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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

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

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

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

Factor augmented VAR revisited : a sparse dynamic factor model approach

Beyeler, Simon; Kaufmann, Sylvia - 2018

Persistent link: https://www.econbiz.de/10012039045

Fiscal federalism, taxation and grants

Gonzalez-Eiras, Martín; Niepelt, Dirk - 2016

We propose a theory of tax centralization and inter governmental grants in politico-economic equilibrium. The cost of taxation differs across levels of government because voters internalize general equilibrium effects at the central but not at the local level. This renders the degree of tax...

Persistent link: https://www.econbiz.de/10011523838

Debt maturity without commitment

Niepelt, Dirk - 2008

I analyze how lack of commitment affects the maturity structure of sovereign debt. Governments balance benefits of default induced redistribution and costs due to income losses in the wake of a default. Their choice of short- versus long- term debt affects default and rollover decisions by...

Persistent link: https://www.econbiz.de/10003882305

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

Timing tax evasion

Niepelt, Dirk - 2004

Standard models of tax evasion implicitly assume that evasion is either fully detected, or not detected at all. Empirically, this is not the case, casting into doubt the traditional rationales for interior evasion choices. I propose two alternative, dynamic explanations for interior tax evasion...

Persistent link: https://www.econbiz.de/10011397272

A scapegoat model of exchange rate fluctuations

Bacchetta, Philippe; Van Wincoop, Eric - 2004

of the exchange rate with noisy rational expectations, where investors have heterogeneous information on some structural …

Persistent link: https://www.econbiz.de/10011397704