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Javier Huerga

22 September 2008
WORKING PAPER SERIES - No. 939
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Abstract
This paper uses index number theory to disentangle changes in aggregate retail interest rates due to changes in individual component rates ("interest rate effect") from those caused by changes in the weights of each component ("weight effect"), on the basis of the "difference" index numbers recently revisited by Diewert (2005). The paper, first discusses the optimal calculation of a binary index using axiomatic index number theory; on that basis, chain and direct indices are established; finally, the selected decomposition and indices are applied to monthly data on euro area interest rates on loans and deposits (MIR) for the period January 2003 - January 2008. It is concluded that relevant weight effects at euro area level are limited to a few indicators and periods of MIR, and that that the indices on interest rates can be a suitable tool in the analysis of variations in aggregate interest rates.
JEL Code
C43 : Mathematical and Quantitative Methods→Econometric and Statistical Methods: Special Topics→Index Numbers and Aggregation
E43 : Macroeconomics and Monetary Economics→Money and Interest Rates→Interest Rates: Determination, Term Structure, and Effects
30 September 2013
STATISTICS PAPER SERIES - No. 3
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Abstract
Traditional literature on sampling techniques focuses mainly on statistical samples and covers non-random (non-statistical) samples only marginally. Nevertheless, there has been a recent revival of interest in non-statistical samples, given their widespread use in certain fields like government surveys and marketing research, or for audit purposes. This paper attempts to set up common rules for non-statistical samples in which only data on the largest institutions within each stratum are collected. This is done by focusing on the statistics compiled by the European System of Central Banks (ESCB) on the interest rates of monetary financial institutions (MFIs) in countries of the European Union. The paper concludes by proposing a way of establishing common rules for non-statistical samples based on a synthetic measurement of a mean of absolute errors.
JEL Code
C42 : Mathematical and Quantitative Methods→Econometric and Statistical Methods: Special Topics→Survey Methods
E43 : Macroeconomics and Monetary Economics→Money and Interest Rates→Interest Rates: Determination, Term Structure, and Effects
Annexes
2 December 2013
ANNEX