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Von Februar bis Juni 2015 hat die Europäische Zentralbank (EZB) die Notfall-Liquiditätshilfen (emergency liquidity assistance, ELA) für griechische Banken von 50 auf etwa 90 Milliarden Euro ausgeweitet. Dies hat zu einer Diskussion unter Wissenschaftlern, Politikern und Praktikern geführt, ob diese Liquiditätshilfen rechtmäßig sind. Es wurde der Vorwurf erhoben, die EZB trage bewusst zu einer Konkursverschleppung der bereits insolventen griechischen Banken bei.
Wir nehmen diesen Vorwurf zum Anlass, die Grundsätze des ELA-Programms genauer zu betrachten und die Frage zu diskutieren, ob das Programm in der aktuellen Situation rechtmäßig war. Zunächst beschreiben wir hierfür aus finanzwirtschaftlicher Perspektive die komplexe Beziehung zwischen der Europäischen Union, der EZB und den griechischen Banken. Dabei gehen wir insbesondere auf die wirtschaftspolitischen Grundsätze einer Währungsunion mit einer unvollständigen Fiskalunion (oder Haushaltskonsolidierung) ein. Vor diesem Hintergrund analysieren wir dann die Entscheidung der EZB, weiterhin Liquiditätshilfen an griechische Banken bereitzustellen. Wir kommen zu dem Ergebnis, dass das Vorgehen der EZB nicht als Konkursverschleppung zu bezeichnen ist.
Volatility forecasting
(2005)
Volatility has been one of the most active and successful areas of research in time series econometrics and economic forecasting in recent decades. This chapter provides a selective survey of the most important theoretical developments and empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications. Volatility is inherently latent, and Section 1 begins with a brief intuitive account of various key volatility concepts. Section 2 then discusses a series of different economic situations in which volatility plays a crucial role, ranging from the use of volatility forecasts in portfolio allocation to density forecasting in risk management. Sections 3, 4 and 5 present a variety of alternative procedures for univariate volatility modeling and forecasting based on the GARCH, stochastic volatility and realized volatility paradigms, respectively. Section 6 extends the discussion to the multivariate problem of forecasting conditional covariances and correlations, and Section 7 discusses volatility forecast evaluation methods in both univariate and multivariate cases. Section 8 concludes briefly. JEL Klassifikation: C10, C53, G1.
In light of the failed negotiations with Greece, Jan Krahnen argues that an effective reform agenda for Greece can only be designed by the elected government. Fundamental reforms will take time to take full effect and euro area member states will, in the meantime, have to offer Greece a basic level of economic security.
Krahnen demands that policy makers and the professional public involved view the Greek crisis as an opportunity to take the next necessary steps to formulate a reform agenda for the European Monetary Union. A community of supranational and non-party researchers and intellectuals could take the initiative and in a structured process develop a trustworthy and realistic concept that drafts the next big step towards a political union of Europe, including elements of a fiscal union.
