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on European Economics |
| By: | Dieter Nautz; Ulrike Rondorf |
| Abstract: | The instability of standard money demand functions has undermined the role of monetary aggregates for monetary policy analysis in the euro area. This paper uses country-specific monetary aggregates to shed more light on the economics behind the instability of euro area money demand. Our results obtained from panel estimation indicate that the observed instability of standard money demand functions could be explained by omitted variables like e.g. technological progress that are important for money demand but constant across member countries. |
| Keywords: | Money demand, cross-country analysis, panel error correction model, euro area |
| JEL: | E41 E51 E52 |
| Date: | 2010–04 |
| URL: | http://d.repec.org/n?u=RePEc:hum:wpaper:sfb649dp2010-023&r=eec |
| By: | Amélie Charles (Audencia Nantes, School of Management - Audencia, School of Management); Olivier Darné (LEMNA - Laboratoire d'économie et de management de Nantes Atlantique - Université de Nantes : EA4272); Jessica Fouilloux (CREM - Centre de Recherche en Economie et Management - CNRS : UMR6211 - Université de Rennes I - Université de Caen) |
| Abstract: | This study examines the martingale difference hypothesis (MDH) for the market of carbon emission allowances within the European Union Emission Trading Scheme (EU ETS) during the Phase I and the Phase II, using both daily and weekly data over the period 2005--2009. The weak-form efficient market hypothesis for spot prices negotiated on BlueNext, European Energy Exchange and NordPool is tested with new variance ratio tests developed by Kim (2009). For the Phase I, the results show that these three markets of the European Union allowances seems to be efficiency, except after the European Commission announcements of stricter Phase II allocation in October 2006. Finally, we find that the CO2 spot prices seem to be weak-form efficiency during the Phase II since the MDH is failed to reject from both daily and weekly data. |
| Date: | 2010 |
| URL: | http://d.repec.org/n?u=RePEc:hal:wpaper:hal-00473727_v1&r=eec |
| By: | Mark J. Holmes (Department of Economics, Waikato University, New Zealand); Jesús Otero (Facultad de Economía, Universidad del Rosario, Colombia); Theodore Panagiotidis (Department of Economics, University of Macedonia, Greece) |
| Abstract: | In this paper, we test for the stationarity of EU current account deficits. Our testing strategy addresses two key concerns with regard to unit root panel data testing, namely (i) the identification of which panel members are stationary, and (ii) the presence of cross-sectional dependence. For this purpose, we employ an AR-based bootstrap approach to the Hadri (2000) test. While there is only mixed evidence that current account stationarity applies when examining individual countries, this does not appear to be case when considering panels comprising both EU and non-EU members. |
| Keywords: | Heterogeneous dynamic panels, current account stationarity, mean reversion, panel stationarity test |
| JEL: | C33 F32 F41 |
| Date: | 2010–01 |
| URL: | http://d.repec.org/n?u=RePEc:rim:rimwps:05_10&r=eec |
| By: | Maria Demertzis; Massimiliano Marcellino; Nicola Viegi |
| Abstract: | We identify credible monetary policy with first, a disconnect between inflation and inflation expectations and second, the anchoring of the latter at the inflation target announced by the monetary authorities. We test empirically whether this is the case for a number of countries that have an explicit inflation target and therefore include the Euro Area. We find that for the last 10 year period, the two series are less dependent on each other and that announcing inflation targets help anchor expectations at the right level. |
| Keywords: | Inflation Targets, Measures of Credibility |
| JEL: | E52 E58 |
| Date: | 2010 |
| URL: | http://d.repec.org/n?u=RePEc:eui:euiwps:eco2010/10&r=eec |
| By: | Miriam Hartlapp; Julia Metz; Christian Rauh |
