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Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models

Blasques, Francisco; Koopman, Siem Jan; Mallee, Max - 2014

The multivariate analysis of a panel of economic and financial time series with mixed frequencies is a challenging problem. The standard solution is to analyze the mix of monthly and quarterly time series jointly by means of a multivariate dynamic model with a monthly time index: artificial...

Persistent link: https://www.econbiz.de/10010491332

Nowcasting and Forecasting Economic Growth in the Euro Area using Principal Components

Hindrayanto, Irma; Koopman, Siem Jan; de Winter, Jasper - 2014

short-term forecasting models. These empirical findings have been established for different macroeconomic data sets and … specification is most effective in its forecasting performance. Furthermore, the forecast performances of the different … extended empirical out-of-sample forecasting competition for quarterly growth of gross domestic product in the euro area and …

Persistent link: https://www.econbiz.de/10010491343

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 17 advanced economies since 1870. The new data show that the share of mortgages on banks’ balance sheets doubled in the course of the 20th century, driven by a sharp rise of...

Persistent link: https://www.econbiz.de/10010948836

Political Booms, Financial Crises

Herrera, Helios; Ordonez, Guillermo; Trebesch, Christoph - CESifo - 2014

We show that political booms, measured by the rise in governments’ popularity, predict financial crises above and beyond other better-known early warning indicators, such as credit booms. This predictive power, however, only holds in emerging economies. We show that governments in emerging...

Persistent link: https://www.econbiz.de/10010888458

A Bayesian Approach to Excess Volatility, Short-term Underreaction and Long-term Overreaction During Financial Crises

Guo, Xu; McAleer, Michael; Wong, Wing-Keung; Zhu, Lixing - 2016

In this paper, we introduce a new Bayesian approach to explain some market anomalies during financial crises and subsequent recovery. We assume that the earnings shock of an asset follows a random walk model with and without drift to incorporate the impact of financial crises. We further assume...

Persistent link: https://www.econbiz.de/10011451517

Efficiency Gains of a European Banking Union

Schoenmaker, Dirk; Siegmann, Arjen - 2013

An anticipated benefit of the prospective European Banking Union is stronger supervision of European banks. Another benefit would be enhanced resolution of banks in distress. While national governments confine themselves to the domestic effects of a banking failure, a European Resolution...

Persistent link: https://www.econbiz.de/10010326204

The Effects of Systemic Banking Crises in the Inter-War Period

Rocha, Bruno; Solomou, Solomos - CESifo - 2015

This paper examines the time-profile of the impact of systemic banking crises on GDP and industrial production using a panel of 24 countries over the inter-war period and compares this to the post-war experience of these countries. We show that banking crises have effects that induce medium-term...

Persistent link: https://www.econbiz.de/10011210401

Sweden - from Macroeconomic Failure to Macroeconomic Success

Calmfors, Lars - CESifo - 2012

Major economic reforms have been carried through in Sweden during the last two decades. Most of the reforms have been made in response to long-standing rather than to acute problems. There has usually been a strong perception among economists, policy makers and the general public of the problems...

Persistent link: https://www.econbiz.de/10010544185

Macroeconomic Fluctuations in a Stylized DSGE Model with Disequilibrium Dynamics

Aarle, Bas van - CESifo - 2012

This study develops a stylised DSGE model, that departs in one aspect: it replaces the general equilibrium approach by disequilibrium economics. In this way, richer macroeconomic adjustment dynamics result, as it is not necessary to assume that goods and labour markets continuously clear. The...

Persistent link: https://www.econbiz.de/10010877936

Appropriate Fiscal Policy over the Business Cycle: Proper Stimulus Policies Can Work

Graves, Philip E. - CESifo - 2010

Fiscal policy has become quite controversial in the post-Keynesian era, the debate over the Obama stimulus package being a contentious recent example. Some pundits go so far as to take the position that macroeconomic theory has failed to meaningfully progress in terms of providing useful...

Persistent link: https://www.econbiz.de/10008498997

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