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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 - 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

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 - 2016

Persistent link: https://www.econbiz.de/10011558192

Hidden Markov models in time series, with applications in economics

Kaufmann, Sylvia - 2016

Markov models introduce persistence in the mixture distribution. In time series analysis, the mixture components relate to different persistent states characterizing the state-specific time series process. Model specification is discussed in a general form. Emphasis is put on the functional form...

Persistent link: https://www.econbiz.de/10011538665

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

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

Can information heterogeneity explain the exchange rate determination puzzle?

Bacchetta, Philippe; Van Wincoop, Eric - 2003

introduce symmetric information dispersion about future fundamentals in a dynamic rational expectations model in order to …

Persistent link: https://www.econbiz.de/10011397717

Why do consumer price react less than import prices to exchange rates?

Bacchetta, Philippe; Van Wincoop, Eric - 2002

It is well-known that the extent of pass-through of exchange rate changes to consumer prices is much lower than to import prices. One explanation is local distribution costs. Here we consider an alternative, complementary, explanation based on the optimal pricing strategies of firms. We consider...

Persistent link: https://www.econbiz.de/10011397767