereas increases usually occur slowly and gradually. The authors detect...
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Financial Frictions And Optimal Monetary Policy In An Open Economy
May 1, 2011, 12:00am PDT
A growing number of papers have studied positive and normative implications of financial frictions in DSGE models. The authors contribute to this literature by studying the welfare-based monetary...
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White Papers
Who Invests In Home Equity To Exempt Wealth From Bankruptcy?
May 1, 2011, 12:00am PDT
Homestead exemptions to personal bankruptcy allow households to retain their home equity up to a limit determined at the state level. Households that may experience bankruptcy thus have an...
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White Papers
A Monetary Policy Strategy In Good And Bad Times: Lessons From The Recent Past
May 1, 2011, 12:00am PDT
The authors evaluate the ECB's monetary policy strategy against the underlying economic structure of the euro area economy, in normal times and in times of severe financial dislocations. They show...
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White Papers
Central Bank Communication On Financial Stability
April 1, 2011, 12:00am PDT
Central banks regularly communicate about financial stability issues, by publishing Financial Stability Reports (FSRs) and through speeches and interviews. The paper asks how such communications...
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White Papers
Business Cycle Dynamics Under Rational Inattention
April 1, 2011, 12:00am PDT
The authors develop a dynamic stochastic general equilibrium model with rational inattention by households and firms. Consumption responds slowly to interest rate changes because households decide...
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Financial Remoteness And The Net External Position
April 1, 2011, 12:00am PDT
This paper shows that, controlling for standard determinants of net external positions; financially-remote countries exhibit more positive net external positions. This finding is found to be...
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White Papers
The Effectiveness Of Monetary Policy In Steering Money Market Rates During The Recent Financial Crisis
April 1, 2011, 12:00am PDT
The recent financial crisis deeply affected the money market yield curve and thus, potentially, the proper functioning of the interest rate channel of monetary policy transmission. Therefore, the...
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White Papers
Systemic Risk Diagnostics: Coincident Indicators And Early Warning Signals
April 1, 2011, 12:00am PDT
The authors propose a novel framework to assess financial system risk. Using a dynamic factor framework based on state-space methods, they construct coincident measures ('Thermometers') and a...
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White Papers
Structural Reforms And Macroeconomic Performance In The Euro Area Countries: A Model-based Assessment
April 1, 2011, 12:00am PDT
The authors quantitatively assess the macroeconomic effects of country-specific supply-side reforms in the euro area by simulating EAGLE, a multi-country dynamic general equilibrium model. They...
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White Papers
Business Cycle Synchronisation: Disentangling Trade And Financial Linkages
April 1, 2011, 12:00am PDT
Drawing on a large sample of countries, this paper explores whether closer economic ties between countries foster business cycle synchronisation and disentangles the role of the various channels,...
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White Papers
What Lies Beneath? A Time-varying Favar Model For The UK Transmission Mechanism
April 1, 2011, 12:00am PDT
This paper uses a time-varying Factor Augmented VAR to investigate the evolving transmission of monetary policy and demand shocks in the UK. Simultaneous estimation of time-varying impulse...
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White Papers
Fiscal Developments And Financial Stress: A Threshold VAR Analysis
April 1, 2011, 12:00am PDT
The authors use a threshold VAR analysis to study whether the effects of fiscal policy on economic activity differ depending on financial market conditions. In particular, they investigate the...
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White Papers
Using The Global Dimension To Identify Shocks With Sign Restrictions
April 1, 2011, 12:00am PDT
Identification of structural VARs using sign restrictions has become increasingly popular in the academic literature. This paper argues that identification of shocks can benefit from introducing a...
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Financial Imbalances And Financial Fragility
April 1, 2011, 12:00am PDT
This paper develops a general equilibrium model to analyze the link between financial imbalances and financial crises. The model features an interbank market subject to frictions and where two...
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White Papers
The ECBs New Multi-country Model For The Euro Area: NMCM - With Boundedly Rational Learning Expectations
April 1, 2011, 12:00am PDT
Rational expectations has been the dominant way to model expectations, but the literature has quickly moved to a more realistic assumption of boundedly rational learning where agents are assumed...
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The ECBs New Multi-country Model For The Euro Area: NMCM - Simulated With Rational Expectations
April 1, 2011, 12:00am PDT
The model presented here is a New estimated medium-scale Multi-Country Model (NMCM) which covers the five largest euro area countries and is used for forecasting and scenarios analysis at the...
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Price And Wage Setting In Portugal: Learning By Asking
April 1, 2011, 12:00am PDT
This paper presents the main findings of a survey conducted on a sample of Portuguese firms. The main aim was to identify some relevant characteristics about the dynamics of prices and wages in...
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News And Policy Foresight In A Macro-finance Model Of The US
March 1, 2011, 12:00am PST
The authors study the effects of information shocks on macroeconomic and term structure dynamics in an estimated medium-scale DSGE model for the US economy. They consider news about total factor...
