Responses to monetary policy shocks in the east and the west of Europe: a comparison

Abstract

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Structural Breaks in Inflation Dynamics Within the European Monetary Union

“…Emerson, Gros, Italianer, Pisani-Ferry, and Reichenbach (1992) emphasize that a high inflation rate is usually also more variable and uncertain and thus causes more relative price variability, leading to a less efficient price mechanism. Furthermore, Jarociński (2010) finds a positive correlation between the level and the standard deviation of inflation.…”

Estimation of Short Dynamic Panels in The Presence of Cross-Sectional Dependence and Dynamic Heterogeneity

“…In practical terms, we follow the approach proposed in Hsiao, Pesaran and Tahmiscioglu (1999) and Jarocinski (2010) and use the hierarchical linear model with exchangeable prior in the formulation of Gelman et al (2003).…”

“…Tahmiscioglu (1999) and Jarocinski (2010) and introduce unobservable factors in the error terms of this model to allow for cross-sectional dependence. This follows the idea of Bai (2009) who also treats the unobserved factor as an estimable parameter in short panels.…”

“…In such circumstances T is typically small compared to the number of coefficients, with both dynamic heterogeneity and crosssectional dependence likely. In macroeconomics, panel VARs have been used to examine fiscal multipliers (Llzzetzki, Mendoza and Vegh, 2011;Corsetti, Meier and Mueller, 2012), the transmission of monetary policy (Goodhart and Hoffman, 2008;Jarocinski, 2010, Calza et al, 2011 and external shocks (Broda, 2004;Canova, 2005;Radatz, 2010) to macroeconomic aggregates across countries. In microeconomics, researchers have used this approach to examine the dynamics of earnings and hours worked among workers, (Vidangos, 2009) and financial development and firm behaviour (Love and Zicchino, 2006 Pesaran and Binder (2005) propose GMM and quasi maximum likelihood estimators for short panels which can be applied when the panel VAR is non-stationary or includes cointegrating relationships.…”

Testing for parameter stability in DSGE models. The cases of France, Germany, Italy, and Spain

“…von Hagen (1999), Cukierman and Lippi (2001), Jerger (2002) and Fratzscher and Stracca (2009). A second one analyzes the (change of) different transmission channels of monetary policy (van Aarle et al, 2001;Angeloni and Ehrmann, 2006;Jarocinski, 2010;Hughes Hallett and Richter, 2009). Thirdly, the availability of micro data, especially for loans and prices, led to a large literature that usually identifies statistically and economically significant convergence across countries due to monetary union (Beck and Weber, 2005;Popov and Ongena, 2011).…”