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The EAGLE: a model for policy analysis of macroeconomic interdependence in the euro area
Gomes, Sandra; Jacquinot, Pascal; Pisani, Massimiliano - 2010
Building on the New Area Wide Model, we develop a 4-region macroeconomic model of the euro area and the world economy. The model (EAGLE, Euro Area and Global Economy model) is microfounded and designed for conducting quantitative policy analysis of macroeconomic interdependence across regions...
Persistent link: https://www.econbiz.de/10003973335
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Financial drivers of the euro area business cycle : a DSGE-based approach
Hirschbühl, Dominik; Krustev, Georgi; Stoevsky, Grigor - 2020
We estimate a modified version of the "Financial Business Cycles" model originally developed by Iacoviello (2015) in order to investigate the role played by financial factors in driving the business cycle in the euro area. In the model, financial shocks such as borrower defaults, collateral...
Persistent link: https://www.econbiz.de/10012299080
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Money, credit, monetary policy and the business cycle in the euro area : what has changed since the crisis?
Giannone, Domenico; Lenza, Michele; Reichlin, Lucrezia - 2019
This paper studies the relationship between the business cycle and financial intermediation in the euro area. We establish stylized facts and study their stability during the global financial crisis and the European sovereign debt crisis. Long-term interest rates have been exceptionally high and...
Persistent link: https://www.econbiz.de/10011959310
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Determinants of inflation and price level differentials across the euro area countries
Andersson, Malin; Masuch, Klaus; Schiffbauer, Marc - 2009
This paper analyses the determinants of inflation differentials and price levels across the euro area countries …. Dynamic panel estimations for the period 1999-2006 show that inflation differentials are primarily determined by cyclical … positions and inflation persistence. The persistence in inflation differentials appears to be partly explained by administered …
Persistent link: https://www.econbiz.de/10003969278
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Endogenous TFP, business cycle persistence and the productivity slowdown in the euro area
Schmöller, Michaela; Spitzer, Martin - 2020
This paper analyses the endogeneity of euro area total factor productivity and its role in business cycle amplification by estimating a medium-scale DSGE model with endogenous productivity mechanism on euro area data. In this framework, total factor productivity evolves endogenously as a...
Persistent link: https://www.econbiz.de/10012212852
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Comparing shocks and frictions in US and Euro area business cycles : a Bayesian DSGE approach
Smets, Frank (contributor); Wouters, Rafael (contributor) - 2004
Persistent link: https://www.econbiz.de/10002554857
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Countercyclical capital regulation in a small open economy DSGE model
Lozej, Matija; Onorante, Luca; Rannenberg, Ansgar - 2018
We examine, conditional on structural shocks, the macroeconomic performance of different countercyclical capital buffer (CCyB) rules in small open economy estimated medium scale DSGE. We find that rules based on the credit gap create a trade-off between the stabilization of fluctuations...
Persistent link: https://www.econbiz.de/10011820128
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On the sources of business cycles : implications for DSGE models
Andrle, Michal; Brůha, Jan; Solmaz, Serhat - 2017
fluctuations a re d riven b y o ne major factor. The positive co-movement of real output and inflation convincingly argues for a …
Persistent link: https://www.econbiz.de/10011647948
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Predicting recession probabilities with financial variables over multiple horizons
Fornari, Fabio; Lemke, Wolfgang - 2010
We forecast recession probabilities for the United States, Germany and Japan. The predictions are based on the widely … reached for the United States, the ProbVAR forecasts are slightly worse for Germany, but considerably inferior for Japan …
Persistent link: https://www.econbiz.de/10008688529
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Nowcasting with large Bayesian vector autoregressions
Cimadomo, Jacopo; Giannone, Domenico; Lenza, Michele; … - 2020
Monitoring economic conditions in real time, or nowcasting, is among the key tasks routinely performed by economists. Nowcasting entails some key challenges, which also characterise modern Big Data analytics, often referred to as the three "Vs": the large number of time series continuously...
Persistent link: https://www.econbiz.de/10012259379