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85 records from EconBiz based on author Name
1. Monetary aggregates and inflation: a new view on an old relationship
Amisano, Gianni; Colavecchio, Roberta;2025
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
Availability:
2. Non-linear exchange rate pass-through to euro area inflation : a local projection approach
abstractHow long does it take for exchange rate changes to pass through into in ation? Does it make a difference whether the exchange rate depreciates or appreciates? Do relatively large exchange rate changes entail more exchange rate pass-through? In this paper, we examine possible non-linearities in the transmission of exchange rate movements to import and consumer prices in all 19 euro area countries as well as the euro area as a whole from 1997 to 2019Q1. We extend a standard single-equation linear framework with additional interaction terms to account for possible non-linearities and apply local projections to obtain state-dependent impulse response functions. We find that (i) euro area consumer and import prices respond significantly to exchange rate movements after one year, responding more when the exchange rate change is relatively large; and (ii) euro appreciations and depreciations affect the level of euro area exchange rate pass-through in a symmetric fashion; (iii) for euro area countries results differ for import and consumer prices and across countries.
Colavecchio, Roberta; Rubene, Ieva;2020
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
Availability:
Link Link 3. Non-linear exchange rate pass-through to euro area inflation : a local projection approach
Colavecchio, Roberta; Rubene, Ieva;2019
Type: Graue Literatur; Non-commercial literature; Arbeitspapier; Working Paper;
Availability:
Link 4. Inflation Expectations and Their Role in Eurosystem Forecasting
abstractThis paper summarises the findings of the Eurosystem’s Expert Group on Inflation Expectations (EGIE), which was one of the 13 work streams conducting analysis that fed into the ECB’s monetary policy strategy review. The EGIE was tasked with (i) reviewing the nature and behaviour of inflation expectations, with a focus on the degree of anchoring, and (ii) exploring the role that measures of expectations can play in forecasting inflation. While it is households’ and firms’ inflation expectations that ultimately matter in the expectations channel, data limitations have meant that in practice the focus of analysis has been on surveys of professional forecasters and on market-based indicators. Regarding the anchoring of inflation expectations, this paper considers a number of metrics: the level of inflation expectations, the responsiveness of longer-term inflation expectations to shorter-term developments, and the degree of uncertainty. Different metrics can provide conflicting signals about the scale and timing of potential unanchoring, which underscores the importance of considering all of them. Overall, however, these metrics suggest that in the period since the global financial and European debt crises, longer-term inflation expectations in the euro area have become less well anchored. Regarding the role measures of inflation expectations can play in forecasting inflation, this paper finds that they are indicative for future inflationary developments. When it comes to their predictive power, both market-based and survey-based measures are found to be more accurate than statistical benchmarks, but do not systematically outperform each other. Beyond their role as standalone forecasts, inflation expectations bring forecast gains when included in forecasting models and can also inform scenario and risk analysis in projection exercises performed using structural models
Baumann, Ursel; Darracq Paries, Matthieu; Westermann, Thomas; Riggi, Marianna; Bobeica, Elena; Meyler, Aidan; Böninghausen, Benjamin; Fritzer, Friedrich; Trezzi, Riccardo; Jonckheere, Jana; Kulikov, Dmitry; Popova, Dilyana; Pert, Sulev; Paloviita, Maritta; Brázdik, František; Pönkä, Harri; Bess, Mikkel; Robert, Pierre-Antoine; Al-Haschimi, Alexander; Gmehling, Philipp; Banbura, Marta; Charalampakis, Evangelos; Menz, Jan-Oliver; Hartwig, Benny; Paredes, Joan; Volz, Ute; Reiche, Lovisa; Bragoudakis, Zacharias; Tirpak, Marcel; Kasimati, Evangelia; Łyziak, Tomasz; Tagliabracci, Alex; Stanisławska, Ewa; Bessonovs, Andrejs; Iskrev, Nikolay; Krasnopjorovs, Olegs; Gavura, Miroslav; Reichenbachas, Tomas; Damjanović, Milan; Colavecchio, Roberta; Maletic, Matjaz; Galati, Gabriele; Leiva, Danilo; Kearney, Ide; Stockhammar, Pär;2021
Availability: Link Link
5. Drifting Together or Falling Apart? The Empirics of Regional Economic Growth in Post-Unification Germany
abstractThe objective of this paper is to address the question of convergence across German districts in the first decade after German unification by drawing out and emphasising some stylised facts of regional per capita income dynamics. We achieve this by employing non-parametric techniques which focus on the evolution of the entire cross-sectional income distribution. In particular, we follow a distributional approach to convergence based on kernel density estimation and implement a number of tests to establish the statistical significance of our findings. This paper finds that the relative income distribution appears to be stratifying into a trimodal/bimodal distribution
