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on European Economics |
| By: | Jesus Crespo-Cuaresma; Gernot Doppelhofer; Martin Feldkircher |
| Abstract: | We use Bayesian Model Averaging (BMA) to evaluate the robustness of determinants of economic growth in a new dataset of 255 European regions in the period 1995-2005. We use three different specifications based on (i) the cross-section of regions, (ii) the cross-section of regions with country fixed effects, and (iii) the cross-section of regions with a spatial autoregressive (SAR) structure. Our results indicate that the income convergence process between countries is dominated by the catching-up process of regions in Central and Eastern Europe (CEE), whereas convergence within countries is mostly a characteristic of regions in old EU member states. We find robust evidence of asymmetric growth performance within countries, with a growth bonus in regions containing capital cities which is particularly sizeable in CEE countries, as well as a robust positive effect of education. The results are robust if we allow for spatial spillovers a priori. In this setting, we also find robust evidence of positive spillovers leading to growth clusters. |
| Keywords: | model uncertainty, Bayesian Model Averaging (BMA), spatial autoregressive model, determinants of economic growth, urban agglomerations, European regions |
| JEL: | C11 C15 C21 R11 O52 |
| Date: | 2009–09 |
| URL: | http://d.repec.org/n?u=RePEc:wii:wpaper:57&r=eec |
| By: | Javier J. Pérez (Bank of Spain, c/Alcalá 48, 28014 Madrid, Spain.); A. Jesús Sánchez (Universidad Pablo de Olavide, Ctra. Utrera, km. 1, E-41013 Seville, Spain.) |
| Abstract: | Do public sector wages exert pressures on private sector wages, or has the private sector a leadership role in wage setting? This paper tries to isolate the pure signalling effect that one sector might exert on the other by controlling for other determinants of wages (prices, productivity, institutions) for the main euro area economies (Germany, France, Italy and Spain) and the periods 1980-2007 and 1991-2007. It exploits available quarterly information not yet used in the literature, and combines different data sources in the framework of mixed-frequencies time series models. The quarterly frequency of our data allows us to check the existence of purely intra-annual links between public and private sector wages (signalling effect). There is strong evidence of public wages’ leadership, either in conjunction with bi-directional links from the private sector (Germany and Spain) or pure public wage leadership (France in the sample 1991-2007, Italy for within-the-year linkages). JEL Classification: C32, C53, J30, J51, J52, E62, E63, H50, H6. |
| Keywords: | government wages; private sector wages; signalling; causality; mixed frequency data; causal graph. |
| Date: | 2010–01 |
| URL: | http://d.repec.org/n?u=RePEc:ecb:ecbwps:20101148&r=eec |
| By: | Carin van der Cruijsen; Carin van der Cruijsen |
| Abstract: | Anchored inflation expectations help stabilize inflation. Previous results indicate that monetary policy has been effective in breaking the link between actual and expected inflation at the euro area level. In this paper we examine whether this is also true at the national level. We define the disconnect' between inflation and inflation expectations and then proceed to examine the extent to which this disconnect exists for a number of euro area countries. Our findings suggest that country-specific inflation experiences still affect national inflation expectations, and certainly more by comparison to the aggregate euro area level. EMU has therefore not made this link disappear at the national level. |
| Keywords: | Inflation expectations; monetary policy; EMU. J.E.L. codes : E52; E58. |
| Date: | 2010–01 |
| URL: | http://d.repec.org/n?u=RePEc:dnb:dnbwpp:235&r=eec |
| By: | Jesús Crespo Cuaresma (Department of Economics, University of Innsbruck; Universitätstrasse 15, 6020 Innsbruck, Austria); Martin Feldkircher (Oesterreichische Nationalbank, Foreign Research Division, Otto-Wagner-Platz 3, POB 61, A-1011 Vienna) |
| Abstract: | In this paper we put forward a Bayesian Model Averaging method dealing with model uncertainty in the presence of potential spatial autocorrelation. The method uses spatial filtering in order to account for different types of spatial links. We contribute to existing methods that handle spatial dependence among observations by explicitly taking care of uncertainty stemming from the choice of a particular spatial structure. Our method is applied to estimate the conditional speed of income convergence across 255 NUTS-2 European regions for the period from 1995 to 2005. We show that the choice of a spatial weight matrix - and in particular the choice of a class thereof - can have an important effect on the estimates of the parameters attached to the model covariates. We also show that estimates of the speed of income convergence across European regions depend strongly on the form of the spatial patterns which are assumed to underlie the dataset. When we take into account this dimension of model uncertainty, the posterior distribution of the speed of convergence parameter has a large probability mass around a rate of convergence of 1%, approximately half of the value which is usually reported in the literature. |
| Keywords: | Dollarization, Model uncertainty, spatial filtering, determinants of economic growth, European regions |
| JEL: | C11 C15 C21 R11 O52 |
| Date: | 2010–01–11 |
| URL: | http://d.repec.org/n?u=RePEc:onb:oenbwp:160&r=eec |
| By: | Delis, Manthos D; Kouretas, Georgios |
