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The relationship between monetary indicators and inflation is ussually assumed
to be linear, implying that looser monetary conditions always signal an increase
in inflation. Recently, money growth in the euro area surged while
inflation remained comparatively subdued. This seems at variance with linearity.
At the same time, stock market uncertainty peaked,
suggesting that part of the money growth resulted from portfolio adjustment and was
hence non-inflationary. We employ a threshold regression model to verify the
claim that the impact of monetary indicators on future inflation varies conditional
on stock price volatility. We show that there is limited evidence to
support this claim. On the other hand, our results indicate
that stock market data may contain useful information regarding future inflation.

International audience ; This paper investigates whether there has been a structural increase in financial market integration in nine European countries and the US in the period 1980-2003. We employ a GARCH model with a smoothly time-varying correlation to estimate the date of change and the speed of the transition between the low and high correlation regimes. Our test produces strong evidence of greater comovement across the board for both stock markets and government bond markets. Dates of change and speeds of adjustment vary widely across country linkages. Stock market integration is a more gradual process than bond market integration. The impact of European monetary union (EMU) is rather limited, as it has mainly affected the timing of bond market correlation gains (but hardly their size) and has had little discernible effect on stock market integration.

This paper investigates whether there has been a structural increase in financial market integration in nine European countries and the US in the period 1980-2003. We employ a GARCH model with a smoothly time-varying correlation to estimate the date of change and the speed of the transition between the low and high correlation regimes. Our test produces strong evidence of greater comovement across the board for both stock markets and government bond markets. Dates of change and speeds of adjustment vary widely across country linkages. Stock market integration is a more gradual process than bond market integration. The impact of European monetary union (EMU) is rather limited, as it has mainly affected the timing of bond market correlation gains (but hardly their size) and has had little discernible effect on stock market integration.