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Working papers published in 2006

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No. 706

What drives investors’ behaviour in different FX market segments? A VAR-based return decomposition analysis
Olli Castrén, Chiara Osbat, Matthias Sydow

28 Dec 2006
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No. 705

What does a technology shock do? A VAR analysis with model-based sign restrictions
Luca Dedola, Stefano Neri
Published in: Journal of Monetary Economics, March 2007; 54(2): 512-49

28 Dec 2006
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No. 704

Are money and consumption additively separable in the euro area? A non-parametric approach
Barry E. Jones, Livio Stracca

22 Dec 2006
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No. 703

Comovements in volatility in the euro money market
Nuno Cassola, Claudio Morana
Published in: Journal of International Money and Finance (forthcoming)

28 Dec 2006
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No. 702

Comparing financial systems: a structural analysis
Sylvain Champonnois

20 Dec 2006
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- 1.45 MB Download
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No. 701

Is there a single frontier in a single European banking market?
Jaap W. B. Bos, Heiko Schmiedel

20 Dec 2006
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- 676 kB Download
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No. 700

Forecasting using a large number of predictors: Is Bayesian regression a valid alternative to principal components?
Christine De Mol, Domenico Giannone, Lucrezia Reichlin
Published in: Journal of Econometrics, October 2008; 146(2): 318-28

20 Dec 2006
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No. 699

The behaviour of producer prices: some evidence from the French PPI micro data
Erwan Gautier
Published in: Empirical Economics (forthcoming)

20 Dec 2006
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- 716 kB Download
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No. 698

Optimal monetary policy rules with labor market frictions
Ester Faia
Published in: Journal of Economic Dynamics and Control, May 2008, 32(5): pp. 1357-1720

23 Nov 2006
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- 574 kB Download
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No. 697

How wages change: micro evidence from the International Wage Flexibility Project
William T. Dickens, Lorenz Götte, Erica L. Groshen, Steinar Holden, Julián Messina, Mark E. Schweitzer, Jarkko Turunen, Melanie Ward-Warmedinger
Published in: Journal of Economic Perspectives, 21(2), Spring 2007, pp. 195-214.

17 Nov 2006
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- 620 kB Download
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No. 696

What is global excess liquidity, and does it matter?
Rasmus Rüffer, Livio Stracca

17 Nov 2006
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No. 695

Geography or skills: What explains Fed watchers’ forecast accuracy of US monetary policy?
Helge Berger, Michael Ehrmann, Marcel Fratzscher

17 Nov 2006
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No. 694

Optimal currency shares in international reserves: the impact of the euro and the prospects for the dollar
Elias Papaioannou, Richard Portes, Gregorios Siourounis

17 Nov 2006
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No. 693

Evaluating China’s integration in world trade with a gravity model based benchmark
Matthieu Bussière, Bernd Schnatz
Published in: Open Economies Review (forthcoming)

17 Nov 2006
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No. 692

Bayesian inference in cointegrated VAR models: with applications to the demand for euro area M3
Anders Warne

17 Nov 2006
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No. 691

The yield curve as a predictor and emerging economies
Arnaud Mehl
Published in: Open Economies Review (forthcoming)

17 Nov 2006
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No. 690

Optimal simple monetary policy rules and non-atomistic wage setters in a New-Keynesian framework
Stefano Gnocchi

30 Oct 2006
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No. 689

The effect of financial development on the investment cash flow relationship: cross-country evidence from Europe
Bo Becker, Jagadeesh Sivadasan

30 Oct 2006
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No. 688

Determinants of workers’ remittances: evidence from the European Neighbouring Region
Ioana Schiopu, Nikolaus Siegfried

30 Oct 2006
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No. 687

Credit growth in Central and Eastern Europe: new (over)shooting stars?
Balázs Egert, Peter Backé, Tina Zumer

30 Oct 2006
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- 630 kB Download
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No. 686

Stale information, shocks and volatility
Reint Gropp, Arjan Kadareja

30 Oct 2006
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No. 685

Home bias in global bond and equity markets: the role of real exchange rate volatility
Michael Fidora, Marcel Fratzscher, Christian Thimann
Published in: Journal of International Money and Finance 26: 631-55, June 2007.