Colavecchio, Roberta; Curran, Declan; Funke, Michael;2021
Availability: Link Link
Citations: 16 (based on OpenCitations)
6. A Money-Based Indicator for Deflation Risk
abstractWe employ a money-based early warning model in order to analyse the risk of a low inflation regime in the euro area, Japan and the US. The model specification allows for three different inflation regimes: Low, Medium and High inflation, while state transition probabilities vary over time as a function of monetary variables. Using Bayesian techniques, we estimate the model with data from the early 1970s up to the present. Our analysis suggests that the risks of a Low inflation regime in the euro area have been increasing in the course of the last six quarters of the sample; moreover, money growth appears to play a significant role in the assessment of such risks. Evidence for Japan and the US, on the other hand, shows that the inclusion of a monetary indicator variable does not substantially change the assessment of the risk of a Low inflation regime in either of the two countries
Amisano, Gianni; Colavecchio, Roberta; Fagan, Gabriel;2021
Availability: Link Link
7. Non-linear exchange rate pass-through to euro area inflation: A local projection approach
Colavecchio, Roberta; Rubene, Ieva;2020
Type: Working Paper;
Availability:
Link 8. Non-Linear Exchange Rate Pass-Through to Euro Area Inflation : A Local Projection Approach
abstractHow long does it take for exchange rate changes to pass through into inflation? Does it make a difference whether the exchange rate depreciates or appreciates? Do relatively large exchange rate changes entail more exchange rate pass-through? In this paper, we examine possible non-linearities in the transmission of exchange rate movements to import and consumer prices in all 19 euro area countries as well as the euro area as a whole from 1997 to 2019Q1. We extend a standard single-equation linear framework with additional interaction terms to account for possible non-linearities and apply local projections to obtain state-dependent impulse response functions. We find that (i) euro area consumer and import prices respond significantly to exchange rate movements after one year, responding more when the exchange rate change is relatively large; and (ii) euro appreciations and depreciations affect the level of euro area exchange rate pass-through in a symmetric fashion; (iii) for euro area countries results differ for import and consumer prices and across countries
Colavecchio, Roberta; Rubene, Ieva;2020
Availability: Link
9. Non-Linear Exchange Rate Pass-Through to Euro Area Inflation : A Local Projection Approach
abstractHow long does it take for exchange rate changes to pass through into inflation? Does it make a difference whether the exchange rate depreciates or appreciates? Do relatively large exchange rate changes entail more exchange rate pass-through? In this paper, we examine possible non-linearities in the transmission of exchange rate movements to import and consumer prices in all 19 euro area countries as well as the euro area as a whole from 1997 to 2019Q1. We extend a standard single-equation linear framework with additional interaction terms to account for possible non-linearities and apply local projections to obtain state-dependent impulse response functions. We find that (i) euro area consumer and import prices respond significantly to exchange rate movements after one year, responding more when the exchange rate change is relatively large; and (ii) euro appreciations and depreciations affect the level of euro area exchange rate pass-through in a symmetric fashion; (iii) for euro area countries results differ for import and consumer prices and across countries
Colavecchio, Roberta; Rubene, Ieva;2020
Availability: Link Link
Citations: 3 (based on OpenCitations)
10. A money-based indicator for deflation risk
abstractWe employ a money-based early warning model in order to analyse the risk of a low inflation regime in the euro area, Japan and the US. The model specification allows for three different inflation regimes: Low, Medium and High inflation, while state transition probabilities vary over time as a function of monetary variables. Using Bayesian techniques, we estimate the model with data from the early 1970s up to the present. Our analysis suggests that the risks of a Low inflation regime in the euro area have been increasing in the course of the last six quarters of the sample; moreover, money growth appears to play a significant role in the assessment of such risks. Evidence for Japan and the US, on the other hand, shows that the inclusion of a monetary indicator variable does not susbstantially change the assessment of the risk of a Low inflation regime in either of the two countries.
Amisano, Gianni; Colavecchio, Roberta; Fagan, Gabriel;2014
Type: Arbeitspapier; Working Paper; Graue Literatur; Non-commercial literature;
Availability: Link