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Economic Policy Uncertainty in the Euro Area : An Unsupervised Machine Learning Approach

Azqueta-Gavaldon, Andres - 2020

We model economic policy uncertainty (EPU) in the four largest euro area countries by applying machine learning techniques to news articles. The unsupervised machine learning algorithm used makes it possible to retrieve the individual components of overall EPU endogenously for a wide range of...

Persistent link: https://www.econbiz.de/10012844456

Supply, demand and monetary policy shocks in a multi-country New Keynesian Model

Dées, Stéphane; Pesaran, Hashem; Smith, Vanessa; … - 2010

This paper estimates and solves a multi-country version of the standard DSGE New Keynesian (NK) model. The country-specific models include a Phillips curve determining inflation, an IS curve determining output, a Taylor Rule determining interest rates, and a real effective exchange rate...

Persistent link: https://www.econbiz.de/10011605285

The ECB's New Multi-Country Model for the Euro Area : NMCM - With Boundedly Rational Learning Expectations

Dieppe, Alistair - 2011

Rational expectations has been the dominant way to model expectations, but the literature has quickly moved to a more realistic assumption of boundedly rational learning where agents are assumed to use only a limited set of information to form their expectations. A standard assumption is that...

Persistent link: https://www.econbiz.de/10013128293

Supply, Demand and Monetary Policy Shocks in a Multi-Country New Keynesian Model

Dees, Stephane; Pesaran, M. Hashem; Smith, L. Vanessa; … - 2021

Persistent link: https://www.econbiz.de/10013316169

On time series modeling of Nigeria's external reserves

Doguwa, Sani I.; Alade, Sarah O. - In: CBN journal of applied statistics 6 (2015) 1, pp. 1-28

This paper proposes three short-term forecasting models for the adjusted external reserves using the seasonal …-out-of-sample forecasting procedure over July 2013 to May 2014. The results show that SARIMA model outperformed the other models in three to six … months forecast horizon, whereas ARDL model performs better in one to two months forecast horizon. Therefore, in forecasting …

Persistent link: https://www.econbiz.de/10011473622

Interbank Loans, Collateral and Modern Monetary Policy

Wolski, Marcin - 2016

This study develops a novel agent-based model of the interbank market with endogenous credit risk formation mechanisms. We allow banks to exchange funds through unsecured and secured transactions in order to facilitate the flow of funds to the most pro table investment projects. Our model...

Persistent link: https://www.econbiz.de/10012983086

Investigating chaos in the Nigerian Asset and Resource Management (ARM) discovery fund

Fuwape, Ibiyinka A.; Ogunjo, Samuel T. - In: CBN journal of applied statistics 4 (2013) 2, pp. 129-140

This paper investigates chaos in a Nigerian mutual fund, Asset and Resource Management Company Limited (ARM) for a period of eleven years. The existence of chaotic signals in the data was identified by the reconstruction of the phase space of the daily closing price of the fund and the delay...

Persistent link: https://www.econbiz.de/10011474696

Exchange-rates volatility in Nigeria : application of GARCH models with exogenous break

Bala, Dahiru A.; Asemota, Joseph O. - In: CBN journal of applied statistics 4 (2013) 1, pp. 89-116

This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to 2011:7 for Naira/US dollar return and from 2004:1 to 2011:7 for Naira/British Pounds and Naira/Euro returns. The study compare estimates of variants of GARCH models with break...

Persistent link: https://www.econbiz.de/10011476095

Reactions of stock market to monetary policy shocks during the global financial crisis : the Nigerian case

Aliyu, Shehu U. R. - In: CBN journal of applied statistics 3 (2012) 1, pp. 17-41

This paper seeks to assess the reactions of Nigeria’s stock market to monetary policy innovations during the period of global financial crisis on the basis of monthly data over the period January, 2007 to August, 2011. In particular, stock market return was regressed against major monetary...

Persistent link: https://www.econbiz.de/10011477172

The Minimum Liquidity Deficit and the Maturity Structure of Central Banks' Open Market Operations : Lessons from the Financial Crisis

Eisenschmidt, Jens - 2011

This paper studies the relationship between the size of the banking sector's refinancing needs vis-à-vis the central bank and auction rates in its open market operations in times of financial market stress. In a theoretical model, it is found that marginal rates at central bank auctions may...

Persistent link: https://www.econbiz.de/10013132236

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