27 Oct 2006
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No. 684

Inflation dynamics and regime shifts
Julia Lendvai

27 Oct 2006
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- 842 kB Download
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No. 683

Financial integration of new EU Member States
Lorenzo Cappiello, Bruno Gérard, Arjan Kadareja, Simone Manganelli

27 Oct 2006
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No. 682

Is reversion to PPP in euro exchange rates non-linear?
Bernd Schnatz
Published in: International Economics and Economic Policy, 4, 3, 281-297, November 2007.

13 Oct 2006
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- 602 kB Download
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No. 681

Regional inflation dynamics within and across euro area countries and a comparison with the US
Günter W. Beck, Kirstin Hubrich, Massimiliano Marcellino
Published in: Economic Policy, January 2009, pp. 141-184

13 Oct 2006
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No. 680

Comparing alternative predictors based on large-panel factor models
Antonello D’Agostino, Domenico Giannone

13 Oct 2006
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No. 679

Monetary policy in the media
Helge Berger, Michael Ehrmann, Marcel Fratzscher

29 Sep 2006
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- 502 kB Download
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No. 678

The geography of international portfolio flows, international CAPM and the role of monetary policy frameworks
Roberto A. De Santis
Published in: International Journal of Central Banking (forthcoming)

29 Sep 2006
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No. 677

What drives EU banks’ stock returns? Bank-level evidence using the dynamic dividend-discount model
Olli Castrén, Trevor Fitzpatrick, Matthias Sydow

29 Sep 2006
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- 1.29 MB Download
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No. 676

The distribution of contract durations across firms: a unified framework for understanding and comparing dynamic wage and price setting models
Huw Dixon

29 Sep 2006
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No. 675

Expansionary fiscal consolidations in Europe: new evidence
António Afonso
Published in: Applied Economics Letters (forthcoming)

11 Sep 2006
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- 634 kB Download
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No. 674

A quasi maximum likelihood approach for large approximate dynamic factor models
Catherine Doz, Domenico Giannone, Lucrezia Reichlin

11 Sep 2006
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No. 673

Optimal monetary policy in the generalized Taylor economy
Engin Kara

01 Sep 2006
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No. 672

Understanding inflation persistence: a comparison of different models
Huw Dixon, Engin Kara

01 Sep 2006
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No. 671

Business cycle synchronisation in East Asia
Fabio Moneta, Rasmus Rüffer
Published in: Journal of Asian Economics, 2009, 20(1): 1-12

28 Aug 2006
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No. 670

The importance of being mature: the effect of demographic maturation on global per-capita GDP
Rafael Gómez, Pablo Hernández de Cos

23 Aug 2006
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No. 669

Regular adjustment: theory and evidence
Jerzy (Jurek) D. Konieczny, Fabio Rumler

18 Aug 2006
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No. 668

Declining valuations and equilibrium bidding in central bank refinancing operations
Christian Ewerhart, Nuno Cassola, Natacha Valla
Published in: International Journal of Industrial Organisation (forthcoming)

17 Aug 2006
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No. 667

The behaviour of the real exchange rate: evidence from regression quantiles
Kleopatra Nikolaou

17 Aug 2006
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No. 666

Quantifying the impact of structural reforms
Ekkehard Ernst, Gang Gong, Willi Semmler, Lina Bukeviciute

17 Aug 2006
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No. 665

The euro as invoicing currency in international trade
Annette Kamps

17 Aug 2006
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No. 664

Fiscal convergence before entering the EMU
Luca Onorante

27 Jul 2006
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No. 663

Monetary conservatism and fiscal policy
Klaus Adam, Roberto M. Billi

27 Jul 2006
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No. 662

Cross-border bank contagion in Europe
Reint Gropp, Marco Lo Duca, Jukka Vesala
Published in: International Journal of Central Banking, March 2009, 5(1), pp. 97-140

27 Jul 2006
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No. 661

Fiscal policy in a monetary economy with capital and finite lifetime
Barbara Annicchiarico, Nicola Giammarioli, Alessandro Piergallini

24 Jul 2006
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No. 660

The Italian block of the ESCB multi-country model
Elena Angelini, Antonello D’Agostino, Peter McAdam

20 Jul 2006
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No. 659

Monetary policy rules in the pre-EMU era: Is there a common rule?
Maria Eleftheriou, Dieter Gerdesmeier, Barbara Roffia

20 Jul 2006
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No. 658

The response of firms‘ investment and financing to adverse cash flow shocks: the role of bank relationships
Catherine Fuss, Philip Vermeulen
Published in: Review of Business and Economics, January-March 2008, vol. 53(1), pp. 5-34.

