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Monetary policy, housing booms and financial (im)balances
Eickmeier, Sandra; Hofmann, Boris - 2010
This paper uses a factor-augmented vector autoregressive model (FAVAR) estimated on U.S. data in order to analyze monetary transmission via private sector balance sheets, credit risk spreads and asset markets in an integrated setup and to explore the role of monetary policy in the three...
Persistent link: https://www.econbiz.de/10011605224
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Testing for structural breaks in dynamic factor models
Breitung, Jörg; Eickmeier, Sandra - 2009
structural breaks in the factor loadings for the specification and estimation of factor models based on principal components and … correlated. We also apply the suggested test procedure to a US dataset used in Stock and Watson (2005) and a euro-area dataset …
Persistent link: https://www.econbiz.de/10010298752
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Monetary policy, housing booms and financial (im)balances
Eickmeier, Sandra; Hofmann, Boris - 2010
This paper uses a factor-augmented vector autoregressive model (FAVAR) estimated on U.S. data in order to analyze monetary transmission via private sector balance sheets, credit risk spreads and asset markets in an integrated setup and to explore the role of monetary policy in the three...
Persistent link: https://www.econbiz.de/10010300360
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The ESRB at 1
Remsperger, Hermann; Cecchetti, Stephen G.; Ingves, Stefan - 2012
SUERF – The European Money and Finance Forum, the Deutsche Bundesbank and the Institute for Monetary and Financial Stability (IMFS) took the opportunity of the first anniversary of this new institution to organise a joint conference in Berlin on 8-9 November 2011. The purpose of this event was...
Persistent link: https://www.econbiz.de/10011689955
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Common stationary and non-stationary factors in the euro area analyzed in a large-scale factor model
Eickmeier, Sandra - 2005
In this paper we rely on techniques recently developed by Bai and Ng (2004a) to estimate common euro-area stationary … and non-stationary factors using a large-scale dynamic factor model. We find that euro-area economies share four non …-stationary factors or trends and one stationary factor. By means of rotation techniques, we estimate a euro-area business cycle which is …
Persistent link: https://www.econbiz.de/10010295670
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How synchronized are central and east European economies with the euro area? Evidence from a structural factor model
Eickmeier, Sandra; Breitung, Jörg - 2005
A high degree of cyclical synchronization between central and east European countries (CEECs) and the euro area is … generally seen as a prerequisite for successful EMU enlargement. This paper investigates comovements between CEECs and the euro … large-scale dynamic factor model, we then identify the main structural common euro-area shocks and investigate their …
Persistent link: https://www.econbiz.de/10010295688
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Dynamic factor models
Breitung, Jörg; Eickmeier, Sandra - 2005
Factor models can cope with many variables without running into scarce degrees of freedom problems often faced in a regression-based analysis. In this article we review recent work on dynamic factor models that have become popular in macroeconomic policy analysis and forecasting. By means of an...
Persistent link: https://www.econbiz.de/10010295783
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Comovements and heterogeneity in the Comovements and heterogeneity in the dynamic factor model
Eickmeier, Sandra - 2006
This paper seeks to assess comovements and heterogeneity in the euro area by fitting a nonstationary dynamic factor … model (Bai and Ng, 2004), augmented with a structural factor setup (Forni and Reichlin, 1998), to a large set of euro … countries in more detail, we identify five structural common shocks, namely two euro-area supply shocks, one euro-area demand …
Persistent link: https://www.econbiz.de/10010295820
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Macroeconomic fluctuations and bank lending: evidence for Germany and the euro area
Eickmeier, Sandra; Hofmann, Boris; Worms, Andreas - 2006
monetary policy shocks in Germany and the euro area. The results suggest that the dynamic responses in the two areas are …
Persistent link: https://www.econbiz.de/10010295823
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Analyse der Übertragung US-amerikanischer Schocks auf Deutschland auf Basis eines FAVAR
Eickmeier, Sandra - 2009
globalen Finanzkrise besonders stark negativ betroffen waren. Mittels einer historischen Zerlegung wird schließlich der Beitrag …
Persistent link: https://www.econbiz.de/10010299849