An area-wide model for the euro area

Fagan, Gabriel; Henry, Jérôme; Mestre, Ricardo

doi:10.1016/j.econmod.2004.04.002

Cited by 576 publications

(590 citation statements)

References 20 publications

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“…This backward-looking nature of the model makes it subject to the Lucas critique, according to which reducedform relations in traditional macroeconomic models depend implicitly on the agents'expectations of the policy process and are hence unlikely to remain stable as policymakers changed their rules. However, empirical backward-looking models without explicit expectations are still widely used for monetary policy analysis, as in Rudebusch andSvensson (1998, 2002), Onatski and Stock (2002), Smets (1998), Dennis (2001), Laubach and Williams (2003), Fagan, Henry and Mestre (2001) and Fabiani and Mestre (2004). Moreover, several articles suggest that such models appear to be fairly robust empirically, notably Rudebusch and Svensson (1998), Bernanke and Mihov (1998), Estrella and Fuhrer (1999), Dennis (2001) and Leeper and Zha (2002).…”

Section: Speci…cationsmentioning

confidence: 99%

A time-varying “natural” rate of interest for the euro area

Mésonnier

Renne

2007

European Economic Review

108

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In this article we estimate a time-varying "natural" rate of interest (TVNRI) for a synthetic euro area over the period 1979Q1-2002Q4 using a small backward-looking macroeconomic model, broadly following a methodology developed by Laubach and Williams (2003) for the United States. The Kalman …lter simultaneously estimates two unobservable variables: the output gap and the natural rate of interest. The underlying state-space model incorporates an aggregate demand equation and a Phillips curve. Consistent with the theoretical intuition, our identifying assumptions include a close relationship between the TVNRI and the low-frequency ‡uctuations of potential output growth. The resulting interest rate gap, that is, the di¤erence between the real rate of interest and its estimated natural level, provides us with a valuable tool for assessing the monetary policy stance in EU12 over the last two decades. While our TVNRI estimate seems quite robust to changes in model speci…ca-tions, the relatively high uncertainty surrounding the estimate hampers its direct integration into the policy-making process.

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Section: Speci…cationsmentioning

confidence: 99%

A time-varying “natural” rate of interest for the euro area

Mésonnier

Renne

2007

European Economic Review

108

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“…The way the economy experiences oil shocks appears to have changed fundamentally over and Ratti (1995) and Ferderer (1996) argue that increased oil market volatility has led to a breakdown of the empirical relationship between oil prices and economic activity since the 10 More specifically, oil supply shocks contribute 57 percent to oil price variability, whilst the contemporaneous contribution of oil demand shocks driven by economic activity and oil-specific demand shocks are respectively 27 and 16 percent. Figure 2, and confirm the considerable steepening over time.…”

Section: The Normalization Problemmentioning

confidence: 99%

“…In the end, variance decompositions show that for the period 1986-2008, oil supply and demand shocks both explain approximately 50 percent of oil price volatility. 10 3 Has the impact changed over time?…”

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confidence: 99%

Cross-country differences in the effects of oil shocks

2012

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in Cross-Country Differences in the Effects of Oil Shocks AbstractWe compare the economic consequences of several types of oil shocks across a set of industrialized countries that are structurally very diverse with respect to the role of oil and other forms of energy in their economy. We find considerably different effects across countries, which crucially depend on the underlying source of the oil price shift. For oil demand shocks driven by global economic activity and oil-specific demand shocks, all countries experience respectively a temporary increase and transitory decline of real GDP following the oil price increase. The role of oil and other forms of energy seems not to matter to explain cross-country differences for the consequences of both shocks. This role, however, is very important to explain asymmetries in the effects of exogenous oil supply shocks. Whereas net oil and energy-importing countries all face a permanent fall in economic activity, the impact is insignificant or even positive in net energy-exporting countries. In addition, countries that improved their net energy-position the most over time, became less vulnerable to oil supply and oil-specific demand shocks, relative to other countries.JEL-Code: E31, E32, Q43.

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“…In the case of the EA, the data had to be backdated, since the series are only available from mid-90s onwards. For this purpose we used the Area Wide Model database (see Fagan et al, 2001) for data prior to 1995/1996 for compensation per employee, labour productivity, unemployment and consumer prices. The series of prices of extra-euro area imports of goods was growth chained linked backwards with Eurostat data for the EA with 12 countries up to the beginning of 1989.…”

Section: Ecb Working Paper Series No 1067 July 2009mentioning

confidence: 99%

The dynamic effects of shocks to wages and prices in the United States and the Euro Area

Duarte

Marques

2012

Empir Econ

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in Wage Dynamics NetworkThis paper contains research conducted within the Wage Dynamics Network (WDN). The WDN is a research network consisting of economists from the European Central Bank (ECB) and the national central banks (NCBs) of the EU countries. The WDN aims at studying in depth the features and sources of wage and labour cost dynamics and their implications for monetary policy. The specific objectives of the network are: i) identifying the sources and features of wage and labour cost dynamics that are most relevant for monetary policy and ii) clarifying the relationship between wages, labour costs and prices both at the firm and macro-economic level.The WDN is chaired by Frank Smets (ECB). Giuseppe Bertola (Università di Torino) and Julian Messina (Universitat de Girona) act as external consultants and Ana Lamo (ECB) as Secretary.The refereeing process of this paper has been co-ordinated by a team composed of Gabriel Fagan (ECB, chairperson), Philip Vermeulen (ECB), Giuseppe Bertola, Julian Messina, Jan Babecký (CNB), Hervé Le Bihan (Banque de France) and Thomas Mathä (Banque centrale du Luxembourg).The paper is released in order to make the results of WDN research generally available, in preliminary form, to encourage comments and suggestions prior to final publication. The views expressed in the paper are the author's own and do not necessarily reflect those of the ESCB. ECB Working Paper Series No 1067July 2009 Abstract 4 Non-technical summary 5

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An area-wide model for the euro area

Cited by 576 publications

References 20 publications

A time-varying “natural” rate of interest for the euro area

A time-varying “natural” rate of interest for the euro area

Cross-country differences in the effects of oil shocks

The dynamic effects of shocks to wages and prices in the United States and the Euro Area

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