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White Papers
A Structural Model Of Central Bank Operations And Bank Intermediation
March 1, 2011, 12:00am PST
The banking system is modeled in a closed system of financial accounts, whereby the equilibrium volume of bank intermediation between households and corporates reflects structural parameters such...
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Macro-Financial Vulnerabilities And Future Financial Stress: Assessing Systemic Risks And Predicting Systemic Events
March 1, 2011, 12:00am PST
This paper develops a framework for assessing systemic risks and for predicting (out-of-sample) systemic events, i.e. periods of extreme financial instability with potential real costs. The...
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White Papers
Skills And Wage Inequality In Greece: Evidence From Matched Employer-Employee Data, 1995-2002
March 1, 2011, 12:00am PST
This paper examines changes in the Greek wage distribution over 1995-2002 and the role of skills in these changes using a matched employer-employee data set. This data set enables them to account...
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The Response Of Labour Taxation To Changes In Government Debt
March 1, 2011, 12:00am PST
This paper investigates the relationship between government debt and labour taxation for a panel of 18 EU countries over the period 1979-2008. The econometric estimates point to a statistically...
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White Papers
Behavioural Characteristics And Financial Distress
February 1, 2011, 12:00am PST
Using a new nationally representative survey of financial capability and experience in the UK and Ireland, the author investigates the key factors that cause individuals to experience financial...
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White Papers
The Immigrant/Native Wealth Gap In Germany, Italy And Luxembourg
February 1, 2011, 12:00am PST
This paper analyses the existence of an immigrant/native wealth gap by using household survey data for Luxembourg, Germany and Italy. The results show that, in all three countries, a sizeable...
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White Papers
Wealth Mobility And Dynamics Over Entire Individual Working Life Cycles
February 1, 2011, 12:00am PST
The authors study taxable wealth in unique Swedish administrative data, annually following a large sample of households over a period of almost 40 years. The main data limitation is...
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White Papers
Who Lost The Most? Financial Literacy, Cognitive Abilities, And The Financial Crisis
February 1, 2011, 12:00am PST
The authors study how and to what extent private households are affected by the recent financial crisis and how their financial decisions are influenced by this shock. The analysis reveals that...
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Financial Advice And Stock Market Participation
February 1, 2011, 12:00am PST
The authors introduce professional financial advice in households' choice to hold risky financial assets. Consistent with the predictions from a formal model, they present evidence that...
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White Papers
The Normalized CES Production Function: Theory And Empirics
February 1, 2011, 12:00am PST
The elasticity of substitution between capital and labor and, in turn, the direction of technical change are critical parameters in many fields of economics. Until recently, though, the...
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White Papers
Financing Obstacles Among Euro Area Firms: Who Suffers The Most?
February 1, 2011, 12:00am PST
In this paper the authors investigate the determinants of financing obstacles using survey data on a sample of around 5000 firms from the euro area countries. This completely new survey - started...
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Liquidity Requirements And Payment Delays - Participant Type Dependent Preferences
February 1, 2011, 12:00am PST
The paper presents an analysis of the trade-offs of participants of different type between payment delay and liquidity requirement on the basis of synthetically generated data. The generation of...
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White Papers
The Stabilizing Effects Of Risk-Sensitive Bank Capital
February 1, 2009, 12:00am PST
The aim of the present paper is to assess the pro-cyclical impact of risk-sensitive bank capital. The authors develop a theoretical model where banks may apply two capital management rules: either...
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White Papers
Real-time Data And Fiscal Policy Analysis: A Survey Of The Literature
July 1, 2011, 12:00am PDT
This paper surveys the empirical research on fiscal policy analysis based on real-time data. This paper can be broadly divided in three groups that focus on: the statistical properties of...
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White Papers
Financial Development And The Growth-Volatility Tradeo : International Evidence
February 1, 2011, 12:00am PST
The authors study how financial development affects the economy's growth-volatility profile in a large cross-section of countries. They construct a benchmark industrial composition as the set of...
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White Papers
Cross-Border Banking And The International Transmission Of Financial Distress
October 1, 2009, 12:00am PDT
The authors study the effect of financial distress in foreign parent banks on local SME financing in 14 European countries during the early stages of the 2007-2008 financial crisis. The available...
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White Papers
Systemic Risk And Financial Development In A Monetary Model
June 1, 2011, 12:00am PDT
In a stochastic pure endowment economy with money but no financial markets, two types of agents trade one non-durable goods using two alternative types of cash constraints. Simulations of the...
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White Papers
Capital Flows, Push Versus Pull Factors And The Global Financial Crisis
July 1, 2011, 12:00am PDT
The causes of the 2008 collapse and subsequent surge in global capital flows remain an open and highly controversial issue. Employing a factor model coupled with a dataset of high-frequency...