20 Jul 2006
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No. 657

The impact of ECB monetary policy decisions and communication on the yield curve
Claus Brand, Daniel Buncic, Jarkko Turunen
Published in: Journal of the European Economic Association (revised version, forthcoming)

20 Jul 2006
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No. 656

Public debt and long-term interest rates: the case of Germany, Italy and the USA
Paolo Paesani, Rolf Strauch, Manfred Kremer

20 Jul 2006
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No. 655

Fiscal and monetary policy in the enlarged European Union
Sabina Pogorelec

20 Jul 2006
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- 766 kB Download
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No. 654

The German block of the ESCB multi-country model
Igor Vetlov, Thomas Warmedinger

18 Jul 2006
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No. 653

Acquisition versus greenfield: the impact of the mode of foreign bank entry on information and bank lending rates
Sophie Claeys, Christa Hainz

18 Jul 2006
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No. 652

Consumer price adjustment under the microscope: Germany in a period of low inflation
Johannes Hoffmann, Jeong-Ryeol Kurz-Kim

17 Jul 2006
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No. 651

On the determinants of external imbalances and net international portfolio flows: a global perspective
Roberto A. De Santis, Melanie Lührmann
Published in: Journal of International Money and Finance, 2009, 28: 880-901. Published as: "On the determinants of net international portfolio flows: a global perspective"

17 Jul 2006
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No. 650

A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility
Eric Hillebrand, Gunther Schnabl

30 Jun 2006
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No. 649

Monetary and fiscal policy interactions in a New Keynesian model with capital accumulation and non-Ricardian consumers
Campbell Leith, Leopold von Thadden
Published in: Journal of Economic Theory, May 2008; 140(1): 279-313

27 Jun 2006
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No. 648

Firm-specific production factors in a DSGE model with Taylor price setting
Gregory de Walque, Frank Smets, Raf Wouters
Published in: International Journal of Central Banking, September 2006; 2(3): 107-54

28 Jun 2006
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No. 647

The economic effects of exogenous fiscal shocks in Spain: a SVAR approach
Francisco de Castro Fernández, Pablo Hernández de Cos
Published in: Journal of Macroeconomics, 30, September, pp. 1005-1028. doi: 10.1016/j-jmacro.2007.08.0009. Published as: “The Economic Effects of Fiscal Policy: the Case of Spain”.

27 Jun 2006
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No. 646

The Dutch block of the ESCB multi-country model
Elena Angelini, Frédéric Boissay, Matteo Ciccarelli

26 Jun 2006
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No. 645

Are internet prices sticky?
Patrick Lünnemann, Ladislav Wintr

27 Jun 2006
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- 1.14 MB Download
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No. 644

Adaptive learning, persistence, and optimal monetary policy
Vítor Gaspar, Frank Smets, David Vestin
Published in: Journal of the European Economic Association, April-May 2006; 4(2-3): 376-85

26 Jun 2006
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No. 643

Inflation forecast-based-rules and indeterminacy: a puzzle and a resolution
Paul Levine, Peter McAdam, Joseph G. Pearlman
Published in: International Journal of Central Banking, 2007, 3, 4, 77-110.

26 Jun 2006
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No. 642

Financing constraints and firms’ cash policy in the euro area
Rozália Pál, Annalisa Ferrando

26 Jun 2006
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No. 641

A factor risk model with reference returns for the US dollar and Japanese yen bond markets
Carlos Bernadell, Joachim Coche, Ken Nyholm

26 Jun 2006
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No. 640

Employment stickiness in small manufacturing firms
Philip Vermeulen

26 Jun 2006
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- 569 kB Download
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No. 639

Optimal monetary policy with uncertainty about financial frictions
Richhild Moessner

26 Jun 2006
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- 473 kB Download
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No. 638

Detecting and predicting forecast breakdowns
Raffaella Giacomini, Barbara Rossi

30 Jun 2006
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- 816 kB Download
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No. 637

