Measuring the effects of oil price and Euro-area shocks on CEECs business cycles

Cavallo, Antonella; Ribba, Antonio

doi:10.1016/j.jpolmod.2017.09.006

Cited by 10 publications

(6 citation statements)

References 35 publications

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“…While empirical evidence supports the idea of significant spillover effects stemming from monetary policy and financial shocks, in case of fiscal policy shocks, relevant literature finds rather little influence. While Belke and Osowski (2019) highlight moderate effects of fiscal policy shocks originating in Germany and France in case of euro area member countries and reduced spillovers in case of non-euro area countries, Cavallo and Ribba (2018) explain that fiscal policy turns out to be a minor driver of business cycle fluctuations.…”

Section: Literature Reviewmentioning

confidence: 99%

External Shocks Pass-Through Into Selected Central and Eastern European Countries

Necula

Murarașu

Radu

et al. 2022

Technological and Economic Development of Economy

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The ongoing COVID-19 pandemic put further pressure on the economies, both at individual and global level and, amid already existing vulnerabilities, worsened the economic prospects. As a result of the negative effects of these tensions in tandem with global value chains disruptions, commodities’ prices increased, leading to strong inflationary pressures around the globe. Given possible permanent effects on inflation expectations, it is therefore questionable how fast those prices are to be stabilized. In this context, this paper focuses on a group of 10 European countries, namely Czechia, Hungary, Poland, Romania, France, Germany, Italy, Spain, the Netherlands and the United Kingdom, in the period spanning from 2005 to 2020. By implementing a GVAR model, the study analyses the pass-through of the external shocks stemming mainly from the Euro Area and the US to the CEE region, comparing the responses obtained for these countries with the ones of the developed economies. Considering the strong trade relationships between the analysed countries, the considered transmission channel is the commercial one. The results indicate that a supply shock in the Euro Area has a significant negative impact on the selected CEE countries’ economic growth, the offsetting factors not being strong enough to diminish the response.

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Section: Literature Reviewmentioning

confidence: 99%

External Shocks Pass-Through Into Selected Central and Eastern European Countries

Necula

Murarașu

Radu

et al. 2022

Technological and Economic Development of Economy

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“…Let us recall that recent research has confirmed the importance of oil price shocks in shaping the evolution of Euro Area and European macroeconomic variables at business cycle frequencies (see, e.g., Raduzzi and Ribba (2020) and Cavallo and Ribba (2018)). Nevertheless, in the present research we aim to investigate the dynamic effects of monetary policy shocks on nominal and real variables and the proper identification strategy to recover such shocks in the context of the VAR methodology.…”

Section: Including In the Var Model The Price Of Oilmentioning

confidence: 87%

“…The main finding is that movements in oil prices are still an important driver of fluctuations in prices in Euro Area countries. Results concerning the role of oil price for other European economies are provided by Cavallo and Ribba (2018).…”

Section: Discussionmentioning

confidence: 99%

Monetary Policy Shocks in Open Economies and the Inflation Unemployment Trade-Off: The Case of the Euro Area

Ribba

2022

JRFM

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In this paper, we show that in order to obtain a sound identification of Euro Area monetary policy shocks, one needs to deal with the interaction of the European Central Bank and the US Federal Reserve. In other words, a proper identification of monetary policy shocks for an open economy like the Euro Area requires consideration of the US policy rate. Indeed, when we exclude the Federal Funds Rate from an estimated VAR model including a set of Euro Area variables, i.e., Eonia, inflation and unemployment, we detect a wrong sign in the response of inflation to contractionary monetary policy shocks. Moreover, even adding the world price of oil does not help to overcome the problem. Instead, for a sample covering the period 1999–2019, when the Federal Funds Rate and the Euro–Dollar exchange rate are added to the VAR model inflation shows statistically non-significant effects for two years and thereafter decreases. Under this specification of the model, a clear and significant unemployment inflation trade-off emerges. These conclusions are confirmed by using industrial production instead of the unemployment rate in the VAR model.

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“….., p, we impose no feedback from the country-specific block to the aggregate variables block. Thus, even if we estimate a VAR model for each country, the estimated dynamics for the euro area remain the same, as does the estimated shock for each country (see Cavallo and Ribba, 2018). This allows us to infer cross-country comparisons.…”

Section: The Model: Benchmark Specificationmentioning

confidence: 98%

Are there monetary clusters in the Eurozone? The impact of ECB policy

Domínguez-Torres

Recio

2020

Journal of Policy Modeling

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Measuring the effects of oil price and Euro-area shocks on CEECs business cycles

Cited by 10 publications

References 35 publications

External Shocks Pass-Through Into Selected Central and Eastern European Countries

External Shocks Pass-Through Into Selected Central and Eastern European Countries

Monetary Policy Shocks in Open Economies and the Inflation Unemployment Trade-Off: The Case of the Euro Area

Are there monetary clusters in the Eurozone? The impact of ECB policy

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