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Restrictions on Risk Prices in Dynamic Term Structure Models
Bauer, Michael D. - CESifo - 2015
Restrictions on the risk-pricing in dynamic term structure models (DTSMs) can unleash the power of no-arbitrage by creating a tighter link between cross-sectional and time-series variation of interest rates. This paper presents a new econometric framework for estimation of affine Gaussian DTSMs...
Persistent link: https://www.econbiz.de/10011200050
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The Great Mortgaging: Housing Finance, Crises, and Business Cycles
Jordà, Òscar; Schularick, Moritz; Taylor, Alan M. - CESifo - 2014
This paper unveils a new resource for macroeconomic research: a long-run dataset covering disaggregated bank credit for …
Persistent link: https://www.econbiz.de/10010948836
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Rating Assignments: Lessons from International Banks
Caporale, Guglielmo Maria; Matousek, Roman; Stewart, Chris - CESifo - 2009
This paper estimates ordered logit and probit regression models for bank ratings which also include a country index to … bank ratings assigned by Fitch Ratings are underpinned by fundamental quantitative financial analyses. Also, there is … strong evidence of a country effect. Our model is shown to provide accurate predictions of bank ratings for the period prior …
Persistent link: https://www.econbiz.de/10005000371
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EU Banks Rating Assignments: Is there Heterogeneity between New and Old Member Countries?
Caporale, Guglielmo Maria; Matousek, Roman; Stewart, Chris - CESifo - 2010
We model EU countries’ bank ratings using financial variables and allowing for intercept and slope heterogeneity. Our …
Persistent link: https://www.econbiz.de/10008583666
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Housing Market Dynamics: On the Contribution of Income Shocks and Credit Constraints
Rady, Sven; Ortalo-Magné, François - CESifo - 2001
This paper presents a dynamic theory of housing market fluctuations. It develops a life-cycle model where households are heterogeneous with respect to income and preferences, and mortgage lending is restricted by a down-payment requirement. The market interaction of young credit-constrained...
Persistent link: https://www.econbiz.de/10005766302
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Point and Density Forecasts for the Euro Area Using Bayesian VARs
Berg, Tim Oliver; Henzel, Steffen - CESifo - 2014
Recent articles suggest that a Bayesian vector autoregression (BVAR) with shrinkage is a good forecast device even when the number of variables is large. In this paper we evaluate different variants of the BVAR with respect to their forecast accuracy for euro area real GDP growth and HICP...
Persistent link: https://www.econbiz.de/10010877728
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Forecasting GDP at the Regional Level with Many Predictors
Lehmann, Robert; Wohlrabe, Klaus - CESifo - 2012
In this paper, we assess the accuracy of macroeconomic forecasts at the regional level using a unique data set at quarterly frequency. We forecast gross domestic product (GDP) for two German states (Free State of Saxony and Baden-Württemberg) and Eastern Germany. We overcome the problem of a...
Persistent link: https://www.econbiz.de/10010877940
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Sovereigns versus Banks: Credit, Crises, and Consequences
Jordà, Òscar; Schularick, Moritz; Taylor, Alan M. - CESifo - 2013
Two separate narratives have emerged in the wake of the Global Financial Crisis. One interpretation speaks of private financial excess and the key role of the banking system in leveraging and deleveraging the economy. The other emphasizes the public sector balance sheet over the private and...
Persistent link: https://www.econbiz.de/10010877944
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Nowcasting Regional GDP: The Case of the Free State of Saxony
Henzel, Steffen; Lehmann, Robert; Wohlrabe, Klaus - CESifo - 2015
We tackle the nowcasting problem at the regional level using a large set of indicators (regional, national and international) for the years 1998 to 2013. We explicitly use the ragged-edge data structure and consider the different information sets faced by a regional forecaster within each...
Persistent link: https://www.econbiz.de/10011273092
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Did US Consumers 'Save for a Rainy Day' Before the Great Recession?
Anundsen, André Kallåk; Nymoen, Ragnar - CESifo - 2015
The ‘saving for a rainy day’ hypothesis implies that households’ saving decisions reflect that they can (rationally) predict future income declines. The empirical relevance of this hypothesis plays a key role in discussions of fiscal policy multipliers and it holds under the null that the...
Persistent link: https://www.econbiz.de/10011278934