Transparency, expectations, and forecasts
Andrew Bauer, Robert Eisenbeis, Daniel Waggoner, Tao Zha
Published in: Federal Reserve Bank of Atlanta Economic Review,1st Quarter, 2006; 91(1): 1-25

26 Jun 2006
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No. 636

Exchange rate stabilization in developed and underdeveloped capital markets
Viera Chmelarova, Gunther Schnabl

26 Jun 2006
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- 840 kB Download
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No. 635

Identifying the role of labor markets for monetary policy in an estimated DSGE model
Kai Christoffel, Keith Kuester, Tobias Linzert

09 Jun 2006
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No. 634

Expenditure reform in industrialised countries: a case study approach
Sebastian Hauptmeier, Martin Heipertz, Ludger Schuknecht
Published in: Fiscal Studies (2007), vol. 28, no. 3, pp. 293–342.

26 May 2006
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No. 633

Nowcasting GDP and inflation: the real-time informational content of macroeconomic data releases
Domenico Giannone, Lucrezia Reichlin, David H. Small
Published in: Journal of Monetary Economics, Vol. 55, No. 4, May 2008, Pages 665-676.

26 May 2006
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No. 632

Does information help recovering structural shocks from past observations?
Domenico Giannone, Lucrezia Reichlin
Published in: Journal of the European Economic Association, Volume 4, No. 2-3, April-May 2006, pp. 455-465; published as: When does more information help in recovering the structural shocks?

26 May 2006
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- 499 kB Download
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No. 631

Which news moves the euro area bond market?
Magnus Andersson, Lars Jul Hansen, Szabolcs Sebestyén
Published in: Forthcoming in German economic review

26 May 2006
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No. 630

Implications of monetary union for catching-up member states
Marcelo Sánchez
Published in: partly in Journal of Policy Modeling (forthcoming) and partly in Open Economies Review (forthcoming)

26 May 2006
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No. 629

A market microstructure analysis of foreign exchange intervention
Paolo Vitale

26 May 2006
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No. 628

Long-run money demand in the new EU Member States with exchange rate effects
Christian Dreger, Hans-Eggert Reimers, Barbara Roffia

26 May 2006
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No. 627

Euro area banking sector integration: using hierarchical cluster analysis techniques
Christoffer Kok Sørensen, Josep Maria Puigvert Gutiérrez

26 May 2006
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No. 626

Financial integration, international portfolio choice and the European Monetary Union
Roberto A. De Santis, Bruno Gérard
Published in: European Economic Review, 2009, 53: 1010-1027. Published as: "International portfolio reallocation: Diversification benefits and European Monetary Union"

26 May 2006
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No. 625

Sectoral explanations of employment in Europe: the role of services
Antonello D’Agostino, Roberta Serafini, Melanie Ward-Warmedinger

26 May 2006
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No. 624

Foreign reserves management subject to a policy objective
Joachim Coche, Matti Koivu, Ken Nyholm, Vesa Poikonen

26 May 2006
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No. 623

Human capital, the structure of production, and growth
Antonio Ciccone, Elias Papaioannou

12 May 2006
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No. 622

Short-term forecasts of euro area real GDP growth: an assessment of real-time performance based on vintage data
Marie Diron

12 May 2006
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No. 621

Assessing predetermined expectations in the standard sticky-price model: a Bayesian approach
Peter Welz

12 May 2006
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No. 620

Does fiscal policy matter for the trade account? A panel cointegration study
Katja Funke, Christiane Nickel

12 May 2006
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No. 619

Cyclical inflation divergence and different labor market institutions in the EMU
Alessia Campolmi, Ester Faia

05 May 2006
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No. 618

The patterns and determinants of price setting in the Belgian industry
David Cornille, Maarten Dossche
Published in: Scandinavian Journal of Economics (forthcoming) und the title: "Some Evidence on the Adjustment of Producer Prices."

