Showing 1 - 10 of 96
This paper deals with the usefulness of several measures of financial spreads (the slope of the yield curve, the reverse yield gap, the credit quality spread) for fore-casting real economic activity and inflation in the euro area. A quarterly Bayesian vector autoregression model is used to...
Persistent link: https://www.econbiz.de/10005111558
This paper proposes a Bayesian regression model with time-varying coefficients (TVC) that makes it possible to estimate jointly the degree of instability and the time-path of regression coefficients. Thanks to its computational tractability, the model proves suitable to perform the first (to our...
Persistent link: https://www.econbiz.de/10009386395
In this paper, we exploit the heterogeneity in the forecasts obtained by estimating different factor models to measure forecast uncertainty. Our approach is simple and intuitive. It consists first in selecting all the models that outperform some benchmark model, and then in constructing an...
Persistent link: https://www.econbiz.de/10011099661
This paper analyzes the relationship between commodity prices and consumer food prices in the euro area and in its largest economies (Germany, France and Italy) and tests whether the latter respond asymmetrically to shocks to the former. The issue is of particular interest for those monetary...
Persistent link: https://www.econbiz.de/10011099718
a comprehensive and relatively straightforward theory for the asymptotic distribution of the maximum likelihood … estimator. The model is fitted to US macroeconomic time series and compared with Gaussian and Student-t models. A theory is then …
Persistent link: https://www.econbiz.de/10011099629
and their form facilitates the development of a comprehensive and relatively straightforward theory for the asymptotic …
Persistent link: https://www.econbiz.de/10011099719
Value Theory in representing the highest percentiles of the data sets: the exercise shows that the extreme value model, in …
Persistent link: https://www.econbiz.de/10005467320
We assess the impact of oil shocks on euro-area macroeconomic variables by estimating a new-Keynesian small open economy model with Bayesian methods. Oil price is determined according to supply and demand conditions in the world oil market. We find that the impact of an increase in the price of...
Persistent link: https://www.econbiz.de/10011099725
A two-country model that incorporates many features proposed in the New Open Economy Macroeconomics literature is developed in order to replicate the volatility of the real exchange rate and its disconnect with macroeconomic variables. The model is estimated using data for the euro area and the...
Persistent link: https://www.econbiz.de/10005113550
This paper investigates how bank profitability is affected by corporate income tax (CIT) using aggregate data on the banking sector of the main industrialized countries for the period 1981-2003. Two main novelties emerge with respect to the existing literature. First, the paper explicitly...
Persistent link: https://www.econbiz.de/10005467296