Search Results - subject:"panel var"

Monetary policy transmission and house prices : European cross-country evidence

Carstensen, Kai; Hülsewig, Oliver; Wollmershäuser, Timo - 2009

transmission of monetary policy. We use a panel VAR model which is estimated over the period 1995-2006 to generate impulse …

Persistent link: https://www.econbiz.de/10010271967

Do institutional changes affect business cycles? : evidence from Europe

Canova, Fabio; Ortega Eslava, Eva; Ciccarelli, Matteo - 2009

of European business cycles using a panel VAR and data from ten European countries - seven from the Euro area and three …

Persistent link: https://www.econbiz.de/10012530262

Price Dispersion in the Euro Area: The Case of a Symmetric Oil Price Shock

Carstensen, Kai; Hülsewig, Oliver; Wollmershäuser, Timo - CESifo - 2009

countries symmetrically. We use a panel VAR model which is estimated over the period 1996–2007 to generate impulse responses of …

Persistent link: https://www.econbiz.de/10005013058

Performance and Merton-Type Default Risk of Listed Banks in EU: a panel VAR approach

Koutsomanoli-Filippaki, Anastasia; Mamatzakis, Emmanuel - 2009

risk, based on the Black and Scholes (1973) option pricing theory. Then, we employ a Panel-VAR analysis, which allows the …

Persistent link: https://www.econbiz.de/10004990956

Risk-Factor Portfolios and Financial Stability

Garita, Gus - Volkswirtschaftliche Fakultät, … - 2009

, followed by U.S. and European banks. The panel VAR results show that monetary policy should "lean against the wind", since it …

Persistent link: https://www.econbiz.de/10008562630

Fundamentals, Financial Factors and The Dynamics of Investment in Emerging Markets

Peltonen, Tuomas A.; Sousa, Ricardo M.; Vansteenkiste, … - Núcleo de Investigação em Políticas Económicas … - 2009

The paper uses a Panel Vector Auto-Regression (PVAR) approach to analyze the shortrun adjustment of private investment to shocks to fundamental and financial factors in emerging market economies. By relying on a panel of 31 emerging economies and quarterly frequency data for the period...

Persistent link: https://www.econbiz.de/10004962200

Do institutional changes affect business cycles? Evidence from Europe

Canova, Fabio; Ciccarelli, Matteo; Ortega, Eva - Department of Economics and Business, Universitat … - 2009

of European business cycles using a panel VAR and data from ten European countries - seven from the Euro area and three …

Persistent link: https://www.econbiz.de/10004980304

Do institutional changes affect business cycles? Evidence from Europe

Canova, Fabio; Ciccarelli, Matteo; Ortega, Eva - Banco de España - 2009

of European business cycles using a panel VAR and data from ten European countries - seven from the Euro area and three …

Persistent link: https://www.econbiz.de/10004987253

What drives returns to euro area housing? Evidence from a dynamic dividend-discount model

Hiebert, Paul; Sydow, Matthias - European Central Bank - 2009

We apply a dynamic dividend-discount model to analyse unexpected housing returns in a panel of eight euro area countries which together comprise 90% of euro area GDP. The application of this model allows for a de-composition of house price movements into movements in rent (cash-flow) and...

Persistent link: https://www.econbiz.de/10005002815

Monetary Policy Transmission and House Prices: European Cross-country Evidence

Carstensen, Kai; Hülsewig, Oliver; Wollmershäuser, Timo - CESifo - 2009

transmission of monetary policy. We use a panel VAR model which is estimated over the period 1995–2006 to generate impulse …

Persistent link: https://www.econbiz.de/10005010145