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Uncovered interest parity at distant horizons: evidence on emerging economies & nonlinearities

Mehl, Arnaud; Cappiello, Lorenzo - 2007

This paper tests for uncovered interest parity (UIP) at distant horizons for the US and its main trading partners, including both mature and emerging market economies, also exploring the existence of nonlinearities. At long and medium horizons, it finds support in favour of the standard, linear,...

Persistent link: https://www.econbiz.de/10011604847

Estimating the financial crisis’ impact on potential output

Benati, Luca - In: Economics letters 114 (2012) 1, pp. 113-119

Persistent link: https://www.econbiz.de/10009517267

Has US Household Deleveraging Ended? A Model-Based Estimate of Equilibrium Debt

Albuquerque, Bruno - 2014

The balance sheet adjustment in the household sector was a prominent feature of the Great Recession that is widely believed to have held back the cyclical recovery of the US economy. A key question for the US outlook is therefore whether household deleveraging has ended or whether further...

Persistent link: https://www.econbiz.de/10013058652

Debt Overhang and Deleveraging in the US Household Sector : Gauging the Impact on Consumption

Albuquerque, Bruno - 2015

Using a novel dataset for the US states, this paper examines whether household debt and the protracted debt deleveraging help explain the dismal performance of US consumption since 2007 in the aftermath of the housing bubble. By separating the concepts of deleveraging and debt overhang -- a flow...

Persistent link: https://www.econbiz.de/10013016939

The impact of the euro on equity markets: a country and sector decomposition

Cappiello, Lorenzo; Kadareja, Arjan; Manganelli, Simone - 2008

This paper investigates whether comovements between euro area equity returns at national and industry level have … changed after the introduction of the euro. By adopting a regression quantile-based methodology, we find that after 1999 the … degree of comovements among euro area national equity markets has augmented. By explicitly controlling for the impact of …

Persistent link: https://www.econbiz.de/10011604952

Joint estimation of the natural rate of interest, the natural rate of unemployment, expected inflation, and potential output

Benati, Luca; Vitale, Giovanni - 2007

output for the Euro area, the United States, Sweden, Australia, and the United Kingdom. Particular attention is paid to time … United States, and especially for the Euro area, and smaller for Australia and the United Kingdom. Overall, natural rate …

Persistent link: https://www.econbiz.de/10011604843