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  1. Sectoral exchange rate pass-through in the euro area
    Autor*in: Osbat, Chiara; Sun, Yiqiao; Wagner, Martin
    Erschienen: [2021]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    We study exchange rate pass-through (ERPT), i.e., the impact of exchange rate movements on inflation, focusing on euro area import prices at a sectorally disaggregated level. Our estimation strategy is based on VAR-X models, thus incorporating both... mehr

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 534
    Fernleihe:
    keine Fernleihe

     

    We study exchange rate pass-through (ERPT), i.e., the impact of exchange rate movements on inflation, focusing on euro area import prices at a sectorally disaggregated level. Our estimation strategy is based on VAR-X models, thus incorporating both endogenous and exogenous explanatory variables. The impulse response functions not only allow to study the extent but also the dynamics of ERPT. We find that ERPT is heterogeneous in terms of magnitude across sectors. We further investigate what industry-specific characteristics affect the heterogeneity of ERPT. Across various model specifications including import penetration, market integration, competition and value chain integration, we find that higher market concentration and higher backward integration in global value chains decrease pass-through, in line with previous findings in the literature.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9789289949217
    Weitere Identifier:
    hdl: 10419/249907
    Schriftenreihe: Working paper series / European Central Bank ; no 2634 (December 2021)
    Schlagworte: exchange rates; import prices; pass-through; euro area; sectoral disaggregation
    Umfang: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  2. The current account and monetary policy in the euro area
    Autor*in: Schuler, Tobias; Sun, Yiqiao
    Erschienen: [2022]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    We investigate the factors driving current account and monetary policy developments in the euro area. We estimate an open-economy structural vector autoregression (VAR) model with zero and sign restrictions derived from a multi-country dynamic... mehr

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 534
    Fernleihe:
    keine Fernleihe

     

    We investigate the factors driving current account and monetary policy developments in the euro area. We estimate an open-economy structural vector autoregression (VAR) model with zero and sign restrictions derived from a multi-country dynamic stochastic general equilibrium (DSGE) model to identify relevant shocks and analyse their impact on the current account and interest rate. Examining the VAR impulse responses for Germany, Italy and Spain we find that investment shocks and preference shocks drive the current account and interest rates in the opposite directions. By contrast, external demand shocks and productivity shocks cause both the current account balance and interest rate to move in the same direction. We also provide evidence for spillovers to the euro area from US preference shocks and US interest rate policy shocks.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9789289952811
    Weitere Identifier:
    hdl: 10419/269103
    Schriftenreihe: Working paper series / European Central Bank ; no 2696 (August 2022)
    Schlagworte: current account; monetary policy; macroeconomic shocks
    Umfang: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  3. Estimating the Euro Area output gap using multivariate information and addressing the COVID-19 pandemic
    Autor*in: Morley, James C.; Rodriguez Palenzuela, Diego; Sun, Yiqiao; Wong, Benjamin
    Erschienen: [2022]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    We estimate the euro area output gap by applying the Beveridge-Nelson decomposition based on a large Bayesian vector autoregression. Our approach incorporates multivariate information through the inclusion of a wide range of variables in the analysis... mehr

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 534
    Fernleihe:
    keine Fernleihe

     

    We estimate the euro area output gap by applying the Beveridge-Nelson decomposition based on a large Bayesian vector autoregression. Our approach incorporates multivariate information through the inclusion of a wide range of variables in the analysis and addresses data issues associated with the COVID-19 pandemic. The estimated output gap lines up well with the CEPR chronology of the business cycle for the euro area and we find that hours worked, more than the unemployment rate, provides the key source of information about labor utilization in the economy, especially in pinning down the depth of the output gap during the COVID-19 recession when the unemployment rate rose only moderately. Our findings suggest that labor market adjustments to the business cycle in the euro area occur more through the intensive, rather than extensive, margin.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9789289953030
    Weitere Identifier:
    hdl: 10419/269123
    Schriftenreihe: Working paper series / European Central Bank ; no 2716 (August 2022)
    Schlagworte: Beveridge-Nelson decomposition; output gap; Bayesian estimation; multivariate information
    Umfang: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  4. A new optimum currency area index for the euro area
    Autor*in: Kunovac, Davor; Rodriguez Palenzuela, Diego; Sun, Yiqiao
    Erschienen: [2022]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    We propose a new and time-varying optimum currency area (OCA) index for the euro area in assessing the evolution of the OCA properties of the monetary union from an international business cycle perspective. It is derived from the relative importance... mehr