| Abstract: | In a recent line of research the low interest-rate environment of the early to mid 2000s is viewed as an element that triggered increased risk-taking appetite of banks in search for yield. This paper uses approximately 18,000 annual observations on euro area banks over the period 2001-2008 and presents strong empirical evidence that low interest rates indeed increase bank risk-taking substantially. This result is robust across a number of different specifications that account, inter alia, for the potential endogeneity of interest rates and/or the dynamics of bank risk. Notably, among the banks of the large euro area countries this effect is less pronounced for French institutions, which held on average a relatively low level of risk assets. Finally, the distributional effects of interest rates on bank risk-taking due to individual bank characteristics reveal that the impact of interest rates on risk assets is diminished for banks with higher equity capital and is amplified for banks with higher off-balance sheet items. |
| Keywords: | Interest rates; bank risk-taking; panel data; euro area banks |
| JEL: | E43 E52 G21 |
| Date: | 2010–01–01 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:20132&r=eec |
| By: | Köhler, Matthias |
| Abstract: | There is ample anecdotal evidence that political influence constitutes a barrier to the integration of the EU banking market. Based on a dataset on the transparency on the supervisory review process of bank mergers in the EU, I estimate the probability that a bank is taken over as a function of bank and country characteristics and the transparency of merger control. The results indicate that banks are systematically more likely to be taken over by foreign credit institutions if the regulatory process is transparent. Particularly large banks seem to be less likely to be taken over by foreign banks if merger control lacks transparency. -- |
| Keywords: | Mergers and acquisitions,banks,barriers to consolidation,political interference |
| Date: | 2010 |
| URL: | http://d.repec.org/n?u=RePEc:zbw:zewdip:08009r&r=eec |
| By: | Michael Ehrmann (European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany.); Sylvester Eijffinger (Tilburg University, Koopmans building, Warandelaan 2, 5037 AB Tilburg, The Netherlands.); Marcel Fratzscher (European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany.) |
| Abstract: | There is a broad consensus in the literature that costs of information processing and acquisition may generate costly disagreements in expectations among economic agents, and that central banks may play a central role in reducing such dispersion in expectations. This paper analyses empirically whether enhanced central bank transparency lowers dispersion among professional forecasters of key economic variables, using a large set of proxies for central bank transparency in 12 advanced economies. It finds evidence for a significant and sizeable effect of central bank transparency on forecast dispersion, be it by means of announcing a quantified inflation objective, other forms of communication, or by publishing central banks’ inflation and output forecasts. However, there also appear to be limits to central bank transparency, with decreasing marginal returns to enhancing (economic) transparency, and given our findings that disagreement among inflation expectations in the general public is not affected by the various central bank transparency measures analyzed in this paper. JEL Classification: E37, E52, C53. |
| Keywords: | central banking; transparency; disagreement; survey expectations; monetary policy; inflation targeting; central bank communication; forecasting. |
| Date: | 2010–01 |
| URL: | http://d.repec.org/n?u=RePEc:ecb:ecbwps:20101146&r=eec |
| By: | Dima, Bogdan; Murgea, Aurora; Cristea, Stefana |
| Abstract: | The pathology of the financial instability is inter alia characterized by structural changes in the market prices’ volatility. Such changes are the expression of investor’s uncertainty in regard to the market’s dynamics and lead to systematic anticipation errors. The objective of this paper is to study the modifications in the most significant European index -EURONEXT, in the aftermath of financial crisis. The methodology consists in the estimation of the so called intrinsic volatility in index daily data, during pre and current crisis period. Also, it is a study on the structural changes in this volatility based on Quandt-Andrews Break point test. The main output consists in the thesis that for the financial crisis’ period there are specific rapid adjustments in short run anticipations and the appearance of global picks in market dynamics |
| Keywords: | crisis volatility prices structural changes |
| JEL: | G15 G10 |
| Date: | 2009–12–10 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:20145&r=eec |
| By: | Jose Antonio Cordero |
| Abstract: | This paper looks at three countries that have been hard-hit by the world economic recession, and have turned to the IMF for assistance: Hungary, Latvia, and Ukraine. In all of these countries, it would appear that there were more sensible responses to the crisis that would reduce the loss of employment and output, cuts in social services, and political instability that have resulted from the downturn. Instead, the governments’ responses to the downturn as well as IMF conditions for assistance have caused additional harm. |
| Keywords: | IMF, Hungary, Latvia, Ukraine, fiscal policy, monetary policy |
| JEL: | O O5 O52 E E5 E51 E52 E6 E62 E63 F F3 F32 F33 F34 F37 |
| Date: | 2009–09 |
| URL: | http://d.repec.org/n?u=RePEc:epo:papers:2009-31&r=eec |