1,721,039 research outputs found
Monetary Policy Transmission, Interest Rate Rules and Inflation Targeting in Three Transition Countries
No full textIn 1991, the rate of inflation in the Czech Republic, Hungary and Poland was 57%, 35% and 70%. At the end of 2001, it was everywhere below 8%. We set up a small structural macro model of these three economies to account for the process of disinflation. We show that a simple macro model, with forward-looking inflation and exchange rate expectations, can adequately characterize the relationship between the output gap, inflation, the real interest rate and the exchange rate during this period. This model allows us to assess the relative importance of the interest rate and exchange rate channels in determining the path of disinflation
A New Index of Uncertainty Based on Internet Searches: A Friend or Foe of Other Indicators?
Full text linkThe preliminary evidence in the literature suggests that changes in uncertainty have a role in shaping the U.S.
economic cycle. But what is effectively measured by the different available indicators of uncertainty still
remains an "uncertain" issue. This paper has two aims: (i) to introduce a new uncertainty indicator (GT)
based on Internet searches; and (ii) to compare the main features and the macroeconomic effects of
alternative measures of uncertainty, including our own. Results suggest that GT shocks embody timely
information about people's perception of uncertainty and, in some cases, earlier than other indexes.
Furthermore, the effect of uncertainty shocks on output is more influenced by parameter breaks due to insample
events than by model specification. The consequence is that an all-comprehensive indicator able to
weight different sources of uncertainty is preferable
A multilevel index of heterogeneous short-term and long-term debt dynamics
No full textWe have created a novel index that classifies U.S. public firms by their leverage choice. Our statistical approach to the construction of this index considers the interaction of all firm characteristics and unpredictable events that shapes the observed leverage choices. We have subsequently associated our estimates of the degree and persistence of short-term and long-term debt fluctuations with pecking-order, market-timing, and static and dynamic trade-off theories. Our index reveals that: (i) one-third of firms have a stationary leverage target, (ii) adjustments to targets are faster for short-term debt, and (iii) the persistence of long-term debt ratios is driven by investment constraints and market conditions
A Multilevel Index of Heterogeneous Short-term and Long-term Debt Dynamics
Full text linkWe have created a novel index that classifies U.S. public firms by their leverage choice. Our statistical approach to the construction of this index considers the interaction of all firm characteristics and unpredictable events that shapes the observed leverage choices. We have subsequently associated our estimates of the degree and persistence of short-term and long-term debt fluctuations with pecking-order, market-timing, and static and dynamic trade-off theories. Our index reveals that: (i) one-third of firms have a stationary leverage target, (ii) adjustments to targets are faster for short-term debt, and (iii) the persistence of long-term debt ratios is driven by investment constraints and market conditions
The changing relationship between inflation and cycle in Italy: 1861-2012
No full textThe article investigates the relationship between GDP and prices in Italy in the long-run, from the country's Unification (1861)
up to present day. By using the new national accounts data, over the period 1861–2012, we were able to make Italy the third country
to have a historical test of the hybrid Phillips curve (in which both the new Keynesian and the backward-looking Phillips curves are
tested), together with the UK and the US. How do economic growth and prices interact in Italy's different stages of economic
growth? Unlike the US and the UK, where said interaction was already operating in mid-19th century, in Italy the link between
inflation and the economic cycle emerged only after the First World War. We argue that this can be explained owing to Italy's
different position in the international economic system and the way foreign conditioning factors (the exchange-rate regime and
innovation in transportation) influenced the Italian industrialization. Before the First World War, deflation was imported. This
turned out to be compatible with some GDP growth, insofar as the deflationist macroeconomic setting favoured capital inflows and
technological upgrading. Whereas, from the First World War until the creation of a common European currency, price variations
were mainly a consequence of national policies and domestic conditions: the trade-off with the GDP cycle is now manifest, both in
the periods of deflation (the interwar years) and in those of inflation (the second half of the twentieth century). Our findings may
also have important implications for present day, since price movements are once again, as in the liberal age, largely imported
Uncertainty, Perception and the Internet
Full text linkMacroeconomic uncertainty consists of three components: the unobservable, the heterogeneous and the “uncertain”. We are unaware of exactly when economic agents perceive uncertainty and which type of uncertainty interests them. This paper introduces and outlines a way of conducting large-scale data searches on the Web. We create the EURQ index of “economic uncertainty related queries” for both the USA and Italy. We show that the EURQ encapsulates agents’ need to gather more information during periods of uncertainty. This need either spontaneously arises in the case of macro-real and political uncertainty, or is induced by the media in the case of normative and financial uncertainty. This distinction is extremely important when trying to understand the immediate impact of fiscal policy uncertainty on economic variables, and how financial shocks can produce a significant short-term impact on economic activity. It is also helpful when trying to solve the identification and endogeneity issues encountered in the literature when assessing the role of uncertainty
Short-run GDP forecasting in G7 countries: temporal disaggregation techniques and bridge models
No full textBoth temporal disaggregation techniques and bridge models are tools to analyse the GDP dynamics in the very short run (the current quarter), though their methodological approaches differ on how to exploit the available monthly information. The aim of this paper is to propose a way to merge the information sources of the two approaches. In doing so, we use forecast ability statistics to validate the appropriateness of some temporal disaggregation techniques by related series. The results for the GDP of the G7 countries suggest that the information about the list of the coincident indicators in the bridge models can be often useful to select the related series to be used in the temporal disaggregation procedures. In particular, the monthly disaggregation of the quarterly Euro area GDP may be improved thanks to the information content of the French, German and Italian models
Parameter heterogeneity, persistence and cross-sectional dependence: new insights on fiscal policy reaction functions for the Euro area
Full text linkA number of novelties have emerged in the study of the discretionary fiscal policy within the Euro area during the last decade. Among the others, the availability of up-to-date information on fiscal indicators for the years following the Great Recession, the introduction of cutting-edge econometric methods, and a renewed interest about the sustainability of fiscal policy and public debt. The aim of this paper is to address the challenges posed by the estimation of the discretionary fiscal reaction function for the Euro area. We exploit recently introduced testing and estimation strategies for heterogeneous dynamic panels with cross-sectional dependence and propose a new parsimonious approach. Using real-time data over the period 1996-2016, we investigate whether the fiscal policy reaction function is still a benchmark after the Great Recession. We find evidence of strong cross-sectional dependence in the panel, and clear support to a valid cointegration relationship among the main determinants of the function. Newly added covariates, such interest rate spreads, come out to play a relevant role in explaining discretionary actions
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