05 May 2006
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No. 617

New survey evidence on the pricing behaviour of Luxembourg firms
Patrick Lünnemann, Thomas Y. Mathä

02 May 2006
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No. 616

Global financial transmission of monetary policy shocks
Michael Ehrmann, Marcel Fratzscher
Published in: Oxford Bulletin of Economics and Statistics (forthcoming)

28 Apr 2006
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No. 615

Quantitative goals for monetary policy
Antonio Fatás, Ilian Mihov, Andrew K. Rose
Published in: Journal of Money, Credit and Banking, August 2007; 39(5): 1163-76

28 Apr 2006
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No. 614

Expenditure switching vs. real exchange rate stabilization: competing objectives for exchange rate policy
Michael B. Devereux, Charles Engel

28 Apr 2006
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No. 613

Welfare-based monetary policy rules in an estimated DSGE model of the US economy
Michel Juillard, Philippe Karam, Douglas Laxton, Paolo Pesenti

28 Apr 2006
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No. 612

Optimal fiscal and monetary policy in a medium-scale macroeconomic model
Stephanie Schmitt-Grohé, Martín Uribe

28 Apr 2006
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No. 611

Monetary policy, determinacy, and learnability in the open economy
James Bullard, Eric Schaling

28 Apr 2006
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No. 610

Real-time model uncertainty in the United States: the Fed from 1996-2003
Robert J. Tetlow, Brian Ironside

28 Apr 2006
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No. 609

The elusive welfare economics of price stability as a monetary policy objective: why New Keynesian central bankers should validate core inflation
Willem H. Buiter

28 Apr 2006
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No. 608

How does information affect the comovement between interest rates and exchange rates?
Marcelo Sánchez
Published in: Rivista Internazionale di Scienze Sociali (forthcoming)

28 Apr 2006
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No. 607

Price setting behaviour in the Netherlands: results of a survey
Ad C.J. Stokman, Marco M. Hoeberichts

20 Apr 2006
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No. 606

Measuring the importance of the uniform nonsynchronization hypothesis
Daniel Dias, Carlos Robalo Marques, João M. C. Santos Silva

20 Apr 2006
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No. 605

(Un)Predictability and macroeconomic stability
Antonello D’Agostino, Domenico Giannone, Paolo Surico

20 Apr 2006
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No. 604

A dynamic model of settlement
Thorsten Volker Koeppl, Cyril Monnet, Ted Temzelides

20 Apr 2006
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No. 603

Estimating multi-country VAR models
Fabio Canova, Matteo Ciccarelli
Published in: International Economic Review, 50(3), pp. 929-959.

20 Apr 2006
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No. 602

Job flow dynamics and firing restrictions: evidence from Europe
Julián Messina, Giovanna Vallanti

20 Apr 2006
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No. 601

Excess burden and the cost of inefficiency in public services provision
António Afonso, Vítor Gaspar
Published in: Public Choice, (2007), 132 (3-4): 485-502.

20 Apr 2006
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No. 600

A speed limit monetary policy rule for the euro area
Livio Stracca
Published in: International Finance, Spring 2007; 10(1): 21-41

20 Apr 2006
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No. 599

What effects is EMU having on the euro area and its member countries? An overview
Francesco Paolo Mongelli, Juan Luis Vega

23 Mar 2006
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- 590 kB Download
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No. 598

The impact of the euro on financial markets
Lorenzo Cappiello, Peter Hördahl, Arjan Kadareja, Simone Manganelli

23 Mar 2006
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No. 597

Price setting and inflation persistence: did EMU matter?
Ignazio Angeloni, Luc Aucremanne, Matteo Ciccarelli
Published in: Economic Policy, April 2006, 21(46): 353-387

23 Mar 2006
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- 1.04 MB Download
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No. 596

The effects of EMU on structural reforms in labour and product markets
Romain Duval, Jørgen Elmeskov

23 Mar 2006
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- 599 kB Download
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No. 595

Trends and cycles in the euro area: how much heterogeneity and should we worry about it?
Domenico Giannone, Lucrezia Reichlin

23 Mar 2006
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- 895 kB Download
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No. 594

The euro’s trade effects
Richard E. Baldwin

23 Mar 2006
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- 1.69 MB Download
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No. 593

Robustifying learnability
Robert J. Tetlow, Peter von zur Muehlen

24 Feb 2006
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- 787 kB Download
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No. 592

Non-linear dynamics in the euro area demand for M1
Alessandro Calza, Andrea Zaghini
Published in: Macroeconomic Dynamics (forthcoming)

24 Feb 2006
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- 525 kB Download
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No. 591

Cointegration in panel data with breaks and cross-section dependence
Anindya Banerjee, Josep Lluís Carrion-i-Silvestre

24 Feb 2006
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- 618 kB Download
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No. 590

The pecking order of cross-border investment
Christian Daude, Marcel Fratzscher
Published in: Journal of International Economics 74(1), 94-119, January 2008.