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The Basel III Framework For Liquidity Standards And Monetary Policy Implementation
June 1, 2011, 12:00am PDT
Basel III introduces for the first time an international framework for liquidity risk regulation, reflecting the experience of excessive liquidity risk taking of banks in the run up to the...
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White Papers
Cross-Border Banking And The International Transmission Of Financial Distress During The Financial Crisis Of 2007-2008
January 1, 2010, 12:00am PST
The authors study the effect of financial distress in foreign parent banks on local SME financing in 14 European countries during the early stages of the 2007-2008 financial crisis. They use...
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White Papers
China's And India's Roles In Global Trade And Finance Twin Titans For The New Millennium?
January 1, 2008, 12:00am PST
This paper analyses the integration of China and India into the global economy. To this end, it presents estimates from a gravity model to gauge the overall degree of their trade intensity and the...
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Wage Growth Dispersion Across The Euro Area Countries Some Stylised Facts
July 1, 2008, 12:00am PDT
This paper presents some stylised facts on wage growth differentials across the euro area countries in the years before and in the first eight years after the introduction of Economic and Monetary...
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White Papers
The Impact Of Sovereign Wealth Funds On Global Financial Markets
July 1, 2008, 12:00am PDT
This paper analyses the impact of Sovereign Wealth Funds (SWFs) on global financial markets. It presents back-of-the-envelope calculations which simulate the potential impact of a transfer of...
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White Papers
The Gulf Cooperation Council Countries Economic Structures, Recent Developments And Role In The Global Economy
July 1, 2008, 12:00am PDT
In the wake of high and rising oil prices since 2003, the member states of the Gulf Cooperation Council (GCC) have seen dynamic economic development, enhancing their role in the global economy as...
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White Papers
The Impact Of The Global Economic And Financial Crisis On Central, Eastern And South-Eastern Europe A Stock-Taking Exercise
June 1, 2010, 12:00am PDT
The paper first reviews the main drivers of the growth and real convergence process in Central, Eastern and South-Eastern Europe (CESEE) since 2000 and assesses the key macro-financial strengths...
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White Papers
The Changing Role Of The Exchange Rate In A Globalised Economy
September 1, 2008, 12:00am PDT
In addition to its direct effects on the global trading and production structure, the ongoing process of globalisation may have important implications for the interaction of exchange rates and the...
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White Papers
Short-Term Forecasting Of GDP Using Large Monthly Datasets: A Pseudo Real-Time Forecast Evaluation Exercise
April 1, 2008, 12:00am PDT
This paper evaluates different models for the short-term forecasting of real GDP growth in ten selected European countries and the euro area as a whole. Purely quarterly models are compared with...
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Has Emerging Asia Decoupled? An Analysis Of Production And Trade Linkages Using The Asian International Input-Output Table
January 1, 2009, 12:00am PST
Due to the emergence of global production networks, trade statistics have became less accurate in describing the dependence of emerging Asia on external demand. This paper analyses, using an...
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White Papers
Current Account Benchmarks For Central And Eastern Europe: A Desperate Search?
January 1, 2009, 12:00am PST
This paper examines two competing approaches for calculating current account benchmarks, i.e. the external sustainability approach á la Lane and Milesi-Ferretti (LM) versus the Structural Current...
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White Papers
Financing Obstacles And Growth: An Analysis For Euro Area Non-Financial Corporations
January 1, 2009, 12:00am PST
This paper investigates whether financial obstacles, and, more generally, financial pressure faced by firms, significantly affect firm growth. For this purpose, the authors use an unbalanced panel...
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White Papers
Infinite-Dimensional VARs And Factor Models
January 1, 2009, 12:00am PST
This paper introduces a novel approach for dealing with the 'Curse of dimensionality' in the case of large linear dynamic systems. Restrictions on the coefficients of an unrestricted VAR are...
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White Papers
Wealth Effects In Emerging Market Economies
January 1, 2009, 12:00am PST
The authors build a panel of 14 emerging economies to estimate the magnitude of housing, stock market, and money wealth effects on consumption. Using modern panel data econometric techniques and...
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White Papers
Assessing Portfolio Credit Risk Changes In A Sample Of EU Large And Complex Banking Groups In Reaction To Macroeconomic Shocks
February 1, 2009, 12:00am PST
In terms of regulatory and economic capital, credit risk is the most significant risk faced by banks. The authors implement a credit risk model - based on publicly available information - with the...
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White Papers
Real Wages Over The Business Cycle: OECD Evidence From The Time And Frequency Domains
February 1, 2009, 12:00am PST
The authors study differences in the adjustment of aggregate real wages in the manufacturing sector over the business cycle across OECD countries, combining results from different data and dynamic...