In this paper, we examine the cost of insurance against model uncertainty for the Euro area considering four alternative reference models, all of which are used for policy-analysis at the ECB.We find that maximal insurance across this model range in terms of aMinimax policy comes at moderate costs in terms of lower expected performance. We extract priors that would rationalize the Minimax policy from a Bayesian perspective. These priors indicate that full insurance is strongly oriented towards the model with highest baseline losses. Furthermore, this policy is not as tolerant towards small perturbations of policy parameters as the Bayesian policy rule. We propose to strike a compromise and use preferences for policy design that allow for intermediate degrees of ambiguity-aversion.These preferences allow the specification of priors but also give extra weight to the worst uncertain outcomes in a given context. JEL Klassifikation: E52, E58, E61
Within a two step GARCH framework we estimate the time-varying spillover effects from European and US return innovations to 10 economic sectors within the euro area, the United States, and the United Kingdom. We use daily data from January 1988 - March 2002. At the beginning of our sample sectors in all three currency areas/blocks formed a quite homogeneous group exhibiting only minor sector-specific characteristics. However, over time sectors became more heterogeneous, that is the response to aggregate shocks increasingly varies across sectors. This provides evidence that sector-specific effects gained in importance. European industries show increased heterogeneity simultaneously with the start of the European Monetary Union, whereas in the US this trend started in the early 1990's. Information technology and non-cyclical services (including telecommunication services) became the most integrated sectors worldwide, which are most affected by aggregate European and US shocks. On the other hand, basic industries, non-cyclical consumer goods, resources, and utilities became less affected by aggregate shocks. Volatility spillovers proved to be small and volatile. JEL_Klassifikation: G1, F36
Regional inflation dynamics within and across Euro area countries and a comparison with the US
(2006)
We investigate co-movements and heterogeneity in inflation dynamics of different regions within and across euro area countries using a novel disaggregate dataset to improve the understanding of inflation differentials in the European Monetary Union. We employ a model where regional inflation dynamics are explained by common euro area and country specific factors as well as an idiosyncratic regional component. Our findings indicate a substantial common area wide component, that can be related to the common monetary policy in the euro area and to external developments, in particular exchange rate movements and changes in oil prices. The effects of the area wide factors differ across regions, however. We relate these differences to structural economic characteristics of the various regions. We also find a substantial national component. Our findings do not differ substantially before and after the formal introduction of the euro in 1999, suggesting that convergence has largely taken place before the mid 90s. Analysing US regional inflation developments yields similar results regarding the relevance of common US factors. Finally, we find that disaggregate regional inflation information, as summarised by the area wide factors, is important in explaining aggregate euro area and US inflation rates, even after conditioning on macroeconomic variables. Therefore, monitoring regional inflation rates within euro area countries can enhance the monetary policy maker’s understanding of aggregate area wide inflation dynamics. JEL Classification: E31, E52, E58, C33
Using a unique data set of regional inflation rates we are examining the extent and dynamics of inflation dispersion in major EMU countries before and after the introduction of the euro. For both periods, we find strong evidence in favor of mean reversion (ß-convergence) in inflation rates. However, half-lives to convergence are considerable and seem to have increased after 1999. The results indicate that the convergence process is nonlinear in the sense that its speed becomes smaller the further convergence has proceeded. An examination of the dynamics of overall inflation dispersion (ó-convergence) shows that there has been a decline in dispersion in the first half of the 1990s. For the second half of the 1990s, no further decline can be observed. At the end of the sample period, dispersion has even increased. The existence of large persistence in European inflation rates is confirmed when distribution dynamics methodology is applied. At the end of the paper we present evidence for the sustainability of the ECB's inflation target of an EMU-wide average inflation rate of less than but close to 2%. Klassifikation: E31, E52, E58
We use a novel disaggregate sectoral euro area dataset with a regional breakdown that allows explicit estimation of the sectoral component of price changes (rather than interpreting the idiosyncratic component as sectoral as done in other papers). Employing a new method to extract factors from over-lapping data blocks, we find for our euro area data set that the sectoral component explains much less of the variation in sectoral regional inflation rates and exhibits much less volatility than previous findings for the US indicate. Country- and region-specific factors play an important role in addition to the sector-specific factors. We conclude that sectoral price changes have a “geographical” dimension, as yet unexplored in the literature, that might lead to new insights regarding the properties of sectoral price changes.
The global financial crisis has lead to a renewed interest in discretionary fiscal stimulus. Advocates of discretionary measures emphasize that government spending can stimulate additional private spending — the so-called Keynesian multiplier effect. Thus, we investigate whether the discretionary spending announced by Euro area governments for 2009 and 2010 is likely to boost euro area GDP by more than one for one. Because of modeling uncertainty, it is essential that such policy evaluations be robust to alternative modeling assumptions and different parameterizations. Therefore, we use five different empirical macroeconomic models with Keynesian features such as price and wage rigidities to evaluate the impact of fiscal stimulus. Four of them suggest that the planned increase in government spending will reduce private spending for consumption and investment purposes significantly. If announced government expenditures are implemented with delay the initial effect on euro area GDP, when stimulus is most needed, may even be negative. Traditional Keynesian multiplier effects only arise in a model that ignores the forward-looking behavioral response of consumers and firms. Using a multi-country model, we find that spillovers between euro area countries are negligible or even negative, because direct demand effects are offset by the indirect effect of euro appreciation.