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 534
    Fernleihe:
    keine Fernleihe

     

    We propose a new and time-varying optimum currency area (OCA) index for the euro area in assessing the evolution of the OCA properties of the monetary union from an international business cycle perspective. It is derived from the relative importance of symmetric vs. asymmetric shocks that result from a sign and zero restricted open-economy structural vector autoregression (VAR) model. We argue that the euro area is more appropriate through the lens of empirical OCA properties when the relative importance of common symmetric shocks is high, but, at the same time, is not overly dispersed across euro area member countries. We find that symmetric shocks have been the dominant drivers of business cycles across euro area countries. Our OCA index, nevertheless, shows that cyclical convergence among euro area members is not a steady process as it tends to be disrupted by crises, especially those not primarily triggered by common external shocks. In the aftermath of a crisis the OCA index embarks on a recovery trajectory catching up with its pre-crisis level. Our OCA index is slow-moving and a good reflection of changing underlying economic structures across the euro area and, therefore, informative about the ability of monetary policy to stabilise the euro area economy in the medium run.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9789289953177
    Weitere Identifier:
    hdl: 10419/269137
    Schriftenreihe: Working paper series / European Central Bank ; no 2730 (September 2022)
    Schlagworte: Economic convergence; optimum currency area; symmetric and asymmetric shocks
    Umfang: 1 Online-Ressource (circa 44 Seiten), Illustrationen
  5. NGFS climate scenarios for the euro area
    role of fiscal and monetary policy conduct : opening up the macroeconomic toolbox and its sensitivity to policy settings
    Autor*in: Darracq Pariès, Matthieu; Dées, Stéphane; De Gaye, Annabelle; Parisi, Laura; Sun, Yiqiao
    Erschienen: [2023]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    In this paper we analyse the sensitivity of the macroeconomic outcomes under the Network for Greening the Financial System's (NGFS's) Phase III net-zero and delayed transition scenarios to different monetary and fiscal policy settings. In doing so,... mehr

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    Standort:
    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Unter den Linden
    Fernleihe:
    uneingeschränkte Fernleihe, Kopie und Ausleihe

     

    In this paper we analyse the sensitivity of the macroeconomic outcomes under the Network for Greening the Financial System's (NGFS's) Phase III net-zero and delayed transition scenarios to different monetary and fiscal policy settings. In doing so, we provide a rare application of the NGFS climate scenarios to economic assessment through the lens of the macroeconomic modelling frameworks underlying the scenario construction (e.g. NiGEM). Using the model to disentangle the main drivers of the scenarios, we show that gross domestic product (GDP) growth is shaped by physical and transition shocks jointly, whereas transition shocks account for most of the inflationary pressure. As regards alternative policy settings within the model, it turns out that Fiscal recycling options become more discriminant in terms of GDP impact in the medium term. Full recycling through government investment yields the strongest output multiplier, whereas recycling through household transfers or reduced income taxes yields the lowest multiplier. During the transition, euro area macroeconomic variables respond very similarly if two-pillar or price level-targeting monetary policy rules are followed. The Taylor- rule, reacting to inflation and output gap, yields higher and more persistent inflation as well as stronger short-term interest rate increases. These findings are certainly modelspecific but do reflect the policy sensitivity embedded of the NGFS scenarios, within the confines of the very model used to build them up.

