Π‘ΡΠ΄ΡΡΠΆΠ°Π½ΠΈΠ΅ΡΠΎ Π½Π΅ Π΅ Π½Π°Π»ΠΈΡΠ½ΠΎ Π½Π° Π±ΡΠ»Π³Π°ΡΡΠΊΠΈ Π΅Π·ΠΈΠΊ.
Hiona Balfoussia
- 9 January 2018
- OCCASIONAL PAPER SERIES - No. 205Details
- Abstract
- This paper studies the cyclical properties of real GDP, house prices, credit, and nominal liquid financial assets in 17 EU countries, by applying several methods to extract cycles. The estimates confirm earlier findings of large medium-term cycles in credit volumes and house prices. GDP appears to be subject to fluctuations at both business-cycle and medium-term frequencies, and GDP fluctuations at medium-term frequencies are strongly correlated with cycles in credit and house prices. Cycles in equity prices and long-term interest rates are considerably shorter than those in credit and house prices and have little in common with the latter. Credit and house price cycles are weakly synchronous across countries and their volatilities vary widely β these differences may be related to the structural properties of housing and mortgage markets. Finally, DSGE models can replicate the volatility of cycles in house and equity prices, but not the persistence of house price cycles.
- JEL Code
- C32 : Mathematical and Quantitative MethodsβMultiple or Simultaneous Equation Models, Multiple VariablesβTime-Series Models, Dynamic Quantile Regressions, Dynamic Treatment Effect Models, Diffusion Processes
E32 : Macroeconomics and Monetary EconomicsβPrices, Business Fluctuations, and CyclesβBusiness Fluctuations, Cycles
E44 : Macroeconomics and Monetary EconomicsβMoney and Interest RatesβFinancial Markets and the Macroeconomy
- 2 May 2013
- WORKING PAPER SERIES - No. 1541Details
- Abstract
- In this paper we construct Financial Conditions Indices (FCIs) for the euro area, for the period 2003 to 2011, using a wide range of prices, quantities, spreads and survey data, grounded in the theoretical literature. One FCI includes monetary policy variables, while two versions without monetary policy are also constructed, enabling us to study the impact of monetary policy on financial conditions. The FCIs constructed fit in well with a narrative of financial conditions since the creation of the monetary union. FCIs for individual euro area countries are also provided, with a view to comparing financial conditions in core and periphery countries. There is evidence of significant divergence both before and during the crisis, which becomes less pronounced when monetary policy variables are included in the FCI. However, the impact of monetary policy on financial conditions appears not to be entirely symmetric across the euro area.
- JEL Code
- E52 : Macroeconomics and Monetary EconomicsβMonetary Policy, Central Banking, and the Supply of Money and CreditβMonetary Policy
E51 : Macroeconomics and Monetary EconomicsβMonetary Policy, Central Banking, and the Supply of Money and CreditβMoney Supply, Credit, Money Multipliers
E61 : Macroeconomics and Monetary EconomicsβMacroeconomic Policy, Macroeconomic Aspects of Public Finance, and General OutlookβPolicy Objectives, Policy Designs and Consistency, Policy Coordination
E63 : Macroeconomics and Monetary EconomicsβMacroeconomic Policy, Macroeconomic Aspects of Public Finance, and General OutlookβComparative or Joint Analysis of Fiscal and Monetary Policy, Stabilization, Treasury Policy
E65 : Macroeconomics and Monetary EconomicsβMacroeconomic Policy, Macroeconomic Aspects of Public Finance, and General OutlookβStudies of Particular Policy Episodes - Network
- 30 September 2011
- OCCASIONAL PAPER SERIES - No. 128Details
- Abstract
- The distributive trades sector, which is primarily accounted for by wholesale and retail trade, is not only economically important in its own right, but also relevant to monetary policy. Ultimately, it is retailers who set the actual prices of most consumer goods. They are the main interface between producers of consumer goods and consumers, with around half of private consumption accounted for by retail trade. The
- JEL Code
- E58 : Macroeconomics and Monetary EconomicsβMonetary Policy, Central Banking, and the Supply of Money and CreditβCentral Banks and Their Policies
F41 : International EconomicsβMacroeconomic Aspects of International Trade and FinanceβOpen Economy Macroeconomics