| Abstract: | Substantial theoretical and conceptual advances have been made with respect to agenda-setting as a determinant for policy outcomes. An actor-centred perspective on frames and venues is core to this literature, structure as a single standing category has received less attention. In this paper we argue that these results should be combined with bureaucratic politics in the European Commission to further our understanding of agenda setting processes in the European Union. Typically, a legislative proposal of the Commission is produced by a lead department which collaborates with a number of other departments on a partly formalized basis before a joint Commission decision is taken. Different services hold different positions on specific policies. We show that structures and rules governing the process yield the potential for some positions to be systematically more strongly represented in the proposals entering inter-institutional decision-making. We complement our argument by providing evidence of interaction patterns when it comes to internal coordination. |
| Date: | 2010–04 |
| URL: | http://d.repec.org/n?u=RePEc:eiq:eileqs:21&r=eec |
| By: | Markus Knell (Oesterreichische Nationalbank, Economic Studies Division, Otto-Wagner-Platz 3, POB 61, A-1011 Vienna) |
| Abstract: | In this paper I study the relation between real wage rigidity (RWR) and nominal price and wage rigidity. I show that in a standard DSGE model RWR is mainly affected by the interaction of the two nominal rigidities and not by other structural parameters. The degree of RWR is, however, considerably influenced by the modelling assumption about the structure of wage contracts (Calvo vs. Taylor) and about other institutional characteristics of wage-setting (clustering of contracts,heterogeneous contract length, indexation). I use survey evidence on price- and wage-setting for 15 European countries to calculate the degrees of RWR implied by the theoretical model. The average levels of RWR are broadly in line with empirical estimates based on macroeconomic data. In order to be able to also match the observed cross-country variation in RWR it is, however, essential to move beyond the country-specific durations of price and wages and to take more institutional details into account. |
| Keywords: | Inflation Persistence, Real Wage Rigidity, Nominal Wage Rigidity, DSGE models, Staggered Contracts, |
| JEL: | E31 E32 E24 J51 |
| Date: | 2010–03–29 |
| URL: | http://d.repec.org/n?u=RePEc:onb:oenbwp:161&r=eec |
| By: | Marco Celentani; Miguel García-Posada; Fernando Gómez |
| Abstract: | Spain has the world’s lowest business bankruptcy rate (number of formal business bankruptcies divided by number of firms). We document this fact, analyze the Spanish institutional framework and compare it with those of other European countries. We argue that a way to organize the documented evidence is to keep into account both the ex-post and the ex-ante efficiency repercussions of the Spanish institutional framework. We propose a view that is based on the idea that the unattractiveness of bankruptcy procedures and the efficiency of mortgage collateral lead Spanish firms to reduce the risk of bankruptcy. We show that this view is compatible with stylized features of firms’ capital structures, asset structures, and profitability. We conclude with a description of recent developments in bankruptcies and bankruptcy legislation in Spain, and with a brief discussion of potential policy implications. |
| Date: | 2010–03 |
| URL: | http://d.repec.org/n?u=RePEc:fda:fdaddt:2010-11&r=eec |
| By: | Michele Boldrin; José Ignacio Conde-Ruiz; Javier Díaz Giménez |
| Abstract: | The purpose of this article is to analyze the growth of the Spanish economy since the advent of democracy until today. In the first part, the specificities of the growth model are analysed, showing that the empirical evidence is not consistent with the conclusions of the standard growth models (i.e. neoclassical growth model with exogenous TFP). More precisely, in the last 30 years Spain has experienced two long growth cycles which, far from being balanced, have shown major differences in the path of the relevant aggregated ratios. While the first cycle (1978-1993) showed a relatively small increase in employment and a considerable rise in productivity, the second cycle (1994-08) proved exactly the opposite: a spectacular increase in employment and a small gain in productivity. In the second part we develop a dynamic general equilibrium model of technology adoption dynamic à la Boldrin and Levine (2002), trying to account qualitatively for the main Spanish growth facts. We show that the characteristics of the labor market in Spain, with a dual system that protects permanent workers at the expense of temporary ones and an inefficient collective wage bargaining system have played a very relevant role in explaining the growth patterns of the last 30 years. |
| Date: | 2010–03 |
| URL: | http://d.repec.org/n?u=RePEc:fda:fdaddt:2010-12&r=eec |