     
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    Quelle: Staatsbibliothek zu Berlin
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9789289962353
    Weitere Identifier:
    hdl: 10419/283488
    Schriftenreihe: Occasional paper series / European Central Bank ; No 336
    Schlagworte: climate scenarios; modelling strategy; monetary policy; fiscal policy
    Umfang: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  6. NGFS climate scenarios for the euro area
    role of fiscal and monetary policy conduct : opening up the macroeconomic toolbox and its sensitivity to policy settings
    Autor*in: Darracq Pariès, Matthieu; Dées, Stéphane; De Gaye, Annabelle; Parisi, Laura; Sun, Yiqiao
    Erschienen: [2023]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    In this paper we analyse the sensitivity of the macroeconomic outcomes under the Network for Greening the Financial System's (NGFS's) Phase III net-zero and delayed transition scenarios to different monetary and fiscal policy settings. In doing so,... mehr

    Zugang:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)
    Resolving-System (kostenfrei)

    Standort:
    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Potsdamer Straße
    Fernleihe:
    keine Fernleihe

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 535
    Fernleihe:
    keine Fernleihe

     

    In this paper we analyse the sensitivity of the macroeconomic outcomes under the Network for Greening the Financial System's (NGFS's) Phase III net-zero and delayed transition scenarios to different monetary and fiscal policy settings. In doing so, we provide a rare application of the NGFS climate scenarios to economic assessment through the lens of the macroeconomic modelling frameworks underlying the scenario construction (e.g. NiGEM). Using the model to disentangle the main drivers of the scenarios, we show that gross domestic product (GDP) growth is shaped by physical and transition shocks jointly, whereas transition shocks account for most of the inflationary pressure. As regards alternative policy settings within the model, it turns out that Fiscal recycling options become more discriminant in terms of GDP impact in the medium term. Full recycling through government investment yields the strongest output multiplier, whereas recycling through household transfers or reduced income taxes yields the lowest multiplier. During the transition, euro area macroeconomic variables respond very similarly if two-pillar or price level-targeting monetary policy rules are followed. The Taylor- rule, reacting to inflation and output gap, yields higher and more persistent inflation as well as stronger short-term interest rate increases. These findings are certainly modelspecific but do reflect the policy sensitivity embedded of the NGFS scenarios, within the confines of the very model used to build them up.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Staatsbibliothek zu Berlin
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9789289962353
    Weitere Identifier:
    hdl: 10419/283488
    Schriftenreihe: Occasional paper series / European Central Bank ; No 336
    Schlagworte: climate scenarios; modelling strategy; monetary policy; fiscal policy
    Umfang: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  7. Demographics and inflation
    Autor*in: Bobeica, Elena; Lis, Eliza Magdalena; Nickel, Christiane; Sun, Yiqiao
    Erschienen: [2017]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    Most euro area countries have entered an unprecedented ageing process: life expectancy continues to rise and fertility rates have declined, while retirement age in the last twenty to thirty years hardly increased. This implies an ever smaller... mehr

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 534 (2006)
    Fernleihe:
    keine Fernleihe

     

    Most euro area countries have entered an unprecedented ageing process: life expectancy continues to rise and fertility rates have declined, while retirement age in the last twenty to thirty years hardly increased. This implies an ever smaller fraction of the working age population in total population, leading to changes in consumption and saving behaviours and having an important impact on the macroeconomy. In this paper we focus on the rela- tionship between demographic change and inflation. We find that based on a cointegrated VAR model there is a positive long-run relationship between inflation and the growth rate of working-age population as a share in total population in the euro area countries as a whole, but also in the US and Germany. We also find that this relation is mitigated by the effect of monetary policy, which we account for by including the short-term interest rate in our analysis. One caveat of the analysis could be that the empirical relationship as found does not sufficiently take into account changes in policy settings following the high inflation experiences in the 1970s. Our findings support the view that demographic trends are among the forces that shape the economic environment in which monetary policy operates. This is particularly relevant for countries, like many in Europe, that face an ageing process.

     
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    Hinweise zum Inhalt
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9789289927284
    Weitere Identifier:
    hdl: 10419/154439
    Schriftenreihe: Working paper series / European Central Bank ; no 2006 (January 2017)
    Umfang: 1 Online-Ressource (circa 27 Seiten), Illustrationen