Florian Verheyen

Bilateral Exports from Euro Zone Countries to the US - Does Exchange Rate Variability Play a Role?

The financial crisis and the debt crisis in Europe lead to pronounced swings of the

Interest Rate Pass-Through in the EMU: New Evidence from Nonlinear Cointegration Techniques for Fully Harmonized Data

/€-exchange rate. The influence of this exchange rate uncertainty on exports is neither theoretically nor empirically unambiguous. Therefore, this investigation tries to find out what effect exchange rate volatility has got on exports from eleven euro zone countries to the US. Our results suggest that if exchange rate volatility exerts a significant influence on exports, it is typically negative. Furthermore, exports of SITC categories 6 and 7 seem to be affected negatively most often.

Monetary Policy, Commodity Prices and Infl ation – Empirical Evidence from the US

This study puts the monetary transmission process in the eurozone between 2003 and 2011 under closer scrutiny. For this purpose, we investigate the interest rate pass-through from money market to various loan rates for up to twelve countries of the European Monetary Union. Applying different cointegration techniques, we first test for a long-run relationship between loan rates and the Euro OverNight Index Average (EONIA). Based on these findings, we allow for different nonlinear patterns for short-run dynamics of loan rates. Our investigation contributes to the literature in mainly two ways. On the one hand, we use fully harmonized data stemming from the ECBs MFI interest rate statistics. In addition, we consider smooth transition models as an extension of conventional threshold models. Our results point to considerable differences in the size of the pass-through with respect to either different loan rates or countries. In the majority of cases, the pass-through is incomplete and the dynamics of loans adjustment are different for reductions and hikes of money market rates.

The European Central Bank and the Financing Conditions of Small and Medium-Sized Enterprises in Europe

The past years were characterized by unprecedented rises in prices of commodities such as oil or wheat and inflation rates moved up above the mark of two percent per annum. This led to a revival of the debate whether commodity prices indicate future CPI inflation and if they can be used as indicator variables for central banks or not. We apply various econometric methods like Granger causality tests and SVAR models to US data. The results corroborate the notion that there was a strong link between commodity prices and CPI inflation in the 1970s and the beginning of the 1980s. For a more recent sample, the relationship has weakened, respectively diminished.

Exchange Rate Pass-Through into German Import Prices – A Disaggregated Perspective

Small and medium-sized enterprises (SMEs) play a crucial role in innovation, economic growth and job creation. Generally, SMEs face special problems when trying to access funding. Their situation is further complicated by the European economic crisis and a fragmentation of financial markets in the euro area. Funding conditions differ between the countries of the euro area. Claims have emerged that the ECB should more explicitly address the financing problems of SMEs. In this contribution we provide an overview of the current situation of SMEs and evaluate whether it should be the central bank that helps to overcome their funding difficulties.

F. Die Wirtschafts- und Währungsunion als europäische Antwort auf die Finanzkrise – Herausforderungen für die Eurozone

This study analyses the exchange rate pass-through into German import prices based on disaggregated data taken on a monthly basis between 1995 and 2012. Our main contribution is twofold: firstly, we employ various time-series techniques to analyse data for different product categories, and also cointegration techniques to carefully distinguish between short-run and long-run pass-through coefficients. Secondly, in a panel data approach we estimate time-varying pass-through coefficients and explain their development with regard to various macroeconomic factors. Our results show that long-run pass-through is only partly observable and incomplete, whereas short-run pass-through shows a more unique character, although heterogeneity across product groups does exist. We are also able to identify several macroeconomic factors that determine changes in the degree of pass-through, which is especially relevant for policymakers.

Exchange rate nonlinearities in EMU exports to the US

Die Weltwirtschaft sieht sich in den vergangenen Jahren immer wieder neuen und zum Teil besorgniserregenden Entwicklungen gegenuber und nicht zuletzt durch die Finanzkrise wird sie mit gewaltigen Problemen konfrontiert. Allerdings ist die Finanzkrise bei weitem nicht der einzige Schauplatz, der eine etwas grundlichere Betrachtung verdient. Entsprechend versucht dieser Beitrag, einen Uberblick uber einige momentan drangende makrookonomische Fragestellungen zu liefern und bietet Losungen an.