Showing 1 - 10 of 21
This paper presents the update of the macroeconometric model used at the Bank of Spain for medium term macroeconomic forecasting, as well as for performing policy simulations. The many changes that the Spanish economy has experimented in the last years, and the new system of national accounts...
Persistent link: https://www.econbiz.de/10005022277
This paper aims at analysing the impact of household borrowing on consumption. These variables are modelled jointly in a Vector Error Correction Model (VECM) where labour income, wealth variables and nominal interest rates are also included. The main estimation result is that deviations of...
Persistent link: https://www.econbiz.de/10005155270
We study the cyclical fluctuations of leverage and assets of financial intermediaries and GDP in the United States. Leverage and assets are several times more volatile than GDP, and experience larger fluctuations for unregulated (‘shadow’) intermediaries than for regulated ones. While the...
Persistent link: https://www.econbiz.de/10010678686
Modern DSGE models are microfounded and have deep parameters that should be invariant to changes in economic policy, so in principle they are not subject to the Lucas critique. But the literature has already established that misspecification issues also cause parameter instability after policy...
Persistent link: https://www.econbiz.de/10010862249
During the last crisis, developed economies’ sovereign Credit Default Swap (hereafter CDS) premia have gained in importance as a tool for approximating credit risk. In this paper, we fit a dynamic factor model to decompose the sovereign CDS spreads of ten OECD economies into three components:...
Persistent link: https://www.econbiz.de/10010862250
For reasons of empirical tractability, analysis of cointegrated economic time series is often developed in a partial setting, in which a subset of variables is explictly modeled conditional on the rest. This approach yields valid inference only if the conditioning variables are weakly exogenous...
Persistent link: https://www.econbiz.de/10010862255
Realized volatilities, when observed over time, share the following stylised facts: comovements, clustering, long-memory, dynamic volatility, skewness and heavy-tails. We propose a dynamic factor model that captures these stylised facts and that can be applied to vast panels of volatilities as...
Persistent link: https://www.econbiz.de/10010862270
This paper investigates the identification and dating of the European business cycle, using different methods. We concentrate on methods and statistical series that provides timely and accurate information about the contemporaneous state of the economy in order to provide the reader with a...
Persistent link: https://www.econbiz.de/10005022250
In this paper we estimate a standard version of the New Keynesian Monetary (NKM) model augmented with term structure in order to analyze two issues. First, we analyze the effect of introducing an explicit term structure channel in the NKM model on the estimated parameter values of the model,...
Persistent link: https://www.econbiz.de/10005155259
The time aggregation properties of the Hodrick-Prescott (HP) filter to decompose a time series into trend and cycle are analized for the case of annual, quarterly, and monthly data. It is seen that aggregation of the disagreggate component estimators cannot be obtained as the exact result from...
Persistent link: https://www.econbiz.de/10005155301