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We estimate the oil price pass-through into consumer prices both in the U.S. and in the euro area. In particular, we disentangle the specific effect that an oil price change might have on each disaggregate price, from the effect on all prices that an oil price change might have since it affects the whole economy. To do so, we first estimate a Dynamic Factor Model on a panel of disaggregate price indicators, and then we use VAR techniques to estimate the pass-through. Our results show that the oil price passes through core inflation only via its effect on the whole economy. This pass-through is estimated to be small, but statistically different from zero and long lasting.

No abstract

No abstract

We estimate the oil price pass-through into consumer prices both in the U.S. and in the euro area. In particular, we disentangle the specific effect that an oil price change might have on each disaggregate price, from the effect on all prices that an oil price change might have since it affects the whole economy. To do so, we first estimate a Dynamic Factor Model on a panel of disaggregate price indicators, and then we use VAR techniques to estimate the pass-through. Our results show that the oil price passes through core inflation only via its effect on the whole economy. This pass-through is estimated to be small, but statistically different from zero and long lasting.

The main contribution of this paper is to identify the socioeconomic characteristics that affect the public perception of the euro across countries. We estimate a multilevel multinomial model for twolevel structured information: individual and country characteristics. The multilevel analysis account for the dependence between individuals within countries that is caused by the unobserved heterogeneity between countries, i.e. we are able to include in the estimation specific country characteristics that are not directly observable. The attitudes toward the euro vary across individuals and countries, and are driven by personal considerations based on the benefits and costs of using the single currency. Individual features, such as a high level of education or living in a metropolitan area, have a positive impact on the perception of the euro. Moreover, the country-specific economic condition can influence individuals attitudes.

Survey data on expectations and economic forecasts play an important role in providing better insights into how economic agents make their own forecasts and why agents disagree in making them. Using data from the European Survey of Professional Forecasters (SPF), we consider measures of uncertainty and disagreement at both aggregate and individual level. We overcome the problem associated with distributional assumptions of probability density forecasts by using an approach that does not assume any functional form for the individual probability densities but just approximates the histogram by a piecewise linear function. We extend earlier works to the European context for the three macroeconomic variables – GDP, inflation and unemployment – and we analyse how these measures perform with respect to different forecasting horizons. There are two main results. First, uncertainty and disagreement are higher for GDP and unemployment than inflation, in particular for the short and medium forecast horizons. Second, the results do not support the evidence that, if uncertainty or disagreement are relatively high for one variable, then it is the same for the others. JEL classification: C53, E37, C83. Keywords: Survey professional forecast, uncertainty, disagreement, probability distribution.