This paper presents a new approach for analysing the recent development of EMU sovereign bond spreads. Based on a GARCH-in-mean model originally used in the exchange rate target zone literature, spreads are decomposed into a risk premium, an expected loss component and a liquidity premium....

Measuring and displaying uncertainty around path-forecasts, i.e. forecasts made in period T about the expected trajectory of a random variable in periods T+1 to T+H is a key ingredient for decision making under uncertainty. The probabilistic assessment about the set of possible trajectories that...

Multi-step-ahead forecasts of forecast uncertainty in practice are often based on the horizon-specific sample means of recent squared forecast errors, where the number of available past forecast errors decreases one-to-one with the forecast horizon. In this paper, the efficiency gains from the...

Recently, several institutions have increased their forecast horizons, and many institutions rely on their past forecast errors to estimate measures of forecast uncertainty. This work addresses the question how the latter estimation can be accomplished if there are only very few errors available...

This paper examines the consequences of using "real-time" data for business cycle analysis in Germany based on a novel data set covering quarterly real output data from 1968 to 2001. Real-time output gaps are calculated. They differ considerably from their counterparts based on the most recent...

We investigate whether frictions in US financial markets amplify the international propagation of US financial shocks. The dynamics of the US economy is modeled jointly with global macroeconomic and financial variables using a threshold vector autoregression that allows us to capture...

Recent work on policy rules under uncertainty have highlighted the impact of output gap measurement errors on economic outcomes and their importance in the formulation of appropriate policy rules. This paper investigates the reliability of current estimates of the output gap in Canada. We begin...

The paper presents empirical work on short-run and long-run comovement between the German, French and Italian aggregates of private consumption, business investment, exports, imports, GDP, and changes in inventories. In country-specific data sets, cointegration analyses are carried out both to...

This paper analyzes the evolution of the degree of global cyclical interdependence over the period 1960-2005. We categorize the 106 countries in our sample into three groups: industrial countries, emerging markets, and other developing economies. Using a dynamic factor model, we then decompose...

A healthy banking system is a fundamental condition for financial stability. When assessing the riskiness of the banking system, analysts often restrict their focus to large banks. This may create a distorted picture in countries like Germany with fragmented banking systems. In Germany, savings...