Showing 1 - 6 of 6
This paper examines how credit risk affects bank lending and the business cycle. We estimate a panel Vector Autoregression model for an unbalanced sample of 12 OECD countries over the past two to three decades, consisting of the output gap, inflation, the short-term interest rate, bank lending,...
Persistent link: https://www.econbiz.de/10010945599
This paper employs concepts from information theory to choosing the dimension of a data set. We calculate relative measures of information in the data in terms of eigenvalues and derive criteria to determine the `optimal' size of the data set, in particular whether an extra variable adds...
Persistent link: https://www.econbiz.de/10005021835
Traditional unobserved component models assume that the trend, cycle and seasonal components of an individual time series evolve separately over time. Although this assumption has been relaxed in recent papers that focus on trend-cycle interactions, it remains at the core of all seasonal...
Persistent link: https://www.econbiz.de/10010752366
We estimate Taylor rules for the euro area using Consensus expectations for inflation and output growth and we compare these estimates with more conventional specifications in which actual outcomes are used. According to the model with Consensus data, the ECB takes expected inflation and...
Persistent link: https://www.econbiz.de/10005106669
We construct a money market pressure index based on central bank reserves and the short-term nominal interest rate to identify banking crises, thereby extending the index proposed by Von Hagen and Ho (2007). We compare the crises identified by both indices with banking crises according to the...
Persistent link: https://www.econbiz.de/10010703362
We estimate Taylor rule models for the euro area using Consensus Economics forecasts of inflation and output growth for the period 1998.6-2010.8. We first examine whether the recent financial crisis has affected ECB policies. Our results indicate that the ECB puts stronger emphasis on...
Persistent link: https://www.econbiz.de/10008774018