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- 9 September 2016
- WORKING PAPER SERIES - No. 1955Details
- Abstract
- This study investigates the degree and speed of the exchange rate pass through (ERPT) into extra-euro area import prices for the euro area aggregate and the five largest countries. Based on quarterly frequency data, the analysis covers the period 1996Q1-2015Q2. Two alternative measures of the nominal exchange rate are used: the NEER of the euro against 38 partners and the EUR/USD bilateral exchange rate. The results show that the pass through is only
- JEL Code
- E31 : Macroeconomics and Monetary Economics→Prices, Business Fluctuations, and Cycles→Price Level, Inflation, Deflation
F3 : International Economics→International Finance
F41 : International Economics→Macroeconomic Aspects of International Trade and Finance→Open Economy Macroeconomics
- 28 January 2016
- OCCASIONAL PAPER SERIES - No. 167Details
- Abstract
- Although monetary union created the conditions for improving economic and financial integration in the euro area, in the context of the financial and sovereign crises, it has also been accompanied by the emergence of severe imbalances in savings and investment, credit and housing booms in some countries and the allocation of resources towards less productive sectors. The global financial crisis and the euro area sovereign debt crisis then led to major and abrupt adjustments as the risks posed by the large imbalances materialised. Although the institutional shortcomings in the EU that permitted the emergence of imbalances have been largely addressed since 2008, the adjustment process is not yet complete. From a macroeconomic perspective, the imbalances in the external accounts have led to the accumulation of high levels of external liabilities that need to be reduced, which, in turn, is weakening investment and therefore weighing on growth prospects and growth potential. From a macroprudential perspective, the lingering imbalances have added to systemic risk and rendered the euro area more vulnerable to risks. This Occasional Paper analyses the dynamic patterns in macroeconomic imbalances primarily from the former perspective, addressing in particular the connections between macroeconomic and sectoral adjustments of imbalances and the challenges for economic growth and performance over a longer horizon.
- JEL Code
- E21 : Macroeconomics and Monetary Economics→Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy→Consumption, Saving, Wealth
E22 : Macroeconomics and Monetary Economics→Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy→Capital, Investment, Capacity
F32 : International Economics→International Finance→Current Account Adjustment, Short-Term Capital Movements
F41 : International Economics→Macroeconomic Aspects of International Trade and Finance→Open Economy Macroeconomics
- 14 December 2015
- WORKING PAPER SERIES - No. 1870Details
- Abstract
- This paper investigates the main determinants of economic performance in the EU from a regional perspective, covering 253 regions over the period 2001-2008. In addition to the traditional determinants of economic performance, measured by GDP per capita, the analysis accounts for spatial effects related to externalities from neighbouring regions. The spatial Durbin random-effect panel specification captures spatial feedback effects from the neighbours through spatially lagged dependent and independent variables. Social-economic environment and traditional determinants of GDP per capita (distance from innovation frontier, physical and human capital and innovation) are found to be significant. Overall, our findings confirm the significance of spatial spillovers, as business investment and human capital of neighbouring regions have a positive impact
- JEL Code
- O17 : Economic Development, Technological Change, and Growth→Economic Development→Formal and Informal Sectors, Shadow Economy, Institutional Arrangements
O31 : Economic Development, Technological Change, and Growth→Technological Change, Research and Development, Intellectual Property Rights→Innovation and Invention: Processes and Incentives
O18 : Economic Development, Technological Change, and Growth→Economic Development→Urban, Rural, Regional, and Transportation Analysis, Housing, Infrastructure
R12 : Urban, Rural, Regional, Real Estate, and Transportation Economics→General Regional Economics→Size and Spatial Distributions of Regional Economic Activity
- 27 January 2014
- WORKING PAPER SERIES - No. 1627Details
- Abstract
- Following a hedonic framework, this paper constructs various transaction-based commercial property price indicators for the Netherlands. Using quarterly data from the Investment Property Databank (IPD), the analysis covers a total of 10,000 listed properties over the period 2001-2011. The study contributes to the empirical literature by introducing a spatial econometric methodology into a hedonic framework, via a spatially lagged explanatory variable (spatially lagged valuations per square metre). The results provide significant evidence of the presence of spatial dependence in unit valuations in all sub-sectors of the commercial property market, namely retail, office, industrial and residential. Accordingly, high (low) priced commercial properties tend to be geographically clustered rather than randomly distributed over space. The comparison of the alternative transaction-based indices shows a systematic upward bias in the baseline transaction-based indicator that relies solely on prior appraisals. In addition, compared to the baseline indicator, the spatially augmented transaction-based price indicator appears to fluctuate less and is more robust to small sample sizes. These results are robust for alternative spatial weights matrix specifications.
- JEL Code
- R30 : Urban, Rural, Regional, Real Estate, and Transportation Economics→Real Estate Markets, Spatial Production Analysis, and Firm Location→General
C31 : Mathematical and Quantitative Methods→Multiple or Simultaneous Equation Models, Multiple Variables→Cross-Sectional Models, Spatial Models, Treatment Effect Models, Quantile Regressions, Social Interaction Models
C21 : Mathematical and Quantitative Methods→Single Equation Models, Single Variables→Cross-Sectional Models, Spatial Models, Treatment Effect Models, Quantile Regressions
R12 : Urban, Rural, Regional, Real Estate, and Transportation Economics→General Regional Economics→Size and Spatial Distributions of Regional Economic Activity
- 7 December 2012
- OCCASIONAL PAPER SERIES - No. 139Details
- Abstract
- The onset of the financial crisis in 2008 has highlighted the problems of diverging external imbalances within Economic and Monetary Union (EMU) and the role of persistent losses in competitiveness. This paper starts by investigating some of the competitiveness factors which contributed to external imbalances in euro area countries. The evidence suggests significant heterogeneity across countries in both price/cost and non-price competitiveness in the euro area and that there is no one factor, but rather a range of potential factors explaining diverging external imbalances. In particular, while non-price competitiveness effects contributed largely to the trade surplus in some countries, for some southern European countries the trade balance was also driven by price factors. The second part of the paper studies the implications of competitiveness adjustment by means of quantitative tools. Using four different multi-country macro models, improvements in both price/cost aspects (namely wage reduction, productivity improvements or fiscal devaluation) and non-price competitiveness factors (quality improvements) were shown - under certain conditions - to improve external imbalances. The analysis suggests differences in countries' composition of trade could lead to heterogeneity in the potential gains from improvements in competitiveness.
- JEL Code
- F10 : International Economics→Trade→General
F41 : International Economics→Macroeconomic Aspects of International Trade and Finance→Open Economy Macroeconomics
F43 : International Economics→Macroeconomic Aspects of International Trade and Finance→Economic Growth of Open Economies
F47 : International Economics→Macroeconomic Aspects of International Trade and Finance→Forecasting and Simulation: Models and Applications
O52 : Economic Development, Technological Change, and Growth→Economywide Country Studies→Europe