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on European Economics |
| By: | Patrick Lunnemann; Thomas Y. Mathä |
| Abstract: | The aim of this paper is to analyse the degree of inflation persistence in Luxembourg using disaggregate price index data from the Harmonised Index of Consumer Prices. The degree of inflation persistence is then compared to estimates for the EU15 and for the euro area as well as for the individual member countries according to a unified approach. In order to assess the robustness of our estimates both a parametric and a non-parametric measure of inflation persistence is used. Overall, our results suggest a relatively low degree of inflation persistence in Luxembourg. For a large number of sub-indices we are not only able to reject the unit root hypothesis, but also we find a low degree of inflation persistence relative to other EU15 countries and relative to the EU15 and euro area aggregates. For Luxembourg as well as the other EU15 countries, our results suggest substantial heterogeneity in the degree of inflation persistence across sub-indices. We find some support for the presence of aggregation effects, both across indices and countries. Structural break tests for all EU15 countries suggest the presence of structural changes in the inflation process owing to the inception of the single monetary policy and/or to the modified treatment of sales. |
| Date: | 2004–10 |
| URL: | http://d.repec.org/n?u=RePEc:bcl:bclwop:cahier_etude_12&r=eec |
| By: | Fernandez, Pablo (IESE Business School); Villanueva, Alvaro (IESE Business School) |
| Abstract: | 2004 was a good year for the shareholders of the companies in the Euro Stoxx 50: the shareholder value creation of these 50 companies was €42,880 million. It was not as good as 2003, however, when their value creation reached slightly over €160,000 million. The companies that created most value for their shareholders were Enel (€13,364 million), ENI (11,855) and TIM (9,891). The companies that destroyed most value were Nokia (-€15,239 million), L'Oréal (-9,095) and Philips (-7,823). In 2004, the Euro Stoxx 50 was much more volatile than either the S&P 500 or the Dow Jones. Shareholder value destruction in the three-year period 2002-2004 was €-0.9 trillion. The market value of the companies included in the Euro Stoxx 50 was €1.5 trillion in 2004 and €1.4 trillion in 2003. We also calculate the created shareholder value of the 50 companies during the seven-year period 1997-2004. ENI was the top shareholder value creator and Vivendi, the top shareholder value destroyer during that period. A portfolio long in the companies that entered the index and short in the companies that abandoned the index had on average a 7.2% return in the 20 days prior to the index recomposition and a 2.3% return in the 20 days after the index recomposition. |
| Keywords: | shareholder value creation; created shareholder value; shareholder value added; shareholder return; required return to equity; |
| JEL: | G12 G31 M21 |
| Date: | 2005–02–28 |
| URL: | http://d.repec.org/n?u=RePEc:ebg:iesewp:d-0583&r=eec |
| By: | Martin Feldstein |
| Abstract: | This paper begins by discussing the inherent conflict between the simultaneous existence of a single currency for the countries of the European Economic and Monetary Union (EMU) and the independent fiscal policies of those countries. The Stability and Growth Pact was an attempt to reconcile that conflict. I describe how EMU governments have chosen to ignore the Stability Pact's constraint on budget deficits and how they sought to undermine it by changing the rules themselves. The final part of the paper describes the actual resolution of the issue by the agreement reached at the end of March 2005 by the European Council. The new policy effectively abandons the Stability Pact and leaves the way open to much larger sustained deficits. |
| JEL: | F4 |
| Date: | 2005–04 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:11249&r=eec |
| By: | Jason Long; Joseph Ferrie |
| Abstract: | The U.S. both tolerates more inequality than Europe and believes its economic mobility is greater than Europe's. These attitudes and beliefs help account for differences in the magnitude of redistribution through taxation and social welfare spending. In fact, the U.S. and Europe had roughly equal rates of inter-generational occupational mobility in the late twentieth century. We extend this comparison into the late nineteenth century using longitudinal data on 23,000 nationally-representative British and U.S. fathers and sons. The U.S. was substantially more mobile then Britain through 1900, so in the experience of those who created the U.S. welfare state in the 1930s, the U.S. had indeed been "exceptional." The margin by which U.S. mobility exceeded British mobility was erased by the 1950s, as U.S. mobility fell compared to its nineteenth century levels. |
| JEL: | J6 N3 |
| Date: | 2005–04 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:11253&r=eec |
| By: | Jan Willem van den End; Mostafa Tabbae |
| Abstract: | Models which integrate various financial stability risks are still in an early stage of development. Inthis paper we use the Macrofinancial Risk model (MfRisk) to construct a measure for financial stability. MfRisk applies the Merton option model in a multi-sector framework. We argue that this method satisfies the macro-prudential approach. On the basis of the MfRisk model we construct a system-wide financial stability measure for the Netherlands, which builds on the put options of the banking, insurance and pension sectors. This measure approximates the probability and the potential loss of stress in the financia l system. The measure is tested against various indicators of default risk, from which we conclude that it is a reliable proxy. Finally, it is shown how the measure can be used for stress testing. |
| JEL: | G12 G13 G28 G32 G33 |
| Date: | 2005–03 |
| URL: | http://d.repec.org/n?u=RePEc:dnb:dnbwpp:030&r=eec |
| By: | Nicole Schneeweis (Department of Economics, Johannes Kepler University Linz, Austria); Rudolf Winter-Ebmer (Department of Economics, Johannes Kepler University Linz, Austria) |
| Date: | 2005–03 |
| URL: | http://d.repec.org/n?u=RePEc:jku:econwp:2005_02&r=eec |