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Money and the natural rate of interest: structural estimates for the United States and the euro area

Andrés, Javier; López-Salido, David; Nelson, Edward - Banco de España - 2008

We examine the role of money in three environments: the New Keynesian model with separable utility and static money …. The last two variants imply forward-looking behavior of real money balances, with forecasts of future interest rates … estimates confirm the forward-looking character of money demand. A consequence is that real money balances are valuable in …

Persistent link: https://www.econbiz.de/10005022226

Mergers and Acquisitions in the Spanish Banking Industry: some Empirical Evidence.

Fuentes, Ignacio; Sastre, Teresa - Banco de España - 1999

Since the late eighties, the Spanish banking system has been undergoing major changes that have affected both its structure and the nature of strategic interaction among banking institutions. Various different strategies have been adopted to tackle the demands of this new operating environment,...

Persistent link: https://www.econbiz.de/10005022295

Credit Institutions' Price Policies and Type of Customer: Impact on the Money Transmission Mechanism.

Frías, M. Cruz Manzano; Belmonte, Sofía Galmés - Banco de España - 1996

This paper forms part of the research on the transmission of monetary policy via the interest rates of Spanish banks and savings banks, analysed from a disaggregated perspective. In this respect, it considers structural factors that cannot be taken into account in more aggregated studies, as for...

Persistent link: https://www.econbiz.de/10005155225

Weighted Monetary Aggregates: An Empirical Approach.

Alonso, Francisco; Pagés, Jorge Martínez; Jurado, … - Banco de España - 1996

This paper falls under the literature on weighted monetary aggregates that seeks to relax the assumption of perfect substitutability of assets implicit in the use of traditional monetary aggregates. Specifically, using the methodology recently proposed by Feldstein and Stock, an estimation is...

Persistent link: https://www.econbiz.de/10005155287

Devaluations and Depreciation Expectations in the E.M.S.

Ayuso, Juan; Jurado, María Pérez - Banco de España - 1995

Persistent link: https://www.econbiz.de/10005590659

Are there Economies of Scale in the Demand for Money by Firms? some Panel Data Estimates

Bover, Olympia; Watson, Nadine - Banco de España - 2000

The purpose of this paper is to estimate elasticities of scale in the demand for money by firms using firm level panel …

Persistent link: https://www.econbiz.de/10005590720

Finite sample performance of small versus large scale dynamic factor models

Alvarez, Rocio; Camacho, Maximo; Perez-Quiros, Gabriel - Banco de España - 2012

We examine the finite-sample performance of small versus large scale dynamic factor models. Our Monte Carlo analysis reveals that small scale factor models out-perform large scale models in factor estimation and forecasting for high levels of cross-correlation across the idiosyncratic errors of...

Persistent link: https://www.econbiz.de/10010862254

Meeting our D€STINY. A Disaggregated €uro area Short Term INdicator model to forecast GDP (Y) growth

Burriel, Pablo; García-Belmonte, María Isabel - Banco de España - 2013

In this paper we propose a new real-time forecasting model for euro area GDP growth, D€STINY, which attempts to bridge the existing gap in the literature between large- and small-scale dynamic factor models. By adopting a disaggregated modelling approach, D€STINY uses most of the information...

Persistent link: https://www.econbiz.de/10010862260

The failure to predict the Great Recession. The failure of academic economics? A view focusing on the role of credit

Rivas, Maria Dolores Gadea; Perez-Quiros, Gabriel - Banco de España - 2012

Much has been written about why economists failed to predict the latest financial and real crisis. Reading the recent literature, it seems that the crisis was so obvious that economists must have been blind when looking at data not to see it coming. In this paper, we analyze whether such claims...

Persistent link: https://www.econbiz.de/10010862273

Extracting non-linear signals from several economic indicators

Camacho, Maximo; Perez-Quiros, Gabriel; Poncela, Pilar - Banco de España - 2012

We develop a twofold analysis of how the information provided by several economic indicators can be used in Markov-switching dynamic factor models to identify the business cycle turning points. First, we compare the performance of a fully non-linear multivariate specification (one-step approach)...

Persistent link: https://www.econbiz.de/10010862279