2,807 research outputs found
Exchange rate pass-through in EMU acceding countries: Empirical analysis and policy implications
No full textCountries that joined the European Union in 2004 have to decide when to adopt the Euro. This decision depends on the evaluation of the relative costs and benefits associated with giving up the exchange rate instrument. Recent empirical work on several new EU members has questioned the role of the exchange rate as a shock absorber, thus downplaying the potential costs in terms of macroeconomic stabilization. In this paper, we address the issue from a different perspective, emphasizing the role of pass-through from exchange rate to domestic inflation in new EU members. The focus is on four countries (Czech Republic, Hungary, Poland and Slovenia – NM-4) that have adopted some form of floating or managed exchange rate regimes. The paper reports empirical results indicating high pass-through coefficients and links them to the degree of policy accommodation. High exchange rate pass-through in NM-4 indicates that stabilization of nominal exchange rates would lower inflationary pressures and help fulfill criteria to enter the EMU
Structural FECM:cointegration in large-scale structural FAVAR models
No full textStarting from the dynamic factor model for non-stationary data we derive thefactor-augmented error correction model (FECM) and its moving-average representation.The latter is used for the identication of structural shocks and their propagation mechanisms. We show how to implement classical identication schemes based on long-run restrictions in the case of large panels. The importance of the error-correction mechanism for impulse response analysis is analysed by means of both empirical examples and simulation experiments. Our results show that the bias in estimated impulse responses in a FAVAR model is positively related to the strength of the error-correction mechanism and the cross-section dimension of the panel. We observe empirically in a large panel of US data that these features have a substantial effect on the responses of several variables to the identied permanent real (productivity) and monetary policy shocks
Linfluence du régime de change sur linflation dans les pays adhérents
No full textExchange Rate Pass-Through in Accession Countries
by Fabrizio Coricelli , Boštjan Jazbec and Igor Masten
This paper analyzes the link between the choice of exchange rate regime and inflationary performance in four EU accession countries : the Czech Republic , Hungary , Poland and Slovenia (CEEC-4 ). The findings generate a clear ranking of the countries by magnitude of pass-through effect and the importance of exchange rate shocks to overall inflationary performance . We find , in particular , that a perfect pass-through effect associated with an accommodative exchange rate policy can become an important source of inflationary pressure . The analysis suggests that early adoption of the euro could be the most effective way for the CEEC-4 to reduce inflation . Keywords : Accession to EMU , pass-through effect , I (2 ) cointegration analysis , policy trade-offCet article analyse le lien entre le choix de régime de taux de change et la performance inflationniste dans quatre pays adhérents à l ’ UE : la République tchèque , la Hongrie , la Pologne et la Slovénie (Peco-4 ). Les résultats permettent un classement clair des pays selon l ’ intensité de la transmission (ou selon le degré d ’ influence ) et l ’ importance des chocs de taux de change sur la performance inflationniste globale . En particulier , une transmission parfaite , associée à une politique de taux de change accommodante , peut devenir une source importante de pressions inflationnistes . L ’ analyse suggère que pour les Peco-4 une adoption rapide de l ’ euro fournirait le moyen le plus efficace de réduire l ’ inflation . Mots-clés : accession à l ’ UME , effet de transmission , analyse de co-intégration I (2 ), compromis de politiqueCoricelli Fabrizio, Jazbec Bostjan, Masten Igor. Linfluence du régime de change sur linflation dans les pays adhérents. In: Économie & prévision, n°163, 2004-2. Élargissement de l'Union Européenne. pp. 51-61
Forecasting with factor-augmented error correction models
No full textAs a generalization of the factor-augmented VAR (FAVAR) and of the Error Correction Model (ECM), Banerjee and Marcellino (2009) introduced the Factor-augmented Error Correction Model (FECM). The FECM combines error-correction, cointegration and dynamic factor models, and has several conceptual advantages over the standard ECM and FAVAR models. In particular, it uses a larger dataset than the ECM and incorporates the long-run information which the FAVAR is missing because of its specification in differences. In this paper, we examine the forecasting performance of the FECM by means of an analytical example, Monte Carlo simulations and several empirical applications. We show that FECM generally offers a higher forecasting precision relative to the FAVAR, and marks a useful step forward for forecasting with large datasets.Published version of EUI RSCAS WP 2009/3
Leading Indicators for Euro-area Inflation and GDP Growth
No full textIn this paper, we evaluate the role of a set of variables as leading indicators for Euro-area inflation and GDP growth. Our leading indicators are taken from the variables in the European Central Bank's (ECB) Euro-area-wide model database, plus a set of similar variables for the US. We compare the forecasting performance of each indicator "ex post" with that of purely autoregressive models. We also analyse three different approaches to combining the information from several indicators. First, "ex post", we discuss the use as indicators of the estimated factors from a dynamic factor model for all the indicators. Secondly, within an "ex ante" framework, an automated model selection procedure is applied to models with a large set of indicators. No future information is used, future values of the regressors are forecast, and the choice of the indicators is based on their past forecasting records. Finally, we consider the forecasting performance of groups of indicators and factors and methods of pooling the "ex ante" single-indicator or factor-based forecasts. Some sensitivity analyses are also undertaken for different forecasting horizons and weighting schemes of forecasts to assess the robustness of the results. Copyright 2005 Blackwell Publishing Ltd.
Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change
No full textWe conduct a detailed simulation study of the forecasting performance of
diffusion index-based methods in short samples with structural change. We
consider several data generation processes, to mimic different types of
structural change, and compare the relative forecasting performance of factor
models and more traditional time series methods. We find that changes in the
loading structure of the factors into the variables of interest are extremely
important in determining the performance of factor models. We complement
the analysis with an empirical evaluation of forecasts for the key
macroeconomic variables of the Euro area and Slovenia, for which relatively
short samples are officially available and structural changes are likely. The
results are coherent with the findings of the simulation exercise, and confirm
the relatively good performance of factor-based forecasts also in short samples
with structural change
Financial integration and financial development in transition economies : what happens during financial crises ?
No full textThis papers provides an empirical analysis of the role of financial development and financial integration in the growth dynamics of transition countries. We focus on the role of financial integration in determining the impact of financial development on growth, distinguishing "normal times" from periods of financial crises. In addition to confirming the significant positive effect on growth exerted by financial development and financial integration, our estimates show that a higher degree of financial openness tends to reduce the contractionary effect of financial crises, by cushioning the effect on the domestic supply of credit. Consequently, the high reliance on international capital flows by transition countries does not necessarily increase their financial fragility. This implies that financial protectionism is a self-defeating policy, at least for transition countries.Transition economies, financial integration, financial crises, economic growth, threshold effects.
Data and platform co-ops in smart city citizenship: interview with Igor Calzada
No full textIgor Calzada is a senior researcher at universities like Oxford and Cardiff with a focus on urban, regional and technopolitical transformations, considering data issues and social innovation. In November 2020, he launched the book Smart City Citizenship, which proposes another framework at smart cities based on democratic governance and citizenship. Thus, he presents how it is possible to understand and intervene in technopolitical disputes involving algorithms, data, and artificial intelligence based on notions such as digital sovereignty. Among the possibilities, there is the creation of data and platform co-ops based on data and digital commons. For the author, data cooperatives are a subtype of platform cooperatives, in which they focus on business models, while data co-ops share and store data. The book analyzes, among other cases, the Barcelona ecosystem and proposes perspectives for public policies. Currently, Calzada is interested in exploring new models of data governance and artificial intelligence to propose alternative ways to data ecosystems in the European scenario. He defends experimental cities as a reaction to the mainstream idea of the city as a platform, as a reproduction of extractive and panoptic practices through hyperconnectivity. But it will be very difficult in a dangerous context. And he provokes: “how, in the current context, in which we are closed in our homes, can we propose cities with open systems? Other recommendations from the author are an article on platform and data co-ops published in Sustainability journal and a conversation in Spanish about social innovation in smart cities. Read the interview with Igor Calzada: https://digilabour.com.br/2021/01/06/data-and-platform-co-ops-in-smart-city-citizenship-interview-with-igor-calzada
Piano works by Igor Stravinsky
No full textIn my work I thought was right at first a brief outline development work of Igor Stravinsky. I also tried to "map out" the emergence of some major piano works by the author. finally, I added a few notes on the piano interpretive art of Igor Stravinsky
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