Showing 1 - 10 of 20
This paper compares the mixed-data sampling (MIDAS) and mixed-frequency VAR (MF-VAR) approaches to model speci.cation in the presence of mixed-frequency data, e.g., monthly and quarterly series. MIDAS leads to parsimonious models based on exponential lag polynomials for the coeØ cients, whereas...
Persistent link: https://www.econbiz.de/10003815492
Persistent link: https://www.econbiz.de/10002433852
This paper presents an estimated DSGE model for the European Monetary Union. Our approach, contrary to the previous studies, accounts for heterogeneity within the euro area. We advance the empirical literature by estimating an open-economy model with unfiltered data, which is a much more...
Persistent link: https://www.econbiz.de/10003126180
Persistent link: https://www.econbiz.de/10002137081
From time to time, economies undergo far-reaching structural changes. In this paper we investigate the consequences of structural breaks in the factor loadings for the specification and estimation of factor models based on principal components and suggest test procedures for structural breaks....
Persistent link: https://www.econbiz.de/10003815484
This paper analyzes how bank lending to the private nonbank sector responds dynamically to aggregate supply, demand and monetary policy shocks in Germany and the euro area. The results suggest that the dynamic responses in the two areas are broadly similar, although there are some differences in...
Persistent link: https://www.econbiz.de/10003384593
This paper addresses the relative importance of monetary indicators for forecasting inflation in the euro area in a Bayesian framework. Bayesian Model Averaging (BMA)based on predictive likelihoods provides a framework that allows for the estimation of inclusion probabilities of a particular...
Persistent link: https://www.econbiz.de/10003461220
This paper considers factor forecasting with national versus factor forecasting with international data. We forecast German GDP based on a large set of about 500 time series, consisting of German data as well as data from Euro-area and G7 countries. For factor estimation, we consider standard...
Persistent link: https://www.econbiz.de/10003831959
Wholesale and retail trade affiliates owned by parent firms in manufacturing account for a considerable fraction of overall affiliate sales. Although quantitatively important, this Export-Supporting FDI (ESFDI) activity has received little attention in the literature. This paper includes ESFDI...
Persistent link: https://www.econbiz.de/10003870817
This paper analyses how many euro coins outflow from Germany and which composition of coins is to be expected in the long run. To this end, a simple mathematical model is formulated and calibrated for €1 coins. The introduction of the euro coins in 2002 presented a unique opportunity to...
Persistent link: https://www.econbiz.de/10003881600