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Gradual portfolio adjustment : implications for global equity portfolios and returns
Bacchetta, Philippe; Van Wincoop, Eric - 2017
Modern open economy macro models assume the continuous adjustment of international portfolio allocation. We introduce gradual portfolio adjustment into a global equity market model. Our approach differs from related literature in two key dimensions. First, the time interval between portfolio...
Persistent link: https://www.econbiz.de/10011761264
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Changing dynamics at the zero lower bound
Bäurle, Gregor; Kaufmann, Daniel; Kaufmann, Sylvia; … - 2016
The interaction of macroeconomic variables may change as the nominal shortterm interest rates approaches zero. In this paper, we propose an empirical model capturing these changing dynamics with a time-varying parameter vector autoregressive process. State-dependent parameters are determined by...
Persistent link: https://www.econbiz.de/10011440078
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Factor augmented VAR revisited : a sparse dynamic factor model approach
Beyeler, Simon; Kaufmann, Sylvia - 2016
We combine the factor augmented VAR framework with recently developed estimation and identification procedures for sparse dynamic factor models. Working with a sparse hierarchical prior distribution allows us to discriminate between zero and non-zero factor loadings. The non-zero loadings...
Persistent link: https://www.econbiz.de/10011558192
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K-state switching models with time-varying transition distributions : does credit growth signal stronger effects of variables on inflation?
Kaufmann, Sylvia - 2014
Two Bayesian sampling schemes are outlined to estimate a K-state Markov switching model with time-varying transition probabilities. Data augmentation for the multinomial logit model of the transition probabilities is alternatively based on a random utility and a difference in random utility...
Persistent link: https://www.econbiz.de/10010493611
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Bank lending in Switzerland: capturing crosssectional heterogeneity and asymmetry over time
Beutler, Toni; Gubler, Matthias; Hauri, Simona; … - 2020
We study the bank lending channel in Switzerland over three decades using unbalanced quarterly bank-individual data spanning 1987 to 2016. In contrast to the usual empirical approach, we take an agnostic stance on which bank characteristic drives the heterogenous lending response to interest...
Persistent link: https://www.econbiz.de/10012264674
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Factor augmented VAR revisited : a sparse dynamic factor model approach
Beyeler, Simon; Kaufmann, Sylvia - 2018
We combine the factor augmented VAR framework with recently developed estimation and identification procedures for sparse dynamic factor models. Working with a sparse hierarchical prior distribution allows us to discriminate between zero and non-zero factor loadings. The non-zero loadings...
Persistent link: https://www.econbiz.de/10012039045
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Self-fulfilling risk panics
Bacchetta, Philippe; Tille, Cédric; Van Wincoop, Eric - 2010
Recent crises have seen very large spikes in asset price risk without dramatic shifts in fundamentals. We propose an explanation for these risk panics based on self-fulfilling shifts in risk made possible by a negative link between the current asset price and risk about the future asset price....
Persistent link: https://www.econbiz.de/10008797071
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Regulating asset price risk
Bacchetta, Philippe; Tille, Cédric; Van Wincoop, Eric - 2011
There has been a long debate about whether speculators are stabilizing or not. We consider a model where speculators have a stabilizing role in normal times, but may also provoke large risk panics. The very feature that makes arbitrageurs liquidity providers in normal times, namely their...
Persistent link: https://www.econbiz.de/10009009577
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Aggregate investment externalities and macroprudential regulation
Gersbach, Hans; Rochet, Jean-Charles - 2012
Evidence suggests that banks tend to lend a lot during booms, and very little during recessions. We propose a simple explanation for this phenomenon. We show that, instead of dampening productivity shocks, the banking sector tends to exacerbate them, leading to excessive fluctuations of credit,...
Persistent link: https://www.econbiz.de/10009558435
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Incomplete information processing : a solution to the forward discount puzzle
Bacchetta, Philippe; Van Wincoop, Eric - 2005
managed, we investigate to what extent incomplete information processing can explain this puzzle. Two types of incompleteness … are considered: infrequent and partial information processing. We calibrate a two-country general equilibrium model to the … data and show that incomplete information processing can fully match the empirical evidence. It can also account for …
Persistent link: https://www.econbiz.de/10011397256