24 Feb 2006
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- 626 kB Download
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No. 589

Forecasting economic aggregates by disaggregates
David F. Hendry, Kirstin Hubrich

22 Feb 2006
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- 593 kB Download
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No. 588

Rational inattention, inflation developments and perceptions after the euro cash changeover
Michael Ehrmann
Published in: German Economic Review (forthcoming), as "Inflation developments and perceptions after the euro cash changeover".

22 Feb 2006
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- 634 kB Download
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No. 587

Determinants of business cycle synchronisation across euro area countries
Uwe Böwer, Catherine Guillemineau

22 Feb 2006
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- 1.29 MB Download
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No. 586

A method to generate structural impulse-responses for measuring the effects of shocks in structural macro models
Andreas Beyer, Roger E. A. Farmer

09 Feb 2006
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- 580 kB Download
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No. 585

Are specific skills an obstacle to labor market adjustment? Theory and an application to the EU enlargement
Ana Lamo, Julián Messina, Etienne Wasmer

07 Feb 2006
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- 1.39 MB Download
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No. 584

A new theory of forecasting
Simone Manganelli

31 Jan 2006
- Abstract
- 545 kB Download
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No. 583

Back to square one: identification issues in DSGE models
Fabio Canova, Luca Sala

31 Jan 2006
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- 2.18 MB Download
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No. 582

What accounts for the changes in U.S. fiscal policy transmission?
Florin O. Bilbiie, André Meier, Gernot J. Müller

31 Jan 2006
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- 841 kB Download
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No. 581

Public sector efficiency: evidence for new EU member states and emerging markets
António Afonso, Ludger Schuknecht, Vito Tanzi
Published in: Applied Economics (forthcoming)

31 Jan 2006
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- 605 kB Download
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No. 580

Bank interest rate pass-through in the euro area: a cross country comparison
Christoffer Kok Sørensen, Thomas Werner

16 Jan 2006
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- 877 kB Download
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No. 579

A disaggregated framework for the analysis of structural developments in public finances
Jana Kremer, Cláudia Rodrigues Braz, Teunis Brosens, Geert Langenus, Sandro Momigliano, Mikko Spolander

16 Jan 2006
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- 934 kB Download
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No. 578

Forecasting ECB monetary policy: accuracy is (still) a matter of geography
Helge Berger, Michael Ehrmann, Marcel Fratzscher
Published in: European Economic Review, as "Forecasting ECB Monetary Policy: accuracy is a matter of Geography" (forthcoming)

16 Jan 2006
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- 692 kB Download
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No. 577

Distortionary taxation, debt, and the price level
Andreas Schabert, Leopold von Thadden
Published in: Journal of Money, Credit and Banking, 2009, 41(1):159-188 (forthcoming)

16 Jan 2006
- Abstract
- 594 kB Download
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No. 576

Debt stabilizing fiscal rules
Philippe Michel, Leopold von Thadden, Jean-Pierre Vidal

16 Jan 2006
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- 806 kB Download
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No. 575

Growth in euro area labour quality
Guido Schwerdt, Jarkko Turunen
Published in: Review of Income and Wealth, 53(4), December 2007

13 Jan 2006
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- 643 kB Download
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No. 574

Inflation convergence and divergence within the European Monetary Union
Fabio Busetti, Lorenzo Forni, Andrew Harvey, Fabrizio Venditti

13 Jan 2006
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- 799 kB Download
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No. 573

Credit chains and the propagation of financial distress
Frédéric Boissay

13 Jan 2006
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- 684 kB Download
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No. 572

Information, habits, and consumption behavior: evidence from micro data
Mika Kuismanen, Luigi Pistaferri

13 Jan 2006
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- 697 kB Download
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No. 571

Are emerging market currency crises predictable? A test
Tuomas A. Peltonen

13 Jan 2006
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- 761 kB Download
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No. 570

Household debt sustainability: what explains household non-performing loans? An empirical analysis
Laura Rinaldi, Alicia Sanchis-Arellano

10 Jan 2006
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- 647 kB Download
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