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White Papers
Understanding Sectoral Differences In Downward Real Wage Rigidity: Workforce Composition, Institutions, Technology And Competition
February 1, 2009, 12:00am PST
This paper examines whether differences in wage rigidity across sectors can be explained by differences in workforce composition, competition, technology and wage-bargaining institutions. The...
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White Papers
Sequential Bargaining In A New-Keynesian Model With Frictional Unemployment And Staggered Wage Negotiation
February 1, 2009, 12:00am PST
The authors consider a model with frictional unemployment and staggered wage bargaining where hours worked are negotiated every period. The workers' bargaining power in the hour's negotiation...
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White Papers
Liquidity (Risk) Concepts: Definitions And Interactions
February 1, 2009, 12:00am PST
The authors discuss the notion of liquidity and liquidity risk within the financial system. They distinguish between three different liquidity types, central bank liquidity, funding and market...
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White Papers
Asset Prices And Current Account Fluctuations In G7 Economies
February 1, 2009, 12:00am PST
The paper analyses the effect of equity price shocks on current account positions for the G7 industrialized countries in 1974-2007. It uses a Bayesian VAR with sign restrictions for the...
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White Papers
What Drives Returns To Euro Area Housing? Evidence From A Dynamic Dividend-Discount Model
March 1, 2009, 12:00am PST
The authors apply a dynamic dividend-discount model to analyse unexpected housing returns in a panel of eight euro area countries which together comprise 90% of euro area GDP. The application of...
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Understanding Inter-Industry Wage Structures In The Euro Area
March 1, 2009, 12:00am PST
This paper focuses on the euro area wage structure and its potential determinants from a sectoral viewpoint. Merging information from the OECD Structural Analysis database with data from the EU...
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White Papers
Do House Price Developments Spill Over Across Euro Area Countries? Evidence From A Global VAR
March 1, 2009, 12:00am PST
This paper empirically assesses the prospects for house price spillovers in the euro area, where co-movement in house prices across countries may be particularly relevant given a general trend...
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White Papers
Long Run Evidence On Money Growth And Inflation
March 1, 2009, 12:00am PST
Over the last two centuries, the cross-spectral coherence between either narrow or broad money growth and inflation at the frequency ù=0 has exhibited little variation - being, most of the time,...
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White Papers
Large Debt Financing: Syndicated Loans Versus Corporate Bonds
March 1, 2009, 12:00am PST
Following the introduction of the euro, the markets for large debt financing experienced a historical expansion. The authors investigate the financial factors behind the issuance of syndicated...
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White Papers
The Role Of Fiscal Transfers For Regional Economic Convergence In Europe
March 1, 2009, 12:00am PST
This paper provides evidence on the role of net fiscal transfers to households and EU structural funds for per-capita output convergence across a large sample of European regions during the period...
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White Papers
Global Roles Of Currencies
March 1, 2009, 12:00am PST
This paper presents a new concept - the global roles of currencies. The concept combines the domestic and international (cross-border) use of currencies and therefore captures the overall...
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White Papers
Assessing Long-Term Fiscal Developments - A New Approach
March 1, 2009, 12:00am PST
The authors use a new approach to assess long-term fiscal developments. By analyzing the time varying behaviour of the two components of government spending and revenue - responsiveness and...
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White Papers
Fiscal Competition Over Taxes And Public Inputs - Theory And Evidence
March 1, 2009, 12:00am PST
The authors set up a model to characterize the reaction functions of governments competing for mobile capital by simultaneously setting both the business tax rate as well as the level of provision...
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White Papers
The Role Of The United States In The Global Economy And Its Evolution Over Time
March 1, 2009, 12:00am PST
This paper aims at assessing the role of the United States in the global economy and its evolution over time. The emergence of large economic players, like China, is likely to have weakened the...
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White Papers
Search In The Product Market And The Real Business Cycle
March 1, 2009, 12:00am PST
The authors develop a search-matching model, where firms search for customers (e.g. in form of advertising). Firms use long-term contracts and bargain over prices, resulting in a price mark up...
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White Papers
What Do Asset Prices Have To Say About Risk Appetite And Uncertainty?
March 1, 2009, 12:00am PST
Implied volatility indices should have information about risk parameters, once they are cleansed of the influence of normal volatility dynamics and macroeconomic uncertainty. Building on intuition...
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White Papers
Real Time~ Early Warning Indicators For Costly Asset Price Boom/Bust Cycles: A Role For Global Liquidity
March 1, 2009, 12:00am PST
The authors test the performance of a host of real and financial variables as early warning indicators for costly aggregate asset price boom/bust cycles, using data for 18 OECD countries between...
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White Papers
The External And Domestic Side Of Macroeconomic Adjustment In China
March 1, 2009, 12:00am PST
This paper sheds new light on the external and domestic dimension of China's exchange rate policy. It presents an open economy model to analyse both dimensions of macroeconomic adjustment in China...
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