21 datasets found

This paper seeks to address the policy issue of the usefulness of financial spreads as indicators of future inflation and output growth in the countries of the European Union,...

In this paper, an empirically stable money demand model for M3 in the euro area is constructed. Starting with a multivariate system, three cointegrating relationships with...

Under the Maastricht Treaty and the Stability and Growth Pact (SGP), European Union (EU) Member States commit themselves to avoid excessive deficits over 3% of GDP and to pursue...

Multivariate unobserved components (structural) time series models are fitted to annual post-war observations on real income per capita in countries in the Euro-zone. The aim is...

This paper estimates a DSGE model with many types of shocks and frictions for both the US and the euro area economy over a common sample period (1974-2002). The structural...

The empirical analysis of monetary policy requires the construction of instruments for future expected inflation. Dynamic factor models have been applied rather successfully to...

This paper considers tests of seasonal integration and cointegration for multivariate unobserved component models. First, the locally best invariant (LBI) test of the null...

This paper analyses the distribution of purchasing power standardized per capita income across EU-12 regions between 1977 and 1996. Dispersion of incomes between regions is...

The paper aims to identify those factors that cause changes in the speed and strength of the international transmission of output shocks from the USA to specified European...

This paper presents a quarterly global model combining individual country vector error-correcting models in which the domestic variables are related to the country-specific...

We follow recent developments of panel data studies and allow for the existence of both observed and unobserved common factors where their individual responses are allowed to be...

We estimate the EU Commission loss preferences for major economic forecasts of 12 Member States. Based on a recently proposed method by Elliott, Komunjer and Timmermann (2005)...

This paper establishes stylized facts on comovements and heterogeneity of individual euro area countries' output and price developments in the past two decades. For this...

We investigate the direct and long-run effects of fertility on employment in Europe, estimating dynamic models of labor supply under different assumptions regarding the...

Understanding the complexity of the financial transmission process across various assets-domestically as well as within and across asset classes-requires the simultaneous...

We model the dynamic volatility and correlation structure of electricity futures of the European Energy Exchange index. We use a new multiplicative dynamic conditional...

In this paper we modify the expectation maximization algorithm in order to estimate the parameters of the dynamic factor model on a dataset with an arbitrary pattern of missing...

Reliable estimates of crime detection probabilities could help in designing better sanctions and improve our understanding of the efficiency of law enforcement. For cartels, we...

We date turning points of the reference cycle for 19 Mediterranean countries and analyze their structure and interdependencies. Fluctuations are volatile and not highly...

We examine matched point and density forecasts of output growth, inflation and unemployment from the ECB Survey of Professional Forecasters. We construct measures of uncertainty...